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FIX Adapter Reference

Positions and fills

Overview

These examples show how TT FIX Adapter responds to a Request For Position (UAN) message in the following scenarios:

Requesting positions

In this conversation, a FIX client sends a Request For Position (UAN) message with Tag 16724 (PosReqType) = 0 (positions) to request positions. It also provides Tag 1 (Account) to filter the positions for a single account.

Request:

8=FIX.4.2‡9=84‡35=UAN‡34=55‡49=REMOTE‡52=20120404-20:21:08‡56=TT_ORDER‡1=ps001001‡16710=11‡16724=0‡10=195‡

TT FIX Adapter responds by sending a Position Report (UAP) message for each contract in which the specified account has a position or realized P&L.

Response:

8=FIX.4.2‡9=00250‡35=UAP‡49=TT_ORDER‡56=REMOTE‡50=TTORDPS001‡ 57=NONE‡34=77‡52=20120404-20:21:08.124‡16710=11‡16721=11:1‡58=Position‡ 16018=m1x680‡55=ES48=00A0FM00ESZ‡10455=ESM2‡167=FUT207=CME‡15=USD‡ 1=ps00100116727=5‡200=201206‡32=-1‡16724=0‡16210=0‡31=140300‡ 146=0‡10=001‡

Response:

8=FIX.4.2‡9=00260‡35=UAP‡49=TT_ORDER‡56=REMOTE‡50=TTORDPS001‡57=NONE‡ 34=78‡52=20120404-20:21:08.124‡16710=11‡16721=11:2‡58=Position‡ 16018=m1x900‡55=ZB48=00A0FM00ZBZ‡10455=ZBM2‡167=FUT207=CBOT‡15=USD‡ 1=ps00100116727=5200=20120632=6‡16724=0‡16210=031=137.604166666666‡146=0‡10=082‡

Response:

8=FIX.4.2‡9=00249‡35=UAP‡49=TT_ORDER‡56=REMOTE‡50=TTORDPS001‡57=NONE‡ 34=79‡52=20120404-20:21:08.124‡16710=11‡16721=11:3‡58=Position‡ 16018=m1x680‡55=6A48=00A0IM006AZ‡10455=6AU2‡167=FUT207=CME‡15=USD‡ 1=ps00100116727=5200=20120932=-5‡16724=0‡16210=031=10089‡146=0‡ 10=150‡

Response:

8=FIX.4.2‡9=00255‡35=UAP‡49=TT_ORDER‡56=REMOTE‡50=TTORDPS001‡57=NONE‡ 34=80‡52=20120404-20:21:08.124‡16710=11‡16721=11:4‡58=Position‡ 16018=m1x680‡55=ES48=00A0LM00ESZ‡10455=ESZ2‡167=FUT207=CME‡15=USD‡ 1=ps00100116727=5200=20121232=-32‡16724=0‡16210=0‡31=139059.375‡ 146=0‡10=039‡

Response

8=FIX.4.2‡9=00253‡35=UAP‡49=TT_ORDER‡56=REMOTE‡50=TTORDPS001‡57=NONE‡ 34=81‡52=20120404-20:21:08.124‡16710=11‡16721=11:5‡58=Position‡ 16018=m1xbs0‡55=FDAX48=FDAX062012167=FUT207=Eurex‡15=EUR‡1=ps00100116727=5200=20120632=-13‡16724=0‡16210=031=7068.26923076923‡ 146=0‡10=188‡

Position report subscriptions through TT Gateway roll-overs

This conversation shows how TT FIX Adapter updates positions via Position Report (UAP) messages when a TT Gateway rolls sessions. To receive Position Report (UAP) messages, the FIX client must send TT FIX Adapter a Request For Position (UAN) message. In this example, the FIX client requests a subscription (Tag 263 (SubscriptionRequestType) = 1) for positions (Tag 16724 (PosReqType) = 0 (Positions)).

