New Trading Platform
ASX FIX Order Entry Specification
V0.6
INFORMATION CLASSIFICATION - PUBLIC
ASX Limited
ASX FIX Order Entry Specification V0.6
Table of contents
1 FIX Order Entry Introduction
3
1.1 Supported Versions
1.2 Document Information
3
3
1.2.1 Version History
1.2.2 Terms and Acronyms
1.2.3 Definition of required column values
3
3
3
1.3 Standard Header
1.4 StandardTrailer
4
5
2 FIX Session Layer
6
2.1 Connecting to the FIX Server Process
2.2 Lost Connection
2.3 Logon (A)
2.4 Heartbeat (0)
2.5 TestRequest (1)
2.6 ResendRequest (2)
2.7 Reject (3)
2.8 SequenceReset (4)
2.9 Logout (5)
2.10 BusinessMessageReject (j)
6
6
7
8
9
9
10
10
11
12
3 Application Messages
13
3.1 NewOrderSingle (D)
3.2 OrderCancelRequest (F)
3.3 OrderCancelReplaceRequest (G)
3.4 ExecutionReport (8)
3.5 OrderCancelReject (9)
3.6 QuoteRequest (R)
3.7 QuoteRequestReject (AG)
3.8 SecurityDefinitionRequest (c)
3.9 SecurityDefinition (d)
3.10 OrderMassStatusRequest (AF)
3.11 OrderMassCancelRequest (q)
3.12 OrderMassCancelReport (r)
3.13 PartyRiskLimitsReport (CM)
13
17
18
22
31
32
33
34
35
36
37
38
39
4 General Messages
42
4.1 News (B)
42
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ASX FIX Order Entry Specification V0.6
ASX Limited
1
FIX Order Entry Introduction
This document describes:
n
Standard Header and Standard Trailer definitions
n
FIX session layer—how FIX sessions are established and maintained
n
Business layer introduction—general aspects of the business layer of the protocol
To confirm the appropriate Data Type for any of the standard FIX Tags used in this document,
please refer to http://www.fixtradingcommunity.org for the FIX 5.0 SP2 EP196 values.
1.1
Supported Versions
The Financial Information eXchange (FIX) protocol is a message standard developed to facilitate
the electronic exchange of information related to securities transactions. It is intended for use
between trading partners wishing to automate communications.
ASX Gateways support FIX version 5.0 SP2 EP 196.
A detailed description of FIX is available from http://www.fixtradingcommunity.org and
includes all the technical specifications.
1.2
Document Information
1.2.1
Version History
This document has been revised according to the table below:
Version Author Comment
V0.6 ASX
1.2.2
Terms and Acronyms
Term/Acronym
Description
FIX
Financial Information eXchange Protocol
FPL
FIX Protocol Limited
ISIN
International Securities Identification Number. Unique identifier issued to
identify each financial instrument.
UTC
Coordinated Universal Time is a high-precision atomic time standard often
referred to as GMT.
1.2.3
Definition of required column values
For messages transmitted to ASX:
Value
Y
C
Blank
Definition
Defined as required in FIX 5.0 SP2 EP 196
Conditionally required by either FIX protocol or by ASX to implement functionality
Tag may be omitted.
For messages transmitted from the ASX:
Value
Y
Blank
Definition
Defined as required in FIX 5.0 SP2 EP 196
Always provided by ASX unless text specifies otherwise
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Standard Header
All FIX messages described in this document contain a standard header, which is defined below.
Tag Name
8 BeginString
Reqd Comment
Yes Identifies beginning of new message and protocol version. Always first field in message.
Valid values:
9 BodyLength
35 MsgType
49 SenderCompID
56 TargetCompID
115 OnBehalfOfCompID
34 MsgSeqNum
43 PossDupFlag
FIXT.1.1
Message length, in bytes, forward to the CheckSum field. Always second field in message.
Defines message type. Always third field in message. See individual messages for value to be used.
Identifies the sender of the message.
Identifies the receiver of the message.
Value used to identify user subject to OrderMassCancelRequest
Yes Message sequence number.
C
Required for retransmitted messages. Indicates possible retransmission of message with this sequence number.
Yes
Yes
Yes
Yes
Valid values:
N = Original Transmission
Y = Possible duplicate
52 SendingTime
Yes Time of transmission in UTC.
122 OrigSendingTime
C
Required for messages sent as a result of a ResendRequest. Original time of message transmission in UTC.
369 LastMsgSeqNumProcessed
The last MsgSeqNum (34) value received by the FIX engine and processed by downstream application, such as trading
engine or order routing system. Can be specified on every message sent. Useful for detecting a backlog with a counterparty.
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StandardTrailer
All FIX messages in this document contain a standard trailer, which is defined below.
Tag Name
Reqd Comment
10 CheckSum Yes Simple checksum (see Volume 2: "Checksum Calculation" for description in FIX Trading Community FIX Session Layer).
ALWAYS LAST FIELD IN MESSAGE; i.e. serves, with the trailing <SOH>, as the end-of-message delimiter. Always defined as three characters. (Always unencrypted)
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FIX Session Layer
The session layer describes how FIX sessions are established and maintained.
2.1 Connecting to the FIX Server Process
2.2 Lost Connection
2.3 Logon (A)
2.4 Heartbeat (0)
2.5 TestRequest (1)
2.6 ResendRequest (2)
2.7 Reject (3)
2.8 SequenceReset (4)
2.9 Logout (5)
2.10 BusinessMessageReject (j)
2.1
6
6
7
8
9
9
10
10
11
12
Connecting to the FIX Server Process
Each FIX client must maintain the address and port for the primary and the standby ASX FIX server. If a server cannot be reached it is recommended that the following be performed:
2.2
n
Attempt to connect to the other server (standby if primary attempted and primary if standby attempted)
n
Wait five seconds, and then try to connect to the server again.
Lost Connection
When reconnecting, the subscriber should login again to the session by using the next transmitted sequence numbers. In the event that the sequence numbers are out of synch, the subscriber
should send a resend request to retransmit any potentially lost data.
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Logon (A)
The logon message is the first message sent by a user and is used to authenticate the FIX session with the exchange. On successful authentication the response is a Logon (A) message. If the
logon is rejected, a Logout (5) message will be sent and the TCP/IP session will be terminated.
The password can be changed by specifying the new password in the NewPassword (925) tag.
Recovery is supported using the ResendRequest (2) and by use of NextExpectedMsgSeqNum (789). Please see the FIX Trading Community FIX Session Layer description for full details of these
methods of recovery handling.
Tag Name
StandardHeader
98 EncryptMethod
Reqd Comment
Yes MsgType = A
Yes Method of encryption
Valid values:
108 HeartBtInt
Yes
0 = None/Other
Heartbeat interval in seconds. The same value is used by both sides.
Recommended value:
30 Seconds (108=30)
Indicates both sides of a FIX session should reset sequence numbers.
141 ResetSeqNumFlag
Valid values:
N = No
Y = Yes, reset sequence numbers. Note MsgSeqNum (34) should be set to 1.
