Order Cancel/Replace Request (G) MiFID II

Purpose

Used to change an existing order

Message Direction

From FIX client to TT FIX Adapter

Message Availability

Use Case Price Session Order Session

Drop Copy

No No

Order Routing

No Yes

Supported Tags

Tag # Field Name Req’d Comments
Component Block <Standard Header> Y 35=G (MsgType)
41 OrigClOrdID CY

Original order ID. Equal to the current value of Tag 11 (ClOrdID) of the order that this message modifies.

Data type: string

Condition: Must include either Tag 37 (OrderID) or Tag 41 (OrigClOrdID)

Note: Tag 11 (ClOrdID) of an order can change over time.

11 ClOrdID Y

New ID for the canceled order. This value must be unique since the last TT FIX Adapter reset.

Data type: string

37 OrderID C

Internal TT order key assigned to all orders submitted through any TT software. The value remains constant for the life of an order.

Data type: String

Condition: Must include either Tag 37 (OrderID) or Tag 41 (OrigClOrdID)

18220

TTBrokerID N

The TT Broker ID. Valid values are the short codes for the brokers, which can be found in the company administration section of the TT User Setup client.

Data type: string

Default value: none

Additional Information:

If provided, the value must match that of the working order.

60 TransactTime C

Time, in UTC, that the FIX Client submitted the message.

Data type: UTCTimestamp

Condition: Required if the FIX Adapter configuration sets the Stale Order Timeout option for the FIX session in the FIX Adapter configuration. For more information, refer to the TT FIX Adapter System Administration Manual.

Component Block <Instrument> Y

For tags to include in the Instrument Component Block and any restrictions in their use, refer to Component block: Instrument (FIX client request)

Component Block <Underlying Instrument> Y

Condition: Required when Tag 167 (SecurityType) of the instrument in the Instrument Component Block is MLEG and you specify the instrument by its name instead of its security ID. For more information about specifying instruments by name, refer to Component block: Instrument (FIX client request).

For tags to include in the Underlying Instrument Component Block and any restrictions in their use, refer to Component block: Underlying instrument.

Component Block <Trader> Y

For tags to include in the Trader Component Block and any restrictions in their use, refer to Component block: Trader.

18 ExecInst C

Order execution instructions. Possible values include:

  • 1: Not held (default)
  • 5: Held

Data type: MultipleCharValue

Condition: To submit a new order in “held” status, set this tag value to 5.

Condition: Required when submitting or releasing a hold order

21 HandlInst C

Order handling instructions. TT supports only the value 3 (Staged Order, broker intervention required).

Data type: int

Condition: Required when submitting a staged order

44 Price C

Limit price for limit orders

Data type: Price

Condition: Required when Tag 40 (OrdType) is:

  • 2 : Limit
  • 4 : Stop Limit
  • B : LOC
  • O : LSM (supported only for TT Eurex and EurexPF Gateways 7.8.0 or higher)
  • Q : MLM
  • V : Stop Best Limit
  • W : Limit If Touched (LIT)

Note: TT FIX Adapter converts the price from a string to a double value. If the converted price is within one ten-thousandth of a tick from a tradable price, TT FIX Adapter rounds the value to the nearest price. Otherwise, TT FIX Adapter rejects the order.

99 StopPx C

Trigger price for a stop order.

Data type: Price

Condition: Required when Tag 40 (OrdType) is:

  • 3 : Stop
  • 4 : Stop Limit
  • J : Market If Touched (MIT)
  • O : LSM (supported only for TT Eurex and EurexPF Gateways 7.8.0 or higher)
  • S : Stop Market to Limit (without Limit Price)
  • T : Market to Limit (without Limit Price) If-Touched
  • V : Stop Best Limit
  • W : Limit If Touched (LIT)
  • X : Best Limit If Touched (BLIT)

Note: TT FIX Adapter converts the price from a string to a double value. If the converted price is within one ten-thousandth of a tick from a tradable price, TT FIX Adapter rounds the value to the nearest price. Otherwise, TT FIX Adapter rejects the order.