Request:

8=FIX.4.2‡9=78‡35=UAN‡34=12‡49=REMOTE‡52=20120426-20:13:01‡ 56=TT_ORDER‡16710=1‡16724=0‡263=1‡10=034‡

In this example, there is an open position of long 70 on the CME ESJun12 contract, so TT FIX Adapter responds with a Position Report (UAP) message.

Response:

8=FIX.4.2‡9=00242‡35=UAP‡49=TT_ORDER‡56=REMOTE‡50=TTORDPS001‡57=NONE‡ 34=15‡52=20120426-20:13:02.037‡16710=1‡16721=1:2‡58=Position‡ 16018=m31ww0‡55=ES‡48=00A0FM00ESZ‡10455=ESM2‡167=FUT‡207=CME‡15=USD‡ 16727=11‡200=20120632=70‡16724=0‡16210=25.00‡31=135436.071428571‡ 10=158‡

When the TT Gateway rolls over, the TT Gateway will set positions and P&L to zero, which will result in a Position Report (UAP) message being sent from TT FIX Adapter to the FIX client.

Response:

8=FIX.4.2‡9=00227‡35=UAP‡49=TT_ORDER‡56=REMOTE‡50=TTORDPS001‡57=NONE‡ 34=41‡52=20120426-20:23:16.382‡16710=1‡16721=1:13‡58=Position‡ 16018=m33rk0‡55=ES‡48=00A0FM00ESZ‡10455=ESM2‡167=FUT‡207=CME‡15=USD‡ 16727=13‡200=20120632=0‡16724=0‡16210=0‡31=0‡10=144‡

Requesting historical fills

In this conversation, a FIX client sends a Request For Position (UAN) message with Tag 16724 (PosReqType) = 1 (trades) to request historical fills. It also provides Tag 1 (Account) to filter the positions for a single account.

Request

8=FIX.4.2‡9=83‡35=UAN‡34=9‡49=REMOTE‡52=20120404-15:18:07‡56=TT_ORDER‡1=ps001001‡16710=12‡16724=1‡10=156‡

TT FIX Adapter responds by sending a Position Report (UAP) message for each fill for the specified account.

Response:

8=FIX.4.2‡9=00458‡35=UAP‡49=TT_ORDER‡56=REMOTE‡34=15‡ 52=20120404-15:18:07.130‡50=TTORDPS001001‡57=NONE‡55=ES48=00A0LM00ESZ‡ 10455=ESZ2‡167=FUT207=CME‡15=USD‡1=ps001001‡47=A‡204=0‡10553=REMOTE‡ 375=CME000A‡18203=CME‡18216=P15000‡58=Fill‡10527=7137:1030832TN0000389‡16018=m1x680‡200=201212‡32=12‡75=20120404‡54=2‡40=2‡59=0‡44=139075‡ 38=20‡31=139075‡60=20120404-14:18:45.594‡146=0‡16710=12‡ 16721=12l4muud5edbr2‡198=R0VV‡37=0232N8008‡17=l4muud5edbr2‡16727=2‡ 442=1‡16724=1‡77=O‡20=0‡10=166‡

Response:

8=FIX.4.2‡9=00458‡35=UAP‡49=TT_ORDER‡56=REMOTE‡34=16‡ 52=20120404-15:18:07.130‡50=TTORDPS001001‡57=NONE‡55=ES48=00A0LM00ESZ‡ 10455=ESZ2‡167=FUT207=CME‡15=USD‡1=ps001001‡47=A‡204=0‡10553=REMOTE‡ 375=CME000A‡18203=CME‡18216=P15000‡58=Fill‡10527=7137:1034795TN0000391‡16018=m1x680‡200=201212‡32=10‡75=20120404‡54=2‡40=2‡59=0‡44=139050‡ 38=20‡31=139050‡60=20120404-14:30:47.496‡146=0‡16710=12‡ 16721=128wqxubb85qc4‡198=R0W3‡37=0232N8011‡17=8wqxubb85qc4‡16727=3‡ 442=1‡16724=1‡77=O‡20=0‡10=064‡

