FIX 4.4 Specifications FIX 4.4 Specifications for Visual Trader Implementation Guide 1 FIX 4.4 Specifications Change Log Version Date Number V3.37 05/03/2014 V.3.38 11/07/2014 Reasons for Issuing a New Version Added 25029 (RegulatoryID), Xetra and Eurex Sections Changed New Order Single Order Replace Request Order Cancel Request New field to complete current Names record for SIBE New Order Single Smart backoffice (AUD) VTNamesCompl [8208]: SIBE Smart backoffice SIBE Smart ECC - New Names record format for backoffice purposes (PTI Gate) - VTPTIAddress [8230] - VTPITNoNames [8233] - VTPTINames [8235] SIBE Smart ECC.- New fields and values - PartyRole [452] new value 96 (Take-up Trading Firm) - AllocAccount [79] – new optional field - AllocText [161].- new optional field - FirmMnemonic [1729] – new optional field SIBE Smart ECC - New fields and values. Execution Report - PartyRole [452] new value 96 (Take-up Trading Firm) - AllocAccount [79] – new optional field - AllocText [161].- new optional field - FirmMnemonic [1729] – new optional field - SettlDate [64] – new optional field SIBE Smart ECC - New fields and values Trade Capture Report - PartyRole [452] new values 24 (Take up account) 45 (CCV code) 84 = Member who buys/sells 96 = Take-up Firm - AllocAccount [79] – new optional field - AllocText [161].- new optional field - FirmMnemonic [1729] – new optional field - SettlDate [64] – new optional field - Real Time Clearing Flag [865=519] – new optional field - Partial Clearing Flag [865=520] – new optional field - PreviouslyReported [570] –deprecated field Changed Visual Trader logo Document header 2 FIX 4.4 Specifications Delete Euronext specific deprecated messages that are no Change Reference Price longer used Chge Ref Prc Response Mass Quote Mass Quote Ack Ask for Quote Rqst for Execution Start OneSide Only Period 3 FIX 4.4 Specifications Contents table Change Log ........................................................................................................................................................ 2 1 Introduction .............................................................................................................................................. 6 2 VT FIX specific information ....................................................................................................................... 7 2.1 FIX version ........................................................................................................................................... 7 2.2 System features ................................................................................................................................... 7 2.3 FIX session ........................................................................................................................................... 7 2.4 Security and Market identificatIoN ..................................................................................................... 7 2.5 Message origin /destination................................................................................................................ 8 2.6 Visual trader fix supported messages ................................................................................................. 9 2.7 Types of supported orders .................................................................................................................. 9 2.8 About this specification..................................................................................................................... 10 2.9 Carrying out the test ......................................................................................................................... 10 3 Session Protocol ...................................................................................................................................... 11 3.1 Standard Header ............................................................................................................................... 11 3.2 Standard Message Trailer .................................................................................................................. 12 4 Administrative Messages ........................................................................................................................ 12 4.1 Logon ................................................................................................................................................. 12 4.2 Logout ............................................................................................................................................... 12 4.3 Heartbeat .......................................................................................................................................... 13 4.4 Test Request ...................................................................................................................................... 13 4.5 Resend Request ................................................................................................................................. 13 4.6 Reject ................................................................................................................................................ 13 4.7 Sequence Reset ................................................................................................................................. 15 4.8 Business Level RejecT ........................................................................................................................ 15 5 Application messages.............................................................................................................................. 16 5.1 New Order - Single ............................................................................................................................ 16 5.2 New Order - MULTIPLE ...................................................................................................................... 23 5.3 New Order Cross ............................................................................................................................... 25 5.4 Execution Report ............................................................................................................................... 28 5.5 Order Cancel Request.........................................................................................................................37 5.6 Order Cancel/Replace request .......................................................................................................... 38 5.7 Multiple Order Cancel/Replace request............................................................................................ 42 5.8 Order Cancel Reject........................................................................................................................... 44 5.9 Order Mass CAncel Request .............................................................................................................. 46 5.10 Order Mass CAncel Report .............................................................................................................47 5.11 Network Counterparty System Status Response ........................................................................... 48 5.12 Indication Of Interest ..................................................................................................................... 49 5.13 Trade Capture Report .................................................................................................................... 51 Type of trades ......................................................................................................................................... 54 Euronext .................................................................................................................................................. 55 SIBE Smart ............................................................................................................................................... 56 Smart RF ...................................................................................................................................................57 SIBE Smart – ECC specific fields and values ............................................................................................ 58 5.14 Trade Capture Report ACK ............................................................................................................. 60 5.15 Quote ............................................................................................................................................. 62 5.16 Quote status report ....................................................................................................................... 63 4 FIX 4.4 Specifications 5.17 Quote cancel.................................................................................................................................. 65 5.18 NEWS ............................................................................................................................................. 67 5.19 Allocation Instruction .................................................................................................................... 68 5.20 Allocation Instruction Ack.............................................................................................................. 70 6 Special Orders ..........................................................................................................................................72 6.1 On stop .............................................................................................................................................. 73 6.2 At open / close .................................................................................................................................. 73 6.3 Timed ................................................................................................................................................ 73 6.4 Limit to position ................................................................................................................................ 73 6.5 Pegged ............................................................................................................................................... 73 6.6 Pegged quick ..................................................................................................................................... 73 6.7 Trailing stop peg ................................................................................................................................ 73 6.8 AT Orders ........................................................................................................................................... 75 VWAP ...................................................................................................................................................... 77 TWAP....................................................................................................................................................... 77 POV ......................................................................................................................................................... 77 7 APPENDIX A............................................................................................................................................. 79 8 APPENDIX B ............................................................................................................................................. 81 9 APPENDIX C ............................................................................................................................................. 82 Stop order with no modifications ........................................................................................................... 82 Stop order modify before stop price is reached ..................................................................................... 82 Stop order modify before stop price is reached, but modification is rejected ....................................... 83 Stop order rejected ................................................................................................................................. 84 Stop order, stop price is reached, partially executed and cancelled ....................................................... 85 10 Appendix D: Trade Capture Report Message Flow ..................................................................................87 11 APPENDIX D ............................................................................................................................................ 96 12 APPENDIX E ............................................................................................................................................. 98 13 APPENDIX F ........................................................................................................................................... 100 5 FIX 4.4 Specifications 1 Introduction This document describes the implementation of the FIX protocol for Visual Trader, for orders sending and reception. It is aimed at Exchange members and entities which want to connect to Visual Trader via FIX. By this means, they will be able to send and receive orders to / from VT as well as to send and receive executions to / from VT. It is necessary to indicate that the official source of the FIX protocol specification is the FIX web page www.fixprotocol.org. This document does not mean to change this specification in any case, it is rather a description of the particular Visual Trader protocol for the sending and reception of orders. 6 FIX 4.4 Specifications 2 2.1 VT FIX specific information FIX version The FIX version used in this specification is 4.4 Visual Trader FIX protocol always follows the FIX specification defined by the FIX committee in the mentioned web page. New “User Defined Messages” and “User Defined Tokens” have been defined when necessary, in order to support new functionalities. These new messages will only be received by those entities which specifically request to receive them, and the new tokens are not mandatory in any case. See definitions and structure of the user defined tokens in Appendix A at the end of the document. 