New Order - Single <D> message – FIX 4.1 – FIX Dictionary

FIX 4.1 : New Order - Single <D> message

Description

The new order message type is used by institutions wishing to electronically submit securities and forex orders to a broker for execution.

Orders can be submitted with special handling instructions and execution instructions. Handling instructions refer to how the broker should handle the order on its trading floor (see HandlInst <21> field). Execution instructions contain explicit directions as to how the order should be executed (see ExecInst <18> field).

New Order messages received with the PossResend <97> flag set in the header should be validated by ClOrdID <11> and order parameters (side, symbol, quantity, etc.) to determine if the order had been previously submitted. PossResends previously received should be acknowledged back to the client via an Execution - Status message. PossResends not previously received should be processed as a new order and acknowledged via an Execution - New message.

To support forex accommodation trades, two fields, ForexReq <121> and SettlCurrency <120>, are included in the message. To request a broker to execute a forex trade in conjunction with the securities trade, the institution would set the ForexReq <121> ='Y' and SettlCurrency <120> = "intended settlement currency". The broker would then execute a forex trade from the execution currency to the settlement currency and report the results via the execution message in the SettlCurrAmt <119> and SettlCurrency <120> fields.

The order message can also be used to request a straight forex trade. Conventions for identifying a forex transaction are as follows:

The forex Symbol <55> is defined, in ISO codes, as "held-currency.new-currency" (e.g. "USD.GBP" indicates a desire to convert a held amount of USD to GPB)
Side <54> is defined in terms of whether the OrderQty <38> is currency required or currency held (e.g. a forex order can be expressed as either "S 3,200,000 USD for GPB" or "B 2,000,000 GBP for USD", at a rate of 1.6 USD/GBP, these trades are equivalent in that the broker is receiving 3,200,000 USD and delivering 2,000,000 GBP). In the case of a Forex - Swap (buying (or selling) a currency at one value date and selling (or buying) the same currency at a different value date), Side <54> should represent the side of the FutSettDate2 <193> transaction. OrdType <40> = Forex - Market, Forex - Limit, Forex- Swap, or Forex - Previously Quoted
Netting can be specified via the ExecInst <18> field.

To "take" an IOI (or Quote <S>) from an ECN or exchange and not display the order on the book, the New Order message should contain the TimeInForce <59> field with ImmediateOrCancel and an OrdType <40> field with Previously Indicated ( or Previously Quoted).

Structure

Tag	Field Name	Req'd	Comments
<MessageHeader>		Y	MsgType <35> = D
11	ClOrdID	Y	Unique identifier of the order as assigned by institution.
109	ClientID	N	Used for firm identification in third-party transactions.
76	ExecBroker	N	Used for firm identification in third-party transactions.
1	Account	N
63	SettlmntTyp	N	Absence of this field is interpreted as Regular.
64	FutSettDate	N	Required when SettlmntTyp <63> ='6' (Future) or SettlmntTyp <63> ='8' (Sellers Option)
21	HandlInst	Y
18	ExecInst	N	Can contain multiple instructions, space delimited.
110	MinQty	N
111	MaxFloor	N
100	ExDestination	N
81	ProcessCode	N	Used to identify soft trades at order entry.
55	Symbol	Y
65	SymbolSfx	N
48	SecurityID	N
22	IDSource	N
167	SecurityType	N	Must be specified if a Future or Option. If a Future: Symbol <55>, SecurityType <167>, and MaturityMonthYear <200> are required. If an Option: Symbol <55>, SecurityType <167>, MaturityMonthYear <200>, PutOrCall <201>, and StrikePrice <202> are required.
200	MaturityMonthYear	N	For Options or Futures to specify the month and year of maturity.
205	MaturityDay	N	For Options or Futures and can be used in conjunction with MaturityMonthYear <200> to specify a particular maturity date.
201	PutOrCall	N	For Options.
202	StrikePrice	N	For Options.
206	OptAttribute	N	For Options.
207	SecurityExchange	N	Can be used to identify the security.
106	Issuer	N
107	SecurityDesc	N
140	PrevClosePx	N	Useful for verifying security identification
54	Side	Y
114	LocateReqd	N	Required for short sell orders
38	OrderQty	N	Either CashOrderQty <152> or OrderQty <38> is required.
152	CashOrderQty	N	Either CashOrderQty <152> or OrderQty <38> is required. Specifies the approximate 'dollar quantity' for the order. Broker is responsible for converting and calculating OrderQty <38> in shares for subsequent messages.
40	OrdType	Y
44	Price	N	Required for limit OrdTypes. For F/X orders, should be the 'all-in' rate (spot rate adjusted for forward points). Can be used to specify a limit price for a pegged order, previously indicated, etc.
99	StopPx	N	Required for OrdType <40> ='3' (Stop) or '4' (Stop limit).
15	Currency	N
23	IOIid	N	Required for Previously Indicated Orders (OrdType <40> ='E')
117	QuoteID	N	Required for Previously Quoted Orders (OrdType <40> ='D')
59	TimeInForce	N	Absence of this field indicates Day order
126	ExpireTime	N	Required if TimeInForce <59> = 'GTD'
12	Commission	N
13	CommType	N
47	Rule80A(aka OrderCapacity)	N
121	ForexReq	N	Indicates that broker is requested to execute a Forex accommodation trade in conjunction with the security trade.
120	SettlCurrency	N	Required if ForexReq <121> = 'Y'.
58	Text	N
193	FutSettDate2	N	Can be used with OrdType <40> = 'Forex - Swap' to specify the 'value date' for the future portion of a F/X swap.
192	OrderQty2	N	Can be used with OrdType <40> = 'Forex - Swap' to specify the order quantity for the future portion of a F/X swap.
77	OpenClose	N	For options
203	CoveredOrUncovered	N	For options
204	CustomerOrFirm	N	For options when delivering the order to execution system/exchange.
210	MaxShow	N
211	PegDifference	N
<MessageTrailer>		Y