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FIX Adapter Reference

New order

Overview

These examples show how TT FIX Adapter responds to a New Order Single (D) message in the following scenarios:

 

Submitting a new order and requesting summary fills

This conversation shows how TT FIX Adapter responds to new orders when the TT FIX Adapter configuration enables the Send Summary Fills setting for the FIX session. In this conversation, a FIX client sends a New Order Single (D) message to TT FIX Adapter to submit an order to sell 12 Eurex,MLEG,FDAX,JUN12/SEP12 contracts at 3.5.

Request:

8=FIX.4.2‡9=157‡ 35=D ‡34=2‡49=REMOTE‡52=20120329-20:36:44‡56=TT_ORDER‡ 1=ps001001‡ 11=443184512‡38=12‡40=2‡44=3.5 ‡47=A‡ 48=FDAX062012SPD092012 ‡54=2‡77=O‡204=1‡ 207=Eurex ‡55=FDAX‡10=030‡

TT FIX Adapter responds with an Execution Report (8) message confirming the order. In this example, the TT FIX Adapter configuration enables the Send Security Legs setting for the FIX session, so it includes the information about the security and its underlying instruments.

Response:

8=FIX.4.2‡9=00527‡35=8 ‡49=TT_ORDER‡56=REMOTE‡50=TTORDPS001001‡ 57=NONE‡34=2‡52=20120329-20:36:44.536‡55=FDAX‡48=FDAX062012SPD092012‡ 10762=Calendar‡167=MLEG‡207=Eurex‡15=EUR‡1=ps001001‡47=A‡ 204=1‡10553=REMOTE‡11=443184512‡18203=Eurex‡18216=6874‡ 37=022ZL2001 17=022ZL2001:0 ‡198=0009MQ469‡ 151=12‡14=0 ‡54=2‡40=2‡77=O‡59=0‡11028=N‡ 150=0‡20=0‡b> 39=0 ‡442=3‡44=3.5‡38=12‡ 6=0 ‡60=20120329-20:36:44.380‡146=2‡ 311=FDAX‡309=FDAX062012‡310=FUT‡308=Eurex‡318=EUR‡313=201206‡319=1‡ 16624=1‡311=FDAX‡309=FDAX092012‡310=FUT‡308=Eurex‡318=EUR‡313=201209‡319=1‡16624=2‡10=181‡

After the order gets filled, TT FIX Adapter responds with two Execution Report (8) messages confirming the leg fills. Later it sends another Execution Report (8) message with summary fill information.

Response:

8=FIX.4.2‡9=00458‡ 35=8 ‡49=TT_ORDER‡56=REMOTE‡50=TTORDPS001001‡57=NONE‡ 34=6‡52=20120329-20:38:11.067‡55=FDAX‡48=FDAX062012‡167=FUT‡207=Eurex‡ 15=EUR‡1=ps001001‡47=A‡204=1‡10553=REMOTE‡ 11=454446059 ‡18203=Eurex‡ 18216=6874‡ 37=022XKT037 ‡17=L00003R000000009MQ46829S‡58=Leg Fill‡ 198=0009MQ468‡10527=00003R‡16018=m1m7s0‡200=201206‡32=12‡ 151=0‡14=12 ‡ 54=2‡40=2‡77=O‡59=0‡11028=N‡ 150=2 ‡20=0‡ 39=2 ‡442=2‡44=3.5‡38=12‡31=7019‡6=7019‡60=20120329-20:38:10.970‡6038=20120329-20:33:45.460‡146=0‡ 10=117‡

Response:

