Description

Type: String

The MsgType <35> of the FIX message being referenced.

Valid values:

  • 0 = Heartbeat

    The Heartbeat <0> monitors the status of the communication link and identifies when the last of a string of messages was not received.

  • 1 = TestRequest

    The TestRequest <1> message forces a Heartbeat <0> from the opposing application. The TestRequest <1> message checks sequence numbers or verifies communication line status. The opposite application responds to the TestRequest <1> with a Heartbeat <0> containing the TestReqID.

  • 2 = ResendRequest

    The ResendRequest <2> is sent by the receiving application to initiate the retransmission of messages. This function is utilized if a sequence number gap is detected, if the receiving application lost a message, or as a function of the initialization process.

  • 3 = Reject

    The Reject <3> message should be issued when a message is received but cannot be properly processed due to a session-level rule violation. An example of when a reject may be appropriate would be the receipt of a message with invalid basic data which successfully passes de-encryption, CheckSum and BodyLength checks.

  • 4 = SequenceReset

    The SequenceReset <4> message is used by the sending application to reset the incoming sequence number on the opposing side.

  • 5 = Logout

    The Logout <5> message initiates or confirms the termination of a FIX session. Disconnection without the exchange of Logout <5> messages should be interpreted as an abnormal condition.

  • 6 = IOI

    Indication Of Interest messages are used to market merchandise which the broker is buying or selling in either a proprietary or agency capacity. The indications can be time bound with a specific expiration value. Indications are distributed with the understanding that other firms may react to the message first and that the merchandise may no longer be available due to prior trade.

    Indication messages can be transmitted in various transaction types; NEW, CANCEL, and REPLACE. All message types other than NEW modify the state of the message identified in IOIRefID.

  • 7 = Advertisement

    Advertisement <7> messages are used to announce completed transactions. The Advertisement <7> message can be transmitted in various transaction types; NEW, CANCEL and REPLACE. All message types other than NEW modify the state of a previously transmitted advertisement identified in AdvRefID.

  • 8 = ExecutionReport

    The ExecutionReport <8> message is used to:

    1. confirm the receipt of an order

    2. confirm changes to an existing order (i.e. accept cancel and replace requests)

    3. relay order status information

    4. relay fill information on working orders

    5. relay fill information on tradeable or restricted tradeable quotes

    6. reject orders

    7. report post-trade fees calculations associated with a trade

  • 9 = OrderCancelReject

    The OrderCancelReject <9> message is issued by the broker upon receipt of an OrderCancelRequest <F> or OrderCancelReplaceRequest <G> message which cannot be honored.

  • A = Logon

    The Logon <A> message authenticates a user establishing a connection to a remote system. The Logon <A> message must be the first message sent by the application requesting to initiate a FIX session.

  • B = News

    The News <B> message is a general free format message between the broker and institution. The message contains flags to identify the news item's urgency and to allow sorting by subject company (symbol). The News <B> message can be originated at either the broker or institution side, or exchanges and other marketplace venues.

  • C = Email

    The Email <C> message is similar to the format and purpose of the News <B> message, however, it is intended for private use between two parties.

  • D = NewOrderSingle <D>

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

    The NewOrderSingle <D> 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.

  • E = NewOrderList

    The NewOrderList <E> Message can be used in one of two ways depending on which market conventions are being followed.

  • F = OrderCancelRequest <F>

    The OrderCancelRequest <F> message requests the cancellation of all of the remaining quantity of an existing order. Note that the OrderCancelReplaceRequest <G> should be used to partially cancel (reduce) an order).

  • G = OrderCancelReplaceRequest <G>

    The order cancel/replace request is used to change the parameters of an existing order.

    Do not use this message to cancel the remaining quantity of an outstanding order, use the OrderCancelRequest <F> message for this purpose.

  • H = OrderStatusRequest

    The OrderStatusRequest <H> message is used by the institution to generate an order status message back from the broker.

  • J = AllocationInstruction

    The AllocationInstruction <J> message provides the ability to specify how an order or set of orders should be subdivided amongst one or more accounts. In versions of FIX prior to version 4.4, this same message was known as the Allocation message. Note in versions of FIX prior to version 4.4, the allocation message was also used to communicate fee and expense details from the Sellside to the Buyside. This role has now been removed from the AllocationInstruction <J> and is now performed by the new (to version 4.4) AllocationReport <AS> and Confirmation <AK> messages. The AllocationReport <AS> message should be used for the Sell-side Initiated Allocation role as defined in previous versions of the protocol.

  • K = ListCancelRequest

    The ListCancelRequest <K> message type is used by institutions wishing to cancel previously submitted lists either before or during execution.

  • L = ListExecute

    The ListExecute <L> message type is used by institutions to instruct the broker to begin execution of a previously submitted list. This message may or may not be used, as it may be mirroring a phone conversation.

  • M = ListStatusRequest

    The ListStatusRequest <M> message type is used by institutions to instruct the broker to generate status messages for a list.

  • N = ListStatus

    The ListStatus <N> message is issued as the response to a ListStatusRequest <M> message sent in an unsolicited fashion by the sell-side. It indicates the current state of the orders within the list as they exist at the broker's site. This message may also be used to respond to the ListCancelRequest <K>.

