FIX Adapter Reference Documentation
- Software Design Considerations
About FIX Messages
- About the message structure
- Message structure: message header
- Message structure: message body
- Component block: Instrument (FIX clientrequest)
- Component block: Instrument (TT FIX Adapter response)
- Component block: Underlying instrument
- Component Block: Trader
- Component Block: Synthetic Order Properties
- Group: PartiesGrp
- Group: OrderAttributeGrp
- Understanding Account Defaults
- Account Defaults: Order Matching and Routing Examples
- Message structure: message footer
- Session Level Messages
- Application Level Messages
- Application Level Messages — Pre Trade
- Application Level Messages — Trade Related
- Application Level Messages — Post Trade
- Application Level Messages — Other
- FIX Message Conversations
- Enumerations And Codes
- Supported FIX Messages And Tags
- P&L Calculation Algorithm
- TT Gateway Specific Notes
Understanding Account Defaults
What are Account Defaults?
When TT FIX Adapter receives an order from a FIX client, it maps FIX tags to TT order attributes. By default, the FIX client must provide all data required by the TT Gateway / exchange in the FIX order routing message. You can set up Account Defaults to use default values for certain tags in lieu of including them in every FIX order routing message.
Account Defaults are actually a set of rules. A rule contains two types of information:
- Keys, which TT FIX Adapter uses to match incoming orders to a particular rule
- Default values, which TT FIX Adapter applies to any order that matches a rule and is missing one or more of the values in the FIX order routing message
Specifically, each rule consists of the following fields.
Customer account number
TT Market name
TT Gateway name
Product type associated with a security
Type of account associated with the trader
47 (Rule80A) and 204 (CustomerOrFirm)
Member code for the clearing member; used for give-up trades only
|Free-form fields, which might be required by some TT Gateways|
16102 (FFT2) 16103 (FFT3)
Identifies the Broker company that setup the Account Default rule.
|** The Broker field is only available in the TT X_TRADER ASP environment.|
* The way TT FIX Adapter uses the Market and Gateway fields depends on whether the configuration overrides the Market Name for the TT Gateway (for more information about this configuration parameter, see the TT FIX Adapter System Administration Manual), as follows:
The TT User Setup administrator can configure Account Defaults for each user. Refer to the TT User Setup help system for more information.
How TT FIX Adapter uses Account Defaults
When TT FIX Adapter receives an order from a FIX client, it must convert it into a TT order that conforms to the TT Gateway requirements. If the order omits some of this information, TT FIX Adapter tries to match the order with one of the Account Default rules. If it finds a match, TT FIX Adapter inserts any specified default values into the order before routing it to the specified TT Gateway.
Consequently, tags 47 (Rule80A), 204 (CustomerOrFirm), 18205 (TTAccountType), 440 (ClearingAccount), 16102 (FFT2), and 16103 (FFT3) are all optional in a FIX message if a FIX session contains an Account Default with default values.
When TT FIX Adapter receives an order message from a FIX client, it starts the process of matching the order to a set of Account Defaults. It compares the Account Defaults keys to the corresponding tags in the order as follows:
- Account key to Tag 1 (Account)
- Market key to Tag 207 (SecurityExchange)
- Gateway key to Tag 207 (SecurityExchange)
Note: As this tag is optional, TT FIX Adapter internally determines the destination Gateway if the order routing message omits this tag.
- Product Type key to Tag 167 (SecurityType)
If the values are the same, TT FIX Adapter considers the order to match the Account Default entry. Note that when you provide multiple Account Defaults with the same keys, TT FIX Adapter matches the first one it finds. If it finds no matching Account Defaults entry, TT FIX Adapter expects the FIX client to provide all of the necessary order information in the FIX message.
Account Defaults matching order
To help you understand the matching process, assume an administrator configures two FIX clients with the same set of Account Defaults, but in a different order. Each FIX client sending the same message to TT FIX Adapter receives different results.
TT User Setup includes the following Account Defaults entries for FIX client ABC:
For FIX client XYZ, TT User Setup includes the same Account Defaults entries, but in reverse order, as shown:
Both FIX clients send a message with:
- Tag 1 (Account) = “123”
- Tag 207 (SecurityExchange) = “ICE_IPE”
- Tag 167 (SecurityType) = “NRG”
When TT FIX Adapter receives the message from FIX client ABC, it finds a match in the first Account Defaults listed, so it routes the order to the TT Gateway with Account Type = “G1” and Give-Up = “999”. When TT FIX Adapter receives the same message from FIX client XYZ, it matches the first row. Even though the second Account Defaults entry represents a more precise match, TT FIX Adapter stops looking after it finds the first match. Consequently, when TT FIX Adapter receives this message, it routes it to the TT Gateway with Account Type = “A1”.
Locking Account Defaults
If you want TT FIX Adapter to limit the ability of a FIX client to submit other values in the TT order fields, you can lock the Account Defaults by enabling the Restrict user from overriding Account Defaults setting in TT User Setup. When you lock the Account Defaults for a FIX session, TT FIX Adapter:
- Rejects any incoming order that does not match an Account Defaults entry.
- Rejects any incoming order that matches an Account Defaults entry but supplies values that differ from the default values specified in the matching entry.