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FIX Adapter Reference

FIX Sessions and Messages

Price vs. order FIX sessions

The following lists the types of FIX sessions that TT FIX Adapter supports. A single FIX client can create one or more of each session type, based on its processing needs.

Session type

Uses

Price

  • Subscribe for market data
  • Subscribe for TT Gateway status updates
  • Subscribe for security definitions
  • Subscribe for security status updates

Order

  • Submit orders
  • Receive order acknowledgments and fills
  • Subscribe for TT Gateway status updates
  • Subscribe for security definitions

Supported FIX messages

In addition to different types of FIX sessions, the TT FIX Adapter also supports two basic types of configurations:

  • Drop copy configurations, which send market data, order acknowledgments and fills to FIX clients
  • Order routing configurations, which allows FIX clients to request market data, submit orders, and receive notifications for orders and fills

For more information about TT FIX Adapter configurations, refer to the TT FIX Adapter System Administration Manual.

The following table shows which messages different types of FIX clients can exchange with TT FIX Adapter. It also shows how the session type and session persistence affect which messages they can exchange.

Use case

Drop Copy

Order Routing

Session type

Price

Order

Price

Order

Heartbeat (0)

Yes

Yes

Yes

Yes

Test Request (1)

Yes

Yes

Yes

Yes

Resend Request (2)

Yes

Yes

Yes

Yes

Session-Level Reject (3)

Yes

Yes

Yes

Yes

Sequence Reset (4)

Yes

Yes

Yes

Yes

Logout (5)

Yes

Yes

Yes

Yes

Logon (A)

Yes

Yes

Yes

Yes

Business Message Reject (j)

Yes

Yes

Yes

Yes

Execution Report (8)

No

Yes

No

Yes

Gateway Status Request (UAR)

Yes

Yes

Yes

Yes

Gateway Status (UAT)

Yes

Yes

Yes

Yes

Market Data Request (V)

Yes

No

Yes

No

Market Data Request Reject (Y)

Yes

No

Yes

No

Market Data Snapshot/Full Refresh (W)

Yes

No

Yes

No

Market Data - Incremental Refresh (X)

Yes

No

Yes

No

New Order - Single (D)

No

No

No

Yes

Order Cancel Request (F)

No

No

No

Yes

Order Cancel/Replace Request (G)

No

No

No

Yes

Order Status Request (H)

No

Yes

No

Yes

Order Cancel Reject (9)

No

No

No

Yes

Request for Position (UAN)

No

Yes

No

Yes

Position Report (UAP)

No

Yes

No

Yes

Security Definition Request (c)

Yes

Yes

Yes

Yes

Security Definition (d)

Yes

Yes

Yes

Yes

Security Status Request (e)

Yes

No

Yes

No

Security Status (f)

Yes

No

Yes

No