789 NextExpectedMsgSeqNum
553 Username
554 Password
C
C
Next expected MsgSeqNum value to be received. Please see the FIX Trading Community FIX Session Protocol
description on the use of this tag for recovery.
FIX Username
Password for username
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925 NewPassword
Specifies a new password for the FIX Logon. The new password is used for subsequent logons.
The new password must meet at least three of the following criteria:
l
Contain a English upper case character (A-Z)
l
Contain a English lower case character (a-z)
l
Contain a Hindu Arabic numeral (0-9)
l
Contain one or more of the following non-alphanumeric special characters: !@#$%^&*()_+|~-=\`{}[]:";'<>?,./)
l
Contain any character that is categorized as an alphabetic character but is not uppercase or lowercase, this
includes characters from Asian languages.
Passwords must be a minimum of 8 characters in length.
Passwords are valid for 90 Days, and when reset must be different to the previous 12 passwords used.
The account will lock after 6 failed attempts.
Status of the FIX session. Sent by ASX. Ignored if input by client.
1409 SessionStatus
Valid Values:
0 = Session active
1 = Session password changed.
1137 DefaultApplVerID
Yes
Specifies the service pack release being applied, to the message at the session level.
Valid values:
58
2.4
Text
StandardTrailer on page 5
9 = FIX50SP2
Free format text string
Yes
Heartbeat (0)
Heartbeat messages are sent by counterparties to indicate that a connection is still active and as a response to TestRequest (1) messages. Behaviour is as described in the FIX Trading Community FIX Session Layer.
Tag Name
StandardHeader
112 TestReqID
Reqd Comment
Yes MsgType = 0
Identifier included in Test Request message to be returned in resulting Heartbeat. Required when the heartbeat is the result
of a Test Request message.
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StandardTrailer on
page 5
2.5
Yes
TestRequest (1)
To verify a connection is active a TestRequest (1) message is sent to the counterparty. The recipient of the TestRequest responds with a Heartbeat (0) message. Failure to respond to a
TestRequest message may trigger a disconnection by the sender.
Behaviour is as described in the FIX Trading Community FIX Session Layer.
Tag Name
StandardHeader
112 TestReqID
StandardTrailer on page 5
2.6
Reqd Comment
Yes MsgType = 1
Yes Unique identifier of this Test Request. To be returned in the Heartbeat generated upon receipt of the Test Request.
Yes
ResendRequest (2)
The ResendRequest (2) message is sent to request the retransmission of messages. Note that either party may send a ResendRequest.
Behaviour is as described in the FIX Trading Community FIX Session Layer
Tag Name
StandardHeader
7 BeginSeqNo
16 EndSeqNo
StandardTrailer on
page 5
Reqd Comment
Yes MsgType = 2
Yes Message sequence number of first message in range to be resent
Yes Message sequence number of last message in range to be resent. If all messages subsequent to BeginSeqNo are required
set EndSeqNo=0.
Yes
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Reject (3)
The reject message should be issued when a message is received but cannot be properly processed due to a session-level rule violation. An example of when a reject may be appropriate would
be the receipt of a message with invalid basic data which successfully passes de-encryption, CheckSum and BodyLength checks.
Behaviour is as described in the FIX Trading Community FIX Session Layer.
Tag
45
371
372
373
Name
StandardHeader
RefSeqNum
RefTagID
RefMsgType
SessionRejectReason
Reqd
Yes
Yes
Comment
MsgType = 3
MsgSeqNum of rejected message.
The tag number of the FIX field being referenced.
The MsgType (35) of the FIX message being referenced.
Code to identify reason for a session-level Reject message.
Valid values:
0 = Invalid Tag Number
1 = Required Tag Missing
2 = Tag not defined for this message type
4 = Tag specified without a value
5 = Value is incorrect (out of range) for this tag
6 = Incorrect data format for value
11 = Invalid MsgType
13 = Tag appears more than once.
58
2.8
Text
StandardTrailer on page 5
99 = Other
Where possible, message to explain reason for rejection.
Yes
SequenceReset (4)
The SequenceReset (4) message is used to inform the counterparty of a new higher sequence number. This is required in order to skip one or messages when responding to a ResendRequest (2)
or to set a new sequence number after an unrecoverable error.
Behaviour is as described in the FIX Trading Community FIX Session Layer
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Tag Name
StandardHeader
123 GapFillFlag
Reqd Comment
Yes MsgType = 4
Indicates that the Sequence Reset message is replacing administrative or application messages which will not be
resent.
Valid values:
N = Sequence Reset, Ignore Msg Seq Num
36 NewSeqNo
Yes
StandardTrailer on page Yes
5
2.9
Y = Gap Fill Message, Msg Seq Num field valid.
New sequence number
Logout (5)
The logout message is used to initiate or confirm the termination of a FIX session. Logout is normally initiated by the client. The ASX may also initiate a logout e.g. prior to system shutdown.
A Logout message is also used to respond to failed Login (A) requests. On completion of the logout procedure, ASX will close the TCP/IP connection.
The logout process followed is as described in the FIX Trading Community FIX Session Layer.
Tag
58
1409
Name
StandardHeader
Text
SessionStatus
Reqd
Yes
Comment
MsgType = 5
Free format text string
Status of the FIX session.
Valid Values:
3 = New session password does not comply with policy
4 = Session logout complete
5 = Invalid username or password
6 = Account locked
8 = Password expired
9 = Received MsgSeqNum(34) is too low
10 = Received NextExpectedMsgSeqNum(789) is too high.
StandardTrailer on page 5
Yes
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BusinessMessageReject (j)
The BusinessMessageReject message can reject an application-level message which fulfills session-level rules and cannot be rejected via any other means - typically unsupported application
messages or application messages lacking a specific reject message. If the message fails a session-level rule (e.g. body length is incorrect), a session-level Reject message should be issued.
Tag
45
372
380
Name
StandardHeader
RefSeqNum
RefMsgType
BusinessRejectReason
Reqd
Yes
Yes
Yes
Comment
MsgType = j (lowercase)
MsgSeqNum of rejected message.
The MsgType of the FIX message being referenced.
Code to identify reason for a Business Message Reject message.
Valid values:
0 = Other - see Text (58) for further details
58
Text
StandardTrailer on page 5
3 = Unsupported Message Type
Where possible, message to explain reason for rejection.
Yes
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ASX FIX Order Entry Specification V0.6
Application Messages
3.1 NewOrderSingle (D)
3.2 OrderCancelRequest (F)
3.3 OrderCancelReplaceRequest (G)
3.4 ExecutionReport (8)
3.5 OrderCancelReject (9)
3.6 QuoteRequest (R)
3.7 QuoteRequestReject (AG)
3.8 SecurityDefinitionRequest (c)
3.9 SecurityDefinition (d)
3.10 OrderMassStatusRequest (AF)
3.11 OrderMassCancelRequest (q)
3.12 OrderMassCancelReport (r)
3.13 PartyRiskLimitsReport (CM)
3.1
13
17
18
22
31
32
33
34
35
36
37
38
39
NewOrderSingle (D)
The New Order Single (D) message is used to submit an order to the exchange for execution.
