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FIX Adapter Reference Documentation

BrokerTec Notes

Quoting conventions

BrokerTec quotes some products (such as WI and JGB bonds) in yield. When displaying these quotes, X_TRADER also shows them in yield. TT FIX Adapter, however, expects and delivers prices for these products as 100-yield.

For example, if BrokerTec sends a quote for a 5% yield, TT FIX Adapter sends the FIX client the price as 95 in Tag 270 (MDEntryPx). Consequently, when submitting orders for WI products, the FIX client must submit 95 in Tag 44 (Price).

Changing or rejecting orders

BrokerTec does not allow you to change, cancel, replace, or delete orders that reside at the inside market for a specified period of time once entered (usually about 2 seconds, but it can change). If you try to modify an order during this time period, BrokerTec sends a request reject with a special flag that indicates this particular situation. In this case, TT FIX Adapter sends an Order Cancel Reject (9) message to the FIX client with Tag 102 (CxlRejReason) set to 4 (Too Early To Cancel).

Fee information in fills during workup

For BrokerTec, fills that occur during the workup phase do not include the fee information. Instead, this information is included in an updated fill that is sent after the workup phase is over. Consequently, TT FIX Adapter does not include Tag 136 (NoMiscFees) for fills during the workup phase, but does include it include it when BrokerTec provides the updated fill after the workup phase. Note that you must have the Send Fill Updates option enabled in FACT to receive updated fill notifications.

WI and OTR Bond Support

The BrokerTec Gateway supports WI (When Issued) and OTR (On-The-Run) bonds. For US Treasuries, when a new WI or OTR bond becomes available on the BrokerTec Gateway, the Tag 48 (SecurityID) value will be the same as that of the previous WI or OTR bond, but the Tag 10455 (SecurityAltID), Tag 205 (MaturityDay), and Tag 200 (MaturityMonthYear) values will change. See the BrokerTec Gateway Help for more information regarding the representation of BrokerTec instruments.