Response:

8=FIX.4.2‡9=00460‡35=UAP‡49=TT_ORDER‡56=REMOTE‡34=17‡ 52=20120404-15:18:07.130‡50=TTORDPS001001‡57=NONE‡55=ES48=00A0LM00ESZ‡ 10455=ESZ2‡167=FUT207=CME‡15=USD‡1=ps001001‡47=A‡204=0‡10553=REMOTE‡ 375=CME000A‡18203=CME‡18216=P15000‡58=Fill‡10527=7137:1034863TN0000392‡16018=m1x680‡200=201212‡32=10‡75=20120404‡54=2‡40=2‡59=0‡44=139050‡ 38=20‡31=139050‡60=20120404-14:31:06.330‡146=0‡16710=12‡ 16721=1212jra4zj7qon3‡198=R0W3‡37=0232N8011‡17=12jra4zj7qon3‡16727=4‡ 442=1‡16724=1‡77=O‡20=0‡10=123‡

Response:

8=FIX.4.2‡9=00462‡35=UAP‡49=TT_ORDER‡56=REMOTE‡34=18‡ 52=20120404-15:18:07.130‡50=TTORDPS001001‡57=NONE‡55=ES48=00A0FM00ESZ‡ 10455=ESM2‡167=FUT‡207=CME‡15=USD‡1=ps001001‡47=A‡204=0‡10553=REMOTE‡ 375=CME000A‡18203=CME‡18216=P15000‡58=Fill‡10527=7137:1047756TN0026380‡16018=m1x680‡200=201206‡32=1‡75=20120404‡54=2‡40=2‡59=0‡44=140300‡38=1‡31=140300‡60=20120404-15:14:41.261‡146=0‡16710=12‡ 16721=121dc1vqe1ncvwao‡198=R0WH‡37=0232Q0011‡17=1dc1vqe1ncvwao‡16727=5‡442=1‡16724=1‡77=O‡20=0‡10=047‡

Requesting positions when none exist

In this conversation, a FIX client sends a Request For Position (UAN) message with Tag 16724 (PosReqType) = 0 (positions) to request positions. It also provides Tag 1 (Account) to filter the positions for a single account.

Request:

8=FIX.4.2‡9=98‡35=UAN‡34=4172‡49=REMOTE‡52=20120402-19:01:04‡56=TT_ORDER‡56=TT_ORDER‡1=ps001001‡16710=11‡16724=0‡10=088‡

Because the specified account has no positions, TT FIX Adapter sends a Position Report (UAP) message and sets Tag 16727 (TotalNumPosReports) to 0.

Response:

8=FIX.4.2‡9=00154‡35=UAP‡49=TT_ORDER‡56=REMOTE‡50=NONE‡57=NONE‡34=4172‡52=20120402-19:01:04.850‡16710=11‡16721=11:0‡58=No matching records‡1=ps001001‡16727=0‡16724=0‡146=0‡10=157‡

Requesting historical fills when none exist

In this conversation, a FIX client sends a Request For Position (UAN) message with Tag 16724 (PosReqType) = 1 (trades) to request historical fills. It also provides Tag 1 (Account) to filter the positions for a single account.

Request:

8=FIX.4.2‡9=86‡35=UAN‡34=4175‡49=REMOTE‡52=20120402-19:03:10‡56=TT_ORDER‡1=ps001001‡16710=12‡16724=1‡10=045‡

Because the specified account has no fills, TT FIX Adapter sends a Position Report (UAP) message and sets Tag 16727 (TotalNumPosReports) to 0.