  • P = AllocationInstructionAck

    In versions of FIX prior to version 4.4, this message was known as the Allocation ACK message.

    The AllocationInstructionAck <P> message is used to acknowledge the receipt of and provide status for an AllocationInstruction <J> message.

  • Q = DontKnowTrade <Q>

    The Don’t Know Trade (DK) message notifies a trading partner that an electronically received execution has been rejected. This message can be thought of as an execution reject message.

  • R = QuoteRequest <R>

    In some markets it is the practice to request quotes from brokers prior to placement of an order. The QuoteRequest <R> message is used for this purpose. This message is commonly referred to as an Request For Quote (RFQ)

  • S = Quote

    The Quote <S> message is used as the response to a QuoteRequest <R> or a QuoteResponse <AJ> message in both indicative, tradeable, and restricted tradeable quoting markets.

  • T = SettlementInstructions

    The SettlementInstructions <T> message provides the broker’s, the institution’s, or the intermediary’s instructions for trade settlement. This message has been designed so that it can be sent from the broker to the institution, from the institution to the broker, or from either to an independent "standing instructions" database or matching system or, for CIV, from an intermediary to a fund manager.

  • V = MarketDataRequest

    Some systems allow the transmission of real-time quote, order, trade, trade volume, open interest, and/or other price information on a subscription basis. A MarketDataRequest <V> is a general request for market data on specific securities or forex quotes. The values in the fields provided within the request will serve as further filter criteria for the result set.

  • W = MarketDataSnapshotFullRefresh <W>

    The Market Data messages are used as the response to a MarketDataRequest <V> message. In all cases, one Market Data message refers only to one MarketDataRequest <V>. It can be used to transmit a 2-sided book of orders or list of quotes, a list of trades, index values, opening, closing, settlement, high, low, or VWAP prices, the trade volume or open interest for a security, or any combination of these.

  • X = MarketDataIncrementalRefresh <X>

    The Market Data message for incremental updates may contain any combination of new, changed, or deleted Market Data Entries, for any combination of instruments, with any combination of trades, imbalances, quotes, index values, open, close, settlement, high, low, and VWAP prices, trade volume and open interest so long as the maximum FIX message size is not exceeded. All of these types of Market Data Entries can be changed and deleted.

  • Y = MarketDataRequestReject

    The Market Data Request Reject is used when the broker cannot honor the Market Data Request, due to business or technical reasons. Brokers may choose to limit various parameters, such as the size of requests, whether just the top of book or the entire book may be displayed, and whether Full or Incremental updates must be used.

  • Z = QuoteCancel

    The QuoteCancel <Z> message is used by an originator of quotes to cancel quotes.

    The QuoteCancel <Z> message supports cancellation of:

    • All quotes
    • Quotes for a specific symbol or security ID
    • All quotes for a security type
    • All quotes for an underlying
  • a = QuoteStatusRequest

    The QuoteStatusRequest <a> message is used for the following purposes in markets that employ tradeable or restricted tradeable quotes:

  • b = MassQuoteAck

    MassQuoteAck <b> is used as the application level response to a MassQuote <i> message.

  • c = SecurityDefinitionRequest

    The SecurityDefinitionRequest <c> message is used for the following:

    1. Request a specific security to be traded with the second party. The requested security can be defined as a multileg security made up of one or more instrument legs.

    2. Request a set of individual securities for a single market segment.

    3. Request all securities, independent of market segment.

  • d = SecurityDefinition

    The SecurityDefinition <d> message is used for the following:

    1. Accept the security defined in a SecurityDefinition <d> message.

    2. Accept the security defined in a SecurityDefinition <d> message with changes to the definition and/or identity of the security.

    3. Reject the security requested in a SecurityDefinitionRequest <c> message.

    4. Respond to a request for securities within a specified market segment.

    5. Convey comprehensive security definition for all market segments that the security participates in.

    6. Convey the security's trading rules that differ from default rules for the market segment.

  • e = SecurityStatusRequest

    The SecurityStatusRequest <e> message provides for the ability to request the status of a security. One or more SecurityStatus <f> messages are returned as a result of a SecurityStatusRequest <e> message.

  • f = SecurityStatus

    The SecurityStatus <f> message provides for the ability to report changes in status to a security. The SecurityStatus <f> message contains fields to indicate trading status, corporate actions, financial status of the company. The SecurityStatus <f> message is used by one trading entity (for instance an exchange) to report changes in the state of a security.

  • g = TradingSessionStatusRequest

    The Trading Session Status Request is used to request information on the status of a market. With the move to multiple sessions occurring for a given trading party (morning and evening sessions for instance) there is a need to be able to provide information on what product is trading on what market.

  • h = TradingSessionStatus

    The TradingSessionStatus <h> provides information on the status of a market. For markets multiple trading sessions on multiple-markets occurring (morning and evening sessions for instance), this message is able to provide information on what products are trading on what market during what trading session.

  • i = MassQuote

    The MassQuote <i> message can contain quotes for multiple securities to support applications that allow for the mass quoting of an option series. Two levels of repeating groups have been provided to minimize the amount of data required to submit a set of quotes for a class of options (e.g. all option series for IBM).

