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FIX Adapter Reference

Change order

Overview

These examples show how TT FIX Adapter responds to Order Cancel Request (F) and Order Cancel Replace Request (G) messages in the following scenarios:

Changing the price of an order

In this conversation, a FIX client sends a New Order Single (D) message to TT FIX Adapter to submit an order to buy 100 CME,FUT,ES,Jun12 contracts at 130000. TT FIX Adapter responds with an Execution Report (8) message confirming the order.

Request:

8=FIX.4.2‡9=168‡35=D‡34=5‡49=REMOTE‡52=20120327-16:39:50‡ 56=TT_ORDER‡1=ps001001‡11=5035171538=100‡40=2‡44=130000‡47=A‡54=155=ES‡60=20051205-09:11:59‡200=201206‡167=FUT‡204=0‡207=CME‡10=183‡

Response:

8=FIX.4.2‡35=8‡9=00364‡49=TT_ORDER‡56=REMOTE‡50=TTORDPS001001‡57=NONE‡ 34=5‡52=20120327-16:39:50.457‡55=ES‡48=00A0FM00ESZ‡10455=ESM2‡167=FUT‡ 207=CME‡15=USD‡1=ps001001‡47=A‡204=0‡10553=REMOTE‡11=50351715‡ 18203=CME‡18216=P15000‡37=022XBJ00217=022XBJ002:0‡198=QZ1P‡200=201206‡151=100‡14=0‡54=1‡40=2‡77=O‡59=0‡11028=N‡150=0‡20=0‡39=0‡442=1‡ 44=130000‡38=100‡6=0‡60=20120327-16:39:50.423‡10=028‡

Before any of the order gets filled, the FIX client sends a Order Cancel Replace Request (G) message to change the price to 140625.

Request:

8=FIX.4.2‡9=171‡35=G‡34=20‡49=REMOTE‡52=20120327-19:52:32‡56=TT_ORDER‡ 11=32427030‡37=022XBJ002‡38=100‡40=2‡44=140625‡47=A‡54=1‡55=ES‡ 60=20051205-09:11:59‡200=201206‡167=FUT‡204=0‡207=CME‡10=037‡

Next, TT FIX Adapter sends Execution Report (8) messages and then a full fill.

Response:

8=FIX.4.2‡9=00378‡35=8‡49=TT_ORDER‡56=REMOTE‡50=TTORDPS001001‡57=NONE‡ 34=20‡52=20120327-19:52:32.120‡55=ES‡48=00A0FM00ESZ‡10455=ESM2‡167=FUT‡ 207=CME‡15=USD‡1=ps001001‡47=A‡204=0‡10553=REMOTE‡11=32427030‡ 18203=CME‡18216=P15000‡41=44589119537=022XBJ002‡17=022XBJ002:6‡ 198=QZ1Z‡200=201206‡151=100‡14=0‡54=1‡40=2‡77=O‡59=0‡11028=N‡150=5‡ 20=0‡39=5‡442=1‡44=140625‡38=100‡6=0‡60=20120327-19:52:32.061‡10=222‡

Response:

8=FIX.4.2‡9=00490‡35=8‡49=TT_ORDER‡56=REMOTE‡50=TTORDPS001001‡57=NONE‡ 34=25‡52=20120327-19:57:18.384‡55=ES‡48=00A0FM00ESZ‡10455=ESM2‡167=FUT‡ 207=CME‡15=USD‡1=ps001001‡47=A‡204=0‡10553=REMOTE‡11=32427030‡ 375=CME000A‡18203=CME‡18216=P15000‡37=022XBJ002‡17=1u6jv4q1fy3fu2‡ 58=Fill‡198=QZ1Z‡10527=7133:1152775TN0032838‡16018=m1icw0‡200=201206‡ 32=100‡151=014=100‡75=20120327‡54=1‡40=2‡77=O‡59=0‡11028=N‡150=2‡20=0‡39=2‡442=1‡44=140625‡38=100‡31=140625‡6=140625‡ 60=20120327-19:57:18.321‡6038=20120327-19:52:32.042‡10=234‡

Canceling an order

In this conversation, a FIX client sends a New Order Single (D) message to buy 10 CME,FUT,ES,Jun12 contracts at 130000. TT FIX Adapter responds with an Execution Report (8) message confirming the order.