2.2 System features Visual Trader will initially support part of the FIX protocol functionalities. Visual Trader will not support any sort of encrypted information. Visual Trader will only support orders and executions referred to Common Stocks, Options and Futures. Supported values for some of the used FIX fields are part of the existing set specified by FIX, and in some cases new values have been defined in order to support new functionalities. Field “Long” in message description indicates the maximum length allowed for that field. Delimiter character is used as defined by FIX standard. 2.3 FIX session One FIX session will exist for each connected entity for orders sending and execution reception (regardless the brokers and target markets), and another different session (for the same entity) for orders reception and executions sending (regardless the origin entity). All further disconnections and connections will be considered as part of the same FIX session. A single series of sequence numbers will be kept for all messages sent per entity and market. FIX offers the possibility of any message retransmission during the session, therefore both sides must keep a copy of all the messages that have been sent. Every attempt to connect to the system (logon) prior to Visual Trader initiation will be rejected. 2.4 Security and Market identificatIoN Visual Trader admits different ways of identification for each security: either the ISIN, CUSIP or SEDOL code, or the mnemonic. For Exchange identification, the codes specified in the appendix C of the FIX 4.4 and Appendix A of Visual Trader FIX specification are used. 7 FIX 4.4 Specifications 2.5 Message origin /destination All messages must have an identifier for the origin and the destination. Also, they may have identifiers for message issuer and the broker to which the message is addressed. These identifiers will be specified in fields SenderCompID, TargetCompID, OnBehalfOfCompID and DeliverToCompID. The following criterion is established for accurate message addressing. 1. Visual Trader receiving orders or fills from third parties: Order origin SenderCompID (tag 49) = ID of the sender company/network. OnBehalfOfCompID (tag 115) = ID of the sender company, when SenderCompID is a network. SenderSubID (tag 50) = It will initially have no content. There exists the possibility of sending the content of tag 115. OnBehalfOfSubID (tag 116) = It will initially have no content. Order Destination: TargetCompID (tag 56)= “TDVTFEEN” DeliverToCompID (tag 128) = ID of the target broker company (for fills, the order sender company). TargetSubID (tag 57) = It will initially have no content. There exists the possibility of sending the content of tag 128. DeliverToSubID (tag 129) = It will initially have no content. 2. Visual Trader sending orders or fills to third parties: Order origin: SenderCompID (tag 49) = “TDVTFEEN” OnBehalfOfCompID (tag 115) = ID of the VT Client sender of the order, with which the target broker must have an agreement (for fills, this is the DeliverToCompID of the received order). SenderSubID (tag 50) = It will initially have no content. There exists the possibility of sending the content of tag 115. OnBehalfOfSubID (tag 116) = It will initially have no content. Order Destination: TargetCompID (tag 56): ID of the target broker company/network DeliverToCompID (tag 128) = ID of the target broker company, when TargetCompID is a network. TargetSubID (tag 57) = It will initially have no content. There exists the possibility of sending the content of tag 128. 8 FIX 4.4 Specifications 2.6 Visual trader fix supported messages Visual Trader FIX supports the following messages in the session level: Logon HeartBeat TestRequest Resend Request Reject Sequence Reset (Gap Fill) Logout BusinessLevelReject (only to be sent as a reply to an unsupported message ) Visual Trader FIX supports the following messages in the application level, from the buy side to Visual Trader, or from Visual Trader to the sell side: New Order Single New Order Cross Order Cancel Request Order Cancel/Replace Request Quote Quote Cancel Mass Quote Order Mass Cancel Request Indication Of Interest Trade Capture Report Visual Trader FIX supports the following messages in the application level, from Visual Trader to the buy side, or from the sell side to Visual Trader: Execution report Order Cancel Reject News Mass Quote Acknowledgement Quote Status Report Network Counterparty System Status Response Order Mass Cancel Report Indication Of Interest Trade Capture Report ACK 2.7 Types of supported orders Visual Trader supports the following types of orders: Market Limit Market To Limit 9 FIX 4.4 Specifications Stop Market Stop Limit Iceberg Possible restrictions to the type of order: Fill Or Kill Immediate Or Cancel Minimum Quantity Good For Day Good Till Cancel Good Till Date At the Opening At the Closing All Auctions 2.8 About this specification There are five fields in the definition of the messages in this specification: Tag: specified by FIX Token: specified by FIX Long: maximum length in bytes allowed for that field Req: indicates if the token is mandatory in the message Description: meaning of the data carried by the token Please notice that incoming and outgoing messages might contain additional tags or values that are not included into the list showed below. This extra tags must be just ignored by the receiving application 2.9 Carrying out the test Should you have any query referring technical matters of connections, number of FIX sessions, sockets used in the connections, trial demonstration, etc. Please contact Angel Arriscado at the Madrid Stock Exchange ([email protected], 00 (34) 91 7095739). 10 FIX 4.4 Specifications 3 3.1 Session Protocol Standard Header Tag 8 9 Token BeginString BodyLength Req Y Y Description FIX.4.4 Length of the complete message MsgSeqNum Long 7 varia ble 6 34 Y Sequence number of the message 35 MsgType 5 Y Values admitted by VT: 0 = Heartbeat 1 = Test Request 2 = Resend Request 3 = Reject 4 = Sequence Reset j = Business Message Reject 5 = Logout 6 = Indication Of Interest 8 = Execution Report 9 = Order Cancel Reject A = Logon B = News D = New Order – Single F = Order Cancel Request G = Order Cancel/Replace Request S = Quote Z = QuoteCancel AI= QuoteStatusReport q = Order Mass Cancel Request r = Order Mass Cancel Report s = New Order Cross AE = Trade Capture Report AR = Trade Capture Report ACK AB = New Order Multileg AC = Multileg Order Cancel Replace BD = Network Counterparty System Status Response 43 PossDupFlag 1 N 49 SenderCompID 16 Y 50 52 SenderSubID SendingTime 16 21 N Y Values accepted by VT: Y = Possible duplicate N = Original transmission Identifier of the message issuer V.trader = “TDVTFEEN” Other: Identifier It will initially have no content. Time of the message transmission 11 FIX 4.4 Specifications 56 TargetCompID 16 Y 57 TargetSubID 16 N 97 PossResend 1 N 115 OnBehalfOfCompID 8 N ID of the message receptor V.trader = “TDVTFEEN” Other: Identifier Assigned value used to identify specific individual or unit intended to receive message. Values accepted by VT: Y= Possible resend N= Original transmission ID of the Broker issuer of the message 116 122 128 OnBehalfOfSubID OrigSendingTime DeliverToCompID 16 21 4 N N N Executing side identification (if neccesary) Time of the original message transmission ID of the broker to which the message is addressed 129 DeliverToSubID 16 N It will initially have no content. 3.2 Tag 10 4 Standard Message Trailer Token CheckSum Long 3 Req Y Administrative Messages 4.1 Logon Tag Long 95 96 98 Token Standard Header RawDataLength RawData EncryptMethod Variable Variable 1 Req Y N N Y 108 HeartBtInt 6 Y Standard Trailer 4.2 Tag 58 Description Checksum Description MsgType = A Required for some authentication methods Required for some authentication methods Possible Values: 0 = none Interval between HeartBeats for both sides of the session (in seconds) Y Logout Token Standard Header Text Standard Trailer Long 256 Req Y N Y Description MsgType = 5 Text 12 FIX 4.4 Specifications 4.3 Tag 112 Heartbeat Token Standard Header TestReqID Long Variable Standard Trailer 4.4 Tag 112 Tag Test Request Token Standard Header TestReqID Long Variable Req Y Y Resend Request Long 7 6 Req Y Y 16 EndSeqNo 6 Y Standard Trailer Tag 45 58 371 372 Description MsgType = 1 Identifier that has to be returned in the response Heartbeat Y Token Standard Header BeginSeqNo 4.6 Description MsgType = 0 Requested when the heartbeat is the response to a "Test Request" message Y Standard Trailer 4.5 Req Y N Descripción MsgType = 2 Sequence number of the first message of the group that has to be resent Sequence number of the last message of the group that has to be resent Y Reject Token Standard Header RefSeqNum Text RefTagID RefMsgType Long 6 256 6 2 Req Y Y N N N Descripción MsgType = 3 Sequence number of the rejected message Explanatory text about the rejection reason The tag number of the FIX field being referenced The MsgType of the FIX message being referenced. 13 FIX 4.4 Specifications 373 SessRejectReason Standard Trailer 2 N 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 3 = Undefined Tag 4 = Tag specified without a value 5 = Value is incorrect (out of range) for this tag 6 = Incorrect data format for value 7 = Decryption problem 8 = Signature problem 9 = CompID problem 10 = SendingTime accuracy problem 11 = Invalid MsgType 13 = Tag appears more than once 14 = Tag specified out of required order 15 = Repeating group fields out of order 16 = Incorrect NumInGroup count for repeating group 17 = Non "data" value includes field delimiter (SOH character) 99 = Other Y 14 FIX 4.4 Specifications 4.7 Tag 36 123 4.8 Tag 45 58 372 380 Sequence Reset Token Standard Header NewSeqNum GapFillFlag Long 6 1 Standard Trailer Business Level RejecT Token Standard Header RefSeqNum Text RefMsgType BusinessReject Reason Standard Trailer Req Y Y N Description MsgType = 4 New sequence number Indicates that the "Sequence Reset" message is replacing the administrative or application messages which will not be resent. Valid values: Y = Gap Fill message, MsgSeqNum field valid N = Sequence Reset, ignore MsgSeqNum Y Long 6 256 5 2 Req Y N N Y Y Description MsgType = j MsgSeqNum of rejected message Where possible, message to explain reason for rejection The MsgType of the FIX message being referenced. Code to identify reason for a Business Message Reject message. Y 15 FIX 4.4 Specifications 5 5.1 Tag Application messages New Order - Single Long 1 Token Standard Header Account 16 Req Y N 11 12 13 ClOrdID Commission CommType 32 20 1 Y N N Descripción MsgType = D Identification of the Client of the Order Generating Company. Unique order identifier assigned by the issuer entity. Commission Commission type. Possible values: 1 = per share 2 = percentage 3 = absolute 15 Currency 3 N 18 ExecInst 1 N 21 HandlInst 2 Y 22 SecurityIDSource 1 N Identifies currency used for price. The default value is €. It is suggested to indicate the currency of the destination market, although this token is not mandatory in FIX Instructions for order handling Possible values : k = Best Execution p = passive order (NSC and Xetra only) n = non persistent orders (SIBE only) o = cancel on disconnect (SMART only) c = Ignore price validity checks Instructions for the order management by the Broker. Valid values: 1 = Automated execution order, private, no Broker intervention 2 = Automated execution order, public, Broker intervention OK 3 = Manual order Valid values Y 1 = CUSIP 2 = SEDOL 4 = ISIN 5 = RIC Number of shares ordered. 38 OrderQty 15 16 FIX 4.4 Specifications 40 OrdType 1 Y 44 Price 18 N 48 54 SecurityID Side 12 1 N Y Order type. Valid values: 1 = Market 2 = Limit 3 = Stop 4 = Stop Limit K = Market To Limit P = Pegged M = Liquidative Value t = Stop Market To Limit T = Triggered order R = Algorithmic trading Price per share. Required when the order is "Limit" or "Stop Limit". Security Identifier Side of the order. Possible values: 1 2 55 58 59 Symbol Text TimeInForce 16 256 1 Y N N = = Buy Sell Mnemonic of the security Text Indicates the order validity period. Default value will be GFD. Possible values: 0 = GFD (Good For Day) 1 = GTC (Good till Canceled) 3 = IOC (Immediate Or Cancel) 4 = FOK (Fill Or Kill) 5 = GTX (Good Till Crossing) 6 = GTD (Good Till Date) 60 TransactTime 21 Y YYYYMMDD-HH:MM:DD.nnn 17 FIX 4.4 Specifications 63 SettlmntTyp 1 N 64 FutSettDate 8 N 77 PositionEffect 1 N 99 100 StopPx ExDestination 18 4 N N 110 111 MinQty MaxFloor 15 15 N N 120 126 SettlCurrency ExpireTime 3 17 N N 168 EffectiveTime 21 N 207 211 SecurityExchange PegOffsetValue 4 18 Y N Indicates order settlement period. Absence of this field is interpreted as Regular. Valid values: 0 = Regular 1 = Cash 2 = Next Day 3 = T+2 4 = T+3 5 = T+4 6 = Future 7 = When Issued 8 = Sellers Option 9 = T+5 SIBE Smart specific values for AUD (backoffice): D = definitive P = provisional (default) Values for Euronext settlement purposes: 0 = Manual mode 1 = Automatic extraction 2 = Automatic allocation Specific date of trade settlement. Required when SettlmntTyp = 6 or SettlmntTyp = 8. Field used for Eurex position management purposes and indicates wheter the order is submitted to open or close a position. O = Open C = Close Required when OrdType is "Stop" type Execution destination as defined by institution when order is entered. Minimum quantity of an order to be executed Maximum number of shares within an order to be shown on the exchange floor at any given time. Currency code of settlement denomination. Expire time of the order, when TimeInForce is GTD. The format is: YYYYMMDD-HH:MM:DD Time (YYYYMMDD-HH:MM:DD) when the details within the message should take effect (always expressed in UTC) Market used to help identify a security. Amount (signed) added to the price of the peg for a pegged order in the context of the PegOffsetType 18 FIX 4.4 Specifications 336 TradingSessionID 2 N 389 18 N 452 DiscretionOffsetV alue PartyRole 1 N 448 355 526 528 PartyID EncodedText SecondaryClOrdID OrderCapacity 10 256 32 1 N N N N 836 PegOffsetType 1 N 840 PegScope 1 N 841 DiscretionMoveTy pe 1 N 1094 PegPriceType 1 N 1102 TriggerPrice 18 N 8058 8060 VTInstructions VTPolicyCode 100 8 N N Identifier for Trading Session. Not all markets support these restrictions. Valid values: OA = Opening Auction NA = Next Auction CA = Closing Auction AU = All Auctions Some markets/brokers may accept additional values Amount (signed) added to the "related to" price specified. Identifies the type or role of the PartyID (448) specified. 