8=FIX.4.2‡9=00462‡ 35=8 ‡49=TT_ORDER‡56=REMOTE‡50=TTORDPS001001‡57=NONE‡ 34=7‡52=20120329-20:38:11.067‡55=FDAX‡48=FDAX092012‡167=FUT‡207=Eurex‡ 15=EUR‡1=ps001001‡47=A‡204=1‡10553=REMOTE‡ 11=454446059 ‡18203=Eurex‡ 18216=6874‡ 37=022XKT037 ‡17=L00003S000000009MQ46829B‡58=Leg Fill‡ 198=0009MQ468‡10527=00003S‡16018=m1m7s0‡200=201209‡32=12‡ 151=0‡14=12 ‡ 54=1‡40=2‡77=O‡59=0‡11028=N‡ 150=2 ‡20=0‡ 39=2 ‡442=2‡44=3.5‡38=12‡ 31=7015.5‡6=7015.5‡60=20120329-20:38:10.970‡6038=20120329-20:33:45.460‡ 146=0‡10=037‡

Response:

8=FIX.4.2‡9=00624‡ 35=8 ‡49=TT_ORDER‡56=REMOTE‡50=TTORDPS001001‡ 57=NONE‡34=5‡52=20120329-20:38:11.067‡55=FDAX‡48=FDAX062012SPD092012‡ 10762=Calendar‡167=MLEG‡207=Eurex‡15=EUR‡1=ps001001‡47=A‡204=1‡ 10553=REMOTE‡ 11=454446059 ‡18203=Eurex‡18216=6874‡ 37=022XKT037 ‡ 17=S00003R000000009MQ46829S‡58=Summary Fill‡198=0009MQ468‡10527=00003R‡ 16018=m1m7s0‡32=12‡ 151=0‡14=12 ‡54=2‡40=2‡77=O‡59=0‡11028=N‡ 150=2 ‡ 20=0‡ 39=2 ‡442=3‡44=3.5‡38=12‡31=3.5‡6=3.5 ‡60=20120329-20:38:10.970‡6038=20120329-20:33:45.460‡146=2‡311=FDAX‡ 309=FDAX062012‡310=FUT‡308=Eurex‡318=EUR‡313=201206‡319=1‡16624=1‡ 311=FDAX‡309=FDAX092012‡310=FUT‡308=Eurex‡318=EUR‡313=201209‡319=1‡ 16624=2‡10=146‡

 

Submitting a new order with multiple flavors of a TT Gateway

This conversation shows how to route new orders when a FIX client user is configured to connect to two (or more) flavors of the same TT Gateway, and the contract for which the order is being routed is available on more than one of these TT Gateways.

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 Tag 18206 (NoGateways) and Tag 18203 (ExchangeGateway).

Request:

8=FIX.4.2‡9=81‡ 35=c ‡34=2‡49=REMOTE‡52=20120426-15:30:12‡56=TT_ORDER‡ 167=FUT‡207=CME‡55=ES ‡320=1‡10=064‡

TT FIX Adapter responds by sending a Security Definition (d) message for each matching security. The following example shows only the ES Jun12 FUT security.

Response:

8=FIX.4.2‡9=00272‡ 35=d ‡49=TT_ORDER‡56=REMOTE‡34=3‡ 52=20120426-15:30:12.603‡ 55=ES ‡48=00A0FM00ESZ‡10455=ESM2‡ 167=FUT‡ 207=CME ‡15=USD‡320=1‡322=1:1‡ 200=201206 ‡16451=43‡393=5‡323=4‡16452=5‡ 16454=0.5‡16552=25‡16554=0.5‡16456=0‡146=0‡ 18206=2‡ 18203=CME-B‡18203=CME ‡864=1‡865=5‡866=20120615‡10=109‡

Assume we want to route an order to the ES Jun12 FUT contract, which exists on both the CME and the CME-B TT Gateway flavors. If Tag 18203 (ExchangeGateway) is not provided, the order will be rejected.

Request:

8=FIX.4.2‡9=168‡ 35=D ‡34=2‡49=REMOTE‡52=20120426-20:04:49‡56=TT_ORDER‡ 1=ps001001‡11=491304618‡38=10‡40=2‡44=136000‡47=A‡54=1‡ 55=ES ‡ 60=20051205-09:11:59 ‡200=201206‡167=FUT ‡204=0‡ 207=CME ‡10=190‡

TT FIX Adapter sends an Execution Report (8) message with Tag 103 (OrdRejReason) showing the rejection code and Tag 58 (Text) showing the reason.

