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FIX Adapter Reference

New Order – Single (D)

Purpose

Used to submit a new order to TT FIX Adapter

Message Direction

From FIX client to TT FIX Adapter

Message Availability

Use Case Price Session Order Session

Drop Copy

Yes No

Order Routing

Yes Yes

Supported Tags

Tag # Field Name Req’d Comments
Component Block <Standard Header>

Y

35=D (MsgType)
11 ClOrdID Y

Unique identifier for Order as assigned by institution (identified by SenderCompID or OnBehalfOfCompID as appropriate).

Uniqueness must be guaranteed within a single trading day. Firms, particularly those which electronically submit multi-day orders, trade globally or throughout market close periods, should ensure uniqueness across days, for example by embedding a date within the ClOrdID field.

Data type: String

18220

TTBrokerID C

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

Condition: Required in the TT X_TRADER ASP environment when the user is permissioned to trade the contract through more than one broker.

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

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

Condition: Required when submitting 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
  • 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.

Data type: 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

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.
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.

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

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.

For more information, refer to Multi-flavor TT Gateway order routing.

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)

Component Block <Standard Trailer> Y

Message Notes

The New Order Single (D) message is used by FIX clients to submit an order for a single contract.

Multi-flavor TT Gateway order routing

TT FIX Adapter supports multi-flavor gateway order routing, as follows:

  • If a FIX client user is configured to connect to two (or more) flavors of the same TT Gateway (such as CME-A and CME-B), and the contract for which the order is being routed is available on more than one of these TT Gateways, then this message must set Tag 18203 (ExchangeGateway) to indicate to which TT Gateway the order should be routed. Otherwise, Tag 18203 (ExchangeGateway) is not required.
  • FIX clients can determine the list of TT Gateways on which a contract is available by performing a Security Definition Request (c). The resultant Security Definition (d) messages contain this information in tags 18206 (NoGateways) and 18203 (ExchangeGateway).

Related Information

Execution Report (8)

Order Cancel/Replace Request (G)