  • j = BusinessMessageReject

    The BusinessMessageReject <j> message can reject an application-level message which fulfills session-level rules and cannot be rejected via any other means. Note if the message fails a session-level rule (e.g. body length is incorrect), a session-level Reject <3> message should be issued.

  • k = BidRequest

    The BidRequest <k> message can be used in one of two ways depending on which market conventions are being followed.

    In the "Non disclosed" convention (e.g. US/European model) the BidRequest <k> message can be used to request a bid based on the sector, country, index and liquidity information contained within the message itself. In the "Non disclosed" convention the entry repeating group is used to define liquidity of the program. See " Program/Basket/List Trading" for an example.

    In the "Disclosed" convention (e.g. Japanese model) the BidRequest <k> message can be used to request bids based on the NewOrderList <E> messages sent in advance of BidRequest <k> message. In the "Disclosed" convention the list repeating group is used to define which NewOrderList(35=k) messages a bid is being sort for and the directions of the required bids.

  • l = BidResponse

    The BidResponse <l> message can be used in one of two ways depending on which market conventions are being followed.

    In the "Non disclosed" convention the BidResponse <l> message can be used to supply a bid based on the sector, country, index and liquidity information contained within the corresponding bid request message. See "Program/Basket/List Trading" for an example.

    In the "Disclosed" convention the BidResponse <l> message can be used to supply bids based on the NewOrderList <E> messages sent in advance of the corresponding BidRequest <k> message.

  • m = ListStrikePrice

    The ListStrikePrice <m> message is used to exchange strike price information for principal trades. It can also be used to exchange reference prices for agency trades.

  • n = XMLnonFIX
  • o = RegistrationInstructions

    The RegistrationInstructions <o> message type may be used by institutions or retail intermediaries wishing to electronically submit registration information to a broker or fund manager (for CIV) for an order or for an allocation.

  • p = RegistrationInstructionsResponse

    The RegistrationInstructionsResponse <p> message type may be used by broker or fund manager (for CIV) in response to a RegistrationInstructions <o> message submitted by an institution or retail intermediary for an order or for an allocation.

  • q = OrderMassCancelRequest

    The OrderMassCancelRequest <q> message requests the cancellation of all of the remaining quantity of a group of orders matching criteria specified within the request. NOTE: This message can only be used to cancel order messages (reduce the full quantity).

  • r = OrderMassCancelReport

    The OrderMassCancelReport <r> is used to acknowledge an OrderMassCancelRequest <q>. Note that each affected order that is canceled is acknowledged with a separate ExecutionReport <8> or OrderCancelReject <9> message.

  • s = NewOrderCross

    Used to submit a cross order into a market. The cross order contains two order sides (a buy and a sell). The cross order is identified by its CrossID.

  • t = CrossOrderCancelReplaceRequest <t>

    Used to modify a cross order previously submitted using the NewOrderCross <s> message. See OrderCancelReplaceRequest <G> for details concerning message usage.

  • u = CrossOrderCancelRequest

    Used to fully cancel the remaining open quantity of a cross order.

  • v = SecurityTypeRequest

    The SecurityTypeRequest <v> message is used to return a list of security types available from a counterparty or market.

  • w = SecurityTypes <w>

    The SecurityTypeRequest <v> message is used to return a list of security types available from a counterparty or market.

  • x = SecurityListRequest

    The SecurityListRequest <x> message is used to return a list of securities from the counterparty that match criteria provided on the request

  • y = SecurityList

    The SecurityList <y> message is used to return a list of securities that matches the criteria specified in a SecurityListRequest <x>.

  • z = DerivativeSecurityListRequest

    The DerivativeSecurityListRequest <z> message is used to return a list of securities from the counterparty that match criteria provided on the request

  • AA = DerivativeSecurityList

    The DerivativeSecurityList <AA> message is used to return a list of securities that matches the criteria specified in a DerivativeSecurityListRequest <z>.

  • AB = NewOrderMultileg

    The New Order - Multileg is provided to submit orders for securities that are made up of multiple securities, known as legs.

  • AC = MultilegOrderCancelReplace

    Used to modify a multileg order previously submitted using the NewOrderMultileg <AB> message. See OrderCancelReplaceRequest <G> for details concerning message usage.

  • AD = TradeCaptureReportRequest

    The Trade Capture Report Request can be used to:

    • Request one or more trade capture reports based upon selection criteria provided on the trade capture report request
    • Subscribe for trade capture reports based upon selection criteria provided on the trade capture report request.
  • AE = TradeCaptureReport

    The TradeCaptureReport <AE> message can be:

    - Used to report trades between counterparties.

    - Used to report trades to a trade matching system.

    - Sent unsolicited between counterparties.

    - Sent as a reply to a TradeCaptureReportRequest <AD>.

    - Used to report unmatched and matched trades.

  • AF = OrderMassStatusRequest

    The OrderMassStatusRequest(35=q) message requests the status for orders matching criteria specified within the request.

  • AG = QuoteRequestReject

    The QuoteRequestReject <AG> message is used to reject QuoteRequest <R> messages for all quoting models.