Request:

8=FIX.4.2‡9=168‡35=D‡34=34‡49=REMOTE‡52=20120327-20:06:08‡56=TT_ORDER‡ 1=ps001001‡11=87554152‡38=10‡40=2‡44=130000‡47=A‡54=1‡55=ES‡ 60=20051205-09:11:59‡200=201206167=FUT‡204=0‡207=CME‡10=187‡

Response:

8=FIX.4.2‡9=00363‡35=8‡49=TT_ORDER‡56=REMOTE‡50=TTORDPS001001‡ 57=NONE‡34=34‡52=20120327-20:06:08.849‡55=ES‡48=00A0FM00ESZ‡10455=ESM2‡ 167=FUT‡207=CME‡15=USD‡1=ps001001‡47=A‡204=0‡10553=REMOTE‡11=87554152‡ 18203=CME‡18216=P15000‡37=022XKT001‡17=022XKT001:0‡198=QZ21‡200=201206‡151=10‡14=0‡54=1‡40=2‡77=O‡59=0‡11028=N‡150=0‡20=0‡39=0‡442=1‡ h44=130000‡38=10‡6=0‡60=20120327-20:06:08.776‡10=253‡

The FIX client then sends a Order Cancel Request (F) message with Tag 11 (ClOrdID) to cancel the order. TT FIX Adapter sends an Execution Report (8) to with Tag 150 (ExecType) set to 4 (cancel).

Request:

8=FIX.4.2‡9=112‡35=F‡34=36‡49=REMOTE‡52=20120327-20:07:56‡56=TT_ORDER‡

1=ps001001‡11=56973255637=022XKT001‡60=20051205-09:15:50‡10=146‡

Response:

8=FIX.4.2‡9=00375‡35=8‡49=TT_ORDER‡56=REMOTE‡50=TTORDPS001001‡57=NONE‡ 34=36‡52=20120327-20:07:57.051‡55=ES‡48=00A0FM00ESZ‡10455=ESM2‡ 167=FUT‡207=CME‡15=USD‡1=ps001001‡47=A‡204=0‡10553=REMOTE‡11=569732556‡18203=CME‡18216=P15000‡41=87554152‡37=022XKT001‡17=022XKT001:1‡ 198=QZ21‡200=201206‡151=0‡14=0‡54=1‡40=2‡77=O‡59=0‡11028=N‡150=4‡20=0‡ 39=4‡442=1‡44=130000‡38=10‡6=0‡60=20120327-20:07:56.977‡10=090‡

Canceling a filled order

In this conversation, a FIX client sends a New Order Single (D) message to buy 10 CME,FUT,ES,Jun12 contracts at 140575. TT FIX Adapter responds with an Execution Report (8) message confirming the order.

Request:

8=FIX.4.2‡9=169‡35=D‡34=62‡49=REMOTE‡52=20120327-20:33:19‡56=TT_ORDER‡ 1=ps001001‡11=191983439‡38=10‡40=2‡44=140575‡47=A‡54=1‡55=ES‡ 60=20051205-09:11:59‡200=201206‡167=FUT‡204=0‡207=CME‡10=007‡

Response:

8=FIX.4.2‡9=00364‡35=8‡49=TT_ORDER‡56=REMOTE‡50=TTORDPS001001‡57=NONE‡ 34=62‡52=20120327-20:33:19.307‡55=ES‡48=00A0FM00ESZ‡10455=ESM2‡167=FUT‡ 207=CME‡15=USD‡1=ps001001‡47=A‡204=0‡10553=REMOTE‡11=191983439‡ 18203=CME‡18216=P15000‡37=022XKT002‡17=022XKT002:0‡198=QZ23‡200=201206‡151=10‡14=0‡54=1‡40=2‡77=O‡59=0‡11028=N‡150=0‡20=0‡39=0‡442=1‡ 44=140625‡38=10‡6=0‡60=20120327-20:33:19.224‡10=056‡

Later, TT FIX Adapter responds with an Execution Report (8) message with Tag 58 (Text) indicating that order was filled.

Response:

8=FIX.4.2‡9=00488‡35=8‡49=TT_ORDER‡56=REMOTE‡50=TTORDPS001001‡57=NONE‡ 34=63‡52=20120327-20:33:19.463‡55=ES‡48=00A0FM00ESZ‡10455=ESM2‡ 167=FUT‡207=CME‡15=USD‡1=ps001001‡47=A‡204=0‡10553=REMOTE‡11=191983439‡375=CME000A‡18203=CME‡18216=P15000‡37=022XKT002‡17=1uw3eri182ehnk‡ 58=Fill‡198=QZ23‡10527=7133:1169650TN0000038‡16018=m1k7k0‡200=201206‡ 32=10‡151=0‡14=10‡75=20120328‡54=1‡40=2‡77=O‡59=0‡11028=N‡150=2‡20=0‡ 39=2‡442=1‡44=140625‡38=10‡31=140500‡6=140500‡60=20120327-20:33:19.224‡ 6038=20120327-20:33:19.213‡10=074‡

Subsequently, the FIX client sends a Order Cancel Request (F) message cancel the order. TT FIX Adapter sends a Order Cancel Reject (9) message to reject the request because the order is no longer in the market.