Response:

8=FIX.4.2‡9=00334‡ 35=8 ‡49=TT_ORDER‡56=REMOTE‡50=NONE‡57=NONE‡34=2‡ 52=20120426-20:04:49.738‡55=ES‡167=FUT‡207=CME‡1=ps001001‡47=A‡204=0‡ 11=491304618‡37=NONE‡17=0SD88X002‡ 58=Order routable on multiple gateways. Exchange gateway must be provided ‡200=201206‡32=0‡ 103=0 ‡151=0‡ 14=0‡54=1‡40=2‡ 150=8 ‡20=0‡ 39=8 ‡44=136000‡38=10‡31=0‡6=0‡ 60=20120426-20:04:49.738‡10=217‡

Therefore, The New Order Single (D) message must provide Tag 18203 (ExchangeGateway) to indicate whether the order should be routed to the CME or CME-B TT Gateway flavor.

Request:

8=FIX.4.2‡9=180‡ 35=D ‡34=4‡49=REMOTE‡52=20120426-20:05:58‡56=TT_ORDER‡ 1=ps001001‡11=584303007‡38=10‡40=2‡44=136000‡47=A‡54=1‡ 55=ES ‡ 60=20051205-09:11:59‡200=201206‡ 167=FUT ‡204=0‡ 207=CME 18203=CME-B ‡10=053‡

TT FIX Adapter responds with an Execution Report (8) message confirming the order.

Response:

8=FIX.4.2‡9=00368‡ 35=8 ‡49=TT_ORDER‡56=REMOTE‡50=TTORDPS001001‡57=NONE‡ 34=4‡52=20120426-20:05:59.202‡ 55=ES ‡48=00A0FM00ESZ‡10455=ESM2‡ 167=FUT‡ 207=CME ‡15=USD‡1=ps001001‡47=A‡204=0‡10553=REMOTE‡11=584303007‡ 18203=CME-B ‡16142=US,IL‡37=0SD88X003‡17=0SD88X003:0‡198=00000B9E‡ 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=136000‡38=10‡6=0‡60=20120426-20:05:58.615‡10=042‡

Submitting a new order with Tag 18205 (TTAccountType)

This conversation shows how to route new orders when the Send Account Type As configuration option in FACT is set to Tag 18205. In such a scenario, Tag 18205 (TTAccountType) is required, while Tag 47 (Rule80A) and Tag 204 (CustomerOrFirm) are not sent.

Request:

8=FIX.4.2‡9=166‡ 35=D ‡34=4‡49=REMOTE‡52=20120426-19:47:31‡56=TT_ORDER‡ 1=ps001001‡11=311899333‡38=10‡40=2‡44=136000‡54=1‡ 55=ES‡ 60=20051205-09:11:59‡200=201206‡ 167=FUT 18205=A1 207=CME ‡10=138‡

TT FIX Adapter responds with an Execution Report (8) message confirming the order.

Response:

8=FIX.4.2‡9=00373‡ 35=8 ‡49=TT_ORDER‡56=REMOTE‡50=TTORDPS001001‡57=NONE‡ 34=4‡52=20120426-19:47:31.812‡ 55=ES ‡48=00A0FM00ESZ‡10455=ESM2‡ 167=FUT‡ 207=CME ‡15=USD‡1=ps001001‡ 18205=A1 ‡10553=REMOTE‡11=311899333‡18203=CME‡16142=US,IL‡18216=P15000‡37=023DNX001‡17=023DNX001:0‡198=SCZQ‡ 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=136000‡38=10‡6=0‡60=20120426-19:47:31.306‡10=131‡