  • AH = RFQRequest

    In tradeable and restricted tradeable quoting markets – Quote Requests are issued by counterparties interested in ascertaining the market for an instrument. Quote Requests are then distributed by the market to liquidity providers who make markets in the instrument. The RFQ Request is used by liquidity providers to indicate to the market for which instruments they are interested in receiving Quote Requests. It can be used to register interest in receiving quote requests for a single instrument or for multiple instruments

  • AI = QuoteStatusReport

    The QuoteStatusReport <AI> message is used:

  • AJ = QuoteResponse

    The QuoteResponse <AJ> message is used for the following purposes:

    1. Respond to an IOI <6> message

    2. Respond to a Quote <S> message

    3. Counter a Quote <S>

    4. End a negotiation dialog

    5. Follow-up or end a QuoteRequest <R> dialog that did not receive a response.

  • AK = Confirmation

    The Confirmation <AK> messages are used to provide individual trade level confirmations from the sell side to the buy side. In versions of FIX prior to version 4.4, this role was performed by the allocation message. Unlike the allocation message, the Confirmation <AK> message operates at an allocation account (trade) level rather than block level, allowing for the affirmation or rejection of individual confirmations.

  • AL = PositionMaintenanceRequest

    The PositionMaintenanceRequest <AL> message allows the position owner to submit requests to the holder of a position which will result in a specific action being taken which will affect the position. Generally, the holder of the position is a central counter party or clearing organization but can also be a party providing investment services.

  • AM = PositionMaintenanceReport

    The PositionMaintenanceReport <AM> message is sent by the holder of a position in response to a PositionMaintenanceRequest <AL> and is used to confirm that a request has been successfully processed or rejected.

  • AN = RequestForPositions

    The RequestForPositions <AN> message is used by the owner of a position to request a PositionReport <AP> from the holder of the position, usually the central counter party or clearing organization. The request can be made at several levels of granularity.

  • AO = RequestForPositionsAck

    The RequestForPositionsAck <AO> message is returned by the holder of the position in response to a RequestForPositions <AN> message. The purpose of the message is to acknowledge that a request has been received and is being processed.

  • AP = PositionReport

    The PositionReport <AP> message is returned by the holder of a position in response to a RequestForPositions <AN> message. The purpose of the message is to report all aspects of a position and may be provided on a standing basis to report end of day positions to an owner.

  • AQ = TradeCaptureReportRequestAck

    The TradeCaptureRequestAck(35=AQ) message is used to:

    - Provide an acknowledgement to a TradeCaptureReportRequest <AD> in the case where the TradeCaptureReportRequest <AD> is used to specify a subscription or delivery of reports via an out-of-band ResponseTransmissionMethod.

    - Provide an acknowledgement to a TradeCaptureReportRequest <AD> in the case when the return of the TradeCaptureReport <AE> matching that request will be delayed or delivered asynchronously. This is useful in distributed trading system environments.

    - Indicate that no trades were found that matched the selection criteria specified on the TradeCaptureReportRequest <AD> or the TradeCaptureReportRequest <AD> was invalid for some business reason, such as request is not authorized, invalid or unknown instrument, party, trading session, etc.

  • AR = TradeCaptureReportAck

    The TradeCaptureReportAck <AR> message can be:

    - Used to acknowledge TradeCaptureReport <AE> received from a counterparty.

    - Used to reject a TradeCaptureReport <AE> received from a counterparty.

  • AS = AllocationReport

    Sent from sell-side to buy-side, sell-side to 3rd-party or 3rd-party to buy-side, the AllocationReport <AS> (Claim) provides account breakdown of an order or set of orders plus any additional follow-up front-office information developed post-trade during the trade allocation, matching and calculation phase. In versions of FIX prior to version 4.4, this functionality was provided through the Allocation message. Depending on the needs of the market and the timing of "confirmed" status, the role of AllocationReport <AS> can be taken over in whole or in part by the Confirmation <AK> message.

  • AT = AllocationReportAck

    The AllocationReportAck <AT> message is used to acknowledge the receipt of and provide status for an AllocationReport <AS> message.

  • AU = ConfirmationAck

    The ConfirmationAck <AU> (aka Affirmation) message is used to respond to a Confirmation <AK> message.

  • AV = SettlementInstructionRequest

    The SettlementInstructionRequest <AV> message is used to request standing SettlementInstructions <T> from another party.

  • AW = AssignmentReport

    Assignment Reports are sent from a clearing house to counterparties, such as a clearing firm as a result of the assignment process.

  • AX = CollateralRequest

    An initiator that requires collateral from a respondent sends a Collateral Request. The initiator can be either counterparty to a trade in a two party model or an intermediary such as an ATS or clearinghouse in a three party model. A Collateral Assignment is expected as a response to a request for collateral.

  • AY = CollateralAssignment <AY>

    Used to assign collateral to cover a trading position. This message can be sent unsolicited or in reply to a CollateralRequest <AX> message.

  • AZ = CollateralResponse <AZ>

    Used to respond to a CollateralAssignment <AY> message.

  • BA = CollateralReport <BA>

    Used to report collateral status when responding to a CollateralInquiry <BB> message.