If accepted or rejected by the exchange an Execution Report (8) message will be returned.
Tag
11
Name
StandardHeader
ClOrdID
Reqd
Yes
Yes
Comment
MsgType = D
Unique identifier for Order as assigned by the client. Uniqueness must be guaranteed within a single trading session by the sender for clients who do not submit long dated orders (GTC/GTD).
Clients who submit long dated orders must guarantee uniqueness across trading sessions and Business Trade
Dates when orders are being released in the XSFE and NZFX markets.
1
Account
Yes
Orders with duplicate ClOrdID identifiers will be rejected.
Up to 10 character account ID used for pre trade risk checks. Supplying more that 10 characters will cause the
order to be rejected.
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581
AccountType
C
Type of account associated with an order.
Required to describe Account (1) value.
Valid values:
1 = Customer (Client)
55
Symbol
C
2 = Non Customer (House).
Common, "human understood" representation of the security.
Required if SecurityID (48) is not present. If SecurityID (48) is specified set Symbol (55) to [N/A].
48
SecurityID
C
Order will be rejected if SecurityID (48) is present and Symbol (55) is not [N/A].
Security identifier value of SecurityIDSource (22) type. Requires SecurityIDSource (22).
Symbol (55) must be set to [N/A] if SecurityID (48) is specified.
22
SecurityIDSource
C
The order will be rejected if SecurityID (48) is present and Symbol (55) is not [N/A].
Identifies the source of the source of the SecurityID (48) value.
Required if SecurityID (48) is specified.
Valid Values:
8 = Exchange defined.
207
SecurityExchange
N
Available as Tradeable Instrument ID.
Market of security.
Valid values:
XSFE = Sydney Futures Exchange
54
Side
Yes
NZFX = New Zealand Futures and Options Exchange.
Side of order.
Valid values:
1 = Buy
38
OrderQty
Yes
2 = Sell.
Total order quantity.
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40
OrdType
Yes
Order type.
Valid values:
2 = Limit
44
Price
C
K = Market to Limit.
Price per unit quantity.
Required if OrdType (40) is Limit (2).
18
ExecInst
No
ignored if OrdType (40) is Market to Limit (K).
Instructions for handling the order. If multiple instructions specified, separate with a space.
Valid value:
o = Cancel on connection loss.
453
448
447
NoPartyIDs
PartyID
PartyIDSource
No
C
Number of PartyID (448), PartyIDSource (447), and PartyRole (452) entries.
Used to identify source of PartyID. Required if NoPartyIDs>0.
C
Required if PartyIDSource (447) is specified.
Identifies class or source of PartyID (448) value. Required if PartyID (448) is specified.
Valid values:
452
PartyRole
C
D = Proprietary/Custom code
The role of the party in the transaction.
Required if PartyID is specified.
Valid values:
24 = Customer Account (Up to 15 characters. First six characters passed to clearing system - STP usage).
45 - Secondary Account Number (can be used as a secondary client order identifier).
76 - Desk ID (identifies the shared order group that this order is part of).
NoPartyIDs
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59
TimeInForce
No
Specifies how long the order remains in effect. Absence of this field is interpreted as Day.
Valid values:
0 = Day (or session)
1 = Good Till Cancel (GTC)
3 = Immediate or Cancel (IOC)
4 = Fill or Kill (FOK)
432
ExpireDate
C
126
ExpireTime
C
6 = Good Till Date (GTD).
Business date of order expiration (last day the order can trade) always expressed in terms of the local market
date.
Required if TimeInForce is GTD and ExpireTime is not specified.
Time/Date of order expiration (always expressed in UTC {Universal Time Coordinated}, also known as GMT).
The order will expire at the first time specified or certain session state changes, whichever occurs first.
The date portion of this field is not used.
1624 NoMatchInst
1625 MatchInst
No
C
Required if TimeInForce is GTD and ExpireDate is not specified.
Number of instructions in the <MatchingInstructions> repeating group. Only 1 instruction is allowed.
Matching instruction Required if NoMatchInst > 0.
Valid values:
1626 MatchAttribTagID
C
1 = Match.
This tag is required by the FIX protocol when NoMatchInst > 0.
Valid values:
1627 MatchAttribValue
C
10000 = Activate Unintentional Crossing protection (UCP) for this order.
Value to apply the matching instruction. When MatchAttribTagID=10000, the MatchAttribValue is an integer
number supplied as the UCP key to activate Unintentional Crossing Protection (UCP) for this order.
If two orders from the same member or member unit with the same UCP keys, the resultant trade will be
handled as a private Booking Report.
Public market data will reflect the resting order as being cancelled or volume is decremented.
58
60
Text
No
TransactTime
Yes
StandardTrailer on page 5 Yes
Free format text string. Value will be reflected in the Execution Report (8) message acknowledging the order.
Timestamp when the business transaction represented by the message occurred.
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3.2
ASX FIX Order Entry Specification V0.6
OrderCancelRequest (F)
The OrderCancelRequest message is used to cancel an order.
Successful cancellation of an order is communicated by an ExecutionReport (8). If the cancel is rejected an Order CancelReject (9) message is sent.
Tag Name
Reqd Comment
StandardHeader Yes MsgType = F
37 OrderID
C
Unique identifier for Order as assigned by ASX.
Required if OrigClOrdID (41) is not supplied.
11 ClOrdID
Y
If supplied OrigClOrdID (41) will be ignored.
Unique identifier for cancellation as assigned by the client. Uniqueness must be guaranteed within a single trading session for
clients who do not submit long dated orders (GTC/GTD).
41 OrigClOrdID
C
Clients submitting long dated orders must guarantee uniqueness of all orders across trading sessions and Business Trade
Dates. Cancelling an order with a duplicate ClOrdID identifier will be rejected.
Last ClOrdID (11) used to successfully touch the order (NOT the initial order of the day) as assigned by the client.
54 Side
Yes
Required if OrderID (37) is not supplied. Used only when OrderID (37) is not present.
Side of order.
38 OrderQty
55 Symbol
Yes
C
This tag is required to comply with the FIX protocol. The value is ignored.
Original total order quantity. This tag is required to comply with FIX protocol.
Common, "human understood" representation of the security.
This tag is conditionally required to comply with FIX protocol. The value is ignored.
Required if SecurityID (48) is not present.
If SecurityID (48) is specified set Symbol (55) to [N/A].
48 SecurityID
Cancel will be rejected if SecurityID (48) is present and Symbol (55) is not [N/A].
Security identifier value of SecurityIDSource (22) type. Requires SecurityIDSource (22).
Symbol (55) must be set to [N/A] if SecurityID (48) is specified. Cancel will be rejected if SecurityID (48) is present and Symbol
(55) is not [N/A].
This tag is conditionally required to comply with FIX protocol. The value is ignored.
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22 SecurityIDSource
Identifies the source of the SecurityID (48) value.