4 = Clearing Firm Clearing Firm Assigned by the party which originates the order Valid values: A = Agency single order P = Principal S = Specialist Trades M = Liquidity Provider (Euronext Only) R = Riskless Principal (Euronext Only) 7 = Related Party (Euronext Only) See Appendix F for Spanish Fixed Income specific values Type of Peg Offset value (tag 211) Valid Values: 0 = Price (default) 2 = Ticks The scope of the peg Valid values: 1 = Local 3 = Global Describes whether discretionary price (tag 389) is static or floats Valid Values: 1 = Fixed Defines the type of peg. Valid Values: 2 = Mid-price peg 4 = Market peg 5 = Primary peg 8 = Trailing stop peg Only for OCO orders (40=T), price at which the trigger should hit Free text. Can be used to send info to the broker PolicyCode in case of Best Execution. 19 FIX 4.4 Specifications 8116 VTSIBESourceIndi cator 1 N 8200 VTAddress 80 N 8201 VTSupplData 79 N 8203 VTNoNames 2 N 8205 VTNames 100 Y 8208 VTNamesCompl 11 N 8210 VTAudID 20 N 25029 RegulatoryID 4 N Standard Trailer SIBE Smart specific. Valid values: A = Órdenes autorizadas por operadores con exámen SIBE C = Órdenes de clientes significativos F = Cestas Z = Arbitraje autorizado SIBE Smart specific. To communicate Ownership to AUD for backoffice purposes. Owner’s address information. Format: - Address1 (40) - Address2 (40) SIBE Smart specific. To communicate Ownership to AUD for backoffice purposes. Owner’s address supplementary information. Format: - Plaza(40) - Provincia(30) - Cod-Postal (5) - Cod Pais (3) - Nacionalidad (1) SIBE Smart specific. To communicate Ownership to AUD for backoffice purposes. List of Names of owners (up to 19) SIBE Smart specific. To communicate Ownership to AUD for backoffice purposes. Order’s owner information. Format: - Indicativo NIF (1) - NIF (9) - Tipo ID AUD (1) - Identificación AUD (40) - Física/Jurídica (1) - Ind Nacionalidad (1) - País Nacionalidad (3) - País Residencia (3) - Indicativo Nombre (1) - Nombre (40) SIBE Smart specific. To communicate Ownership to AUD for backoffice purposes. Supplementary data not included on VTNames (8025). Format: - Tipo de Titular (1) - % de Participación en Propiedad (5) - % de Participación en Usufructo (5) SIBE Smart specific. To communicate Ownership to AUD for backoffice purposes. Algorithm Id required by the German High Frequency Trading Bill. (Xetra and Eurex only) Y 20 FIX 4.4 Specifications EURONEXT specific settlement data In order to fill the settlement fields when sending an order to the Euronext Market, please take into account the following table, showing the mapping between FIX and Euronext fields: Tag 63 58 1 528 FIX Field Name SettlType Text Account OrderCapacity Euronext field name Clearing of Operation Mode Memo Client Account Number Account type of order SIBE Smart exchange codes There are segment specific exchange codes available for SIBE Smart segments: MABX MaB XLAT Latibex FIX connection can be configured to use exchange code M for all available segments. Please contact our Help Desk if you wish more information about it. SIBE Smart – ECC specific fields and values From October 2015 on, an ECC will be incorporated to SIBE Smart Exchange. The following table shows new fields and values that will be available then. Tag 78 Token NoAllocs Long 1 Req N 79 161 1729 453 448 452 AllocAccount AllocText FirmMnemonic NoPartyID PartyID PartyRole 10 20 20 1 16 1 N N N N Y N 8209 VTAudID2 20 N Descripción Number of repeating group entries that contain information to assign every order execution to the settlement ECC member account. Settlement account Settlement reference text Settlement Mnemonic Number of PartyID entries Member or operator code Identifies the type or role of the PartyID specified. Valid values: 96 = Take-up Firm (Settlement member) SIBE Smart spaecific for settlement purposes via PTI Gate. Contains CCV clearing account code. 21 FIX 4.4 Specifications 8230 VTPTIAddress 88 N 8233 VTPTINoNames 2 N 8235 VTPTINames 281 Y Standard Trailer SIBE Smart specific. To communicate Ownership to PTI Gate for backoffice purposes. Owner’s address information. Format: - Domicilio (40) - Población (40) - Código postal (5) - País de residencia (3) SIBE Smart specific. To communicate Ownership to PTI Gate for backoffice purposes. List of Names (up to 19) SIBE Smart specific. To communicate Ownership to PTI Gate for backoffice purposes. Order’s owner information. Format: - Nombre/Razón Social (140) - Primer Apellido (40) - Segundo Apellido (40) - Identificación (40) - Tipo de Identificación (1) - Indicador Persona Física / Jurídica (1) - País de Nacionalidad (3) - Indicador de Nacionalidad (1) - Tipo de Titular (1) - % de Participación en Propiedad (5) - % de Participación en Usufructo (5) - Código Suscriptor (4) Y ECC settlement account related to each order can be informed using: a) Take-up Firm (PatyRole=96) & AllocAccount, or, b) AllocText, or, c) FirmMnemonic. If none of them is present, all executions of the order will be assigned to the default settlement account defined into ECC. To communicate order Ownership via PTI Gate, from October 2015 on, tags 8230, 8233 and 8235 will replace 8200, 8201, 8203 and 8205 (currently used to send the same information via AUD interface). 22 FIX 4.4 Specifications 5.2 New Order - MULTIPLE New Order Multiple, Eurex only Tag Long 1 Token Standard Header Account 16 Req Y N 11 15 ClOrdID Currency 32 3 Y N 22 SecurityIDSource 1 N 38 40 44 48 54 OrderQty OrdType Price SecurityID Side 15 1 18 12 1 Descripción MsgType = AB Identification of the Client of the Order Generating Company. Unique order identifier assigned by the issuer entity. Identifies currency used for price. The default value is €. It is suggested to indicate the currency of the destination market, although this token is not mandatory in FIX Valid values Y Y 4 = ISIN Number of shares ordered. Order type. Valid values: Y N Y 2 = Limit Price per share. Security Identifier Side of the order. Valid values: 1 2 55 58 59 Symbol Text TimeInForce 16 256 1 Y N N = = Buy Sell Mnemonic of the security Text Indicates the order validity period. Default value will be GFD. Valid values: 0 = GFD (Good For Day) 1 = GTC (Good till Canceled) 3 = IOC (Immediate Or Cancel) 6 = GTD (Good Till Date) 60 TransactTime 21 Y YYYYMMDD-HH:MM:DD.nnn 23 FIX 4.4 Specifications 77 100 PositionEffect ExDestination 1 4 Y N 126 ExpireTime 17 N 168 EffectiveTime 21 N 207 336 SecurityExchange TradingSessionID 4 2 Y N Field used for Eurex position management purposes and indicates wheter the order is submitted to open or close a position. O = Open C = Close Execution destination as defined by institution when order is entered. Valid values: XEUR Expire time of the order, when TimeInForce is GTD. The format is: YYYYMMDD-HH:MM:DD Time (YYYYMMDD-HH:MM:DD) when the details within the message should take effect (always expressed in UTC) Market used to help identify a security. Identifier for Trading Session. Possible values: CA = Closing Auction. 355 555 600 564 8147 EncodedText NoLegs LegSymbol LegPositionEffect VTLegAccount 256 1 16 1 16 526 528 SecondaryClOrdID 32 OrderCapacity 1 N Y Y N N N N Number of legs (=2) Mnemonic of the security PositionEffect for leg of a multileg Identification of the client of the order for the leg instrument Assigned by the party which originates the order Valid values: A = Agency single order P = Principal Standard Trailer Y 24 FIX 4.4 Specifications 5.3 New Order Cross This message is only available in Euronext market. Tag Long 15 Token Standard Header Currency 3 Req Y N 22 SecurityIDSource 1 N 48 55 59 SecurityID Symbol TimeInForce 12 16 1 N Y N Descripción MsgType = s Identifies currency used for price. The default value is €. It is suggested to indicate the currency of the destination market, although this token is not mandatory in FIX Valid values 1 = CUSIP 2 = SEDOL 4 = ISIN 5 = RIC Security Identifier Mnemonic of the security Indicates the order validity period. Default value will be GFD. Valid values: 100 ExDestination 4 N 107 SecurityDesc 30 N 126 ExpireTime 17 N 168 EffectiveTime 21 N 207 548 SecurityExchange CrossID 4 32 Y Y 0 = GFD (Good For Day) 1 = GTC (Good till Canceled) 3 = IOC (Immediate Or Cancel) 4 = FOK (Fill Or Kill) 6 = GTD (Good Till Date) Execution destination as defined by institution when order is entered. For Fixed Income in SIBE Market, short description of security Expire time of the order, when TimeInForce is GTD. The format is: YYYYMMDD-HH:MM:DD Time (YYYYMMDD-HH:MM:DD) when the details within the message should take effect (always expressed in UTC) Market used to help identify a security. Identifier for a cross order. 25 FIX 4.4 Specifications 549 CrossType 1 Y 550 CrossPrioritization 1 Y 552 NoSides 1 Y 54 Side 1 Y Type of cross being submitted to a market Valid values: 2 = Cross Trade which is executed partially and the rest is cancelled. One side is fully executed, the other side is partially executed with the remainder being cancelled. This is equivalent to an Immediate or Cancel on the other side. Indicates if one side or the other of a cross order should be prioritized. Valid values: 0 = None Number of Side repeating group instances. Valid values: 2 = both sides Side of the order. Valid values: 1 2 1 Account 16 N 11 38 40 ClOrdID OrderQty OrdType 32 15 1 Y Y Y 44 Price 18 N 58 Text 256 N = = Buy Sell Identification of the Client of the Order Generating Company. Unique order identifier assigned by the issuer entity. Number of shares ordered. Order type. Valid values: 1 = Market 2 = Limit 3 = Stop 4 = Stop Limit K = Market To Limit Price per share. Required when the order is "Limit" or "Stop Limit". Text 26 FIX 4.4 Specifications 63 SettlmntTyp 1 N Indicates order settlement period. Absence of this field is interpreted as Regular. Valid values: 0 = Regular 1 = Cash 2 = Next Day 3 = T+2 4 = T+3 5 = T+4 6 = Future 7 = When Issued 8 = Sellers Option 9 = T+5 Values for Euronext settlement purposes: 0 = Manual mode 1 = Automatic extraction 2 = Automatic allocation 99 110 111 StopPx MinQty MaxFloor 18 15 15 N N N 448 452 PartyID PartyRole 10 1 N N 528 OrderCapacity 1 N Required when OrdType is "Stop" type Minimum quantity of an order to be executed Maximum number of shares within an order to be shown on the exchange floor at any given time. Clearing Firm Identifies the type or role of the PartyID (448) specified. 4 = Clearing Firm Valid values: A = Agency single order P = Principal S = Specialist Trades (non member firms must always send “A”) Standard Trailer Y 27 FIX 4.4 Specifications 5.4 Execution Report If the order is rejected, the system sends an Execution Report with token OrdStatus = 8 (Rejected). When the Execution Report message comes from SIBE Smart, the reject code may be included in the field Text. Tag Long 1 Token Standard Header Account 16 Req Y N 6 11 12 13 AvgPx ClOrdID Commission CommType 18 32 20 1 Y Y N N 14 CumQty 15 Y 15 17 Currency ExecID 3 32 N Y 18 ExecInst 1 N 19 21 ExecRefID HandlInst 32 2 N Y 22 SecurityIDSource 1 N Description MsgType = 8 Identification of the Client of the Order Generating Company. Average price of all fills on this order Unique order identifier assigned by the sender entity. Commission Commission Type. Possible values: 1 = per share 2 = percentage 3 = absolute Volume of the chain of shares executed (at that moment) Identifies currency used for price. Unique identifier of every execution message. For executions (150=F), this tag will include the operation identifier sent by the market. Instructions for order handling Possible values : k = Best Execution p = passive order (NSC and Xetra only) n = non persistent orders (SIBE Smart only) o = cancel on disconnect (SIBE Smart only) c = Ignore price validity checks Required for Cancel and Correct transaction types (*) Instructions for the order management by the Broker. Valid values: 1 = Automated execution order, private, no Broker intervention 2 = Automated execution order, public, no Broker intervention OK 3 = Manual order Valid values 1 = CUSIP 2 = SEDOL 4 = ISIN 5 = RIC 28 FIX 4.4 Specifications 30 31 32 37 38 39 LastMkt LastPx LastQty OrderID OrderQty OrdStatus 4 18 15 32 15 1 N Y Y Y Y Y Market of Execution for last fill Price of the last execution Quantity (e.g. shares) bought/sold on this (last) fill Unique order identifier assigned by the broker Number of shares ordered Current orders Status Valid values: 0 = New 1 = Partially filled 2 = Filled 3 = Done for day (**) 4 = Cancelled 5 = Replaced 6 = Pending Cancel 7 = Stopped 8 = Rejected 9 = Suspended A = Pending New B = Calculated C = Expired E = Pending Replace 40 OrdType 1 N Order Type. Valid values: 1 = Market 2 = Limit 3 = Stop 4 = Stop Limit K = Market To Limit D = Previously quoted P = Pegged M = Liquidative Value t = Stop Market To Limit R = Algorithmic trading 41 OrigClOrdID 32 N 44 48 54 Price SecurityID Side 18 12 1 N N Y ClOrdID of the previous order if the ExecutionReport is a Modification or Cancel confirmation. Price per share. Security Identifier Side of order Valid values: 1 2 29 = = Buy Sell FIX 4.4 Specifications 55 58 59 Symbol Text TimeInForce 16 256 1 Y N N Ticker symbol Text Indicates the order validity period. Default value will be GFD. Valid values. 0 = GFD (Good For Day) 1 = GTC (Good till Canceled) 3 = OC (Immediate Or Cancel) 4 = FOK (Fill Or Kill) 5 = GTX (Good Till Crossing) 6 = GTD (Good Till Date) Order execution time Indicates order settlement period. Absence of this field is interpreted as Regular. 60 63 TransactTime SettlmntTyp 21 1 Y N 64 FutSettDate 8 N Specific date of trade settlement. Required when SettlmntTyp = 6 or SettlmntTyp = 8. 75 TradeDate 8 N 77 PositionEffect 1 N Used when reporting other than current day trades. Absence of this field indicates current day (expressed in local time at place of trade). Field used for Eurex position management purposes and indicates wheter the order is submitted to open or close a position. 