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FIX Adapter Reference

Enumerations

Tag 35 (MsgType)

Tag 35 (MsgType) supports the following values:

IDNameIDName
0HeartbeatFOrder Cancel Request
1Test RequestfSecurity Status
2Resend RequestGOrder Cancel Replace Request
3RejectHOrder Status Request
4Sequence ResetjBusiness Message Reject
5LogoutUANRequest For Position
8Execution ReportUAPPosition Report
9Order Cancel RejectUARGateway Status Request
ALogonUATGateway Status
cSecurity Definition RequestVMarket Data Request
DNew Order SingleWMarket Data Snapshot Full Refresh
dSecurity DefinitionXMarket Data Incremental Refresh
eSecurity Status RequestYMarket Data Request Reject

Tag 58 (Text)

When an order is rejected for risk violation reasons (Tag 39=8), TT FIX Adapter sends an Execution Report (8) with Tag 58 (Text) set to one of the following strings.

StringDescription

GW:ORDQEntered_Order_Qty > OQLMTMax_Order_Qty_Limit Additional_GW_specific_information

The maximum order quantity limit was exceeded.

GW:WCPComputed_Worst_Case_Position L(Long)/S(Short) > PLMTMax Position Limit

The maximum position limit was exceeded.

GW:Excds CrLmt (LMT<Max_P&L _Limit> +PLCurrent_P&L_MMargin=AVCalculation_ Result) Traders_Currency Additional_GW_specific_information

The maximum P&L or margin limit was exceeded.

Tag 207 (SecurityExchange)

Tag 207 (SecurityExchange) supports the following values.

  • BTec
  • BVMF
  • CFE
  • CME
  • eSpeed
  • Eurex
  • FIX
  • FIX-A...FIX-Z
  • ICE_IPE
  • LME
  • LSE
  • MEFF
  • MX
  • NASDAQ_OMX_EU
  • NYSE_Liffe
  • NYSE_Liffe_US
  • OSE
  • SFE
  • SGX
  • TFX
  • TOCOM
  • TTSIM

Some exchanges might list some products on other exchanges. For example, the European Climate Exchange lists products on ICE_IPE. For those products, you must specify ICE_IPE in Tag 207 (SecurityExchange).

Note: The BM&F BOVESPA exchange lists products on both CME and BVMF. If you have a TT CME Gateway, you must specify CME in Tag 207 (SecurityExchange). If you have a TT BVMF Gateway, you must specify BVMF in Tag 207 (SecurityExchange).

Exchange NameTag ValueExchange NameTag ValueExchange NameTag Value
BM&FBOVESPA*CME or BVMFEuronext LisbonNYSE_LiffeMontreal* ExchangeMontreal or MX
BrokerTecBTecEuronext ParisNYSE_Liffe

NASDAQ OMX Copenhagen

NASDAQ_OMX_EU
CBOE Futures Exchange*CBOE or CFEEuropean Climate ExchangeICE_IPE

NASDAQ OMX Stockholm

NASDAQ_OMX_EU

CCX Chicago Climate Futures ExchangeICE_IPEEuropean Energy ExchangeICE_IPE

NASDAQ OMX Helsinki

NASDAQ_OMX_EU

CME Group - CBOT*

CBOT or CMEGovExEris_GovEx

NASDAQ OMX Iceland

NASDAQ_OMX_EU
CME Group - CMECMEICE Futures CanadaICE_IPE

NASDAQ OMX NLX

NASDAQ_OMX_EU
CME Group - NYMEXCMEICE Futures EuropeICE_IPENYSE LiffeNYSE_Liffe
Dubai Mercantile ExchangeCMEICE Futures U.S.ICE_IPENYSE Liffe US*NYSE_Liffe_US or eCBOT
EBSEBSIntercontinental Exchange (ICE)ICE_IPEOsaka Security ExchangeOSE

Eris

Eris_GovExKansas City Board of TradeCBOTSingapore Exchange (SGX)SGX
eSpeedeSpeedLondon Metal ExchangeLMESydney Futures ExchangeSFE
EurexEurexLondon Stock ExchangeLSETokyo Commodity Exchange (TOCOM)TOCOM
CME Group - NYMEXCMEMEFFMEFFTokyo Financial ExchangeTFX
Euronext AmsterdamNYSE_LiffeMinneapolis Grain ExchangeCBOT
Euronext BrusselsNYSE_LiffeMontreal* Climate ExchangeMontreal or MX

* Use the value corresponding to the TT Gateway to which TT FIX Adapter connects

Tag 10762 (SecuritySubType)

Tag 10762 (SecuritySubType) supports the following values:

  • (empty string)
  • 1x2 Ratio
  • 1x3 Ratio
  • 2X1 Ratio
  • 2x3 Ratio
  • 3-Way
  • 3-Way Straddle vs. Call
  • 3-Way Straddle vs. Put
  • Box
  • Bundle
  • Butterfly
  • Buy/Write
  • Cabinet
  • Calendar
  • Call Spread vs. Put
  • Misc. Call/Put Spread
  • Combo
  • Conditional Curve
  • Condor
  • Conversion/Reversal
  • Covered
  • Crack
  • Custom Market
  • Diag Calendar
  • Diag Strad Calendar
  • Double Butterfly
  • Double
  • Spread
  • Guts
  • Hedged 3-Way
  • Hedged Box
  • Hedged Butterfly
  • Hedged Call Spread versus Put
  • Hedged Call/Put Spread
  • Hedged Ladder
  • Hedged Combo
  • Hedged Conditional Curve
  • Hedged Condor
  • Conversion/Reversal vs. Short U/L
  • Hedged Call/Put Diag Calendar Spread
  • Hedged Diagonal Straddle Calendar Spread
  • Hedged Double
  • Hedged Guts
  • Hedged Horizontal
  • Hedged Horizontal Straddle
  • Hedged Iron Butterfly
  • Hedged Iron Condor
  • Hedged Put Spread versus Call
  • Hedged Risk Reversal
  • Hedged Straddle Calendar Spread
  • Hedged Straddle
  • Hedged Straddle Strip
  • Hedged Strangle
  • Hedged Strip
  • Hedged Vertical
  • Hedged X-Mas Tree
  • Horizontal
  • Horizontal Straddle
  • ICS
  • Inter-Product
  • Iron BFly
  • Iron Condor
  • Jelly Roll
  • Ladder
  • Month vs. Pack
  • Non Standard Combination
  • Option Strip
  • Pack Butterfly
  • Pack
  • Put Spread vs. Call
  • Reduced Tick Spread
  • Reverse Reduced Tick Calendar Spread
  • Risk Reversal
  • Strad Calendar
  • Straddle vs. Call/Put
  • Straddle
  • Straddle Strip
  • Strangle
  • Strip
  • Synthetic Conv/Rev
  • Tailor Made Combinations
  • Unknown
  • Vertical
  • Vol 1x2 Ratio
  • Vol Calendar
  • Volatility Trade
  • X-Mas Tree