Required if SecurityID (48) is specified.
Valid Values:
453 NoPartyIDs
448 PartyID
447 PartyIDSource
C
8 = Exchange defined. Available as Tradeable Instrument ID.
Number of PartyID (448), PartyIDSource (447), and PartyRole (452) entries.
Used to identify source of PartyID. Required if NoPartyIDs>0.
C
Required if PartyIDSource (447) is specified.
Identifies class or source of PartyID (448) value. Required if PartyID (448) is specified.
Valid values:
452 PartyRole
C
D = Proprietary/Custom code
The role of the party in the transaction.
Required if PartyID is specified.
Valid values:
58 Text
60 TransactTime
StandardTrailer
on page 5
3.3
No
Yes
Yes
76 = Desk ID (Identifies the shared order group that this order is part of. Required when cancelling a shared order group order)
Free format text string.
Timestamp when the business transaction represented by the message occurred.
OrderCancelReplaceRequest (G)
The OrderCancelReplaceRequest is used to change the parameters of an existing order. Not all parameters can be modified. The message definition states when a parameter must be specified
to comply with the FIX protocol, but cannot be changed.
A successful modification will result in an ExecutionReport (8).
Where the OrderCancelRequest modifies the price and/or increases the quantity of the order this will result in a change to the order price-time priority and a new public order identifier, SecondaryOrderID (198), will be re-issued on the ExecutionReport (8).
Where the request modifies the quantity down then the order price-time priority will remain.
An unsuccessful modification will be rejected with an OrderCancelReject (9).
To cancel an order the OrderCancelRequest (F) is used.
Tag
Name
Reqd Comment
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37
StandardHeader
OrderID
Yes
C
11
ClOrdID
Yes
41
OrigClOrdID
C
1
Account
Yes
581
AccountType
C
MsgType = G
Unique identifier for Order as assigned by ASX. Required if OrigClOrdID (41) is not supplied. If supplied OrigClOrdID
(41) will be ignored.
Unique identifier for Order as assigned by the client. Uniqueness must be guaranteed within a single trading session
by the sender for clients who do not submit long dated orders (GTC/GTD).
Clients submitting long dated orders must guarantee uniqueness of all orders across trading sessions and Business
Trade Dates. Replacing an order with a duplicate ClOrdID identifier will be rejected.
Last ClOrdID (11) used to successfully touch the order (NOT the initial order of the day) as assigned by the client.
Required if OrderID (37) is not supplied. Used only when OrderID (37) is not present. .
10 character account ID used for pre trade risk checks. Supplying more than 10 characters will cause the order to be
rejected.
Type of account associated with an order. Required to describe Account (1) value. Valid values:
1 = Customer
55
Symbol
C
2 = Non-customer.
Common, "human understood" representation of the security. This tag is conditionally required to comply with FIX
protocol. The value is ignored.
Required if SecurityID (48) is not present. If SecurityID (48) is specified set Symbol (55) to [N/A].
48
SecurityID
C
Replace will be rejected if SecurityID (48) is present and Symbol (55) is not [N/A].
Security identifier value of SecurityIDSource (22) type. Requires SecurityIDSource (22).
This tag is conditionally required to comply with FIX protocol. The value is ignored.
Symbol (55) must be set to [N/A] if SecurityID (48) is specified.
Replace will be rejected if SecurityID (48) is present and Symbol (55) is not [N/A].
22
SecurityIDSource
C
This tag is conditionally required to comply with the FIX protocol. The value is ignored.
Identifies the source of the SecurityID (48) value.
Required if SecurityID (48) is specified.
Valid Values:
8 = Exchange defined. Available as Tradeable Instrument ID.
This tag is conditionally required to comply with the FIX protocol. The value is ignored.
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54
Side
Yes
Side of order.
This tag is conditionally required to comply with the FIX protocol. The value is ignored.
Valid values:
1 = Buy
38
40
OrderQty
OrdType
Yes
Yes
2 = Sell.
Total order quantity.
Order type.
Valid values:
2 = Limit
44
Price
C
K = Market with Left Over as Limit (market order with unexecuted quantity becoming limit order at last price)
Price per unit quantity.
Required if OrdType (40) is Limit (2).
18
ExecInst
No
Ignored if OrdType (40) is Market to Limit (K)
Instructions for handling the order. If multiple instructions are specified, separate with a space.
Valid values:
453
448
447
NoPartyIDs
PartyID
PartyIDSource
No
C
C
o = Cancel on connection loss.
Number of PartyID (448), PartyIDSource (447), and PartyRole (452) entries.
Identifies the party. Required if NoPartyIDs > 0. Required if PartyIDSource is specified.
Identifies class or source of the PartyID (448) value. Required if PartyID is specified.
Valid values:
452
PartyRole
C
D = Proprietary/custom code.
The role of the party in the transaction.
Required if PartyID is specified.
Valid values:
24 = Customer Account (Up to 15 characters. First 6 characters passed to clearing system - STP usage).
45 = Secondary Account Number
76 = Desk ID (Shared Order Group ID. Must be specified on modification if on order otherwise modification will be
rejected). Cannot be changed to a new Shared Order Group.
NoPartyIDs
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59
TimeInForce
No
Specifies how long the order remains in effect. Absence of this field is interpreted as Day.
Valid values:
0 = Day (or session)
1 = Good Till Cancel (GTC)
3 = Immediate or Cancel (IOC)
432
ExpireDate
C
6 = Good Till Date (GTD).
Business date of order expiration (last day the order can trade), always expressed in terms of the local market date.
Required if TimeInForce is GTD and ExpireTime is not specified.
126
ExpireTime
C
Can only be modified if previously specified on the order, or the order does not contain ExpireTime (126)
Time/Date of order expiration (always expressed in UTC (Universal Time Coordinated, also known as "GMT").
The order will expire at the first of the time specified or certain session state changes, whichever occurs first. The
date portion of this field is not used.
1624
1625
NoMatchInst
MatchInst
No
C
Required if TimeInForce is GTD and ExpireDate is not specified.
Number of instructions in the <MatchingInstructions> repeating group. Only 1 instruction is allowed.
Matching instruction.
Required if NoMatchInst > 0.
Valid values:
1626
MatchAttribTagID
C
1 = Match.
This tag is required by the FIX protocol when NoMatchInst > 0.
Valid values:
1627
MatchAttribValue
C
10000 = UCP Key.
Value to apply the matching instruction.
When MatchAttribTagID = 10000, an integer number used for UCP - key supplied to activate Unintentional Crossing
Protection (UCP).
If two orders from the same member/member unit with matching crossing keys match, the resultant trade will be
handled as private Booking Reports.
Public market data will reflect the resting order as being cancelled/decremented.
58
Text
No
Free format text string. Value will be reflected in the Execution Report (8) message acknowledging the modification.
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60
3.4
TransactTime
StandardTrailer on
page 5
Yes
Yes
Timestamp when the business transaction represented by the message occurred.
