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
Used to establish a connection between a FIX client and the TT FIX Adapter
From TT FIX Adapter to FIX client and from FIX client to TT FIX Adapter
|Use Case||Price Session||Order Session|
|Tag #||Field Name||Req’d||Comments|
|Component Block <Standard Header>||Y||35=A (MsgType)|
Logon password. The value must match the logon password for the FIX session. The TT FIX Adapter does not include this tag in its responses.
Data type: data
Condition: Required in FIX client requests.
Method of encryption. As the TT FIX Adapter does not support encrypted logons, you must set the value to 0 (None/Other).
Data type: int
Data type: int
Whether to reset the sequence numbers on both sides of the FIX session. Valid values include Y and N (default).
Data type: Boolean
Note: If the TT FIX Adapter configuration enables the Send Orders On Reset option and you set 141=Y, TT FIX Adapter sends an Execution Report (8) with Tag 150 (ExecType)=D for all working orders immediately after TT FIX Adapter sends the Logon (A) acknowledgment.
Enabling this configuration option performs the same function as requesting an order book download using an Order Status Request (H) message without Tag 11 (ClOrdID) and Tag 37 (OrderID).
|For more information, see the TT FIX Adapter System Administration Manual.|
|Component Block <Standard Trailer>||Y|
The Logon (A) message is used by a FIX client to begin a new or continue an existing session with the TT FIX Adapter.
The following data flow illustrates a typical logon sequence between the TT FIX Adapter and FIX client for an order session:
- FIX client initiates a socket connection.
- FIX client sends a Logon (A) message to the TT FIX Adapter.
- The TT FIX Adapter receives the FIX client logon message and verifies
the following tags in the Logon (A) message against the corresponding parameter
- Tag 49 (SenderCompID) to RemoteCompId (in FACT)
- Tag 56 (TargetCompID) to LocalCompId (in TT User Setup)
- Tag 96 (RawData) to Password (in TT User Setup)
- If any of the following errors occur, the TT FIX Adapter stops processing
the logon attempt, sends the FIX Client a Logout (5) message with
the reason for rejection in Tag 58 (Text), and closes the socket connection.
- These tags do not match for the adapter and the client.
- TT User Setup does not respond.
- The TT universal login credentials (tags 49 and 96) are invalid.
Examine the value of Tag 141 (ResetSeqNumFlag).
If Tag 141 (ResetSeqNumFlag) is set to N, the TT FIX Adapter compares the value of Tag 34 (MsgSeqNum) in the Logon (A) message against its current sequence number.
- If MsgSeqNum is less than the TT FIX Adapter’s expected sequence number, the TT FIX Adapter stops processing the logon attempt, sends a Logout (5) message as its response, and closes the socket connection.
- If MsgSeqNum is greater than the TT FIX Adapter’s expected sequence number, the logon process continues normally. However, after the logon process completes, the TT FIX Adapter sends a Resend Request (2) message.
If Tag 141 (ResetSeqNumFlag) is set to Y, the TT FIX Adapter expects the value of Tag 34 (MsgSeqNum) in the Logon (A) message to be 1.
- If Tag 34 is not 1, TT FIX Adapter stops processing the logon attempt, sends a Logout (5) message, and closes the connection.
- Otherwise, the logon process continues normally.
- TT FIX Adapter sends a Logon (A) message to the FIX client.
FIX Message Conversations, Logon and logout