  • BB = CollateralInquiry

    Used to inquire for collateral status.

  • BC = NetworkCounterpartySystemStatusRequest <BC>

    This message is send either immediately after logging on to inform a network (counterparty system) of the type of updates required or to at any other time in the FIX conversation to change the nature of the types of status updates required. It can also be used with a NetworkRequestType of Snapshot to request a one-off report of the status of a network (or counterparty) system. Finally this message can also be used to cancel a request to receive updates into the status of the counterparties on a network by sending a NetworkCounterpartySystemStatusRequest <BC> message with a NetworkRequestType of StopSubscribing.

  • BD = NetworkCounterpartySystemStatusResponse <BD>

    This message is sent in response to a NetworkCounterpartySystemStatusRequest <BC> message.

  • BE = UserRequest <BE>

    This message is used to initiate a user action, logon, logout or password change. It can also be used to request a report on a user's status.

  • BF = UserResponse <BF>

    This message is used to respond to a UserRequest <BE> message, it reports the status of the user after the completion of any action requested in the UserRequest <BE> message.

  • BG = CollateralInquiryAck <BG>

    Used to respond to a CollateralInquiry <BB> in the following situations:

  • BH = ConfirmationRequest

    The ConfirmationRequest <BH> message is used to request a Confirmation <AK> message.

  • BO = ContraryIntentionReport

    The Contrary Intention Report is used for reporting of contrary expiration quantities for Saturday expiring options. This information is required by options exchanges for regulatory purposes.

  • BP = SecurityDefinitionUpdateReport <BP>

    This message is used for reporting updates to a product security master file. Updates could be the result of corporate actions or other business events. Updates may include additions, modifications or deletions.

  • BK = SecurityListUpdateReport

    The Security List Update Report is used for reporting updates to a Contract Security Masterfile. Updates could be due to Corporate Actions or other business events. Update may include additions, modifications and deletions.

  • BL = AdjustedPositionReport

    Used to report changes in position, primarily in equity options, due to modifications to the underlying due to corporate actions

  • BM = AllocationInstructionAlert <BM>

    This message is used in a 3-party allocation model where notification of group creation and group updates to counterparties is needed. The message will also carry trade information that comprised the group to the counterparties.

  • BN = ExecutionAck

    The ExecutionReportAck(35=BN) message is an optional message that provides dual functionality to notify a trading partner that an electronically received execution has either been accepted or rejected (DK'd).

  • BJ = TradingSessionList

    The TradingSessionList <BJ> message is sent as a response to a TradingSessionListRequest <BI>. The TradingSessionList <BJ> should contain the characteristics of the trading session and the current state of the trading session.

  • BI = TradingSessionListRequest

    The TradingSessionListRequest <BI> is used to request a list of trading sessions available in a market place and the state of those trading sessions. A successful request will result in a response from the counterparty of a TradingSessionList <BJ> message that contains a list of zero or more trading sessions.

  • BQ = SettlementObligationReport

    The SettlementObligationReport <BQ> message provides a central counterparty, institution, or individual counterparty with a capacity for reporting the final details of a currency settlement obligation.

  • BR = DerivativeSecurityListUpdateReport

    The DerivativeSecurityListUpdateReport <BR> message is used to send updates to an option family or the strikes that comprise an option family.

  • BS = TradingSessionListUpdateReport

    The Trading Session List Update Report is used by marketplaces to provide intra-day updates of trading sessions when there are changes to one or more trading sessions.

  • BT = MarketDefinitionRequest

    The MarketDefinitionRequest <BT> message is used to request for market structure information from the Respondent that receives this request.

  • BU = MarketDefinition

    The MarketDefinition <BU> message is used to respond to MarketDefinitionRequest <BT>. In a subscription, it will be used to provide the initial snapshot of the information requested. Subsequent updates are provided by the MarketDefinitionUpdateReport <BV>.

  • BV = MarketDefinitionUpdateReport <BV>

    In a subscription for market structure information, this message is used once the initial snapshot of the information has been sent using the MarketDefinition <BU> message.

  • BW = ApplicationMessageRequest <BW>

    This message is used to request a retransmission of a set of one or more messages generated by the application specified in RefApplID <1355>.

  • BX = ApplicationMessageRequestAck <BX>

    This message is used to acknowledge an ApplicationMessageRequest <BW> providing a status on the request (i.e. whether successful or not). This message does not provide the actual content of the messages to be resent.

  • BY = ApplicationMessageReport <BY>

    This message is used for three difference purposes: to reset the ApplSeqNum <1181> of a specified ApplID <1180>. to indicate that the last message has been sent for a particular ApplID, or as a keep-alive mechanism for ApplIDs with infrequent message traffic.

  • BZ = OrderMassActionReport

    The Order Mass Action Report is used to acknowledge an Order Mass Action Request. Note that each affected order that is suspended or released or canceled is acknowledged with a separate Execution Report for each order.

  • CA = OrderMassActionRequest

    The OrderMassActionRequest <CA> message can be used to request the suspension or release of a group of orders that match the criteria specified within the request. This is equivalent to individual OrderCancelReplaceRequests(35=G) for each order with or without adding "S" to the ExecInst values. It can also be used for mass order cancellation.