ExecutionReport (8)
The Execution Report (8) message is used to:
l
Confirm the receipt of an order
l
Confirm changes to an existing order
l
Confirm or convey an order cancellation or expiration
l
Convey fill information on working orders
l
Reject orders
l
Convey information about re-stated long orders carried from one trading session to the next.
Prices are formatted to contain the number of decimal places for the relevant instrument, as distributed in reference data. For prices that relate to the main (head) order the relevant instrument
is the order instrument. For prices that relate to legs the relevant instrument is the one for that leg.
Tag
37
198
11
Name
StandardHeader
OrderID
SecondaryOrderID
ClOrdID
41
OrigClOrdID
584
MassStatusReqID
911
TotNumReports
Reqd Comment
Yes MsgType = 8
Yes Unique identifier for Order as assigned by ASX. Private to the member firm entering the order.
C
Unique identifier for Order as assigned by ASX. Provided on public market data.
C
Unique identifier for Order as assigned by the client. Provided if the order was entered by the user on this FIX
connection.
C
ClOrdID (11) of the previous order. Provided in responses to a Cancel or Cancel/Replace request. Provided if
the order was amended by the user on this FIX connection.
Value assigned by issuer of Mass Status Request to uniquely identify the request.
Supplied on Execution Report (8) messages in response to an OrderMassStatusRequest (AF)
Total number of reports returned in response to a request.
Supplied on Execution Report (8) messages in response to an OrderMassStatusRequest (AF).
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912
LastRptRequested
Indicates whether this message is the last report message in response to a request message, e.g. OrderMassStatusRequest(35=AF).
Valid values:
N = Not the last message
18
ExecInst
No
Y = Last message
Instructions for handling the order. If multiple instructions specified, separate each with a space.
Valid values:
o = Cancel on connection loss.
453
448
447
Parties
NoPartyIDs
PartyID
PartyIDSource
Yes
Yes
C
C
Number of PartyID (448), PartyIDSource (447), and PartyRole (452) entries.
Identifies the party. Required if NoPartyIDs > 0. Required if PartyIDSource is specified.
Identifies class or source of the PartyID (448) value. Required if PartyID is specified.
Valid values:
D = Propretary/Custom code.
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452
PartyRole
C
The role of the party in the transaction.
Required if PartyID is specified.
Valid values:
1 = Executing Firm
4 = Clearing Firm
7 = Entering Firm
11 = Order Origination Trader
12 = Executing Trader
17 = Contra Firm
18 = Contra Clearing Firm
24 = Customer Account
29 = Intermediary
36 = Entering Trader
45 = Secondary Account Number
76 = Desk ID (Identifies the shared order group that this order is part of).
1057
NoPartyIDs
Parties
AggressorIndicator
No
Used to identify whether the order initiator is an aggressor or not in the trade.
Valid values:
Y = Order initiator is aggressor
N = Order initiator is passive.
1624
NoMatchInst
No
If tag is not defined, both orders are passive such as in auctions.
Number of instructions in the MatchingInstructions repeating group. MatchingInstructions are used to indicate
whether UCP was applied to an order, or activated on a trade resulting from the order.
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1625
MatchInst
C
Matching instruction
Supplied if NoMatchInst > 0
Valid values:
1626
MatchAttribTagID
C
1 = Match: Where ExecType=Trade (150=F), this trade (for UDC trades, one or more of its legs) is handled as
private booking report; UCP keys on both sides of the trade (or one of the legs) matched). For other ExecType
values, reflects the value entered on the order.
2 = Do Not Match: Only present where ExecType=Trade (150=F) and UCP keys did not match for this trade or
any of its legs.
This tag is required by the FIX protocol when NoMatchInst > 0
Valid values:
10000 = UCP Key.
Value to apply the matching instruction. When MatchAttribTagID=10000, an integer number used for UCP key supplied to activate Unintentional Crossing Protection (UCP).
1627
MatchAttribValue
C
432
ExpireDate
No
126
ExpireTime
No
58
Text
No
Date of order expiration (last day the order can trade), always expressed in terms of the local market date.
Reported if TimeInForce is GTD and ExpireTime is not specified.
Time/Date of order expiration (always expressed in UTC). Reported if TimeInForce is GTD and ExpireDate is
not specified.
Free format text string .
17
ExecID
Yes
When ExecType=Rejected (150=8) it describes the error in human readable format.
Unique identifier for the trade assigned by ASX.
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150
ExecType
Yes
Describes the specific ExecutionReport (8) (e.g. Replaced), while OrdStatus(39) will always identify the current order status (e.g. Partially Filled).
Valid values:
0 = New
3 = Done for day
4 = Cancelled
5 = Replaced
8 = Rejected
C = Expired
D = Restated
F = Trade (partial fill or fill)
H = Trade Cancel
39
OrdStatus
Yes
I = Order Status
Identifies status of order.
Valid values:
0 = New
1 = Partially filled
2 = Filled
3 = Done for day
4 = Cancelled
8 = Rejected
C = Expired.
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103
OrdRejReason
C
Code to identify reason for order rejection. Provided when an order is rejected.
Valid values:
0 = Invalid Shared Order Group
1 = Unknown symbol
2 = Exchange closed (order book state prevents order entry)
3 = Order exceeds limit (PTRM limit exceeded)
4 = Too late to enter
5 = Unknown order
6 = Duplicate order
15 = Unknown account(s) (user does not have access to PTRM account)
378
ExecRestatementReason
C
18 = Invalid price increment.
The reason for restatement. Supplied when ExecType=Restated (150=D).
Valid values:
1
581
Account
AccountType
Y
C
1 = GT renewal / restatement.
Account supplied on the order.
Type of account associated with an order.
Valid values:
1 = Customer
2 = Non-customer.
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574
MatchType
No
The point in the matching process at which the trade was matched.
Valid values:
4 = Normal trade
5 = Auction trade
S = Combo-to-outright trade
R = Combo-to-Combo trade
D = Dark or hidden order trade
A = Strip to strip
B = Strip to outright.
55
Instrument
Symbol
Yes
C
Common, "human understood" representation of the security.
48
SecurityID
C
Value as entered by the user, or determined from SecurityID (48).
Security identifier value of SecurityIDSource (22) type.
22
SecurityIDSource
C
Value as entered by the user, or determined from Symbol (55).
Identifies the source of the SecurityID (48) value.
Valid Values:
207
SecurityExchange
No
8 = Exchange defined. Available as Tradeable Instrument ID.
Market of security.
Valid values:
XSFE = Sydney Futures Exchange
461
CFICode
N
29
LastCapacity
N
NZFX = New Zealand Futures and Options Exchange.
Indicates the type of security using ISO 10962 standard and Classification of Financial Instruments (CFI code)
values.
Used to indicate capacity of broker.
Valid values for XSFE and NZFX:
3 = Cross as principal.
Instrument
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54
Side
Yes
Side of order.
Valid values:
1 = Buy
2 = Sell
7 = Undisclosed.
38
880
OrderQtyData
OrderQty
OrderQtyData
TrdMatchID
Yes
Original total order quantity.
