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FIX Adapter Reference

NYSE_Liffe Notes

About over-the-counter trades

Over-the-counter (OTC) trades occur directly between two parties where the exchange acts as a clearing mechanism for the transaction. Typically, OTC trades fall into one of the following types:

  • Type 1 trades, which include block, vola, prof, and similar trades, where the trade comprises a cash leg and a standard exchange-listed futures or options leg
  • Type 2 trades, like FLEX options, where the trade comprises a cash leg and a non-standard contract leg
  • Type 3 trades, including EFP, EFS, AA, and similar trades, where the trade comprises a non-standard contract leg (bond, swap, commodity) and a standard exchange-listed futures or options leg

OTC support

The TT NYSE_Liffe Gateway supports all three types of OTC trades. Except for “prof” trades, both TT Gateways also require that one party enter both sides of a transaction.

How TT FIX Adapter handles OTC trades

While TT FIX Adapter does not support entering OTC trades, traders can submit OTC orders through X_TRADER®. TT FIX Adapter does, however, process the corresponding fills and delivers them to FIX clients. For an OTC trade submitted through X_TRADER®, TT FIX Adapter responds differently for each trade type, as described in the following table.

For OTC trade type...TT FIX Adapter...
Type 1

For all except prof trades: Sends to the order sender two Execution Report (8) messages for the exchange-traded leg fill, one for the buyer and one for the seller. Clients should use Tag 1 (Account) to determine which fills are theirs.

For prof trades: Sends the order sender a single Execution Report (8) message for the exchange-traded leg fill.

Type 2

Sends nothing.

Type 3

Sends to the order sender two Execution Report (8) messages for the exchange-traded leg fill, one for the buyer and one for the seller. Clients should use Tag 1 (Account) to determine which fills are theirs.