Request:

8=FIX.4.2‡9=112‡35=F‡34=63‡49=REMOTE‡52=20120327-20:33:55‡56=TT_ORDER‡ 1=ps001001‡11=55744414137=022XKT002‡60=20051205-09:15:50‡10=132‡

Response:

8=FIX.4.2‡9=00205‡35=9‡49=TT_ORDER‡56=REMOTE‡57=NONE‡50=NONE‡34=64‡ 52=20120327-20:33:55.744‡1=ps001001‡11=55744414137=022XKT00258=Order is not in the market‡198=QZ23‡10553=REMOTE‡102=0‡434=1‡ 39=2‡60=20120327-20:33:55.744‡10=017‡

Changing a filled order

In this conversation, a FIX client submits a new order to the market and then tries to modify it after the order was filled. The FIX client sends a New Order Single (D) message to buy 10 CBOT,FUT,ZB,Jun12 contracts at 140625. TT FIX Adapter responds with an Execution Report (8) message confirming the order.

Request:

8=FIX.4.2‡9=169‡35=D‡34=1533‡49=REMOTE‡52=20120328-20:59:01‡ 56=TT_ORDER‡1=ps001001‡11=1748690‡38=10‡40=2‡44=140575‡47=A‡54=1‡55=ES‡60=20051205-09:11:59‡200=201206‡167=FUT‡204=0‡207=CME‡10=003‡

Response:

8=FIX.4.2‡9=00364‡35=8‡49=TT_ORDER‡56=REMOTE‡50=TTORDPS001001‡57=NONE‡ 34=1561‡52=20120328-20:59:01.168‡55=ES‡48=00A0FM00ESZ‡10455=ESM2‡ 167=FUT‡207=CME‡15=USD‡1=ps001001‡47=A‡204=0‡10553=REMOTE‡11=1748690‡ 18203=CME‡18216=P15000‡37=022XKT012‡17=022XKT012:0‡198=QZ4A‡200=201206‡151=10‡14=0‡54=1‡40=2‡77=O‡59=0‡11028=N‡150=0‡20=0‡39=0‡442=1‡ 44=140575‡38=10‡6=0‡60=20120328-20:59:01.113‡10=073‡

Response:

8=FIX.4.2‡9=00487‡35=8‡49=TT_ORDER‡56=REMOTE‡50=TTORDPS001001‡57=NONE‡ 34=1562‡52=20120328-20:59:01.309‡55=ES‡48=00A0FM00ESZ‡10455=ESM2‡ 167=FUT‡207=CME‡15=USD‡1=ps001001‡47=A‡204=0‡10553=REMOTE‡11=1748690‡ 375=CME000A‡18203=CME‡18216=P15000‡37=022XKT012‡17=1cs4uawhg9h60‡ 58=Fill‡198=QZ4A‡10527=7133:1589234TN0000028‡16018=m1m280‡200=201206‡ 32=10151=014=10‡75=20120329‡54=1‡40=2‡77=O‡59=0‡11028=N‡150=2‡20=0‡ 39=2‡442=1‡44=140575‡38=10‡31=1397256=139725‡60=20120328-20:59:01.113‡ 6038=20120328-20:59:01.074‡10=213‡

Subsequently, the FIX client sends a Order Cancel Replace Request (G) message change the price of the order to 140500. TT FIX Adapter sends a Order Cancel Reject (9) message to reject the request because the order is no longer in the market.

Request:

8=FIX.4.2‡9=173‡35=G‡34=1538‡49=REMOTE‡52=20120328-21:03:56‡ 56=TT_ORDER‡11=563239356‡37=022XKT012‡38=10‡40=2‡44=140500‡47=A‡54=1‡ 55=ES‡60=20051205-09:11:59‡200=201206‡167=FUT‡204=0‡207=CME‡10=179‡

Response:

8=FIX.4.2‡9=00196‡‡49=TT_ORDER‡56=REMOTE‡57=NONE‡50=NONE‡34=1567‡ 52=20120328-21:03:56.323‡11=563239356‡37=022XKT012‡58=Order is not in the market‡198=QZ4A‡10553=REMOTE‡102=0‡434=2‡39=2‡ 60=20120328-21:03:56.323‡10=026‡