C
Identifier assigned to a trade for ASX clearing purposes - clearing deal number.
For the multi-leg product executions this value is not sent to the clearing system. See individual legs for the
clearing deal number for each leg.
40
OrdType
Y
Provided when ExecType=Trade (150=F).
Order type.
Valid values:
2 = Limit
44
15
59
Price
Currency
TimeInForce
C
N
N
K = Market to Limit.
Price per unit quantity entered on order.
Identifies currency used for price.
Specifies how long the order remains in effect. Absence of this field is interpreted as Day.
Valid values:
0 = Day (or session)
1 = Good Till Cancel (GTC)
3 = Immediate or Cancel (IOC)
4 = Fill or Kill (FOK)
32
31
151
14
6
LastQty
LastPx
LeavesQty
CumQty
AvgPx
No
C
Yes
Yes
Yes
6 = Good Till Date (GTD).
Quantity bought/sold on this (last) fill. Supplied if ExecType=Trade (150=F).
Price of this (last) fill. Supplied if ExecType=Trade (150=F).
Quantity open for futher exectution. Set to zero for cancelled and rejected orders.
Total quantity filled of all executions for the order.
Calculated average price of all fills on this order. Ignore for products quoted in Yield.
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75
60
555
600
602
603
TradeDate
TransactTime
InstrmtLegExecGrp
NoLegs
InstrumentLeg
LegSymbol
LegSecurityID
LegSecurityIDSource
No
Yes
C
Business trade date.
Timestamp when the business transaction represented by the message occurred.
Number of legs Identifies a Multi-leg Execution if present and non-zero.
Number of InstrumentLeg repeating group instances.
Must be provided if Number of legs > 0.
Multileg instrument's individual security's Symbol.
Multileg instrument's individual security's SecurityID.
Multileg instrument's individual security's SecurityIDSource.
Valid values:
8 = Exchange defined. Available as Tradeable Instrument ID.
1788
1366
608
LegID
LegAllocID
LegCFICode
No
No
No
566
637
1418
624
LegPrice
LegLastPx
LegLastQty
LegSide
No
No
No
No
Unique tradeidentifier assigned to this leg match.
Identifier assigned to a trade for ASX clearing purposes - clearing deal number.
For the tradable instrument of this leg, indicates the type of security using ISO 10962 standard and Classification of Financial Instruments (CFI code) values.
Price for leg of a multileg (only present for absolute pricing).
Execution price assigned to a leg of a multileg instrument.
Fill quantity for the leg instrument.
The side of this individual leg.
Valid values:
1 = Buy
556
685
No
No
2254
LegCurrency
LegOrderQty
InstrumentLeg
NoLegInstrumentParties
2255
LegInstrumentPartyID
C
2256
LegInstrumentPartyIDSource
C
C
2 = Sell.
Multileg instrument's currency.
Quantity ordered of this leg.
Number of parties in the repeating group. Parties involved in a leg trade. In anonymous markets, these tags
are only populated when leg trade is a crossing and contra firm will have the same value as executing firm.
Identifies the party.
Supplied if NoLegInstrumentParties > 0.
Identifies class or source of the LegInstrumentPartyID (2255) value. Supplied if LegInstrumentPartyID is specified.
Valid values: D = Proprietary/Custom code.
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2257
LegInstrumentPartyRole
C
The role of the party in the transaction. Required if LegInstrumentPartyID is specified.
Valid values:
1 = Executing Firm
17 = Contra Firm.
NoLegs
InstrmtLegExecGrp
StandardTrailer on page 5
3.5
Yes
OrderCancelReject (9)
The OrderCancelReject message is issued by ASX upon receipt of a OrderCancelRequest (F) or OrderCancelReplaceRequest (G) message which cannot be honoured.
Tag Name
StandardHeader
37 OrderID
Reqd Comment
MsgType = 9
Yes Unique identifier for Order as assigned by ASX.
198 SecondaryOrderID
C
Private to the member firm entering the order.
Unique identifier for Order as assigned by ASX.
11 ClOrdID
41 OrigClOrdID
Yes
No
Provided on public market data.
ClOrdID (11) supplied by client on OrderCancelRequest (F) or OrderCancelReplaceRequest (G) message.
OrigClOrdID (41) supplied by client on OrderCancelRequest (F) or OrderCancelReplaceRequest (G) message.
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ASX FIX Order Entry Specification V0.6
39 OrdStatus
Yes
Identifies status of order.
Valid values:
0 = New
1 = Partially filled
2 = Filled
3 = Done for Day
4 = Cancelled
8 = Rejected.
C = Expired
434 CxlRejResponseTo
Yes
If CxlRejReason = Unknown order (102 = 1), Rejected will be returned.
Identifies the type of request that a Cancel Reject is in response to.
Valid values:
1 = Order cancel request
102 CxlRejReason
No
2 = Order cancel/replace request.
Code to identify reason for cancel rejection.
Valid values:
0 = Too late to cancel
1 = Unknown order
2 = Broker
6 = Duplicate ClOrdID (11) received
58 Text
60 TransactTime
StandardTrailer on page 5
3.6
No
Yes
No
18 = Invalid price increment
Free format text string that describes the error in human readable format.
Timestamp when the business transaction represented by the message occured.
QuoteRequest (R)
The Quote Request message is used to broadcast an RFQ to the market. The Quote Request can be for a Bid, Offer, Two-Sided Quote or for a Crossing. The Crossing Quote Request should be
used to initiate Pre-Neg trades.
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Tag Name
StandardHeader
131 QuoteReqID
146 NoRelatedSym
55 Symbol
48 SecurityID
22 SecurityIDSource
Reqd
Yes
Yes
Yes
C
C
C
Comment
MsgType = R
Unique identifier for a QuoteRequest(35=R).
Number of related symbols (instruments) in Request.
Common, "human understood" representation of the security.
Security identifier value of SecurityIDSource (22) type. Requires SecurityIDSource (22).
Required if SecurityID (48) is specified.
Valid Values:
54
8 = Exchange defined. Available as Tradeable Instrument ID
Side of order – where this Tag is not defined, Tag indicates a two-sided quote
Side
Valid values:
1 = Buy
2 = Sell
38
3.7
OrderQty
StandardTrailer on page 5
8 = Crossing (Pre-negotiated)
OrderQty requested for RFQ
Yes
QuoteRequestReject (AG)
The QuoteRequestReject (AG) message is used to inform a trading participant that their QuoteRequest (R) message has been rejected.
Tag
131
658
Name
StandardHeader
QuoteReqID
QuoteRequestRejectReason
Reqd
Yes
Yes
Yes
Comment
MsgType = AG
Identifier supplied on QuoteRequest (R) message being rejected
Reason the QuoteRequest (R) was rejected.
Valid values:
146
55
48
NoRelatedSym
Instrument
Symbol
SecurityID
Yes
Yes
99 = Other - Text (58) will contain more specific information.
Number of related symbols (instruments) in Request.
Common, human understood representation of the security.
Security identifier value of SecurityIDSource (22) type. Requires SecurityIDSource (22).