Submitting an order with CME mandatory iLink tags

This conversation shows how the FIX client application can specify Tag 11028 (ManualOrderIndicator) and/or Tag 16142 (OrderOriginationID) per order to override the default values for the CME Mandatory iLink Tags. By default, orders submitted by TT FIX Adapter will be considered automated and the trader's location will be populated based on the FIX client user's location information from TT User Setup. Note that TT FIX Adapter will send Tag 11028 (ManualOrderIndicator) to any TT Gateway, while Tag 16142 (OrderOriginationID) will only be sent to TT CME and TT CBOT Gateways. If the FIX client wanted to route an order to a CME Gateway and specify both the trader's location and that it is a manual order, the FIX client will send Tag 11028 (ManualOrderIndicator) = Y and Tag 16142 (OrderOriginationID) = US,IL (for this example).

Request:

8=FIX.4.2‡9=188‡ 35=D ‡34=4‡49=REMOTE‡52=20120426-19:39:47‡56=TT_ORDER‡ 1=ps001001‡11=474119375‡38=10‡40=2‡44=136000‡47=A‡54=1‡55=ES‡60=20051205-09:11:59‡200=201206‡167=FUT‡204=0‡207=CME‡ 11028=Y‡16142=US,IL ‡10=013‡

TT FIX Adapter responds with an Execution Report (8) message confirming the order.

Response:

8=FIX.4.2‡9=00375‡ 35=8 ‡49=TT_ORDER‡56=REMOTE‡50=TTORDPS001001‡57=NONE‡ 34=5‡52=20120426-19:39:48.008‡55=ES‡48=00A0FM00ESZ‡10455=ESM2‡ 167=FUT‡207=CME‡15=USD‡1=ps001001‡47=A‡204=0‡10553=REMOTE‡11=474119375‡18203=CME‡ 16142=US,IL ‡18216=P15000‡37=023DNJ002‡17=023DNJ002:0‡ 198=SCZP‡200=201206‡151=10‡14=0‡54=1‡40=2‡77=O‡59=0‡ 11028=Y ‡150=0‡20=0‡39=0‡442=1‡44=136000‡38=10‡6=0‡60=20120426-19:39:47.510‡10=192‡

Submitting a calendar spread order by security name

In this conversation, the FIX client sends a calendar spread order. Instead of identifying the spread by its exchange security ID in Tag 48 (SecurityID), this message identifies the calendar spread by its security name and its underlying instruments.

Request:

8=FIX.4.2‡9=254‡ 35=D ‡56=TT_ORDER‡49=REMOTE‡34=5366‡ 52=20120403-14:51:19‡ 11=192388462 ‡47=A‡204=0‡1=ps001001‡ 55=ES 167=MLEG‡207=CME 10762=Calendar‡146=2‡311=ES‡308=CME‡310=FUT‡ 313=201206‡16624=2‡319=1‡311=ES‡308=CME‡310=FUT‡313=201209‡319=1‡ 16624=1 ‡40=2‡44=-590‡38=1‡54=1‡10=022‡

TT FIX Adapter responds with an Execution Report (8) message confirming the order. In this example, the TT FIX Adapter configuration disables the Send Security Legs setting for the FIX session, so it includes the exchange ID for the calendar spread in Tag 48 (SecurityID) instead of all the leg information.

Response:

8=FIX.4.2‡9=00564‡ 35=8 ‡49=TT_ORDER‡56=REMOTE‡50=TTORDPS001001‡ 57=NONE‡34=5366‡52=20120403-14:51:19.769‡ 55=ES‡ 48=00CES200A0FM00ESZ1100A0IM00ESZ1‡10455=ESM2-ESU2‡ 10762=Calendar‡167=MLEG‡207=CME ‡15=USD‡1=ps001001‡47=A‡204=0‡ 10553=REMOTE‡11=192388462‡18203=CME‡18216=P15000‡ 37=02305J012 17=02305J012:0 ‡198=R0U3‡151=1‡14=0‡54=1‡40=2‡77=O‡59=0‡11028=N‡ 150=0 ‡20=0‡ 39=0 ‡442=3‡44=-590‡38=1‡6=0‡60=20120403-14:51:19.351‡ 146=2‡311=ES‡309=00A0FM00ESZ‡310=FUT‡308=CME‡10456=ESM2‡318=USD‡ 313=201206‡319=1‡16624=2‡311=ES‡309=00A0IM00ESZ‡310=FUT‡308=CME‡ 10456=ESU2‡318=USD‡313=201209‡319=1‡16624=1‡10=012‡