99 103 StopPx OrdRejReason 18 1 N N O = Open C = Close Stop Price Required when OrdStatus = Rejected Valid values: 0 = Broker option 1 = Unknown symbol 2 = Exchange closed 3 = Order exceeds limit 4 = Too late to enter 5 = Unknown Order 6 = Duplicate Order (e.g. dup ClOrdID) 99 = Internal VT error (different error texts correspond to this error code) 110 111 MinQty MaxFloor 15 15 N N 119 120 126 SettlCurrAmt SettlCurrency ExpireTime 16 3 21 N N N Minimum quantity of an order to be executed Maximum number of shares within an order to be shown on the exchange floor at any given time. Total amount due expressed in settlement currency Currency code of settlement denomination. To be sent if TimeInForce = GTD 30 FIX 4.4 Specifications 137 150 MiscFeeAmt ExecType 18 1 N Y Miscellaneous fee value Describes the type of execution report. Valid values: 0 = New 3 = Done for day (**) 4 = Cancelled 5 = Replaced 6 = Pending Cancel 7 = Stopped 8 = Rejected 9 = Suspended A = Pending New B = Calculated C = Expired E = Pending Replace F = Trade ( partial fill or fill) G = Trade correct H = Trade cancel K = Trade has been released to Clearing L = Triggered (OCO orders) 151 159 15 18 Y N 168 LeavesQty AccruedInterestAm t EffectiveTime 21 N 198 207 211 SecondaryOrderID SecurityExchange PegOffsetValue 19 8 18 N N N 236 336 Yield TradingSessionID 18 2 N N Amount of shares open for further execution. For Fixed Income in SIBE Market, only if the security has coupon defined Time (YYYYMMDD-HH:MM:DD) when the details within the message should take effect (always expressed in UTC) Assigned by the party which accepts the order Market used to help identity a security Amount (signed) added to the price of the peg for a pegged order in the context of the PegOffsetType Order yield (Smart RF only) Identifier for Trading Session. Not all markets support these restrictions. Valid values: OA = Opening Auction NA = Next Auction CA = Closing Auction AU = All Auctions Some markets can accept some other additional values for this tag. 355 372 EncodedText RefMsgType 256 2 N N 375 381 ContraBroker GrossTradeAmt 16 15 N N The MsgType (35) of the FIX message being referenced. Used when ExecType = Calculated Identifies contra broker Total amount due as the result of the transaction reported in currency of execution 31 FIX 4.4 Specifications 389 423 442 DiscretionOffsetVal ue Price Type 18 N 1 N MultiLegReportingT 1 ype N Amount (signed) added to the "related to" price specified. Code to represent the price type. Valid values: 1 = Percentage Used to indicate what an execution report represents. Valid values: 1 = Single security (default value) 2 = Individual leg of a multi leg security 3 = Multi leg security 452 PartyRole 1 N 448 453 448 452 PartyID NoPartyIDs PartyID PartyRole 10 1 16 1 N N Y Y 523 526 527 PartySubID SecondaryClOrdID SecondaryExecID 10 32 32 N N N 528 OrderCapacity 1 N 548 555 CrossID NoLegs 32 1 N N Identifies the type or role of the PartyID (448) specified. 4 = Clearing Firm Clearing Firm Number of PartyID entries Member or operator code Identifies the type or role of the PartyID specified. Valid values: 1= Executing Firm 4= Clearing Firm 11 = Order Origination Trader 12 = Executing Trader 13 = Order Origination Firm 18 = Contra Clearing Firm 21 = Clearing Organization 36 = Entering Trader 59 = Executing Unit 76 = Desk Id 96 = Take-up Firm Clearing Account Assigned by the party which originates the order Provide the ExecID used by an exchange or executing system. OrderCapacity of the order: A = Agency single order P = Principal S = Specialist Trades M = Liquidity Provider (Euronext Only) R = Riskless Principal (Euronext Only) 7 = Related Party (Euronext Only) (For Spanish Fixed Income, please see Appendix F) Identifier for a cross order. Number of legs (=2). Eurex only 32 FIX 4.4 Specifications 600 624 LegSymbol LegSide 16 1 Y N 637 LegLastPx 18 N 564 1003 1418 8147 LegPositionEffect TradeID LegLastQty VTLegAccount 1 32 15 16 N N N N 636 WorkingIndicator 1 N 669 LastParPx 18 N 697 N 836 YieldRedemptionPri 18 ce PegOffsetType 1 N Type of Peg Offset value (tag 211) Valid Values: 0 = Price (default) 2 = Ticks 839 840 PeggedPrice PegScope 18 1 N N The price the order is currently pegged at The scope of the peg Valid values: 1 = Local 3 = Global 841 DiscretionMoveTyp e 1 N Describes whether discretionary price (tag 389) is static or floats Valid Values: 1 = Fixed 845 851 DiscretionPrice LastLiquidityInd 18 1 N N The current discretionary price of the order Indicator to identify whether this fill was a result of a liquidity provider providing or liquidity taker taking the liquidity. Applicable only for OrdStatus of Partial or Filled. Valid values: 1 = Added Liquidity 2 = Removed Liquidity 3 = Liquidity Routed Out Mnemonic of the security The side of this individual leg. Possible values: 1 = Buy 2 = Sell Execution price assigned to a leg of a multileg instrument PositionEffect for leg of a multileg Trade identification of leg execution Fill quantity for the leg instrument Identification of the client of the Order Generating Company for the leg instrument. Indicates if the order is currently being worked. Valid values: Y = Order is currently being worked N = Order has been accepted but not yet in a working state Trade price in percentage of par. For securities with yield calculation, it contains the trade yield (Smart RF only) Order price in percentage of par (Smart RF only) 33 FIX 4.4 Specifications 880 TrdMatchID 32 N 1003 1094 TradeID PegPriceType 32 1 N N 1102 TriggerPrice 18 N 5681 ExchangeTradeType 2 N 8058 8116 VTInstructions VTSIBESourceIndica tor 100 1 N N Standard Trailer Identifier assigned to a trade by a matching system. Used in Eurex and Xetra. Trade identification, used in Eurex. Defines the type of peg. Valid Values: 2 = Mid-price peg 4 = Market peg 5 = Primary peg 8 = Trailing stop peg Only for OCO orders (40=T), price at which the trigger should hit Type of trade Valid values for SIBE Smart: CV = compra o venta EO = Ejercicio de opciones A0 = Aplicacion PC = Precio convenido Free text. Can be used to send info to the broker For SIBE Smart A = Órdenes autorizadas por operadores con exámen SIBE C = Órdenes de clientes significativos F = Cestas Z = Arbitraje autorizado Y (*) Execution Cancellations/Modifications will only be supported for those markets or external systems which do support them, and only clients who have an agreement with them will receive these types of messages. If ExecType is Calculated, some quantity fields may be zero, if market is unable to provide this information. This may happen with AvgPx, CumQty, OrderQty and LeavesQty. Using the Execution Report to report a trade on a Tradeable Quote In this issue, Visual Trader will follow recommendations of FIX 4.4 protocol (Volume 3, page 41). The Execution Report should be used to report trades involving a tradeable quote. Because quotes are usually replaced or replenished, it is not always possible, nor does it necessarily make sense for markets to keep track and transmit the detailed quantity information required on the quote. Execution Reports for trades against a tradeable quote can use the quantity fields in the following manner. Tag# 6 14 Field Name AvgPx CumQty Reqd Y Y 31 LastPx N Usage in reporting trades on quotes Use 0.0 if market is unable to provide an average price Use 0.0 if market is unable to provide a cumulative total. Same as for a fill against an order 34 FIX 4.4 Specifications 32 LastQty N Same as for a fill against an order 38 OrderQty N Quote quantity when the fill occurred. 151 LeavesQty Y Quantity remaining open in the market In addition to this, into tag 11 it will be sent the original QuoteID for this quote. If several QuoteID were sent for the same instrument, the QuoteID included will be the identification of the last processed quote message. 35 FIX 4.4 Specifications SIBE Smart – ECC specific fields and values From October 2015 on, an ECC will be incorporated to SIBE Smart Exchange. The following table shows new fields and values that will be available then. Tag 78 Token NoAllocs Long 1 Req N 79 161 1729 864 AllocAccount AllocText FirmMnemonic NoEvents 10 20 20 1 N N N N 86 5 EventType 1 N 86 8 453 448 452 EventText 1 N NoPartyID PartyID PartyRole 1 16 1 N Y N Descripción Number of repeating group entries that contain information to assign every order execution to the settlement ECC member account. Settlement account Settlement reference text Settlement Mnemonic Might be specified on operations matched outside the ECC Valid values: 519 = Real Time Clearing Flag 520 = Partial Clearing Flag Valid values:Y / N Number of PartyID entries Member or operator code Identifies the type or role of the PartyID specified. Valid values: 24 = Customer Account 45 = Secondary Account number (CCV) 84 = Acceptable Settling Counterparty 96 = Take-up Firm (Settlement member) Standard Trailer Y These tags will be depending on tags sent by the customer on New Order Single. In addition to this, SIBE Smart will be sending Settlement Date (tag 64), which is not sent currently, to indicate order settlement period. . 36 FIX 4.4 Specifications 5.5 Order Cancel Request Tag Long 1 Token Standard Header Account 16 Req Y N 11 22 ClOrdID SecurityIDSource 32 1 Y N 37 38 41 48 54 OrderID OrderQty OrigClOrdID SecurityID Side 32 15 32 12 1 N Y Y N Y 55 58 60 355 526 8058 25029 Symbol Text TransactTime EncodedText SecondaryClOrdID VTInstructions RegulatoryID 16 256 21 256 32 100 4 Y N Y N N N N Standard Trailer Description MsgType = F Identification of the Client of the Order Generating Company. Unique identifier for Order assigned by the issuer entity Valid values 1 = CUSIP 2 = SEDOL 4 = ISIN 5 = RIC Unique identifier for Order as assigned by broker Number of shares ordered. ClOrdID of the latest Order that was accepted by VT. Security Identifier Side of order: Valid values: 1=Buy 2=Sell Ticker symbol Text YYYYMMDD-HH:MM:DD.nnn Assigned by the party which originates the order Free text. Can be used to send info to the broker Algorithm Id required by the German High Frequency Trading Bill. (Xetra and Eurex only) Y 37 FIX 4.4 Specifications 5.6 Tag Order Cancel/Replace request 1 Token Standard Header Account Long 16 Req Y N 11 ClOrdID 32 Y 12 13 Commission CommType 20 1 N N Description MsgType = G Identification of the Client of the Order Generating Company. Unique identifier for Order as assigned by the user entity Commission Commission Type. Possible values: 1 = per share 2 = percentage 3 = absolute 15 18 Currency ExecInst 3 1 N N 21 HandlInst 2 Y Must match original order Instructions for order handling Possible values : k = Best Execution p = passive order (NSC and Xetra only) n = non persistent orders (SIBE Smart only) o = cancel on disconnect (SIBE Smart only) c = Ignore price validity checks Instructions for the order management by the Broker. Valid values: 1 = Automated execution order, private, no Broker intervention 2 = Automated execution order, public, no Broker intervention OK 3 = Manual order Any other value: For orders directed to VT OMS, will be mapped to order care type. 22 37 SecurityIDSource OrderID 1 32 N N Must match original order Unique identifier for Order as assigned by broker 38 OrderQty 15 Y Number of shares. Total number of shares. 38 FIX 4.4 Specifications 40 OrdType 1 Y Order type Valid values: 1 = Market 2 = Limit 3 = Stop 4 = Stop Limit K = Market To Limit P = Pegged t = Stop Market To Limit T = Triggered order R = Algorithmic trading 41 OrigClOrdID 32 Y ClOrdID of the latest Order that was accepted by VT. 44 Price 18 N 48 54 55 58 59 SecurityID Side Symbol Text TimeInForce 12 1 16 256 1 N Y Y N N Price per share Required when the order is “Limit” or “Stop Limit” Must match original order Must match original order Must match original order Text Indicates the order validity period. Default value will be GFD. Possible values. 0 = GFD (Good For Day) 1 = GTC (Good till Canceled) 3 = OC (Immediate Or Cancel) 4 = FOK (Fill Or Kill) 5 = GTX (Good Till Crossing) 6 = GTD (Good Till Date) YYYYMMDD-HH:MM:DD.nnn Indicates order settlement period. Absence of this field is interpreted as Regular. 60 63 TransactTime SettlmntTyp 21 1 Y N 64 FutSettDate 8 N Specific date of trade settlement. Required when SettlmntTyp = 6 or SettlmntTyp = 8. 77 PositionEffect 1 N Field used for Eurex position management purposes and indicates wheter the order is submitted to open or close a position. 99 100 StopPx ExDestination 18 4 N N 110 MinQty 15 N O = Open C = Close Required if OrdType is “Stop” type. Execution destination as defined by institution when order is entered. Minimum quantity of an order to be executed 39 FIX 4.4 Specifications 111 MaxFloor 15 N 120 126 168 SettlCurrency ExpireTime EffectiveTime 3 21 21 N N N 207 211 SecurityExchange PegOffsetValue 8 18 N N 336 TradingSessionID 2 N Maximum number of shares within an order to be shown on the exchange floor at any given time. Currency code of settlement denomination . Required if TimeInForce is GTD Time (YYYYMMDD-HH:MM:DD) when the details within the message should take effect (always expressed in UTC) Market used to help identify a security. Amount (signed) added to the price of the peg for a pegged order in the context of the PegOffsetType Identifier for Trading Session. Not all markets support these restrictions. Possible values: OA = Opening Auction NA = Next Auction CA = Closing Auction AU = All Auctions 389 18 N 452 DiscretionOffsetV alue PartyRole 1 N 448 355 526 528 PartyID EncodedText SecondaryClOrdID OrderCapacity 10 256 32 1 N N N N Some markets can accept some other additional values for this tag. Amount (signed) added to the "related to" price specified. Identifies the type or role of the PartyID (448) specified. 4 = Clearing Firm Clearing Firm Assigned by the party which originates the order Valid values: A = Agency single order P = Principal S = Specialist Trades M = Liquidity Provider (Euronext Only) R = Riskless Principal (Euronext Only) 7 = Related Party (Euronext Only) 836 PegOffsetType 1 N 840 PegScope 1 N (For Spanish Fixed Income, please see Appendix F) Type of Peg Offset value (tag 211) Valid Values: 0 = Price (default) 2 = Ticks The scope of the peg Valid values: 1 = Local 3 = Global 40 FIX 4.4 Specifications 841 DiscretionMoveTy pe 1 N 1094 PegPriceType 1 N 1102 TriggerPrice 18 N 8058 8116 VTInstructions VTSIBESourceIndi cator 100 1 N N 25029 RegulatoryID 4 N Standard Trailer Describes whether discretionary price (tag 389) is static or floats Valid Values: 1 = Fixed Defines the type of peg. Valid Values: 2 = Mid-price peg 4 = Market peg 5 = Primary peg 8 = Trailing stop peg Only for OCO orders (40=T), price at which the trigger should hit Free text. Can be used to send info to the broker For SIBE Smart A = Órdenes autorizadas por operadores con exámen SIBE C = Órdenes de clientes significativos F = Cestas Z = Arbitraje autorizado Algorithm Id required by the German High Frequency Trading Bill. (Xetra and Eurex only) Y Collar mechanism (for Euronext markets) On the UTP trading platform, if the aggressive order can hit an order that's outside the collars, a message with text field (tag 58) "MKT-000003-Rejected for Collar" is sent. The message will have Working Indicator set to N (tag 636=N). Example of collar mechanism message: 8=FIX.4.49=32235=849=EXAMF56=USER2115=643128=DRVDES36=0.0011=OR212286714=015=EUR17=090 205113622354109630=PA31=032=037=090205113622262525838=1239=040=244=17754=2 55=VIV58=MKT-000003-Rejected for collar59=060=20090205-11:02:11150=0151=12 198=20090205000085207=PA526=OR2122867636=N10=075 The client has 30 seconds to confirm his order by sending a modification message with no changes. If the modification message is not received within this time interval, order is automatically expired in the market. If the possible match is very far outside the collar; the process of rejection and confirmation message can repeat itself several times until the possible trade is within the collars. 