  • CB = UserNotification

    The UserNotification <CB> message is used to notify one or more users of an event or information from the sender of the message. This message is usually sent unsolicited from a marketplace (e.g. Exchange, ECN) to a market participant.

  • CC = StreamAssignmentRequest

    In certain markets where market data aggregators fan out to end clients the pricing streams provided by the price makers, the price maker may assign the clients to certain pricing streams that the price maker publishes via the aggregator. An example of this use is in the FX markets where clients may be assigned to different pricing streams based on volume bands and currency pairs.

  • CD = StreamAssignmentReport

    he StreamAssignmentReport <CD> message is in response to the StreamAssignmentRequest <CC> message. It provides information back to the aggregator as to which clients to assign to receive which price stream based on requested CCY pair. This message can be sent unsolicited to the Aggregator from the Price Maker.

  • CE = StreamAssignmentReportAck(35=CE)

    This message is used to respond to the Stream Assignment Report, to either accept or reject an unsolicited assignment.

  • CF = PartyDetailsListRequest

    The PartyDetailsListRequest is used to request party detail information.

  • CG = PartyDetailsListReport

    The PartyDetailsListReport <CG> message is used to disseminate party details between counterparties. PartyDetailsListReport <CG> messages may be sent in response to a PartyDetailsListRequest <CF> message or sent unsolicited.

  • CH = MarginRequirementInquiry <CH>

    The purpose of this message is to initiate a margin requirement inquiry for a margin account. The inquiry may be submitted at the detail level or the summary level. It can also be used to inquire margin excess/deficit or net position information. Margin excess/deficit will provide information about the surplus or shortfall compared to the previous trading day or a more recent margin calculation. An inquiry for net position information will trigger one or more PositionReport <AP> messages instead of one or more MarginRequirementReport <CJ> messages.

    If the inquiry is made at the detail level, an Instrument block must be provided with the desired level of detail. If the inquiry is made at the summary level, the Instrument block is not provided, implying a summary request is being made. For example, if the inquiring firm specifies the Security Type of “FUT” in the Instrument block, then a detail report will be generated containing the margin requirements for all futures positions for the inquiring account. Similarly, if the inquiry is made at the summary level, the report will contain the total margin requirement aggregated to the margin account level.

  • CI = MarginRequirementInquiryAck

    Used to respond to a Margin Requirement Inquiry.

  • CJ = MarginRequirementReport

    The Margin Requirement Report returns information about margin requirement either as on overview across all margin accounts or on a detailed level due to the inquiry making use of the optional Instrument component block. Application sequencing can be used to re-request a range of reports.

  • CK = PartyDetailsListUpdateReport

    The PartyDetailsListUpdateReport <CK> is used to disseminate updates to party detail information.

  • CL = PartyRiskLimitsRequest

    The PartyRiskLimitsRequest <CL> message is used to request for risk information for specific parties, specific party roles or specific instruments.

  • CM = PartyRiskLimitsReport

    The PartyRiskLimitsReport <CM> message is used to communicate party risk limits. The message can either be sent as a response to the PartyRiskLimitsRequest <CL> message or can be published unsolicited.

  • CN = SecurityMassStatusRequest
  • CO = SecurityMassStatus
  • CQ = AccountSummaryReport

    The AccountSummaryReport <CQ> is provided by the clearinghouse to its clearing members on a daily basis. It contains margin, settlement, collateral and pay/collect data for each clearing member level account type. Clearing member account types will be described through use of the Parties component and PtysSubGrp sub-component.

    In certain usages, the clearing members can send the AccountSummaryReport <CQ> message to the clearinghouse as needed. For example, clearing members can send this message to the clearinghouse to identify the value of collateral for each customer (to satisfy CFTC Legally Segregated Operationally Commingled (LSOC) regulatory reporting obligations).

    Clearing organizations can also send the AccountSummaryReport <CQ> message to regulators to meet regulatory reporting obligations. For example, clearing organizations can use this message to submit daily reports for each clearing member (“CM”) by house origin and by each customer origin for all futures, options, and swaps positions, and all securities positions held in a segregated account or pursuant to a cross margining agreement, to a regulator (e.g. to the CFTC to meet Part 39, Section 39.19 reporting obligations).

  • CR = PartyRiskLimitsUpdateReport

    The PartyRiskLimitsUpdateReport <CR> is used to convey incremental changes to risk limits. It is similar to the regular report but uses the PartyRiskLimitsUpdateGrp component instead of the PartyRiskLimitsGrp component to include an update action.

  • CS = PartyRiskLimitsDefinitionRequest

    PartyRiskLimitDefinitionRequest is used for defining new risk limits.

  • CT = PartyRiskLimitsDefinitionRequestAck

    PartyRiskLimitDefinitionRequestAck is used for accepting (with or without changes) or rejecting the definition of risk limits.

  • CU = PartyEntitlementsRequest

    The PartyEntitlementsRequest <CU> message is used to request for entitlement information for one or more party(-ies), specific party role(s), or specific instruments(s).

  • CV = PartyEntitlementsReport

    The PartyEntitlementsReport is used to report entitlements for one or more parties, party role(s), or specific instrument(s).