 

Submitting an order when configured to send security legs

This conversation shows how TT FIX Adapter responds to new orders when the TT FIX Adapter configuration enables the Send Summary Fills setting for the FIX session. In this conversation, a FIX client sends a New Order Single (D) message to TT FIX Adapter to submit an order to buy 12 Eurex,MLEG,FDAX,JUN12/SEP12 contracts at 3.5.

Request:

8=FIX.4.2‡9=157‡ 35=D ‡34=5‡49=REMOTE‡52=20120329-20:51:58‡56=TT_ORDER‡

1=ps001001‡11=584533403‡38=12‡40=2‡44=3.5 ‡47=A‡ 48=FDAX062012SPD092012‡ 54=1‡77=O ‡204=1‡ 207=Eurex‡55=FDAX ‡10=037‡

TT FIX Adapter responds with a series of Execution Report (8) messages containing the underlying leg information. Tag 146 (NoRelatedSym) indicates the contract contains two legs.

Response:

8=FIX.4.2‡9=00528‡ 35=8 ‡49=TT_ORDER‡56=REMOTE‡50=TTORDPS001001‡57=NONE‡ 34=11‡52=20120329-20:51:58.640‡55=FDAX‡48=FDAX062012SPD092012‡ 10762=Calendar‡167=MLEG‡207=Eurex‡15=EUR‡1=ps001001‡47=A‡204=1‡ 10553=REMOTE‡ 11=584533403 ‡18203=Eurex‡18216=6874‡37=022ZL2006‡ 17=022ZL2006:0‡198=0009MQ46K‡151=12‡14=0‡54=1‡40=2‡77=O‡59=0‡11028=N‡ 150=0 ‡20=0‡39=0‡442=3‡44=3.5‡38=12‡6=0‡60=20120329-20:51:58.500‡ 146=2 ‡311=FDAX‡309=FDAX062012‡310=FUT‡308=Eurex‡318=EUR‡313=201206‡ 319=1‡16624=1‡311=FDAX‡309=FDAX092012‡310=FUT‡308=Eurex‡318=EUR‡ 313=201209‡319=1‡16624=2‡10=254‡

 

Submitting an incomplete order

In this conversation, a FIX client sends a New Order Single (D) message to TT FIX Adapter to submit an order to buy 12 Eurex,MLEG,FDAX,Jun12/Sep12 contracts, but omits required Tag 44 (Price).

Request:

8=FIX.4.2‡9=150‡ 35=D ‡34=7‡49=REMOTE‡52=20120329-20:53:42‡56=TT_ORDER‡ 1=ps001001‡11=429368883‡38=12‡40=2 ‡47=A‡ 48=FDAX062012SPD092012‡54=1 ‡77=O‡204=1‡ 207=Eurex‡55=FDAX ‡10=239‡

TT FIX Adapter sends an Execution Report (8) message with Tag 103 (OrdRejReason) showing the rejection code and Tag 58 (Text) showing the reason.

Response:

8=FIX.4.2‡9=00285‡ 35=8 ‡49=TT_ORDER‡56=REMOTE‡50=NONE‡57=NONE‡34=13‡ 52=20120329-20:53:42.936‡55=FDAX‡48=FDAX062012SPD092012‡207=Eurex‡ 1=ps001001‡47=A‡204=1‡ 11=429368883 ‡37=NONE‡17=022ZL2007‡ 58=Missing Price(44) ‡32=0‡103=0‡151=0‡14=0‡54=1‡40=2‡77=O‡ 150=8 ‡20=0‡ 39=8‡38=12‡31=0‡6=0‡60=20120329-20:53:42.936‡10=129‡

 

Submitting an invalid order with restricted account defaults

In this conversation, a FIX client sends a New Order Single (D) message to buy 1 CME,MLEG,ES,Jun12/Sep12 spread contract at -590. In TT User Setup, the TT FIX Adapter client is configured with locked account defaults, and an Account Type of U3, but the order sets Tag 47 (Rule80A) to A.