38 OrderQty Y

Total order quantity.

Data type: Qty

110 MinQty C

Minimum quantity for a Minimum Volume (MV) order.

Data type: Qty

Condition: Required for Minimum Volume (MV) orders

210 MaxShow C

Quantity to disclose for a disclosed quantity (Iceberg) order.

Qty

Condition: Required for disclosed quantity (Iceberg) orders

54 Side Y

Side of the order. Possible values include:

  • 1 : Buy
  • 2 : Sell

Data type: char

77 OpenClose N

Whether the order opens or closes a position. Possible values include:

  • O: Open (default, if unspecified)
  • C: Close
  • F: FIFO (currently supported only for the TT TOCOM Gateway)

Data type: char

59 TimeInForce N

How long an order remains active. Possible values include:

  • 0: Day
  • 1: Good Till Cancel (GTC)
  • 2: At The Opening (OPG)
  • 3: Immediate or Cancel (IOC)
  • 4: Fill Or Kill (FOK)
  • 6: Good Till Date
  • 8: Good in Session (GIS)
  • Z: At The Auction

Data type: char; default: 0

432 ExpireDate C

Date a Good Till Date order expires.

Data type: LocalMktDate

Condition: Required when Tag 59 (TimeInForce) = 6 (Good Till Date)

11028 ManualOrderIndicator N

Whether the order is sent manually or through automated trading logic. Valid values include:

  • Y: Manual
  • N: Automated

Data type: Char

16142 OrderOriginationID N

Order originator's location

Data type: String

Note: TT FIX Adapter forwards this tag only to TT CME Gateways 7.14.3 and above.

Additional Information:

If you provide this tag, TT FIX Adapter sends the value to the TT Gateway. Otherwise, TT FIX Adapter tries to populate the value from the information stored in TT User Setup for this FIX client User. If the value still cannot be determined, TT FIX Adapter does not send the tag.

For more information about valid values, refer to the TT CME Gateway help

40 OrdType Y

Type of order. Possible values include:

  • 1 : Market
  • 2 : Limit
  • 3 : Stop
  • 4 : Stop Limit
  • 5 : Market On Close (MOC)
  • B : Limit On Close (LOC)
  • J : Market If Touched (MIT)
  • O : Limit Stop Market (LSM)
  • Q : Market to Limit (with Limit Price)
  • R : Market to Limit (without Limit Price)
  • S : Stop Market to Limit (without Limit Price)
  • T : Market to Limit (without Limit Price) If-Touched
  • U : Best Limit (BL)
  • V : Stop Best Limit
  • W : Limit If Touched (LIT)
  • X : Best Limit If Touched (BLIT)

Data type: char

Additional Information:

  • Market On Open (MOO) orders require you to set Tag 40 (OrdType) = 1 (Market) and Tag 59 (TimeInForce) = 2 (At The Opening).
  • Market On Auction (MOA) orders require you to set Tag 40 (OrdType) = 1 (Market) and Tag 59 (TimeInForce) = Z (At the Auction).
  • Limit on Open (LOO) orders require you to set Tag 40 (OrdType) = 2 (Limit) and Tag 59 (TimeInForce) = 2 (At The Opening).
  • Market to Limit (without Limit Price) orders do not use Tag 44 (Price)
  • Market to Limit (without Limit Price) If-Touched orders require you to set a trigger price in Tag 99 (StopPx).
  • Best Limit (BL) orders do not use Tag 44 (Price).
  • Best Limit If Touched (BLIT) orders require you to set a trigger price in Tag 99 (StopPx) but not send Tag 44 (Price).
  • Stop Best Limit orders require you to set a trigger price in Tag 99 (StopPx).
  • Limit If Touched (LIT) orders require you to set a limit price in Tag 44 (Price) and a trigger price in Tag 99 (StopPx).
  • Market If Touched (MIT) orders require you to set a trigger price in Tag 99 (StopPx).