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22
SecurityIDSource
Identifies the source of the SecurityID (48) value.
Valid Values:
54
8 = Exchange defined. Available as Tradeable Instrument ID
Side of order
Side
Valid values:
1 = Buy
2 = Sell
38
58
3.8
OrderQty
Text
StandardTrailer on page 5
Yes
8 = Crossing
Total quantity
Text string describing rejection.
Yes
SecurityDefinitionRequest (c)
The SecurityDefinitionRequest (c)message is used to request the creation of a User Defined Combination (UDC) instrument.
In response a SecurityDefinition (d) message will be sent to confirm or reject the creation of the instrument.
Tag Name
StandardHeader
320 SecurityReqId
321 SecurityRequestType
Reqd Comment
Yes MsgType = c (lowercase)
Yes Unique client generated ID of the Security Definition Request.
Yes Type of Security Definition Request.
Valid values:
167 SecurityType
C
1 = Request Security identity for the specifications provided (name of the security is not supplied).
Indicates the type of security requested.
Valid values:
55 Symbol
Yes
1378 MultilegPriceMethod C
MLEG = Multileg Instrument.
Required tag. Set to [N/A]
Code to represent how the multileg price is to be interpreted when applied to the legs
Valid values:
0 = Net Price
3 = Individual (absolute Price)
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NoLegs
555 NoLegs
600 LegSymbol
C
C
Number of legs that make up the User Defined Combination. Between 2 and 6 legs are supported.
Common, human understood representation of the security.
Required if LegSecurityID (602) is not present.
602 LegSecurityId
C
Order will be rejected if both LegSymbol (600) and LegSecurityID (602) are present.
Security identifier value of LegSecurityIDSource (603) type.
Requires LegSecurityIDSource (603). Required if Symbol (55) is not present.
603 LegSecuritySourceID
C
Order will be rejected if both LegSymbol (600) and LegSecurityID (602) are present.
Identifies the source of the LegSecurityID (602) value.
Required if LegSecurityID (602) is specified.
Valid Values:
623 LegRatio
624 LegSide
Yes
C
8 = Exchange defined. Available as Tradeable Instrument ID.
Defines the volume an order with volume 1 in the combination book represents in this leg order book.
The side of this individual leg of the multileg security. Specifies if this leg is buy or sell when the combination order it
belongs to is buy.
Valid values:
1 = Buy
566 LegPrice
NoLegs
StandardTrailer on
page 5
3.9
C
2 = Sell.
Price for leg of multileg. Provide only on the first leg. Required if MultilegPriceMethod=Individual (1378 = 3)
Yes
SecurityDefinition (d)
The Security Definition (d) message is used to confirm the acceptance or rejection of a request to create a security from a Security Definition Request (c) message.
In addition if an instrument was successfully created the definition with all the legs will be sent on a SecurityList (y) message.
Tag Name
StandardHeader
320 SecurityReqId
322 SecurityResponseID
Reqd Comment
Yes MsgType = d (lowercase)
Client generated ID of supplied on the Security Definition Request
Unique ID of a Security Definition message.
35 (43)
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323 SecurityResponseType
Type of Security Definition message response.
1 = Accepted security proposal as-is
2 = Accept security proposal with revisions as indicated in the SecurityList (y) message.
5 = Reject security proposal.
If the message reports a rejection (SecurityResponseType=Reject, 323=5) due to the security already being defined, the
instrument data is provided in SecurityID (48).
Common, human understood representation of the security.
Security identifier value of SecurityIDSource (22) type.
Identifies the source of the SecurityID (48) value.
58 Text
55 Symbol
48 SecurityId
22 SecuritySourceID
Valid Values:
8 = Exchange defined. Available as Tradeable Instrument ID.
StandardTrailer on page Yes
5
3.10
OrderMassStatusRequest (AF)
The OrderMassStatusRequest message requests the status for orders matching criteria specified within the request.
For each order a message will be sent to notify the status of the order: Execution Report (8)
Tag Name
StandardHeader
584 MassStatusReqID
585 MassStatusReqType
Reqd Comment
Yes MsgType = AF
Yes Unique ID of mass status request as assigned by the institution.
Yes Specifies the scope of the mass status request
Valid values:
1 = Status for orders for a specified security
1461 NoTargetPartyIDs
7 = Status for all active orders
Number of TargetPartyID (1462), TargetPartyIDSource (1463), and TargetPartyRole (1464) entries.
1462 TargetPartyID
It is only possible to specifiy one TargetParty; set to 1
Used to identify source of TargetPartyID. Required if NoTargetPartyIDs > 0 Required if TargetPartyIDSource is specified
C
36 (43)
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ASX FIX Order Entry Specification V0.6
1463 TargetPartyIDSource C
Identifies class or source of the TargetPartyID (1462) value. Required if TargetPartyID is specified
Valid values:
1464 TargetPartyRole
C
D = Propretary/Custom code
The role of the party in the transaction. Required if TargetPartyID is specified.
Valid values:
55
Symbol
Yes
76 = Desk ID (Identifies the shared order group that this order is part of. If this is specified, all orders for the shared order
group will be reported, irrespective of the user that entered them)
Common, human understood representation of the security. Provided if NoRelatedSym > 0.
Symbol Must be set if 585 = 1 is specified.
Valid values:
48
SecurityID
N/A.
Security identifier value of SecurityIDSource (22) type.
22
SecurityIDSource
SecurityID Must be set if 585 = 1 is specified.
Dentifies the source of the SecurityID (48) value.
Valid values:
8 = Exchange defined.
Available as Tradeable Instrument ID.
SecurityIDSource Must be set if 585 = 1 is specified.
StandardTrailer on
page 5
3.11
Yes
OrderMassCancelRequest (q)
The Order Mass Cancel Request message is used to cancel all orders for a FIX connection, or to cancel all orders within a single Shared Order Group (SOG) when specifying the TargetParties
group.
It can be used to cancel:
l
All orders entered by a user
l
All orders in a shared order group including orders entered by other users
l
All orders entered by another user. See OnBehalfOfCompID in the Standard Header
For each order a message will be sent to acknowledge the action taken on the order:
37 (43)
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For each individual order either:
l
Successful cancellation: Execution Report (8)
l
Cancellation rejected: Order Cancel Reject (9)
Followed by OrderMassCancelReport (r)
Tag Name
StandardHeader
11 ClOrdID
530 MassCancelRequestType
Reqd Comment
Yes MsgType = q (lowercase Q)
Yes Unique identifier of mass cancel request as assigned by the client.
Yes Specifies the type and scope of cancellation required.
Valid values:
7 = Cancel all orders.
Number of TargetPartyID (1462), TargetPartyIDSource (1463), and TargetPartyRole (1464) entries.
1461 NoTargetPartyIDs
1462 TargetPartyID
C
Only one allowed, set to 1.
Used to identify source of TargetPartyID. Required if NoTargetPartyIDs > 0 Required if TargetPartyIDSource is specified
1463 TargetPartyIDSource
C
Identifies class or source of the TargetPartyID (1462) value. Required if TargetPartyID is specified
Valid values:
1464 TargetPartyRole
D = Proprietary/Custom code .