Request:

8=FIX.4.2‡9=254‡ 35=D ‡56=TT_ORDER‡49=REMOTE‡34=5372‡ 52=20120403-14:56:57‡ 11=576427210 ‡47=A‡204=0‡ 1=ps001001 55=ES‡167=MLEG‡ 207=CME ‡10762=Calendar‡146=2‡311=ES‡308=CME‡310=FUT‡313=201206‡16624=2‡319=1‡311=ES‡308=CME‡310=FUT‡313=201209‡319=1‡16624=1‡40=2‡44=-590‡ 38=1‡54=1‡10=017‡

TT FIX Adapter sends an Execution Report (8) message with Tag 150 (ExecType) set to 8 (rejected) and Tag 58 (Text) showing the reason.

Response:

8=FIX.4.2‡9=00329‡ 35=8 ‡49=TT_ORDER‡56=REMOTE‡50=NONE‡57=NONE‡ 34=5372‡52=20120403-14:56:57.658‡55=ES‡10762=Calendar‡167=MLEG‡ 207=CME‡1=ps001001‡47=A‡204=0‡11=576427210‡37=NONE‡17=02305J013‡ 58=Account Defaults locked - AccountType does not match default ‡32=0‡ 103=0‡151=0‡14=0‡54=1‡40=2‡150=8‡20=0‡39=8‡44=-590‡38=1‡31=0‡6=0‡ 60=20120403-14:56:57.658‡10=232‡

 

Submitting an order that exceeds the credit limit

This conversation shows the FIX messages exchanged when a trader tries to execute a trade that exceeds the credit limit. This example assumes that Guardian uses client-side risk checking and that the trader is near the established credit limit.

The FIX client sends a New Order Single (D) message to TT FIX Adapter to submit an order to buy one contract.

Request:

8=FIX.4.2‡9=149‡ 35=D ‡34=1112‡49=REMOTE‡52=20120405-13:56:47‡ 56=TT_ORDER‡1=ps001001‡ 11=476625378 ‡38=1‡40=2‡44=13050‡47=A‡54=1‡55=6E‡167=FUT‡200=201209‡204=0‡207=CME‡10=008‡

TT FIX Adapter sends an Execution Report (8) message with Tag 150 (ExecType) set to 8 (rejected) and Tag 58 (Text) showing the reason. The “From Gateway:” at the beginning of the tag indicates the message originates from the gateway and not TT FIX Adapter. For more information about this text message, see .

Response:

8=FIX.4.2‡9=00467‡ 35=8 ‡49=TT_ORDER‡56=REMOTE‡50=TTORDPS001001‡57=NONE‡ 34=1138‡52=20120405-13:56:47.866‡55=6E‡48=00A0IM006EZ‡10455=6EU2‡ 167=FUT‡207=CME‡15=USD‡1=ps001001‡47=A‡204=0‡10553=REMOTE‡ 11=476625378 ‡18203=CME‡37=0300G7016‡17=0300G7016:0‡ 58=From Gateway: REMOTE Excds CrLmt (LMT100+PL-64983.01-M1320.00=AV-66203.01)USD P1 B10S0F0NP10LP10SP0 X0912 B10S0F0WP10‡200=201209‡103=0 ‡151=0‡14=0‡54=1‡40=2‡77=O‡59=0‡150=8‡ 20=0‡39=8‡442=1‡44=13050‡38=10‡6=0‡60=20120405-13:56:47.866‡146=0‡ 10=017‡

 

Submitting an order that exceeds the position limits

This conversation shows the FIX messages exchanged when a trader tries to execute a trade that exceed the credit limit. This example assumes that Guardian uses client-side risk checking and that the trader is near the established position limit.

