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Fix 4.4: CT FIX Trade Processing.docx

Fix 4.4 Drop Copy: EquityOptions FIX and EOD Spec(1.0.4).docx

 

FIX Tag

FIX Tag (block member)

Required?

(Y)es, (N)o, (C)onditionally

FIX Tag name

Description

Notes

 

 

 

 

GMS Message id

From GMS envelope

 

 

 

 

GMS Origin

From GMS envelope

 

 

Y

Standard Header

 

MsgType = 8

1

 

Y

Account

Retail Customer Account

Example:  66151533

6

 

N

AvgPx

 

Note:  Required per FIX standards, but we don’t expect to use it.

11

 

Y

ClOrdID

Unique identifier for Order as assigned by the buy-side (institution, broker, intermediary  etc.)

All executions for a given trade will have this in common.

For complex options, this is the overall id that ties all the legs together.

12

 

C

Commission

Commission

On first execution only, but it adds up the same either way.

14

 

Y

CumQty

Currently executed shares for chain of orders.

If this is zero on a canceled, replaced, or done for day, it means nothing actually ever executed on that order ID, and there won’t be any trade that needs to be entered.

17

 

Y

ExecID

Uniqueness must be guaranteed within a single trading day or the life of a multi-day order. 

This will be how we find a previous execution if they later do a bust.

Store this as a lookup with code “FLX” to be consistent with existing functionality to allow busts, etc.

19

 

C

ExecRefID

Reference identifier used with Cancel and Correct transaction types.

If tag 20 shows a bust or correct, this is the value that was in tag 17 of the original trade.  This is the value to search for a lookup with code “FLX” to find the original trade.

20

 

Y

ExecTransType

Identifies transaction type

Valid values: 

            0 = New

            1 = Cancel

            2 = Correct

            3 = Status

Zero is normal trades.  1 is a bust “cxl”.  2 is a correction “rbl”.  3 is not expected, but if we get one, ignore it.

29

 

Y

LastCapacity

Capacity

Configure per connection:  Default capacity when this is not specified.  For now we expect all of the Etna trades to be agency.  So we would configure the proper “agency” Talisys capacity code for this on each connection.

30

 

C

LastMkt

Market of execution for last fill 

Market:  Standard tag

See also tag 6003.

31

 

Y

LastPx

price

 

32

 

Y

LastShares

Quantity

 

37

 

C

OrderID

Unique identifier for Order as assigned by sell-side (broker, exchange, ECN). 

 

39

 

Y

OrdStatus

Identifies current status of order. 

0 = New

1 = Partially filled

2 = Filled

3 = Done for day

4 = Canceled

5 = Replaced

The state this report leaves the order in.

Note:  Tag 150 will in most cases be more important when deciding how a given report is processed.

54

 

Y

Side

side

Buy / Sell / BCS / etc.

55

 

Y

Symbol

symbol

Main product symbol.  Per FIX protocol standards.  See also tag 65.

58

 

N

Text

trailer

Even if Atna does not pass this, it should still be parsed and entered as floor trailer.  It can be useful for finding specific messages fabricated during testing.

60

 

Y

TransactTime

Execution time

Required because time and tick won’t be correct unless we get the “Real” values passed to us.

64

 

N

FutSettDate

Settlement date

Defaults based on product if not present.

65

 

C

SymbolSFX

 

Preferred, etc.  Per FIX protocol standards.  See also tag 55. 

75

 

Y

TradeDate

Trade date

 

76

 

Y

ExecBroker

Executor

 

77

 

C

OpenClose

 

Options only

136

 

C

NoMiscFees

Fees Block

Number of fees in block.

136

137

C

MiscFeeAmt

Fees Block

Amount of fee

136

138

C

MiscFeeCurr

Fees Block

USD

136

139

C

MiscFeeType

Indicates type of miscellaneous fee.

Valid values:

1 = Regulatory (e.g. SEC)

2 = Tax

3 = Local Commission

4 = Exchange Fees

5 = Stamp

6 = Levy

7 = Other

8 = Markup

9 = Consumption Tax

10 = Per transaction

11 = Conversion

12 = Agent

Our interpretations will be:

 

  • TAF fee
  • OCC fee
  • Index option fee

 

 

150

 

Y

ExecType

Describes the specific Execution Report while OrdStatus will always identify the current order status

1 = Partial fill

2 = Fill

3 = Done for day

4 = Canceled

5 = Replace

Use along with tags 20 and sometimes 39 to determine what processing is needed for this execution report.

151

 

Y

LeavesQty

How much of the order quantity is still open.

Zero indicates this order is ready to be averaged and post the customer vs. allocation trade.

In the case of a canceled, replaced, or done for day when there didn’t happen to be any executions leading up to it, there may not be a need to enter any trade.  See also tag 14.

167

 

C

SecurityType

 

On options this is “OPT”

200

 

C

MaturityMonthYear

 

Options only

201

 

C

PutOrCall

 

Options only

202

 

C

StrikePrice

 

Options only

205

 

C

MaturityDay

 

Options only

377

 

N

SolicitedFlag

Y = Was solicited

N = Was not solicited

Configure per connection:  Default solicited flag for when this is not passed.

439

 

Y

ClearingFirm

 

Clearer.

442

 

C

MultiLegReportingType

1 = Single Security (default if not specified)

2 = Individual leg of a multi-leg security

3 = Multi-leg security

Execution reports for legs of a Complex Option need to set this to “2”.

654

 

C

LegRefID

ID for each leg of a multi-leg order, such as a complex option

All executions for a given leg of a multi-leg trade will have this in common.

 

6000

 

N

(user defined)

DiscretionUsedSwitch

Valid Values:

Y – Discretion was used

N – Discretion was not used

Configure per connection:  Default value.  Or if we can enter a trade with this left as “unspecified” then we do that when it is not passed.

6001

 

Y

(user defined)

AccountType

6001 Mapping Rules

6003

 

C

(user defined)

ExchangeCode

Market:  Alternative tag.

Use for Market if tag 30 is missing to keep things flexible for Regal.

See also tag 30.

6100

 

Y

(user defined)

AVERAGE PRICE ACCOUNT

An allocation account to use for the allocation vs. street trades that will be averaged.

 

 

 

Y

Standard Trailer

 

 

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