Notes:

  • Limit Stop Market (LSM) orders are supported only for TT Eurex and TT EurexPF Gateways 7.8.0 or higher.
  • For staged orders (Tag 21 (HandlInst)=3), FIX Adapter makes this tag value available to the broker, but does not enforce the order type.
16480 PassiveAggressive C

Whether to enter the order as a passive or aggressive order. Valid values include:

  • P: Passive
  • A: Aggressive (default if tag omitted)

Data type: char

Condition: Used only for BrokerTec orders

16481 AutoAggressive C

Whether the order should auto-aggress when an opposing passive order attempts to lock the market. Valid values include:

  • Y: Auto-agress the order (default if omitted)
  • N: Don’t auto-agress the order

Data type: char

Condition: Used only for BrokerTec orders

16104 TTUserTagData N

Data to supply with an order. It corresponds to the X_TRADER User Tag field.

Data type: String (15 character limit)

16105 TTOrderTagData N

Data to supply with an order. It corresponds to the X_TRADER Order Tag field.

Data type: String (15 character limit)

16106 StagedOrderMsg C

Message text associated with the staged order. Typically used to provide additional information to the broker responsible for managing the order.

Data type: String (256 character limit)

Condition: Valid only for staged orders (Tag 21 (HandlInst)=3)

16111 RoutingLevel C

Indicator of who can work the staged order. Possible values include:

  • B: Broker order visible to traders with TTORD and exchange trader logins
  • I: Internal order visible only to traders with TTORD logins

Data type: Character; Default: B

Condition: Valid only for staged orders (Tag 21 (HandlInst)=3)

18203 ExchangeGateway C

Name of a specific instance of a gateway, such as CME-A or CME-B.

Data type: String

Condition: Required when TT FIX Adapter connects to multiple flavors of the same TT Gateway that list the contract, unless the TT FIX Adapter configuration specifies a Market Name in the Gateway Connection settings that uniquely identifies the specific TT Gateway flavor.

The following tags are supported only for exchanges subject to the MIFID II regulations.
528

OrderCapcity

C

Designates the capacity of the firm placing the order. The value corresponds to the Trading Capacity setting for Customer Defaults in Setup.

Valid values include:

  • A: Agency (maps to AOTC)
  • P: Principal (maps to DEAL)
  • R: Riskless Principal (maps to MATCH)

Data type: char

Condition: Required for exchanges subject to MiFID II regulations.

1724

OrderOrigination

C

Identifies the origin of the order. whether the order was received from a customer of the firm, originated by the firm, or whether the order was received from another broker-dealer. The value corresponds to the Direct Electronic Access setting for Customer Defaults in Setup.

Valid values include:

  • 5: Order from a direct access or sponsored access customer
  • 99: Other

Data type: int

Condition: Required for exchanges subject to MiFID II regulations.

16566 DropCopyOrder C

Indicates the message is a drop copy order message or a pending execution report 35=8, 150=6, A or E). This tag is generated by TT FIX Adapter to provide a complete audit trail for the order, as required by the MiFID II regulations.

Data type: char

Condition: Sent only for Drop Copy FIX Adapter sessions on exchanages the are subject to MiFID II regulatations. When sent, the value of this tag will always be Y.

Note: FIX clients should not send this tag for incoming messages.

16901 FFT4 C

Free form text field that can be used to supply certain exchange-specific data.

Data type: String

Condition: Required only for specific MiFID II exchanges identified by TT; ignored for all others.

16902 FFT5 N

Free form text field for user-defined data that travels with order and execution messages but is not sent to the exchange.

Data type: String

16903 FFT6 N

Free form text field for user-defined data that travels with order and execution messages but is not sent to the exchange.

Data type: String

Group: OrderAttributesGrp Y

For tags to include in the OrderAttributesGrp and any restrictions in their use, refer to Group: OrderAttributesGrp

Group: PartiesGrp Y

For tags to include in the PartiesGrp and any restrictions in their use, refer to Group: PartiesGrp

Component Block <Standard Trailer> Y

Message Notes

The Order Cancel Replace Request (G) message is used by FIX clients to make changes to a previously submitted order.

Related Information

Execution Report (8)

Order Cancel Reject (9)

Order Cancel Request (F)