New Order - Single <D> message – FIX 4.3 – FIX Dictionary

FIX 4.3 : 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.

The New Order message type may also be used by institutions or retail intermediaries wishing to electronically submit Collective Investment Vehicle (CIV) orders to a broker or fund manager for execution.

See VOLUME 7 - "PRODUCT: COLLECTIVE INVESTMENT VEHICLES"

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>. Implementations should also consider checking 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.

The value specified in the TransactTime <60> field should allow the receiver of the order to apply business rules to determine if the order is potentially "stale" (e.g. in the event that there have been communication problems).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 "EBS" (Electronic Banking System) format: "CCY1/CCY2".
- Rates are expressed as "currency1 in currency2" (or "currency2 per currency1") and are calculated as CCY2 divided by CCY1 (NOT CCY1 divided by CCY2)
- (e.g. "GBP/USD" represents a rate expressed as USD per GBP, "USD/JPY" represents a rate expressed as JPY per USD, etc.).
- CCY1 and CCY2 are ISO currency codes
The value of the Currency <15> field represents the denomination of the quantity fields (e.g. JPY represents quantity of JPY).
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> = Market, Limit, Forex - Swap, or Previously Quoted. Product <460> = 4 (CURRENCY).
Netting can be specified via the ExecInst <18> field.
See VOLUME 7 - PRODUCT: FOREIGN EXCHANGE

Orders involving or requiring Pre-Trade Allocation <J> consist of the following steps:

Buyside sends a New Order request message specifying one or more AllocAccount <79> and AllocQty <80> values within the repeating group designated by NoAllocs <78>.
Sellside sends Execution Report <8> messages for the "New" and resulting fills.
Post-Trade Allocation <J> messaging takes place

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).

The presence of DiscretionInst <388> on an order indicates that the trader wishes to display one price but will accept trades at another price. For example a sell order with OrdType <40> = Limit, Price <44>=50.00, DiscretionInst <388> = Related to displayed price and DiscretionOffset <389> = -0.25 means that the order should be displayed as an offer for 50.00, but will match any bid >= 49.75. Discretionary pricing can also be used when pegging an order - for example to indicate that a buy order is to be displayed as pegged to the bid minus 0.25, but can be matched by anything <= the offer, set OrdType <40>=Pegged, ExecInst <18> = Primary Peg, PegDifference <211> = -0.25, DiscretionInst <388> = Related to market price and DiscretionOffset <389> = 0.

See Appendix D: Order State Change Matrices

Structure

Tag		Field Name	Req'd	Comments
<MessageHeader>			Y	MsgType <35> = D
11		ClOrdID	Y	Unique identifier of the order as assigned by institution or by the intermediary (CIV term, not a hub/service bureau) with closest association with the investor.
526		SecondaryClOrdID	N
583		ClOrdLinkID	N
Component Block - <Parties>			N	Insert here the set of "<Parties>" (firm identification) fields
229		TradeOriginationDate	N
1		Account	N
581		AccountType	N	Type of account associated with the order (Origin)
589		DayBookingInst	N
590		BookingUnit	N
591		PreallocMethod	N
78		NoAllocs	N	Number of repeating groups for pre-trade allocation
=>	79	AllocAccount	N	Required if NoAllocs <78> > 0. Must be first field in repeating group.
=>	467	IndividualAllocID	N
=>	Component Block - <NestedParties>		N	Insert here the set of "<NestedParties>" (firm identification "nested" within additional repeating group) fields Used for NestedPartyRole <538>=Clearing Firm
=>	80	AllocQty(formerly named: AllocShares prior to FIX 4.3)	N
63		SettlmntTyp	N
64		FutSettDate	N	Takes precedence over SettlmntTyp <63> value and conditionally required/omitted for specific SettlmntTyp <63> values.
544		CashMargin	N
635		ClearingFeeIndicator	N
21		HandlInst	Y
18		ExecInst	N	Can contain multiple instructions, space delimited. If OrdType <40>=P, exactly one of the following values (ExecInst <18> = L, R, M, P, O, T, or W) must be specified.
110		MinQty	N
111		MaxFloor	N
100		ExDestination	N
386		NoTradingSessions	N	Specifies the number of repeating TradingSessionIDs <336>
=>	336	TradingSessionID	N	Required if NoTradingSessions <386> is > 0.
=>	625	TradingSessionSubID	N
81		ProcessCode	N	Used to identify soft trades at order entry.
Component Block - <Instrument>			Y	Insert here the set of "<Instrument>" (symbology) fields
140		PrevClosePx	N	Useful for verifying security identification
54		Side	Y
114		LocateReqd	N	Required for short sell orders
60		TransactTime	Y	Time this order request was initiated/released by the trader, trading system, or intermediary.
Component Block - <Stipulations>			N	Insert here the set of "<Stipulations>" (repeating group of Fixed Income stipulations) fields
465		QuantityType	N
Component Block - <OrderQtyData>			Y	Insert here the set of "<OrderQtyData>" fields
40		OrdType	Y
423		PriceType	N
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> = 'Stop' or OrdType <40> = 'Stop limit'.
Component Block - <SpreadOrBenchmarkCurveData>			N	Insert here the set of "<SpreadOrBenchmarkCurveData>" (Fixed Income spread or benchmark curve) fields
Component Block - <YieldData>			N	Insert here the set of "<YieldData>" (yield-related) fields
15		Currency	N
376		ComplianceID	N
377		SolicitedFlag	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
168		EffectiveTime	N	Can specify the time at which the order should be considered valid
432		ExpireDate	N	Conditionally required if TimeInForce <59> = GTD and ExpireTime <126> is not specified.
126		ExpireTime	N	Conditionally required if TimeInForce <59> = GTD and ExpireDate <432> is not specified.
427		GTBookingInst	N	States whether executions are booked out or accumulated on a partially filled GT order
Component Block - <CommissionData>			N	Insert here the set of "<CommissionData>" fields
528		OrderCapacity	N
529		OrderRestrictions	N
582		CustOrderCapacity	N
47		Rule80A(Deprecated)	N	(deprecated)
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
354		EncodedTextLen	N	Must be set if EncodedText <355> field is specified and must immediately precede it.
355		EncodedText	N	Encoded (non-ASCII characters) representation of the Text <58> field in the encoded format specified via the MessageEncoding <347> field.
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.
640		Price2	N	Can be used with OrdType <40> = 'Forex - Swap' to specify the price for the future portion of a F/X swap which is also a limit order. For F/X orders, should be the 'all-in' rate (spot rate adjusted for forward points).
77		PositionEffect(formerly named: OpenClose prior to FIX 4.3)	N	For use in derivatives omnibus accounting
203		CoveredOrUncovered	N	For use with derivatives, such as options
210		MaxShow	N
211		PegDifference	N	Amount (signed) added to the price of the peg
388		DiscretionInst	N	Code to identify the price a DiscretionOffset <389> is related to and should be mathematically added to. Required if DiscretionOffset <389> is specified.
389		DiscretionOffset	N	Amount (signed) added to the 'related to' price specified via DiscretionInst <388>.
480		CancellationRights	N	For CIV - Optional
481		MoneyLaunderingStatus	N	For CIV - Optional
513		RegistID	N	Reference to Registration Instructions <o> message for this Order.
494		Designation	N	Supplementary registration information for this Order
158		AccruedInterestRate	N	Can be specified on the order for Fixed Income Municipals
159		AccruedInterestAmt	N	Can be specified on the order for Fixed Income Municipals
118		NetMoney	N	Can be specified on the order for Fixed Income Municipals
<MessageTrailer>			Y