The FIX client sends a New Order Single (D) message to TT FIX Adapter to submit an order to by 1 Eurex, FUT ,FDAX, Sep12 contract at 10.

Request:

8=FIX.4.2‡9=152‡ 35=D ‡34=15‡49=REMOTE‡52=20120404-19:12:33‡ 56=TT_ORDER‡1=ps001001‡ 11=339162646 ‡38=10‡40=2‡44=7075.5‡47=A‡54=1‡ 55=FDAX‡167=FUT‡200=201209‡204=0‡207=Eurex‡10=172‡

TT FIX Adapter sends an Execution Report (8) message with Tag 150 (ExecType) set to 8 (rejected) and Tag 58 (Text) showing the reason. The “From Gateway:” at the beginning of the tag indicates the message originates from the gateway and not TT FIX Adapter. For more information about this text message, see .

Response:

8=FIX.4.2‡9=00426‡ 35=8 ‡49=TT_ORDER‡56=REMOTE‡50=TTORDPS001001‡57=NONE‡ 34=15‡52=20120404-19:12:33.963‡55=FDAX‡48=FDAX092012‡167=FUT‡ 207=Eurex‡15=EUR‡1=ps001001‡47=A‡204=0‡10553=REMOTE‡ 11=339162646 ‡18203=Eurex‡37=0SD2QT012‡17=0SD2QT012:0‡ 58=From Gateway: WCNPP(105) > MxNPP(100) P1 B110S0F-5NP105LP110SP5 X0912 B100S0F0WP100 ‡ 200=201209‡103=0‡151=0‡14=0‡54=1‡40=2‡77=O‡59=0‡150=8‡20=0‡39=8‡442=1‡ 44=7075.5‡38=10‡6=0‡60=20120404-19:12:33.963‡146=0‡10=254‡

Submitting an order that exceeds the maximum quantity

This conversation shows the FIX messages exchanged when a trader tries to execute a order with a quantity larger than his maximum allowed order quantity. This example assumes that Guardian uses client-side risk checking and that maximum order quantity for Eurex FDAX contracts is 10.

The FIX client sends a New Order Single (D) message to TT FIX Adapter to submit an order to by 25 Eurex, FUT, FDAX, Sep12 contracts.

Request:

8=FIX.4.2‡9=147‡ 35=D ‡34=39‡49=REMOTE‡52=20120404-20:05:46‡56=TT_ORDER‡ 1=ps001001‡ 11=4657571 38=25 ‡40=2‡44=138‡47=A‡54=1‡55=FDAX‡167=FUT‡ 200=201206‡204=0‡207=Eurex‡10=184‡

TT FIX Adapter sends an Execution Report (8) message with Tag 150 (ExecType) set to 8 (rejected) and Tag 58 (Text) showing the reason. The “From Gateway:” at the beginning of the tag indicates the message originates from the gateway and not TT FIX Adapter. For more information about this text message, see .

Response:

8=FIX.4.2‡9=00416‡35=8‡49=TT_ORDER‡56=REMOTE‡50=TTORDPS001001‡57=NONE‡ 34=61‡52=20120404-20:05:46.115‡55=FDAX‡48=FDAX062012‡ 167=FUT‡207=Eurex‡15=EUR‡1=ps001001‡47=A‡204=0‡10553=REMOTE‡ 11=4657571 ‡18203=Eurex‡37=0300G7013‡17=0300G7013:0‡ 58=From Gateway: ORDQ25 > OQLMT10 P1 B25S42F-13NP55LP12SP55 X0612 B25S42F-13WP-55 ‡ 200=201206‡103=0‡151=0‡14=0‡54=1‡40=2‡77=O‡59=0‡150=8‡20=0‡39=8‡442=1‡ 44=138‡38=25‡6=0‡60=20120404-20:05:46.115‡146=0‡10=056‡