Response:

8=FIX.4.2‡9=00154‡35=UAP‡49=TT_ORDER‡56=REMOTE‡50=NONE‡57=NONE‡34=4175‡52=20120402-19:03:11.068‡16710=12‡16721=12:0‡58=No matching records‡1=ps001001‡16727=0‡16724=1‡146=0‡10=164‡

Receiving fill updates from a fill confirm

This conversation shows how TT FIX Adapter sends out an update to a fill that has been confirmed when Send Fill Updates is enabled in FACT. The original fill Execution Report (8) message is sent by TT FIX Adapter to the FIX client:

Request:

8=FIX.4.2‡9=00447‡35=8‡49=TT_ORDER‡56=REMOTE‡50=TTORDPS001001‡57=NONE‡ 34=179‡52=20120426-18:42:57.731‡55=ES‡48=ES01120600000000NN‡ 10455=JUN12‡167=FUT‡207=TTSIM‡15=USD‡1=ps001001‡18205=A1‡10553=REMOTE‡ 375=SIMLIVEEXC0‡18203=TTSIM‡37=023DBV012‡17=Q41US002PC2V58=Fill‡ 198=1542192‡10527=2928735‡16018=m335c0‡200=201206‡32=1‡151=0‡14=1‡54=1‡40=2‡77=O‡59=0‡11028=Y‡150=2‡20=0‡39=2‡442=1‡44=139700‡38=1‡31=139700‡ 6=139700‡60=20120426-13:44:24.748‡6038=20120426-18:42:57.291‡10=185‡

In X_TRADER, the account number is changed from ps001001 to ps001001_conf and the fill is confirmed. TT FIX Adapter sends the following fill update Execution Report (8) message to the FIX client with Tag 20 (ExecTransType) = 2 (Correct), a new Tag 17 (ExecID) value, the previous Tag 17 (ExecID) value in Tag 19 (ExecRefID), and the original Tag 17 (ExecID) value in Tag 16017 (OrigExecID). Note that since this is the first update to the fill, tag Tag 19 (ExecRefID) and Tag 16017 (OrigExecID) have the same value.

Response:

8=FIX.4.2‡9=00519‡35=8‡49=TT_ORDER‡56=REMOTE‡50=TTORDPS001001‡57=NONE‡ 34=181‡52=20120426-18:43:58.837‡55=ES‡48=ES01120600000000NN‡ 10455=JUN12‡167=FUT‡207=TTSIM‡15=USD‡1=ps001001_conf‡18205=A1‡ 10553=REMOTE‡375=SIMLIVEEXC0‡18203=TTSIM‡37=023DBV012‡ 17=Q41US002PC2V:158=Clearing Account now ps001001_conf‡198=1542192‡ 10527=2928735‡19=Q41US002PC2V16017=Q41US002PC2V‡16018=m335c0‡ 200=201206‡32=1‡151=0‡14=1‡54=1‡40=2‡77=O‡59=0‡11028=Y‡150=2‡20=2‡39=2‡442=1‡44=139700‡38=1‡31=139700‡6=139700‡60=20120426-13:44:24.748‡ 6038=20120426-18:42:57.291‡10=081‡

Receiving fill updates from OM gateways

This conversation shows how TT FIX Adapter sends out an update to a fill due to an OM Gateway fill update when Send Fill Updates is enabled in FACT, in this case from a TT OSE Gateway. The original fill Execution Report (8) is sent by TT FIX Adapter to the FIX client:

Response:

8=FIX.4.2‡9=00434‡35=8‡49=TT_ORDER‡56=REMOTE‡50=TTORDPS001001‡57=NONE‡ 34=212‡52=20120426-19:01:58.064‡55=DJIA‡48=FUT_DJIA_1209‡ 10455=FUT_DJIA_1209‡167=FUT‡207=OSE‡15=JPY‡1=ps001001‡18205=A1‡ 10553=REMOTE‡18203=OSE‡37=023DBV043‡17=NRQ30010B14N200G9K0000001‡ 58=Fill‡198=4BA7F40A:A6E9A5C9‡16018=m32oo0‡200=201209‡32=1‡151=0‡14=1‡ 54=2‡40=2‡77=O‡59=0‡11028=Y‡150=2‡20=0‡39=2‡442=1‡44=12500‡38=1‡ 31=12500‡6=12500‡60=20120426-19:01:57‡6038=20120426-19:01:57.283‡ 10=238‡