  • CW = QuoteAck

    The QuoteAck <CW> message is used to acknowledge a Quote <S> submittal or request to cancel an individual quote using the QuoteCancel <Z> message during a Quote/Negotiation dialog.

  • CX = PartyDetailsDefinitionRequest

    The PartyDetailsDefinitionRequest <CX> is used for defining new parties and modifying or deleting existing parties information, including the relationships between parties.

    The recipient of the message responds with a PartyDetailsDefinitionRequestAck <CY> to indicate whether the request was accepted or rejected.

  • CY = PartyDetailsDefinitionRequestAck

    The PartyDetailsDefinitionRequestAck <CY> is used as a response to the PartyDetailsDefinitionRequest <CX> message. The request can be accepted (with or without changes) or rejected.

  • CZ = PartyEntitlementsUpdateReport

    The PartyEntitlementsUpdateReport <CZ> is used to convey incremental changes to party entitlements. It is similar to the PartyEntitlementsReport <CV>. This message uses the PartyEntitlementsUpdateGrp component which includes the ability to specify an update action using ListUpdateAction <1324>.

  • DA = PartyEntitlementsDefinitionRequest

    The PartyEntitlementsDefinitionRequest <DA> is used for defining new entitlements, and modifying or deleting existing entitlements for the specified party(-ies).

  • DB = PartyEntitlementsDefinitionRequestAck

    The PartyEntitlementsDefinitionRequestAck <DB> is used as a response to the PartyEntitlemensDefinitionRequest(35=DA) to accept (with or without changes) or reject the definition of party entitlements.

  • DC = TradeMatchReport

    The TradeMatchReport <DC> message is used by exchanges and ECN’s to report matched trades to central counterparties (CCPs) as an atomic event. The message is used to express the one-to-one, one-to-many and many-to-many matches as well as implied matches in which more complex instruments can match with simpler instruments.

  • DD = TradeMatchReportAck

    The TradeMatchReportAck <DD> is used to respond to the TradeMatchReport <DC> message. It may be used to report on the status of the request (e.g. accepting the request or rejecting the request).

  • DE = PartyRiskLimitsReportAck

    PartyRiskLimitsReportAck <DE> is an optional message used as a response to the PartyRiskLimitsReport <CM> or PartyRiskLimitsUpdateReport <CR> messages to acknowledge or reject those messages.

  • DF = PartyRiskLimitCheckRequest

    PartyRiskLimitCheckRequest is used to request for approval of credit or risk limit amount intended to be used by a party in a transaction from another party that holds the information.

  • DG = PartyRiskLimitCheckRequestAck

    PartyRiskLimitCheckRequestAck <DG> is used to acknowledge a PartyRiskLimitCheckRequest <DF> message and to respond whether the limit check request was approved or not. When used to accept the PartyRiskLimitCheckRequest <DF> message the Respondent may also include the limit amount that was approved.

  • DH = PartyActionRequest

    The PartyActionRequest <DH> message is used suspend or halt the specified party from further trading activities at the Respondent. The Respondent must respond with a PartyActionReport <DI> message.

  • DI = PartyActionReport <DI>

    Used to respond to the PartyActionRequest <DH> message, indicating whether the request has been received, accepted or rejected. Can also be used in an unsolicited manner to report party actions, e.g. reinstatements after a manual intervention out of band.

  • DJ = MassOrder

    The MassOrder <DJ> message can be used to add, modify or delete multiple unrelated orders with a single message. Apart from clearing related attributes, only the key order attributes for high performance trading are available.

  • DK = MassOrderAck <DK>

    The mass order acknowledgement message is used to acknowledge the receipt of and the status for a MassOrder <DJ> message.

  • DL = PositionTransferInstruction

    The PositionTransferInstruction <DL> is sent by clearing firms to CCPs to initiate position transfers, or to accept or decline position transfers.

  • DM = PositionTransferInstructionAck

    The PositionTransferInstructionAck <DM> is sent by CCPs to clearing firms to acknowledge position transfer instructions, and to report errors processing position transfer instructions.

  • DN = PositionTransferReport

    The PositionTransferReport <DN> is sent by CCPs to clearing firms indicating of positions that are to be transferred to the clearing firm, or to report on status of the transfer to the clearing firms involved in the transfer process.

  • DO = MarketDataStatisticsRequest

    The MarketDataStatisticsRequest <DO> is used to request for statistical data. The simple form is to use an identifier (MDStatisticID <2475>) assigned by the market place which would denote a pre-defined statistical report. Alternatively, or also in addition, the request can define a number of parameters for the desired statistical information.

  • DP = MarketDataStatisticsReport

    The MarketDataStatisticsReport <DP> is used to provide unsolicited statistical information or in response to a specific request. Each report contains a set of statistics for a single entity which could be a market, a market segment, a security list or an instrument.

  • DQ = CollateralReportAck

    CollateralReportAck <DQ> is used as a response to the CollateralReport <BA>. It can be used to reject a CollateralReport <BA> when the content of the report is invalid based on the business rules of the receiver. The message may also be used to acknowledge receipt of a valid CollateralReport <BA>.