41 FIX 4.4 Specifications 5.7 Multiple Order Cancel/Replace request Eurex specific message Tag Long 1 Token Standard Header Account 16 Req Y N 11 15 ClOrdID Currency 32 3 Y N 22 SecurityIDSource 1 N 38 40 44 48 54 OrderQty OrdType Price SecurityID Side 15 1 18 12 1 Descripción MsgType = AC Identification of the Client of the Order Generating Company. Unique order identifier assigned by the issuer entity. Identifies currency used for price. The default value is €. It is suggested to indicate the currency of the destination market, although this token is not mandatory in FIX Valid values Y Y 4 = ISIN Number of shares ordered. Order type. Valid values: Y N Y 2 = Limit Price per share. Security Identifier Side of the order. Valid values: 1 2 55 58 59 Symbol Text TimeInForce 16 256 1 Y N N = = Buy Sell Mnemonic of the security Text Indicates the order validity period. Default value will be GFD. Valid values: 0 = GFD (Good For Day) 1 = GTC (Good till Canceled) 3 = IOC (Immediate Or Cancel) 6 = GTD (Good Till Date) 60 TransactTime 21 Y YYYYMMDD-HH:MM:DD.nnn 42 FIX 4.4 Specifications 77 PositionEffect 1 Y 100 ExDestination 4 N 126 ExpireTime 17 N 168 EffectiveTime 21 N 207 336 SecurityExchange TradingSessionID 4 2 Y N 355 555 600 564 8147 EncodedText NoLegs LegSymbol LegPositionEffect VTLegAccount 256 1 16 1 16 N Y Y N N 526 528 SecondaryClOrdID 32 OrderCapacity 1 Field used for Eurex position management purposes and indicates wheter the order is submitted to open or close a position. O = Open C = Close Execution destination as defined by institution when order is entered. Valid values: XEUR Expire time of the order, when TimeInForce is GTD. The format is: YYYYMMDD-HH:MM:DD Time (YYYYMMDD-HH:MM:DD) when the details within the message should take effect (always expressed in UTC) Market used to help identify a security. Identifier for Trading Session. Possible values: CA = Closing Auction N N Number of legs (=2) Mnemonic of the security PositionEffect for leg of a multileg Identification of the client of the order for the leg instrument Assigned by the party which originates the order Valid values: A = Agency single order P = Principal Standard Trailer Y 43 FIX 4.4 Specifications 5.8 Order Cancel Reject Tag Long 1 Token Standard Header Account 16 Req Y N 11 ClOrdID 32 Y 37 39 41 58 60 102 OrderID OrdStatus OrigClOrdID Text TransactTime CxlRejReason 32 1 32 256 21 1 Y Y Y N N N 110 111 MinQty MaxFloor 15 15 N N 198 355 434 SecondaryOrderID EncodedText CxlRejResponseTo 19 256 1 N N Y 526 528 SecondaryClOrdID OrderCapacity 32 1 N N Description MsgType = 9 Identification of the Client of the Order Generating Company. Unique identifier for Order as assigned by the issuer entity Unique identifier for Order as assigned by broker OrdStatus value after this cancel reject is applied ClOrdID which could not be cancelled/replaced. Reject reason YYYYMMDD-HH:MM:DD.nnn Code to identify reason for cancel rejection Possible values: 0 = Too late to cancel 1 = Unknown order 2 = Broker Option 3 = Order already in Pending Cancel or Pending Replace status 4 = Unable to process Order Mass Cancel Request 5 = OrigOrdModTime (586) did not match last TransactTime (60) of order 6 = Duplicate ClOrdID (11) received 99 = Other Minimum quantity of an order to be executed Maximum number of shares within an order to be shown on the exchange floor at any given time. Assigned by the party which accepts the order Identifies the type of request that a Cancel Reject is in response to: 1 – Order Cancel Request 2 – Order Cancel/Replace Request Assigned by the party which originates the order OrderCapacity of the order: A = Agency single order P = Principal S = Specialist Trades M = Liquidity Provider (Euronext Only) R = Riskless Principal (Euronext Only) 7 = Related Party (Euronext Only) 44 FIX 4.4 Specifications 636 WorkingIndicator Standard Trailer 1 N Indicates if the order is currently being worked. Valid values: Y = Order is currently being worked N = Order has been accepted but not yet in a working state Y 45 FIX 4.4 Specifications 5.9 Order Mass CAncel Request This message is available only for SIBE Smart. Tag Long 1 Token Standard Header Account 16 Req Y N 11 ClOrdID 32 Y 22 SecurityIDSource 1 N 48 54 SecurityID Side 12 1 Description MsgType = q Identification of the Client of the Order Generating Company. Unique order identifier assigned by the issuer entity. Possible values 1 = CUSIP 2 = SEDOL 4 = ISIN 5 = RIC Security Identifier Side of the order. Valid values: N N 55 60 207 Symbol TransactTime SecurityExchange 16 21 8 Y Y Y 1 = Buy 2 = Sell Mnemonic of the security YYYYMMDD-HH:MM:DD.nnn Market used to help identify a security. 528 OrderCapacity 1 N Valid values: A = Agency single order P = Principal S = Specialist Trades (non member firms must always send “A”) 530 MassCancelRequestType 1 Y Specifies scope of Order Mass Cancel Request. Valid values: 7 = Cancel all orders Standard Trailer Y 46 FIX 4.4 Specifications 5.10 Order Mass CAncel Report This message is only available in SIBE Smart. Tag Long 11 Token Standard Header ClOrdID 32 Req Y Y 58 530 Text MassCancelRequestType 256 1 N Y Description MsgType = r Unique order identifier assigned by the issuer entity. Text Specifies scope of Order Mass Cancel Request. Valid values: 7 = Cancel all orders 531 MassCancelResponse 1 N Specifies the action taken by counterparty order handling system as a result of the Order Mass Cancel Request Valid values: 0 = Cancel Request Rejected 7 = Cancel all orders 532 MassCancelRejectReason 1 N Reason Order Mass Cancel Request was rejected Valid values: 1 = Invalid or unknown Security 99 = Other Standard Trailer Y 47 FIX 4.4 Specifications 5.11 Network Counterparty System Status Response This message is only available in SIBE Smart. Tag Long 207 932 933 936 Token Standard Header SecurityExchange NetworkResponseID NetworkRequestID NoCompIDs 8 16 16 1 Req Y Y Y N Y 928 StatusValue 1 Y 929 StatusText 255 N 930 RefCompID 16 N 931 RefSubID 16 N 937 NetworkStatusResponseType 1 Y Standard Trailer Description MsgType = BD Market Unique identifier for a network response. Unique identifier for a network resquest. Number of CompID entries in a repeating group. Valid values: 1 Indicates the status of a network connection Valid values: 1 = Connected 2 = Not connected - down expected up 3 = Not connected - down expected down Text description associated with a network status. Assigned value used to identify a firm. Valid values: XMCE = SIBE Smart Assigned value used to identify specific elements within a firm. Indicates the type of Network Response Message. Valid values: 1 = Full Y 48 FIX 4.4 Specifications 5.12 Indication Of Interest This message will only be allowed to be sent to networks that can handle this kind of messages. Tag 15 22 Token Standard Header Currency SecurityIDSource Long 3 1 Req Y N N 23 25 IOIid IOIQltyInd 32 1 Y N 26 IOIRefID 32 N 27 IOIQty 8 Y 28 IOITransType 1 Y 44 48 54 Price SecurityID Side 18 12 1 N N Y 55 58 Symbol Text 16 256 Description MsgType = 6 Identifies currency used for price Valid values 1 = CUSIP 2 = SEDOL 4 = ISIN 5 = RIC Unique identifier of IOI message. Relative quality of indication Valid values: L = Low M = Medium H = High Reference identifier used with cancel and replace, transaction types. Quantity in numeric form or relative size. Valid values: <whole number> S = Small M = Medium L = Large Identifies IOI message transaction type Valid values: N = New C = Cancel R = Replace Price per share Security Identifier Side of order Valid values: 1 = Buy 2 = Sell Ticker symbol Text Y N 49 FIX 4.4 Specifications 130 IOINaturalFlag 1 Y 199 104 215 NoIOIQualifiers IOIQualifier NoRoutingIDs 1 1 1 N N N 216 217 RoutingType RoutingID 1 16 N N Standard Trailer Indicates that IOI is the result of an existing agency order or a facilitation position resulting from an agency order, not from principal trading or order solicitation activity. Valid values: Y = Natural N = Not natural Number of repeating groups of IOIQualifiers Code to qualify IOI use. Number of repeating groups of RoutingID and RoutingType values. Indicates the type of RoutingID specified. Assigned value used to identify a specific routing destination. Y 50 FIX 4.4 Specifications 5.13 Trade Capture Report This message is only supported for SIBE Smart and Euronext exchanges (Xetra will be added shortly). Tag 15 22 Token Standard Header Currency SecurityIDSource Long 3 1 Req Y N N 31 32 LastPx LastQty 18 8 Y Y 39 OrdStatus 1 N 48 54 55 58 60 150 SecurityID Side Symbol Text TransactTime ExecType 12 1 16 500 21 1 N N Y N N N 207 381 SecurityExchange GrossTradeAmt 8 15 N N 438 448 ContraTradeTime PartyID 21 10 N N Descripción MsgType = AE Identifies currency used for price. Possible values 1 = CUSIP 2 = SEDOL 4 = ISIN 5 = RIC Price of the operation Quantity (e.g. shares) operation Current Status Possible values: bought/sold on this 0 = New 2 = Filled 4 = Cancelled 6 = Pending Cancel A = Pending New C = Expired Security Identifier Side of order. Only with 150=F, K. Ticker symbol Text Order execution/creation time Describes the type of execution, 0 = New 4 = Cancelled 6 = Pending Cancel A = Pending New C = Expired F = Trade K = Registered (Smart Smart only) Market used to help identity a security Total amount due as the result of the transaction reported in currency of execution Identifies the time of the trade Clearing Firm 51 FIX 4.4 Specifications 452 PartyRole 1 N 487 TradeReportTransT ype 1 N 552 NoSides 1 Y 54 1 453 448 452 581 571 572 818 828 829 Side Account NoPartyIDs PartyID PartyRole AccountType TradeReportID TradeReportRefID SecondaryTradeRep ortID TrdType TrdSubType 1 10 1 10 1 1 Y N N Y Y N 32 32 32 Y N N 1 1 Y Y Identifies the type or role of the PartyID (448) specified. Possible values: 14 = Giveup clearing firm Identifies Trade Report message transaction type Valid values: 0 – New 1 – Cancel 2 – Replace Number of Side repeating group instances. Valid values: 1 = one side 2 = both sides Side of order Possible values: 1 = Buy 2 = Sell 8 = Cross Account mnemonic Number of PartyID and PartyRole entries Party identifier/code Identifies the type or role of the PartyID (448) specified. Possible values: 1 = Executing Firm 11 = Order Origination Trader 12 = Executing Trader 13 = Order Origination Firm Type of account associated. Valid values: 1 = Account 3 = House 10 = Liquidity Provider 11 = Related Party (Euronext only) Unique identifier of trade capture report Reference identifier used for a cancel transaction. Identifier assigned by the exchange or executing system. Type of trade Further qualification to the trade type 52 FIX 4.4 Specifications 856 939 TradeReportType TrdRptStatus 1 1 N Type of trade report. Valid values: N 0 = Submit 1 = Alleged 2 = Accept 3 = Decline 6 = Trade Report Cancel 10 = Trade Report Cancel Accept Trade report status. Valid values: 0 = Accepted 1 = Rejected Standard Trailer Y 53 FIX 4.4 Specifications Type of trades TrdType TrdSubT ype Market 11 11 11 11 11 11 11 11 12 12 12 1 1 1 1 1 1001 1002 1003 1004 1005 1006 1007 1008 1001 1002 1003 34 1001 1002 1003 1004 1 1 1 1 1 1 1 1005 1006 1007 1008 1009 1010 1011 1 1 1 1012 1013 1014 1 1015 E6 1 1 1 1 1 1 1 1 1016 1017 1018 1019 1020 1021 1022 1023 E7 AV EV EO BC OA OV OS NSC Market Internal Code 0 9 a i E I K R L M N BP A1 A4 A5 A6 A7 T1 T4 T5 T6 T7 E1 SIBE Smart E2 E4 E5 Description Trade outside the book Propagation buy Propagation sell Fund order ( quantity ) VWAP Transaction Fund order ( cash amount ) OTC trade Secondary listing trade place OTC trade for reporting OTC trade for publication OTC trade for reporting and publication Block Trade Communicated Application Authorised Application (volume) Authorised Application (corporate interest) Authorised Application (execution of contracts) Authorised Application (other causes) Validation (communicated) Authorised validation (volume) Authorised validation (corporate interest) Authorised validation (execution of contracts) Authorised validation (other causes) Transaction between members (communicated) Transaction between members (authorized) Transaction between members (volume) Transaction between members (corporate interest) Transaction between members (execution of contracts) Transaction between members (other causes) Application to cater for a linked position Transaction to cater for a linked position Transaction of exercise of options Agreed block trading market transaction Public share bid offer type transaction Public share ask offer type transaction Public share subscription offer type transaction 54 FIX 4.4 Specifications 1 1 1 1 1 1 1 1 1 10 10 10 1024 1025 1026 1027 1028 1029 1030 2001 2002 1001 1002 1003 SMART RF XETRA DO BM CF VF NV NJ NK 08 14 1001 1002 1003 Special trades delta type VWAP special trade Forced buying Forced selling Net asset value special trade D+1 Net asset value special trade D+2 Net asset value special trade D+3 Precio convenido Aplicación OTC Trade MiFID Report OTC Trade and MiFID Report Euronext Next fields can only be used when SecurityExchange is Paris, Amsterdam, Brussels or Lisbon. Tag 8301 Token VTSettlementFlag Long 1 Req N 8302 VTGuaranteeFlag 1 N 8303 VTSettlPeriod 2 N 8304 VTOtherFactor 1 N 8305 VTQuantNotation 3 N 8306 VTVenue 5 N 8307 VTContractMultiplier 8 N Descripción Indicates whether the trade is to be settled by the settlement organization or not. Indicates whether the trade is guaranteed by the clearing organization or not. The settlement period in days. Possible values are: For stocks, the period can be between 2 and 30 days. For bonds, the period must be 2 or 3 days; otherwise, the trade is rejected by the clearing organization. The default value (0) is 3 days Indicates whether the exchange of shares is determined by factors other than the current market valuation of the shares. Indicates whether the quantity is the number of units of financial instruments, the nominal value of bonds or the number of derivative contracts. UNT: Mumber of units FMT: Facial amount nominal value Identifies the venue where the trade is executed. You can select among XLISB, XPAR, XBRU, XAMS or OTC. Specifies the number of units of a financial instrument contained in a single trading lot. 55 FIX 4.4 Specifications 8308 8309 8310 8311 VTClientIDMifid VTClientIDMifidCross VTClientIDType VTClientIDTypeCross 10 10 1 1 N N N Client identifier Client identifier (counterpart) Client code. Valid values: N B = BIC code R.