The role of the party in the transaction. Required if TargetPartyID is specified.
C
Valid values:
60
3.12
TransactTime
Yes
StandardTrailer on page 5 Yes
76 = Desk ID (Identifies the shared order group that this order is part of. If this is specified, all orders for the shared
order group will be cancelled, irrespective of the user that entered them)
Time this order request was initiated/released by the trader or trading system.
OrderMassCancelReport (r)
The Order Mass Cancel Report message is a response to the cancellation of a group of orders. A Order Mass Cancel Report will follow the individual order cancellations, either:
n
Successful cancellation: Execution Report (8)
n
Cancellation rejected: Order Cancel Reject (9)
Tag Name
Reqd Comment
38 (43)
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ASX FIX Order Entry Specification V0.6
37
StandardHeader
OrderID
Yes
C
MsgType = r (lowercase R)
Unique identifier for Order as assigned by ASX.
Required if OrigClOrdID (41) is not supplied.
11 ClOrdID
1369 MassActionReportID
530 MassCancelRequestType
Yes
Yes
If supplied OrigClOrdID (41) will be ignored.
Unique ID of Order Mass Cancel Request as assigned by the institution.
Unique Identifier for the Order Mass Cancel Report assigned by the recipient of the Order Mass Cancel Request
Specifies the type and scope of cancellation required.
Valid values:
531 MassCancelResponse
Yes
7 = Cancel all orders.
Indicates the action taken by the counterparty order handling system as a result of the Cancel Request
Valid Values:
0 = Cancel Request Rejected - See MassCancelRejectReason (532)
532 MassCancelRejectReason
C
7 = Cancel All Orders
Indicates why Order Mass Cancel Request was rejected Required if MassCancelResponse = 0
Valid values:
1461 NoTargetPartyIDs
1462 TargetPartyID
C
C
1463 TargetPartyIDSource
C
0 = Mass Cancel Not Supported
Number of TargetPartyID (1462), TargetPartyIDSource (1463), and TargetPartyRole (1464) entries.
Used to identify source of TargetPartyID. Required if NoTargetPartyIDs > 0 Required if TargetPartyIDSource is specified
Identifies class or source of the TargetPartyID (1462) value. Required if TargetPartyID is specified
Valid values:
1464 TargetPartyRole
C
D = Proprietary/Custom code
The role of the party in the transaction. Required if TargetPartyID is specified.
Valid values:
58
3.13
Text
StandardTrailer on page 5 Yes
76 = Desk ID (Identifies the shared order group that this order is part of)
Will contain reject reason, if MassCancelResponse = 0.
PartyRiskLimitsReport (CM)
There is a preconfigured warning threshold for accounts with full term Pre Trade Risk Management(PTRM) limits.
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The Party Risk Limits Report message is used to inform subscribers that the threshold has been exceeded for the PTRM limits. This can be sent at an account or firm level.
Access to receive this message may be limited by the permissions set for the subscriber.
Where an order causes several thresholds to be exceeded, only the first warning will be reported.
Tag
1667
1677
1671
1691
1692
Name
StandardHeader
RiskLimitReportID
NoPartyRisksLimits
NoPartyDetails
PartyDetailID
PartyDetaiIDSource
Reqd
Yes
Yes
C
Comment
MsgType = CM
Identifier for the PartyRiskLimitsReport.
Number of party risk limits.
Number of parties that this limit applies to Required if NoPartyRiskLimits > 0.
Identifies the party Required if NoPartyDetails > 0.
Identifies the source of the PartyDetailID value. Required when NoPartyRiskLimits > 0.
Valid values:
1693
D=Proprietary/Custom code.
Identifies the role of the party. Required when NoPartyRiskLimits > 0
PartyDetailRole
Valid values:
1 = Executing firm
1669
1529
1530
NoRiskLimits
NoRiskLimitTypes
RiskLimitType
C
24 = Account (Account{1} value entered on the order when the risk applies to the account).
Number of risk limits.
Number of risk limits and associated warnings.
Used to specify the type of risk limit . Required if NoRiskLimitTypes > 0.
Valid values:
4 = Long limit
1765
1767
RiskLimitUtilizationPercent
RiskLimitAction
5 = short limit.
Percentage of utilisation of a party's set risk limit.
Risk protection action .
Valid values:
1559
NoRiskWarningLevel
4 = Warning.
Number of risk warning levels.
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ASX Limited
1769
ASX FIX Order Entry Specification V0.6
RiskWarningLevelAction
C
Action to be taken when warning level is breached.
Valid values:
1560
RiskWarningLevelPercent
1534
1535
NoRiskInstrumentScopes
InstrumentScopeOperator
C
4 = Warning.
Percent of risk limit at which a warning is issued.
Number of instruments the risk limit applies to.
Specifies the instruments included in the limit .
Valid values:
1545
1616
1 = Include.
Commodity code of securities that the risk limit applied to e.g. XT.
SecurityExchange the limit applies to.
InstrumentScopeSecurityGroup
InstrumentScopeSecurityExchange
Valid values:
XSFE = Sydney Futures Exchange
NZFX = New Zealand Futures and Options Exchange.
60
58
TransactTime
Text
StandardTrailer
Yes
Timestamp when the business transaction represented by the message occurred.
Text string describing warning.
As defined in standard trailer.
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ASX Limited
4
ASX FIX Order Entry Specification V0.6
General Messages
The following sections cover the supported general messages.
4.1 News (B)
4.1
42
News (B)
The News (B) message is used to disseminate text information to subscribers.
Tag Name
StandardHeader
148 Headline
42 Orig Time
NoLinesOfText
33 NoLinesOfText
58 Text
NoLinesOfText
StandardTrailer on page 5
Reqd
Yes
Yes
Yes
Comment
MsgType = B
Description of information being transmitted
Time of message origination.
Yes
Yes
Number of lines of text to be transmitted.
Detailed description, or repetition of Headline (148) if no additional information to be transmitted.
Yes
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ASX Limited
ASX FIX Order Entry Specification
V0.6
Disclaimer
This document provides general information only and may be subject to change at any time
without notice. ASX Limited (ABN 98 008 624 691) and its related bodies corporate (“ASX”)
makes no representation or warranty with respect to the accuracy, reliability or completeness of
this information.
To the extent permitted by law, ASX and its employees, officers and contractors shall not be
liable for any loss or damage arising in any way, including by way of negligence, from or in connection with any information provided or omitted, or from anyone acting or refraining to act in
reliance on this information.
The information in this document is not a substitute for any relevant operating rules, and in the
event of any inconsistency between this document and the operating rules, the operating rules
prevail to the extent of the inconsistency.
ASX Trade Marks
The trade marks listed below are trademarks of ASX. Where a mark is indicated as registered it
is registered in Australia and may also be registered in other countries. Nothing contained in
this document should be construed as being any licence or right to use of any trade mark contained within the document. ASX®
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