  • DR = MarketDataReport

    The MarketDataReport <DR> message is used to provide delimiting references (e.g. start and end markers in a continuous broadcast) and details about the number of market data messages sent in a given distribution cycle.

  • DS = CrossRequest

    The CrossRequest <DS> message is used to indicate the submission of orders or quotes that may result in a crossed trade.

  • DT = CrossRequestAck

    The CrossRequestAck <DT> message is used to confirm the receipt of a CrossRequest <DS> message.

  • DU = AllocationInstructionAlertRequest <DU>

    This message is used in a clearinghouse 3-party allocation model to request for AllocationInstructionAlert <BM> from the clearinghouse. The request may be used to obtain a one-time notification of the status of an allocation group.

  • DV = AllocationInstructionAlertRequestAck <DV>

    This message is used in a clearinghouse 3-party allocation model to acknowledge a AllocationInstructionAlertRequest <DU> message for an AllocationInstructionAlert <BM> message from the clearinghouse.

  • DW = TradeAggregationRequest

    TradeAggregationRequest <DW> is used to request that the identified trades between the initiator and respondent be aggregated together for further processing.

  • DX = TradeAggregationReport

    TradeAggregationReport <DX> is used to respond to the TradeAggregationRequest <DW> message. It provides the status of the request (e.g. accepted or rejected) and may also provide additional information supplied by the respondent.

  • EA = PayManagementReport

    PayManagementReport <EA> may be used to respond to the PayManagementRequest <DY> message. It provides the status of the request (e.g. accepted, disputed) and may provide additional information related to the request.

    PayManagementReport <EA> may also be sent unsolicited by the broker to a client. In which case the client may acknowledge and resolve disputes out-of-band or with a simple PayManagementReportAck <EB>.

    PayManagementReport <EA> may also be sent unsolicited to report the progress status of the payment itself with PayReportTransType <2804>=2 (Status).

  • EB = PayManagementReportAck

    PayManagementReportAck <EB> is used as a response to the PayManagementReport <EA> message. It may be used to accept, reject or dispute the details of the PayManagementReport <EA> depending on the business rules of the receiver. This message may also be used to acknowledge the receipt of a PayManagementReport <EA> message.

  • DY = PayManagementRequest

    PayManagementRequest <DY> message is used to communicate a future or expected payment to be made or received related to a trade or contract after its settlement.

  • DZ = PayManagementRequestAck

    PayManagementRequestAck <DZ> is used to acknowledge the receipt of the PayManagementRequest <DY> message (i.e. a technical acknowledgement of receipt). Acceptance or rejection of the request is reported in the corresponding PayManagementReport <EA>.

  • EC = SettlementStatusRequest

    SettlementStatusRequest <EC> is used to request for the settlement status of a trade.

  • ED = SettlementStatusRequestAck

    SettlementStatusRequestAck <ED> is used to respond to the SettlementStatusRequest <EC> to acknowledge the request and provide status for the request message.

  • EE = SettlementStatusReport

    SettlementStatusReport <EE> is a response to the SettlementStatusRequest <EC> to provide settlement status for the requested trade. It may also be sent unsolicited without an explicit request message by the party able to provide the settlement status for the trade identifield in the report message.

  • EF = SettlementStatusReportAck

    SettlementStatusReportAck <EF> is used to respond to the SettlementStatusReport <EE> to acknowledge or reject the report.

  • EG = SecurityRiskMetricsReport

    SecurityRiskMetricsReport <EG> is used for publishing the risk metrics, valuation metrics or analytics of one or more securities, or for an option series.

  • EH = AlgoCertificateRequest

    AlgoCertificateRequest <EH> is used to request for algo testing certificate information for one or more algorithms.

  • EI = AlgoCertificateRequestAck

    AlgoCertificateRequestAck <EI> is used to respond to the AlgoCertificateRequest <EH> to acknowledge the request and provide status for the request message.

  • EJ = AlgoCertificateReport

    AlgoCertificateReport <EJ> is a response to the AlgoCertificateRequest <EH> to certify an algo. It may also be sent unsolicited without an explicit request message by the party able to provide certificate information for the algo identified in the report message.

  • EK = AlgoCertificateReportAck

    AlgoCertificateReportAck <EK> is used to respond to the AlgoCertificateReport <EJ> to acknowledge or reject the report message.

  • EL = TestSuiteDefinitionRequest

    TestSuiteDefinitionRequest <EL> is used to convey to the test system the suite of test scenarios to perform.

  • EM = TestSuiteDefinitionRequestAck

    TestSuiteDefinitionRequestAck <EM> is used to respond to the TestSuiteDefinitionRequest(35= EL) to acknowledge the request and provide status for the request message.

  • EN = TestActionRequest

    TestActionRequest <EN> is used to manage test executions or request for testing activity state of the identified test suite.

  • EO = TestActionRequestAck

    TestActionRequestAck <EO> is used to respond to the TestActionRequest <EN> to acknowledge the request and provide status for the request message.

  • EP = TestActionReport

    TestActionReport <EP> is used to report the testing results of the identified test suite that has been executed with TestActionRequest <EN>. In the context of algorithmic trading, the results may be used to create a certificate for the algorithm upon meeting the success criteria.

Used In