= FRN code N.= NIF code I.= Internal code G.= “AG” type client id P = Id for “Banco de Portugal” Client code (counterpart) . Valid values: 8312 8313 VTVWAPBegTime VTVWAPEndTime 21 21 N N 8314 VTByPassControl 1 N 8316 VTTransactID 10 N 8317 VTDefTradInd 1 N B = BIC code R.= FRN code N.= NIF code I.= Internal code G.= “AG” type client id P = Id for “Banco de Portugal” The start and end time used in calculating the VWAP (Volume Weighted Average Price). Format: hh:mm:ss. If you do not enter times for a Market VWAP transaction, system will select as start time the time at which the group for the given instrument opens and as end time the time that the group passes into the Market Control Intervention phase at the end of the day. These fields can only be filled when the Type of Transaction is Market VWAP. It allows to bypass the price and size check of the trade. Provided by the declaring member to identify the trade. It must be unique to the trading venue, trading date and instrument. It allows to select the following type of publication: 1: Publication delayed (the publication delay of the trade is determined by Mkt) 0: Immediate publication of the trade. SIBE Smart Next fields can only be used when SecurityExchange is M, WM, MABX or XLAT. Tag Token Long Req Descripción 56 FIX 4.4 Specifications 570 Previously Reported 1 N Indicates, in a block trading, whether or not the parties of the trade are disclosed in Market Data Smart RF Next values can only be used when SecurityExchange is MARF, MERF or SEND. Tag 54 453 448 452 Token Side NoPartyIDs PartyID PartyRole Long 1 1 10 1 Req Y N Y Y Descripción Number of PartyID and PartyRole entries Party identifier/code Identifies the type or role of the PartyID (448) specified. Possible values added for SMART RF: 32 = Intermediated 75 = Location ID: In this case, PartyID must be set with BME internal code. Possible values for PartyID: 6 = Madrid 4 = Barcelona 3 = Valencia 57 FIX 4.4 Specifications SIBE Smart – ECC specific fields and values From October 2015 on, an ECC will be incorporated to SIBE Smart Exchange. The following table shows SIBE Smart specific fields and values that will be available then. Tag 64 552 Token SettlDate NoSides Long 8 1 Req N Y Descripción Specific date of trade settlement (+) Number of Side repeating group instances. Valid values: 1 = one side 2 = both sides (...) 58 64 Text SettDate 256 8 N N 78 NoAllocs 1 N 79 161 172 9 864 AllocAccount AllocText FirmMnemonic 10 20 20 N N N Free text Specific date of trade settlement. Required when SettlmntTyp = 6 or SettlmntTyp = 8. Number of repeating group entries that contain information to assign every order execution to the settlement ECC member account. Settlement account Settlement reference text Settlement Mnemonic NoEvents 1 N 865 EventType 1 N 868 453 448 452 EventText NoPartyIDs PartyID PartyRole 1 1 10 1 N N Y Y 570 Previously Reported 1 N Might be specified by seller on operations matched outside the ECC Valid values: 519 = Real Time Clearing Flag 520 = Partial Clearing Flag Valid values:Y / N Number of PartyID and PartyRole entries Party identifier/code Identifies the type or role of the PartyID (448) specified. Valid values: 24 = Customer Account 45 = Secondary Account number (CCV) 84 = Acceptable Settling Counterparty 96 = Take-up Firm (Settlement member) Indicates, in a block trading, whether or not the parties of the trade are disclosed in Market Data This field will be deprecated on October 2015 There will be two groups of operation types after the introduction of EEC: Operations matched into the ECC. In this case, as in regular orders, an ECC account related to the operation can be informed using: Take-up Firm (PatyRole=96) & AllocAccount, or, AllocText, or FirmMnemonic. 58 FIX 4.4 Specifications If none of them is present, all executions will be assigned to the default account defined within the ECC. Operations matched outside the ECC. A different set of fields will be used for this type of operations (whose TradeTypes are not defined yet): 452=84 - Member who buy/sells (mandatory) 452=24 – Settlement Account (mandatory) 452=45 – CCV code (optional – could be used instead of the two previous fields) Besides, RealTime and Partial Clearing Flags EventType [865] = 519/520 are to be informed by the exchange only in this second type of operations. In addition to this, SIBE Smart will be sending, on both type of operations Settlement Date (tag 64), which is not sent currently, to indicate order settlement period. 59 FIX 4.4 Specifications 5.14 Trade Capture Report ACK This message is sent in response of Trade Capture Report. This message is only available in Euronext and SIBE Smart exchanges (Xetra will be added shortly). Tag 15 22 39 48 54 Token Standard Header Currency SecurityIDSource OrdStatus SecurityID Side Long 3 1 1 12 1 Req Y N N 1 = CUSIP 2 = SEDOL 4 = ISIN 5 = RIC Current Status Valid values: Y 0 = New 2 = Filled 4 = Cancelled 6 = Pending Cancel A = Pending New C = Expired Security Identifier Side of the operation Valid values: N Y 55 58 Symbol Text 16 500 Y N 207 571 572 SecurityExchange TradeReportID TradeReportRefID 8 32 32 N Y N 751 TradeReportRejectReason 1 N Description MsgType = AR Identifies currency used for price. Valid values 1 = Buy 2 = Sell 8 = Cross Ticker symbol If 939 = 1, explanatory text about the rejection reason Market used to help identity a security Unique identifier of trade capture report Reference identifier used for a cancel transaction. Reason Trade Capture Request was rejected. Valid values: 0 = Successful (Default) 1 = Invalid party information 2 = Unknown instrument 3 = Unauthorized to report trades 4 = Invalid trade type 99 = Other 60 FIX 4.4 Specifications 828 829 939 TrdType TrdSubType TrdRptStatus 1 1 1 Y Y Y Type of trade Further qualification to the trade type Trade report status. Valid values: 0 = Accepted 1 = Rejected Standard Trailer Y 61 FIX 4.4 Specifications 5.15 Quote Tag Long 15 22 Token Standard Header Currency SecurityIDSource 3 1 Req Y N N Description MsgType = S Identifies currency used for price. Possible values 4 = ISIN 48 55 58 60 100 117 132 SecurityID Symbol Text TransactTime ExDestination QuoteID BidPx 12 16 256 21 4 24 18 N Y N N N Y Y 133 OfferPx 18 Y 134 BidSize 15 Y 135 OfferSize 15 Y 207 301 SecurityExchange QuoteResponseLevel 8 1 Y N Security Identifier Mnemonic of the security Free format text string YYYYMMDD-HH:MM:DD.nnn Destination market Identifier for quote Bid price/rate If “0” , bid position is cancelled. Offer price/rate If “0” , offer position is cancelled. Quantity of bid If “0” , bid position is cancelled. Quantity of offer If “0” , offer position is cancelled. Market used to help identify a security. Level of Response requested from receiver of quote messages. Possible Values: 537 QuoteType 1 0 = No Acknowledgement (Default) 1 = Acknowledge only negative or erroneous quotes 2 = Acknowledge each quote messages Identifies the type of quote. Possible values: Y 1 = Tradeable Standard Trailer Y SIBE Smart specific The system will only allow one quote per product. Quotes of the same instrument can be sent with a new QuoteID each time or maintaining the same QuoteID. 62 FIX 4.4 Specifications 5.16 Quote status report This message answers to the quote message with the quote status. Tag 15 22 Token Standard Header Currency SecurityIDSource Long 3 1 Req Y N N Description MsgType = AI Identifies currency used for price. Valid values 4 = ISIN Security Identifier Mnemonic of the security Explanatory text about the rejection reason. YYYYMMDD-HH:MM:DD.nnn Identifier for quote Bid price/rate = 0 means there are no Bid leg. 48 55 58 60 117 132 SecurityID Symbol Text TransactTime QuoteID BidPx 12 16 256 21 24 18 N Y N N Y N 133 OfferPx 18 N Offer price/rate = 0 means there are no Offer leg. 134 BidSize 15 N Quantity of bid = 0 means there are no Bid leg. 135 OfferSize 15 N Quantity of offer = 0 means there are no Offer leg. 207 297 SecurityExchange QuoteStatus 8 2 N Y Market used to help identify a security. Identifies the status of the quote acknowledgement. 537 649 QuoteType QuoteStatusReqID 1 32 Valid values: 0 = Accepted 4 = Canceled All 5 = Rejected 9 = Quote Not Found 20 = Unable to process message (description included in tag 58) * If QuoteStatus (tag 297) with values 0,4 or 5, tags 132 to 135 include positions in the market. Always 1 (Tradeable) Unique identifier for Quote Status Request. Only if the QuoteStatusReport is an answer of a QuoteStatusRequest message. N N 63 FIX 4.4 Specifications 8100 VTRejectReasonBid 12 N If the Quote has been rejected an error code will be returned in this field. Valid values: 0 = Exchange option 1 = Unknown or non tradeable contract 2 = Exchange closed 3 = Quote exceeds limit (price or volume filters) 4 = Too late to enter 5 = Unknown Quote 11 = Unsupported order characteristic 99 = Other 8101 VTRejectReasonOffer 12 N If the Quote has been rejected an error code will be returned in this field. 0 = Exchange option 1 = Unknown or non tradeable contract 2 = Exchange closed 3 = Quote exceeds limit (price or volume filters) 4 = Too late to enter 5 = Unknown Quote 11 = Unsupported order characteristic 99 = Other Standard Trailer Y 64 FIX 4.4 Specifications 5.17 Quote cancel This message cancels the quotes in the market. In case of cancellation, the system will send back one cancellation message (Quote Status Report with status Cancelled) per cancelled quote in the market. Tag Long 15 22 Token Standard Header Currency SecurityIDSource 48 55 58 60 100 106 117 200 207 298 301 311 461 3 1 Req Y N N Description MsgType = Z Identifies currency used for price. Valid values 4 = ISIN SecurityID Symbol Text TransactTime ExDestination 12 16 256 21 4 N N N N N Security Identifier Mnemonic of the security Issuer QuoteID MaturityMonthYear SecurityExchange QuoteCancelType 20 24 21 8 1 N Y N Y Y QuoteResponseLevel UnderlyingSymbol CFICode 1 16 20 YYYYMMDD-HH:MM:DD.nnn Execution destination as defined by institution when order is entered. Name of security issuer Unique identifier for quote Maturity date YYYYMM Market used to help identify a security. Identifies the type of quote cancel. Valid Values: 1 = Cancel for Symbol(s) 2 = Cancel for Security Type(s) (Not available) 3 = Cancel for Underlying Symbol 4 = Cancel All Quotes Level of Response requested from receiver of quote messages. Valid Values: N 0 = No Acknowledgement (Default) 1 = Acknowledge only negative or erroneous quotes 2 = Acknowledge each quote messages Underlying security's Symbol. Indicates the type of security. Valid values (exactly 6 characters): N N RWXXXX = All. RWIXXX = Index warrants. RWXXPX = Put warrants. RWXXCX = Call warrants. Standard Trailer Y 65 FIX 4.4 Specifications 66 FIX 4.4 Specifications 5.18 NEWS Tag 33 58 61 148 Token Standard Header LinesOfText Text Urgency Long Headline Standard Trailer 2000 6 Variable 1 Req Y Y Y N Descripción MsgType = B 0 = Normal 1 = Flash 2 = Background Y Y 67 FIX 4.4 Specifications 5.19 Allocation Instruction Tag 6 15 22 48 53 54 55 60 70 71 Token Standard Header AvgPx Currency SecurityIDSource SecurityID Quantity Side Symbol TransactTime AllocID AllocTransType Long 18 3 1 12 15 1 16 21 32 1 Req Y Y N N N Y Y N Y Y Y 72 RefAllocID 32 Y 73 NoOrders 1 Y 11 ClOrdID 32 Y 37 38 198 526 799 75 78 79 80 539 524 538 OrderID OrderQty SecondaryOrderID SecondaryClOrdID OrderAvgPx TradeDate NoAllocs AllocAccount AllocQty NoNestedPartyIDs NestedPartyID NestedPartyRole 32 15 19 16 18 8 1 16 15 1 32 1 N N N N N Y Y Y Y N Y N Descripción MsgType = J Average price of all fills Identifies currency used for price. Possible values 1 = CUSIP 2 = SEDOL 4 = ISIN 5 = RIC Security Identifier Overall/total quantity Side of order Possible values: 1 = Buy 2 = Sell Ticker symbol Time of message creation Unique identifier for allocation message Identifies allocation transaction type. Posible values: 0 = New 2 = Cancel Reference identifier to be used with AllocTransType = 2 Indicates number of orders to be combined for average pricing and allocation Unique order identifier assigned by the sender entity. Unique order identifier assigned by the broker Quantity ordered Assigned by the party which accepts the order Assigned by the party which originates the order Average price for this order Indicates date of trade referenced in this message Number of Allocs entries in the repeating group Account mnemonic Quantity to be allocated to specific account Number of entries in the repeating group Broker of credit Identifies the type of role of the NestedPartyID 2 = Broker of credit 68 FIX 4.4 Specifications 207 SecurityExchange Standard Trailer 8 N Y Market used to help identity a security 69 FIX 4.4 Specifications 5.20 Allocation Instruction Ack Tag 58 60 70 75 87 88 Token Standard Header Text TransactTime AllocID TradeDate AllocStatus AllocRejCode Long 256 21 32 8 1 1 Req Y N Y Y Y Y N Descripción MsgType = P Text Time of message creation Unique identifier for allocation message Indicates date of trade referenced in this message Identifies status of allocation Valid values: 0 = accepted 1 = block level reject 3 = received (not yet processed) 7 = Reversed Identifies reason for rejection Valid values: 0 = Unknown account(s) 1 = Incorrect quantity 2 = Incorrect average price 5 = Unknown OrderID (37) 12 = Unknown ClOrdID (11) 7 = Other ( further in note 58= ) Standard Trailer Y Example of allocation message flow: Initiator New Order-Single (OrderQty=35000, Symbol=IBM, Side=1) Execution Report (ExecType = “0” [New]) OrderID=ABC) Execution Report (ExecType = “F”) [Trade] OrderID=ABC) New Order-Single (OrderQty=2000, Symbol=IBM, Side=1) Execution Report (ExecType = “0” [New]) OrderID=DEF) ClOrdID=123, Respondent (ClOrdID=123, (ClOrdID=123, ClOrdID=456, (ClOrdID=456, Execution Report (ExecType = “F”) [Trade] (ClOrdID=456, OrderID=DEF) Allocation Instruction (NoOrders=2, OrderID=ABC, ClOrdID=123, OrderID=DEF, ClOrdID=456) Allocation Instruction Ack (AllocStatus=Received Not Yet Processed") Allocation Instruction Ack (AllocStatus="Accepted") 70 FIX 4.4 Specifications 71 FIX 4.4 Specifications 6 Special Orders Visual Trader’s OMS offers some special order types which are internally managed without trader operation. Some of these types of order implements functionalities not available in the exchange, and some others allows to perform Algorithmic Trading to facilitate traders work. Type Functionality Order is triggered to the exchange when OnStop On Stop condition is matched. At Order is triggered to the exchange when open/close Open/Close auction starts. Order is triggered to the exchange at the time Timed pointed by trader. Also, orders can be cancelled at a specific time. A limit order price is sent to the exchange. Limit price is calculated by the system attending to current Limit to status of the order book in the exchange and trader’s Position position parameter received (BID1, BID2, ASK1, ASK2, …). Order will remain pegged to the order book level Pegged specified by the trader on order entry. Pegged order that follows the market only when price gets worse. Pegged Quick If price gets better, the order is not modified to get a faster execution. Order`s stop price will be replaced automatically if Trailing Stop market trend is favourable. In other case, order`s Peg behaviour will be like a common stop order. Algorithmic Trading order to achieve market VWAP VWAP (Volume Weighted Average Price) on a specific time period. Algorithmic Trading order to achieve TWAP (Time TWAP Weighted Average Price) on a specific time period. Algorithmic Trading order to achieve a specific POV percentage specified by the trader. 