The TT OSE Gateway sends a fill update to provide additional clearing information, in this case Tag 10527 (SecondaryExecID). TT FIX Adapter sends the following fill update Execution Report (8) to the FIX client with Tag 20 (ExecTransType) = 2 (Correct), a new Tag 17 (ExecID) value, the previous Tag 17 (ExecID) value in Tag 19 (ExecRefID), and the original Tag 17 (ExecID) value in Tag 16017 (OrigExecID), and the newly provided Tag 10527 (SecondaryExecID). Note that since this is the first update to the fill, Tag 19 (ExecRefID)and tag Tag 16017 (OrigExecID) have the same value.

Response:

8=FIX.4.2‡9=00539‡35=8‡49=TT_ORDER‡56=REMOTE‡50=TTORDPS001001‡57=NONE‡ 34=213‡52=20120426-19:01:58.074‡55=DJIA‡48=FUT_DJIA_1209‡ 10455=FUT_DJIA_1209‡167=FUT‡207=OSE‡15=JPY‡1=ps001001‡18205=A1‡ 10553=REMOTE‡18203=OSE‡37=023DBV043‡17=NRQ30010B14N200G9K0000001:2‡ 58=Fee or Clearing Update‡198=4BA7F40A:A6E9A5C9‡10527=51848 19=NRQ30010B14N200G9K0000001‡16017=NRQ30010B14N200G9K0000001‡ 16018=m32oo0‡200=201209‡32=1‡151=0‡14=1‡75=20120427‡54=2‡40=2‡77=O‡ 59=0‡11028=Y‡150=2‡20=2‡39=2‡442=1‡44=12500‡38=1‡31=12500‡6=12500‡ 60=20120426-19:01:57‡6038=20120426-19:01:57.283‡10=046‡

If that fill were then confirmed in X_TRADER, an additional fill update would be sent. In X_TRADER, the account number is changed from ps001001 to ps001001_conf and the fill is confirmed. TT FIX Adapter sends the following fill update Execution Report (8) to the FIX client with Tag 20 (ExecTransType) = 2 (Correct), a new Tag 17 (ExecID)) value, the previous Tag 17 (ExecID) value in Tag 19 (ExecRefID), and the original Tag 17 (ExecID) value in Tag 16017 (OrigExecID). Note that since this is not the first update to the fill, Tag 19 (ExecRefID) and Tag 16017 (OrigExecID) now have different values.

Response:

8=FIX.4.2‡9=00582‡35=8‡49=TT_ORDER‡56=REMOTE‡50=TTORDPS001001‡57=NONE‡ 34=214‡52=20120426-19:15:53.892‡55=DJIA‡48=FUT_DJIA_1209‡ 10455=FUT_DJIA_1209‡167=FUT‡207=OSE‡15=JPY‡1=ps001001_conf‡18205=A1‡ 10553=REMOTE‡18203=OSE‡37=023DBV043‡17=NRQ30010B14N200G9K0000001:358=Clearing Account now ps001001_conf, Fee or Clearing Update‡ 198=4BA7F40A:A6E9A5C9‡10527=51848‡19=NRQ30010B14N200G9K0000001:2‡ 16017=NRQ30010B14N200G9K0000001‡16018=m32oo0‡200=201209‡32=1‡151=0‡ 14=1‡75=20120427‡54=2‡40=2‡77=O‡59=0‡11028=Y‡150=2‡20=2‡39=2‡442=1‡ 44=12500‡38=1‡31=12500‡6=12500‡60=20120426-19:01:57‡ 6038=20120426-19:01:57.283‡10=163‡