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
TT FIX Adapter enables traders with FIX-based client applications to connect to various exchanges via TT Gateways. As a developer, you must develop the connection from the FIX-based client to the TT FIX Adapter.
TT supports a subset of the FIX protocol (Version 4.2 with Errata 20010501) message types and tags within the message types. Refer to the website http://www.fixprotocol.org for additional FIX tag descriptions and message definitions.
Note: TT FIX Adapter supports only those messages and tags described in this document. Do not submit other tags to TT FIX Adapter, as doing so can produce unexpected results.
Supported TT Gateways
TT FIX Adapter supports the following TT Gateways:
- BrokerTec, version 7.13.0 or higher
- BVMF, version 7.15 or higher
- CFE, version 7.16 or higher
- CME, version 7.13 or higher
- Eris_GovEx, version or 7.16.9 higher
- eSpeed version 126.96.36.199 or higher
- Eurex, version 7.13.0 or higher
- ICE, version 7.14.1 or higher
- LME, version 7.13.0 or higher
- LSE, all versions
- MEFF, version 7.13.0 or higher
- MX, version 7.16 or higher
- NASDAQ OMX EU, version 188.8.131.52 or higher
- NYSE_Liffe, version 7.15 or higher
- NYSE_Liffe_US, version 7.16 or higher
- OSE, version 7.14 or higher
- SFE, version 7.13.0 or higher
- SGX, version 7.13.0 or higher
- TFX, version 7.14 or higher
- TT Synthetic Strategy Engine (SSE), version 7.2.10 or higher
- TOCOM, version 7.13.0 or higher
- TTSIM, version 7.2 or higher
Some exchanges might list some products on other exchanges. For example, the European Climate Exchange lists products on ICE_IPE. For those products, you must specify ICE_IPE in Tag 207 (SecurityExchange). For information about how to map these exchanges, refer to Tag 207 (SecurityExchange).
Note: FIX Adapter supports connectivity to TT Synthetic Strategy Engine (Synthetic SE) for receiving order acknowledgments and fill updates for synthetic and staged order on both Order Routing and Drop Copy FIX Adapters. Only staged orders can be submitted to Synthetic SE from an Order Routing FIX Adapter, however.
Note: The MEFF Gateway does not fully support MEFF options contracts. As a result, TT FIX Adapter does not support MEFF options contracts.
Order visibility Within the TT System
The following illustration shows a typical TT network in which traders use FIX clients and X_TRADER to route orders.
TT FIX Adapter maps all order sessions to a set of TT Member/Group/Trader (MGT) credentials. Thus, all orders routed by FIX clients through FIX Adapter will be visible in other TT applications (such as X_TRADER, X_RISK, etc…) provided that their credentials (MGT) have permission to view the order. Conversely, all orders routed through other TT applications will be visible to FIX clients provided that their credentials (MGT) have permission to view the order.