72 Availability M, WM, MI M, WM, F ALL (except PA, AS, BR, LS, MI, XHFT) Market Data of Executing Venue is needed AS, BR, F, LS, M, PA, WA, WM, XHFT AS, BR, F, LS, M, PA, WA, WM, XHFT M, WM AS, BR, LS, M, PA AS, BR, LS, M, PA AS, BR, LS, M, PA FIX 4.4 Specifications 6.1 On stop 6.2 At open / close 6.3 Timed 6.4 Limit to position Limit order on which the trader, instead of indicating a limit prices, indicates the position of the order book which price should be taken. When the OMS receives a Limit to Position order, it reads the order book of the security to get the price of the requested position and sends a limit order with this price. If pointed position does not exist, order will be rejected. It is possible to send buy orders limited to an ask position price and vice versa. In these cases, orders will attack the opposite side of the order book and remains limited if quantity is not completely filled 6.5 Pegged If there are no positions on the order book to which remain pegged, pegged order will be cancelled automatically too. A pegged order can be manually replaced by the trader at any time. If order type is modified to an exchange-supported type, the system will send the modification and stop watching the order anymore. 6.6 Pegged quick A Quick Pegged order is like a pegged order when price evolution of exchange’s order book is favourable (decreases for buy orders or increases for sell ones). If market evolution is not favourable, then order price is not modified. The result is that Quick Pegged orders are more likely to be executed than Pegged ones. 6.7 Trailing stop peg A trailing stop peg order behaves like a stop-loss order in case of unfavourable market evolution. On the opposite scenario, with a favourable market evolution, the system will replace order’s stop price to improve it accordingly. It could be seen also as a special type of pegged order in which the price to peg to the last one is the stop price. Stop price is modified only to improve it (increased on sell orders and decreased buy ones). If the trader specifies also a limit price for the order, this price is modified in parallel to the stop price. Order’s stop price can be specified in two different ways on introduction: As an absolute value (StopPx field): This is the traditional way, but if market is moving quickly, order can be rejected because of wrong stop price because last price could have changed while trader was preparing the order. As an offset referred to exchange’s last price: This possibility avoids the reject explained in the previous point. 73 FIX 4.4 Specifications It is required to specify StopPx or Offset, and only one of them. If both are specified, system will reject the order. This type of orders can’t be modified before OnStop condition is reached. Buy and sell example diagrams BUY StopPx 5 5 5 5 5 5 5 5 4,9 4,8 offset 0,5 4,6 LastPx 4,8 4,7 4,5 4,6 4,6 4,5 Trigger! 4,7 4,7 4,7 4,7 4,7 4,7 4,6 4,5 4,4 4,4 4,3 4,4 4,3 4,2 SELL 10,3 10,2 10,1 LastPx 10 10,2 10,1 10,1 9,9 9,9 9,8 9,8 9,8 9,8 9,7 StopPx 10,2 10 9,9 offset 0,4 10,2 10,3 9,6 9,6 9,6 9,6 9,6 74 9,9 9,9 9,9 9,9 10 9,9 9,9 Trigger! FIX 4.4 Specifications 6.8 AT Orders Tags required: Tag Token 21 HandlInst Long 2 Req Y 40 OrdType 1 Y 59 TimeInForce 1 N 847 TargetStrategy 1 Y 930 RefCompID 1 Y 10040 VTChildOrdType 1 Y 10044 VTChildPrice 18 N 10110 VTChildMinQty 15 N 10111 VTChildMaxFloor 15 N 10126 18004 VTExpireTime VTCloseQty 17 1 N N 18318 VTLeavesToMkt 1 N Descripción Instructions for the order management by the Broker. Valid values: 3= Manual Order Order type. Valid values: R = Algorithmic trading Indicates the order validity period. Valid values: 0 = GFD (Good For Day) The target strategy of the order. Valid values: 0 = TWAP 1 = VWAP 2 = POV Assigned value used to identify firm that handles the algorithmic trading order. Valud values: VT = Visual Trader Order type of child orders. Valid values: 1 = Market 2 = Limit P = Pegged K = Market To Limit Price per share of child orders. Required when 10040=2 Minimum number of shares of child orders. Maximum number of shares of child orders to be shown on the exchange floor at any given time. Expire time of the order Quantity reserved to close auction. Default 0 When VTExpireTime expires, remain shares are sent as market orders. Default N 75 FIX 4.4 Specifications If 10040=P (Pegged / Pegged quick), the next tags are required as well: Tag Token Long Req Descripción 10211 VTChildPegOffsetValue 18 Y Amount (signed) added to the price of the peg for a pegged child order in the context of the PegOffsetType 10837 VTChildPegLimitType N It can be Pegged or PeggedQuick If 10040=P (Pegged / Pegged quick), these tags can be used to define the pegged remain order type. The pegged remain order type is the order type which pegged order are replaced to, after achieving one of its final conditions. Its final conditions are: Pegged order must be pegged to a price over its limit price (defined in the firm policy). Maximum number of replace requests has been reached (defined in the firm policy). Tag 11111 Token VTChildTriggerOrderType 17211 VTChildVTPegOffsetValue Long Req N Descripción Default = 2 N Limit to position 76 FIX 4.4 Specifications VWAP Tags required: Tag 10030 Token VTCloseBin Long Req Descripción This order’s purpose is to achieve market VWAP within a time interval defined by the trader. In order to minimise market impact, the system slices AT order in a series of child orders, which volume is calculated looking to the diary volume shape and to trades’ average quantity during each period in which the security is being traded. Each child order’s volume calculation includes a random factor to make difficult to other market participants to identify them as belonging to the same AT order. Diary volume shape is calculated based on the security historic trading of last 70 sessions, and it is updated on each end of day automatically. TWAP Tags required: Tag 10030 Token VTCloseBin Long Req Descripción On this strategy, the quantity of the AT order is divided on equal parts, according to the requested period of time, making constant the quantity of child orders constant sent to the exchange. Quantity of child orders is calculated attending to the average traded quantity at exchange, diverted with a random factor. POV Tags required: Tag 10516 Token VTOrderPercent Long Req Y Descripción This algorithm’s purpose is to participate into exchange’s traded volume with a certain percentage, defined by the trader on order introduction. For each 100 shares traded at exchange, X shares will de sent by the algorithm, where X is the user defined percentage. Parameters Qty and Price are mandatory, but they are used just as limits: order will stop participating if order’s traded volume exceeds order Qty or security last price is worst than order Price. 77 FIX 4.4 Specifications 78 FIX 4.4 Specifications 7 APPENDIX A Exchange codes supported by VT: Market Code AS AT AX BK BR BU CB CM CO CW CY EQ F3 FG F G1 HE HK I IS L LS M XLAT MABX MERF MARF SEND M1 M3 MI N NZ O OL PA PR PS S Market Name Market BOLSA DE AMSTERDAM CAC ATENAS (GRECIA) ATE AUSTRALIA STOCK EXCH AUE TAILANDIA THSE BRUSELAS CAC BUDAPEST (HUNGRIA) BUDA CHICAGO BOARD TRADE CBOT CHIGAGO MERCANTILE CME COPENHAGEN SE COP WARRANTS-MILAN MIL CHIGAGO MERC. EN YEN CME EASDAQ EAS MONEP PARIS CME MONEP PARIS EN GPB CME BOLSA DE FRANKFURT FRAK EUREXI EURE HELSINKY STOCK EXCHA HEL HONG-KONG HKSE DUBLIN-IRISH SE IRL ESTAMBUL (TURQUIA) TUR BOLSA DE LONDRES LOND LISBOA EURONEXT CAC BOLSA DE MADRID MAD LATIBEX MAD MERCADO ALTERNATIVO MAD BURSATIL MERC. ELECTRONICO DE RENTA MAD FIJA MERC. ALTERNATIVO DE RENTA MAD FIJA SEND MAD MEFF RENTA FIJA MEFF MEFF RENTA VARIABLE MEFF BOLSA DE MILAN MIL BOLSA DE NEW YORK NYSE NUEVA ZELANDA NZSE NASDAQ NMS OSLO-BORS OSL NUEVO SUPER CAC PAR CAC PRAGA (REP.CHECA) PR FILIPINAS PSSE SUIZA STOCK EXCHA SWS 79 FIX 4.4 Specifications SI SN ST T TO VI VX WA WM SINGAPUR TELEPREGON -CHILE BOLSA DE ESTOCOLMO TOKYO STOCK EXCHANGE TORONTO SE VIENA SE VIRTUAL-X (SUIZA) VARSOVIA (POLONIA) WARRANTS-MADRID SISE BCS STOC T TOR VI VTX POL MAD 80 FIX 4.4 Specifications APPENDIX B About stocks codification: Visual Trader supports Mnemonic symbol (tag 55 Symbol, mandatory for FIX messages) and other type of symbol, depending the content of tag 22 IDSource (ISIN, CUSIP, SEDOL or RIC). This second code identification is included in tag 48 SecurityID and is optional. Lets see the different options we have to identify the symbol codes in the Visual Trader System depending on the information sent in the New Order Single message: Case 1. Only mnemonic code -tag 55 Symbol- is sent in the order entry message: This mnemonic code is checked with our VT Data Base and, if the validation is OK, the order is passed to the VT system with this mnemonic code. Case 2. Mnemonic -tag 55- and secondary code identification - tag 48- are sent in the order entry message: In this case we only take into account the secondary code identification (only this code is validated against the VT Securities Database), ignoring the mnemonic code received. Lets explain the possible subcases in detail: Case 2.1. The secondary code does not exist in our DB: By default, the order is rejected, but this behaviour could be changed to allow it. If you prefer this second behaviour, please contact Visual Trader Support to change your configuration details. Case 2.2. Secondary code exists in our DB: The order is passed to the VT system with the received secondary code and the corresponding mnemonic code in the VT Securities Database. 81 FIX 4.4 Specifications 8 APPENDIX C Message flow of Stop Orders simulated by Visual Trader OMS: Stop order with no modifications 8=FIX.4.4 9=154 35=D 34=4 49=USER2 52=2011022813:12:41 56=EXAMF 115=1001 128=643 11=OR7493243 21=1 38=333 40=3 54=1 55=ROU2 59=0 60 =20110228-13:12:41 99=8.1 100=M 207=M 10=224 8=FIX.4.4 9=335 35=8 34=4 49=EXAMF 52=2011022812:13:09.807 56=USER2 115=643 128=1001 6=0.000000 11=OR7493243 14=0 17=11022813124146411 43 21=1 30=M 31=0 32=0 37=1102281312413949510 38=333 39=0 40=3 54=1 55=ROU2 58=OMS0079-order sent to OMS-ROBOT for watching stop order 59=0 60=2011022812:12:41 99=8.1 103=99 150=0 151=333 207=M 526=OR7493243 636=N 10=221 8=FIX.4.4 9=305 35=8 34=5 49=EXAMF 52=2011022812:32:09.571 56=USER2 115=643 128=1001 6=0.000000 11=OR7493243 14=0 15=EUR 17=SBE110228 1331412678375 21=1 30=M 31=0 32=0 37=1102281312413949510 38=333 39=0 40=1 54=1 55=ROU 2 59=0 60=2011022812:31:41 150=0 151=333 198=201102280000236 207=M 526=OR7493243 636=Y 8116=A 10=183 8=FIX.4.4 9=332 35=8 34=6 49=EXAMF 52=2011022812:32:09.582 56=USER2 115=643 128=1001 6=8.400000 11=OR7493243 14=15 15=EUR 17=SBE11022 81331412736168 21=1 30=M 31=8.4 32=15 37=1102281312413949510 38=333 39=1 40=1 54=1 55= ROU2 59=0 60=2011022812:31:41 150=F 151=318 198=201102280000236 207=M 375=9880 526=OR7493243 527=0000071 56 81=CV 8116=A 10=016 Stop order modify before stop price is reached Pending messages are sent depending on your configuration. 8=FIX.4.4 9=157 35=D 34=40 49=USER2 52=2011052315:03:41 56=EXAMF 115=1001 128=643 11=OR9743992 21=1 38=123 40=3 54=1 55=ROU1 59=0 60 =20110523-15:03:41 99=55.44 100=M 207=M 10=131 8=FIX.4.4 9=203 35=8 34=52 49=EXAMF 52=2011052313:03:43.156 56=USER2 115=643 128=1001 6=0 11=OR9743992 14=0 17=1105231503431558442 31= 0 32=0 37=NONE 38=123 39=A 40=3 44=0 54=1 55=ROU1 59=0 99=55.44 150=A 151=123 207=M 10=241 8=FIX.4.4 9=338 35=8 34=53 49=EXAMF 52=2011052313:03:43.377 56=USER2 115=643 128=1001 6=0.000000 11=OR9743992 14=0 17=11052315034317061 89 21=1 30=M 31=0 32=0 37=1105231503431676526 38=123 39=0 40=3 54=1 55=ROU1 58=OMS82 FIX 4.4 Specifications 0079-order sent to OMS-ROBOT for watching stop order 59=0 60=2011052313:03:43 99=55.44 103=99 150=0 151=123 207=M 526=OR9743992 636=N 10=154 8=FIX.4.4 9=174 35=G 34=41 49=USER2 52=2011052315:03:53 56=EXAMF 115=1001 128=643 11=MODOR9743993 21=1 38=444 40=3 41=OR9743992 54=1 55=ROU1 59=0 60=2011052315:03:53 99=55.44 100=M 207=M 10=095 8=FIX.4.4 9=234 35=8 34=54 49=EXAMF 52=2011052313:03:54.570 56=USER2 115=643 128=1001 6=0 11=MODOR9743993 14=0 17=1105231503545703465 31=0 32=0 37=NONE 38=123 39=E 40=3 41=OR9743992 44=0 54=1 55=ROU1 59=0 99=55.44 150=E 151=123 207=M 526=OR9743992 10=200 8=FIX.4.4 9=292 35=8 34=55 49=EXAMF 52=2011052313:03:54.581 56=USER2 115=643 128=1001 6=0.000000 11=MODOR9743993 14=0 17=1105231503545756963 21=1 30=M 31=0 32=0 37=1105231503431676526 38=4 44 39=0 40=3 41=OR9743992 54=1 55=ROU1 59=0 60=2011052313:03:54 99=55.44 150=5 151=123 207=M 526=MOD-OR9743993 636=N 10=204 8=FIX.4.4 9=346 35=8 34=56 49=EXAMF 52=2011052313:03:54.584 56=USER2 115=643 128=1001 6=0.000000 11=MODOR9743993 14=0 17=1105231503545793356 21=1 30=M 31=0 32=0 37=1105231503431676526 38=4 44 39=0 40=3 54=1 55=ROU1 58=OMS-0079-order sent to OMS-ROBOT for watching stop order 59=0 60=2011052313:03:54 99=55.44 103=99 150=0 151=123 207=M 526=MOD-OR9743993 636=N 10=202 Stop order modify before stop price is reached, but modification is rejected In this case, order is rejected and it will not hit the market. 8=FIX.4.4 9=157 35=D 34=45 49=USER2 52=2011052315:07:26 56=EXAMF 115=1001 128=643 11=OR3925042 21=1 38=123 40=3 54=1 55=ROU1 59=0 60 =20110523-15:07:26 99=55.44 100=M 207=M 10=132 8=FIX.4.4 9=203 35=8 34=65 49=EXAMF 52=2011052313:07:28.094 56=USER2 115=643 128=1001 6=0 11=OR3925042 14=0 17=1105231507280937454 31= 0 32=0 37=NONE 38=123 39=A 40=3 44=0 54=1 55=ROU1 59=0 99=55.44 150=A 151=123 207=M 10=245 8=FIX.4.4 9=338 35=8 34=66 49=EXAMF 52=2011052313:07:28.110 56=USER2 115=643 128=1001 6=0.000000 11=OR3925042 14=0 17=11052315072809705 43 21=1 30=M 31=0 32=0 37=1105231507280947890 38=123 39=0 40=3 54=1 55=ROU1 58=OMS0079-order sent to OMS-ROBOT for watching stop order 59=0 60=2011052313:07:28 99=55.44 103=99 150=0 151=123 207=M 526=OR3925042 636=N 10=135 8=FIX.4.4 9=192 35=G 34=46 49=USER2 52=2011052315:07:37 56=EXAMF 115=1001 128=643 11=MOD83 FIX 4.4 Specifications OR3925043 21=1 38=444 40=3 41=OR3925042 54=1 55=ROU1 59=0 60=2011052315:07:37 99=2 100=M 126=20111116-00:00:00 207=M 10=163 8=FIX.4.4 9=234 35=8 34=67 49=EXAMF 52=2011052313:07:39.541 56=USER2 115=643 128=1001 6=0 11=MODOR3925043 14=0 17=1105231507395411727 31=0 32=0 37=NONE 38=123 39=E 40=3 41=OR3925042 44=0 54=1 55=ROU1 59=0 99=55.44 150=E 151=123 207=M 526=OR3925042 10=159 8=FIX.4.4 9=288 35=8 34=68 49=EXAMF 52=2011052313:07:39.559 56=USER2 115=643 128=1001 6=0.000000 11=MODOR3925043 14=0 17=1105231507395465777 21=1 30=M 31=0 32=0 37=1105231507280947890 38=4 44 39=0 40=3 41=OR3925042 54=1 55=ROU1 59=0 60=2011052313:07:39 99=2 150=5 151=123 207=M 526=MOD-OR3925043 636=N 10=246 8=FIX.4.4 9=342 35=8 34=69 49=EXAMF 52=2011052313:07:39.564 56=USER2 115=643 128=1001 6=0.000000 11=MODOR3925043 14=0 17=1105231507395569200 21=1 30=M 31=0 32=0 37=1105231507280947890 38=4 44 39=0 40=3 54=1 55=ROU1 58=OMS-0079-order sent to OMS-ROBOT for watching stop order 59=0 60=20110523-13:07:39 99=2 103=99 150=0 151=123 207=M 526=MODOR3925043 636=N 10=235 8=FIX.4.4 9=357 35=8 34=70 49=EXAMF 52=2011052313:07:39.928 56=USER2 115=643 128=1001 6=0.000000 11=MODOR3925043 14=0 17=1105231507398818834 21=1 30=M 31=0 32=0 37=1105231507280947890 38=4 44 39=8 40=3 54=1 55=ROU1 58=OMS-0107-Rejected by (1001, R1001): RBT-9006-Invalid buy stop-px: must be >= lastpx 59=0 60=2011052313:07:39 99=2 103=99 150=8 151=0 207=M 526=OR3925042 10=092 Stop order rejected 8=FIX.4.4 9=153 35=D 34=47 49=USER2 52=2011052315:10:28 56=EXAMF 115=1001 128=643 11=OR6351979 21=1 38=123 40=3 54=1 55=ROU1 59=0 60 =20110523-15:10:28 99=2 100=M 207=M 10=187 8=FIX.4.4 9=199 35=8 34=71 49=EXAMF 52=2011052313:10:30.387 56=USER2 115=643 128=1001 6=0 11=OR6351979 14=0 17=1105231510303865789 31= 0 32=0 37=NONE 38=123 39=A 40=3 44=0 54=1 55=ROU1 59=0 99=2 150=A 151=123 207=M 10=0 58 8=FIX.4.4 9=334 35=8 34=72 49=EXAMF 52=2011052313:10:30.395 56=USER2 115=643 128=1001 6=0.000000 11=OR6351979 14=0 17=11052315103039006 07 21=1 30=M 31=0 32=0 37=1105231510303882054 38=123 39=0 40=3 54=1 55=ROU1 58=OMS0079-order sent to OMS-ROBOT for watching stop order 59=0 60=2011052313:10:30 99=2 103=99 150=0 151=123 207=M 526=OR6351979 636=N 10=161 8=FIX.4.4 9=353 35=8 34=73 49=EXAMF 52=2011052313:10:30.411 56=USER2 115=643 128=1001 6=0.000000 11=OR6351979 14=0 17=11052315103039723 01 21=1 30=M 31=0 32=0 37=1105231510303882054 38=123 39=8 40=3 54=1 55=ROU1 58=OMS84 FIX 4.4 Specifications 0107-Rejected by (1001, R1001): RBT-9006-Invalid buy stop-px: must be >= lastpx 59=0 60=2011052313:10:30 99=2 103=99 150=8 151=0 207=M 526=OR6351979 10=008 Stop order, stop price is reached, partially executed and cancelled 8=FIX.4.4 9=164 35=D 34=48 49=USER2 52=2011052315:12:28 56=EXAMF 115=1001 128=643 11=OR2985676 21=1 38=123 40=4 44=8.13 54=1 55=ROU1 59=0 60=20110523-15:12:28 99=8.12 100=M 207=M 10=205 8=FIX.4.4 9=205 35=8 34=74 49=EXAMF 52=2011052313:12:29.928 56=USER2 115=643 128=1001 6=0 11=OR2985676 14=0 17=1105231512299278342 31= 0 32=0 37=NONE 38=123 39=A 40=4 44=8.13 54=1 55=ROU1 59=0 99=8.12 150=A 151=123 207=M 10=112 8=FIX.4.4 9=345 35=8 34=75 49=EXAMF 52=2011052313:12:29.950 56=USER2 115=643 128=1001 6=0.000000 11=OR2985676 14=0 17=11052315122993610 35 21=1 30=M 31=0 32=0 37=1105231512299338422 38=123 39=0 40=4 44=8.13 54=1 55=ROU1 5 8=OMS-0079-order sent to OMS-ROBOT for watching stop order 59=0 60=2011052313:12:29 99=8.12 103=99 150=0 151=123 207=M 526=OR2985676 636=N 10=220 8=FIX.4.4 9=315 35=8 34=76 49=EXAMF 52=2011052313:13:09.212 56=USER2 115=643 128=1001 6=0.000000 11=OR2985676 14=0 15=EUR 17=SBE110523 1513092062161 21=1 30=M 31=0 32=0 37=1105231512299338422 38=123 39=0 40=2 44=8.13 54=1 55=ROU1 59=0 60=2011052313:13:09 150=0 151=123 198=201105230002545 207=M 526=OR2985676 636=Y 8116=A 10=148 8=FIX.4.4 9=352 35=8 34=77 49=EXAMF 52=2011052313:13:30.570 56=USER2 115=643 128=1001 6=8.130000 11=OR2985676 14=40 15=EUR 17=SBE11052 31513305588051 21=1 30=M 31=8.13 32=40 37=1105231512299338422 38=123 39=1 40=2 44=8.13 54=1 55=ROU1 59=0 60=2011052313:13:30 150=F 151=83 198=201105230002545 207=M 375=9843 381=325.2 526=OR2985676 527=00 00269 5681=CV 8116=A 10=206 8=FIX.4.4 9=195 35=G 34=49 49=USER2 52=2011052315:13:58 56=EXAMF 115=1001 128=643 11=MODOR2985677 21=1 38=333 40=2 41=OR2985676 44=8.13 54=1 55=ROU1 59=0 60=2011052315:13:58 100=M 126=20111116-00:00:00 207=M 10=087 8=FIX.4.4 9=239 35=8 34=78 49=EXAMF 52=2011052313:14:00.069 56=USER2 115=643 128=1001 6=8.13 11=MODOR2985677 14=40 17=1105231514000688625 31=0 32=0 37=NONE 38=123 39=E 40=2 41=OR298567 6 44=8.13 54=1 55=ROU1 59=0 150=E 151=83 207=M 526=OR2985676 10=210 8=FIX.4.4 9=316 35=8 34=79 49=EXAMF 52=2011052313:14:00.119 56=USER2 115=643 128=1001 6=8.130000 11=MODOR2985677 14=40 15=EUR 17=SBE1105231514001044284 21=1 30=M 31=0 32=0 37=1105231512299 338422 38=333 39=1 40=2 41=OR2985676 44=8.13 54=1 55=ROU1 59=0 60=2011052313:14:00 150=5 151=293 198=201105230002545 207=M 526=MOD-OR2985677 10=185 85 FIX 4.4 Specifications 8=FIX.4.4 9=145 35=F 34=53 49=USER2 52=2011052315:15:35 56=EXAMF 115=1001 128=643 11=CAN8901018 38=123 41=MODOR2985677 54=1 55=ROU1 60=20110523-15:15:35 207=M 10=049 8=FIX.4.4 9=237 35=8 34=83 49=EXAMF 52=2011052313:15:37.153 56=USER2 115=643 128=1001 6=8.13 11=CAN8901018 14=40 17=1105231515371524647 31=0 32=0 37=NONE 38=333 39=6 40=2 41=MODOR2985677 44=8.13 54=1 55=ROU1 59=0 150=6 151=293 207=M 526=MOD-OR2985677 10=164 8=FIX.4.4 9=319 35=8 34=84 49=EXAMF 52=2011052313:15:37.181 56=USER2 115=643 128=1001 6=8.130000 11=CAN8901018 14=40 15=EUR 17=SBE1105 231515371710918 21=1 30=M 31=0 32=0 37=1105231512299338422 38=333 39=4 40=2 41=MODOR2985677 44=8.13 54=1 55=ROU1 59=0 60=2011052313:15:37 84=293 150=4 151=0 198=201105230002545 207=M 526=CAN8901018 10=236 86 FIX 4.4 Specifications 9 Appendix D: Trade Capture Report Message Flow Trade Request submitted by market member (buyer or seller) 487= 0 856= 0 39=Z 150= b 856= 0 39=A 150= A 856= 1 39=W 150=a 856= 1 Some markets require market member to confirm request if a quantity/price alarm is raised: 487= 0 856= 0 39=W 150=a 856= 4 487=3 856=30 87 FIX 4.4 Specifications 88 FIX 4.4 Specifications Scenary 1: Counterparty accepts TradeCapture 487= 0 856= 2 39=0 150= 0 856= 1 39=2 150= F 856= 2 39=0 150= 0 856= 0 39=2 150= F 856= 2 89 FIX 4.4 Specifications Scenary 2: Counterparty declines TradeCapture 487= 0 856= 3 39=8 150= 8 856= 3 39=8 150= 8 856= 3 90 FIX 4.4 Specifications Scenary 3: Market member who begins operation decides to cancel it 487= 1 856= 6 39=4 150= 4 856= 6 39=4 150= 4 856= 6 91 FIX 4.4 Specifications If a TradeCapture message is rejected, TradeCaptureReportAck message will be send with an explanatory text about the rejection reason into tag 58. 35=AE 35=AR 939=1 92 FIX 4.4 Specifications Execution can be cancelled if market allows it. Message flow in this case should be: 487= 1 856= 6 39=4 150= 4 856= 6 39=4 150= 4 856= 6 Execution can be cancelled from market supervision: 39=4 150= 4 856= 9 39=4 150= 4 856= 9 And it may arrives as well: 39=4 150= H 856= 9 39=4 150= H 856= 9 93 FIX 4.4 Specifications Execution must be confirm to be cancelled. Some markets require to confirm the execution cancellation. Market member decides to cancel the execution 487= 1 856= 6 39=Z 150=6 856=14 39=W 150=6 856=14 Counterparty accepts cancellation 487=4 856=6 39=4 150=4 856=9 39=4 150=4 856=9 94 FIX 4.4 Specifications Scenario 4: Party and counterparty are the same 487= 0 856= 0 39=0 150= 0 856= 0 39=2 150= F 856= 2 95 FIX 4.4 Specifications 10 APPENDIX D Within HF SMART market, when an order is not entered by an authorized trader, and its size is greater than the filter for routed orders, the system requires the validation by an authorized trader. maX can be used to send this validation to SMART market, using FIX connection order you can only modify size to introduce order into market. New Order: 8=FIX.4.4 9=158 35=D 34=5 49=USER2 52=2012021409:08:47 56=EXAMF 115=1001 128=643 11=OR1741834 21=1 38=20000000 40=1 54=1 55=ROU2 59 =0 60=20120214-09:08:47 100=M 207=M 528=A 10=183 8=FIX.4.4 9=431 35=8 34=5 49=EXAMF 52=2012021408:08:48.240 56=USER2 115=643 128=1001 6=0.000000 11=OR1741834 14=0 15=EUR 17=SMR120214 0908482255371 21=1 22=4 30=M 31=0 32=0 37=1202140908481809463 38=20000000 39=0 40=1 48 =FOR000971540 54=1 55=ROU2 58=Confirme operador autorizado 59=0 60=2012021408:08:48 150=0 151=20000000 198=20120214EQ090000159 207=M 453=4 448=357 452=12 448=886 5 452=1 448=357 452=11 448=8865 452=13 526=OR1741834 528=A 636=N 10=082 8=FIX.4.4 9=170 35=G 34=7 49=USER2 52=2012021409:09:32 56=EXAMF 115=1001 128=643 11=MOD6818142 21=1 38=200000 40=1 41=OR1741834 54= 1 55=ROU2 59=0 60=20120214-09:09:32 100=M 207=M 528=A 10=061 8=FIX.4.4 9=410 35=8 34=7 49=EXAMF 52=2012021408:09:32.863 56=USER2 115=643 128=1001 6=0.000000 11=MOD6818142 14=0 15=EUR 17=SMR1202 140909328531227 21=1 22=4 30=M 31=0 32=0 37=1202140908481809463 38=200000 39=0 40=1 41 =OR1741834 48=FOR000971540 54=1 55=ROU2 59=0 60=2012021408:09:32 150=5 151=200000 198=20120214EQ090000159 207=M 453=4 448=357 452=12 448=8865 452=1 448=357 452=11 448=8865 452=13 526=MOD6818142 528=A 636=Y 10=019 Modify: 8=FIX.4.4 9=158 35=D 34=4 49=USER2 52=2012021410:16:59 56=EXAMF 115=1001 128=643 11=OR4257544 21=1 38=3 40=2 44=9.7 54=1 55=ROU2 59= 0 60=20120214-10:16:59 100=M 207=M 528=A 10=163 8=FIX.4.4 9=387 35=8 34=22 49=EXAMF 52=2012021409:16:59.782 56=USER2 115=643 128=1001 6=0.000000 11=OR4257544 14=0 15=EUR 17=SMR120214 1016597761408 21=1 22=4 30=M 31=0 32=0 37=1202141016597675437 38=3 39=0 40=2 44=9.7 48 =FOR000971540 54=1 55=ROU2 59=0 60=2012021409:16:59 150=0 151=3 198=20120214EQ090000686 207=M 453=4 448=357 452=12 448=8865 452=1 448=357 452=11 448=8865 452=13 526=OR4257544 528=A 10=103 8=FIX.4.4 9=179 35=G 34=5 49=USER2 52=2012021410:17:14 56=EXAMF 115=1001 128=643 11=MOD1608932 21=1 38=20000000 40=2 41=OR4257544 4 4=9.7 54=1 55=ROU2 59=0 60=20120214-10:17:14 100=M 207=M 528=A 10=217 96 FIX 4.4 Specifications 8=FIX.4.4 9=223 35=9 34=23 49=EXAMF 52=2012021409:17:14.326 56=USER2 115=643 128=1001 11=MOD1608932 37=1202141016597675437 39=0 41=OR 4257544 58=Confirme operador autorizado 60=2012021409:17:14 198=20120214EQ090000686 434=2 526=OR4257544 10=173 97 FIX 4.4 Specifications 11 APPENDIX E Fixed income and public debt into SIBE Market TIPOS DE ACTIVO VALORES AIAF SISTEMA SEND Tipo de Activo Nombre A1 Cedulas cupón fijo A2 Cedulas cupón variable A3 Bonos y Obligaciones cupón fijo A4 Bonos y Obligaciones cupón variable A5 Pagarés A6 Participaciones Preferentes A7 Titulización Tipo de Forma de Negociar desembolso Ex cupón con cálculo del TIR Nominal Ex cupón sin cálculo del TIR Nominal Ex cupón con cálculo del TIR Nominal Ex cupón sin cálculo del TIR Nominal Rentabilidad Descuento Con cupón sin cálculo del TIR Nominal Ex cupón sin cálculo del TIR Nominal RENTA FIJA BURSATIL Tipo de Activo Nombre EB Bonos simples EO Obligaciones simples EC Bonos y Obligaciones convertibles EM Bonos Matador ES Bonos y Obligaciones sin cálculo de TIR EF Cajas y Bancos: Entidades Financieras EQ Varios Forma de Negociar Ex cupón con cálculo del TIR Ex cupón con cálculo del TIR Ex cupón con cálculo del TIR Ex cupón con cálculo del TIR Ex cupón sin cálculo del TIR Con cupón sin cálculo del TIR Con cupón sin cálculo del TIR DEUDA PUBLICA BURSATIL Tipo de Activo Nombre Forma de Negociar UA Deuda Autonómica anotada en B.E. Ex cupón con cálculo del TIR UB Bonos del Estado Ex cupón con cálculo del TIR Deuda Entidades Públicas Anotada en UE B.E. Ex cupón con cálculo del TIR UO Obligaciones del Estado Ex cupón con cálculo del TIR UC Cupones segregados Rentabilidad UG Pagarés Anotados Rentabilidad UL Letras del Tesoro Rentabilidad UP Principal segregado Rentabilidad BOLSA DE BARCELONA DEUDA PUBLICA DE CATALUNYA Tipo de Activo Nombre B1 Bonos Generalitat de Catalunya Forma de Negociar Ex cupón con cálculo del TIR MERCADO AUTONOMICO DE DEUDA PUBLICA EN ANOTACIONES DE LA GENERALITAT EN LA BOLSA DE VALORES DE VALENCIA 98 Tipo de desembolso Nominal Nominal Nominal Nominal Nominal Nominal Nominal Tipo de desembolso Nominal Nominal Nominal Nominal Descuento Descuento Descuento Descuento Tipo de desembolso Nominal FIX 4.4 Specifications Tipo Activo V1 V2 de Nombre Bonos Cupón Fijo Deuda Autonómica Valenciana Bonos Cupón Variable Deuda Autonómica Valenciana 99 Tipo de Forma de Negociar desembolso Ex cupón con cálculo del TIR Nominal Con cupón sin cálculo del TIR Nominal FIX 4.4 Specifications 12 APPENDIX F When an order is sent to Spanish Fixed Income, Order Capacity must be set to one of this values: Tag 528 Token OrderCapacity Long 1 Req N Descripción Possible values: A = Agency P = Principal S = Specialist O = Principal ( Madrid ) F = Agency ( Madrid ) Q = Specialist ( Madrid ) R = Principal ( Barcelona ) G = Agency (Barcelona) T = Specialist (Barcelona) U = Principal ( Valencia ) V = Agency (Valencia) W = Specialist (Valencia) X = Principal ( Bilbao ) Y = Agency (Bilbao) Z = Specialist (Bilbao) 100
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