BCS FIX 4.4 PROTOCOL SPECIFICATION ORDER ROUTING FOR FIXED INCOME MARKET

Transcription

1 BCS FIX 4.4 PROTOCOL SPECIFICATION ORDER ROUTING FOR FIXED INCOME MARKET

2 Change Log Date Version Description Author Initial version. Ricardo Núñez Added: Added message scenarios (Section 5). Modified: Removed unused fields in Instrument component, New Order Single and Order Cancel Request messages Added: Security List Update Related Sym Group component. Money Market Valuationcomponent. Fixed Income Valuation component. Money Market and Fixed Income Valuation component in New Order Single, Order Cancel/Replace Request, New Order Cross and Execution Report messages. Security List Update Report message (FIX 5). Telerenta message scenarios (Section 5). Parties component in Order Status Request message. Ricardo Núñez Ricardo Núñez Added: LastMkt in Execution Report message. Modified: Removed exdestination field in Execution Report message Added: RegistID in de New Order Single and Execution Report messages. Modified: DcvTitle parameters values. IrfValSettlAmount data type Added: New values on OrdRejReason field (tag103) Modified: Changed possible value of field CPRegType (tag 876) to Y TimeInForce (tag 59) no longer accepts value 1 SettlType (tag 63) no longer accepts values 4 or 8 Removed RiskIndicator (tag 10308) Changed tag name IifValInvestmentAmountAdjustedCurrence (tag 10185) for IifValInvestmentAmountAdjustedCurrency Removed MarketID (tag 1301) from Felipe Bachmann Felipe Bachmann Felipe Bachmann Miguel Fuentes Buchholtz Fixed Income FIX Specification Page 2 of 111

3 Security List Update Report (MsgType = BK) Updated AuctionId (tag 10167) possible values Removed NewsSourceSystem (tag 10146) from News (MsgType = B) Added LastMkt (tag 30) from News (MsgType = B) Removed ListUpdateAction (tag from SecLstUpdRelSymGrp Removed RefOrderID2 (tag 10207) Removed RefOrderID3 (tag 10208) Removed Amount (tag 10200) from New Order Single Removed from Security List: tag NumericPresence, tag Family, tag SplitFactor, tag Bolson, tag Maturity, tag PaymentCurrency, tag MinCut, tag IssueAmount, tag FixedIncomePriceType Added to Instrument component: tag 454 NoSecurityAltID, tag 455 SecurityAltID, tag 456 SecurityAltIDSource, tag 225 IssueDate, tag 228 Factor, tag 543 InstrRegistry, tag 696 RedemptionDate, tag 202 StrikePrice, tag 947 StrikeCurrency, tag 206 OptAttribute, tag 106 Issuer, tag 348 EncodedIssuer, tag Family, tag SplitFactor, tag Bolson, tag PaymentCurrency, tag MinCut, tag IssueAmount, tag RiskIndicator and tag FixedIncomePriceType Added to Parties component: tag 802 NoPartySubIDs, tag 523 PartySubID, tag 786 PartySubIDType Added to New Order Single (MsgType = D): tag 583 ClOrdLinkID, tag 110 MinQty, tag 423 PriceType, tag 432 ExpireDate, tag 15 Currency, tag 192 OrderQty2, tag MaxRate, tag OwnRate, tag RefOrderSubID and tag RefFractionID Added to Order Cancel Request (MsgType = F): tag 526 SecondaryClOrdID and tag 583 ClOrdLinkID Added to Order Cancel/Replace Request (MsgType = G): tag 583 ClOrdLinkID, tag 513 RegistID and tag 1080 RefOrderID Added to Execution Report (MsgType = 8): tag 583 ClOrdLinkID, tag OwnRate, tag PublicRate, tag BestBid, tag RefOrderSubID, tag RefFractionID, component [OrderQtyData], tag 432 ExpireDate, tag 110 MinQty, tag 192 OrderQty2 and tag MaxRate Added to Security List Request (MsgType=x): tag 263 SubscriptionRequestType and component [Instrument] Fixed Income FIX Specification Page 3 of 111

4 Security List Update Report (MsgType = BK): added tag 1470 SecurityListType, removed tag 1301 MarketID Trading Session Status Request (MsgType=g): added tag 336 TradingSessionID Added to OrderQtyData component: tag 152 CashOrderQty Modified Field name BestStance (tag 10151), it's now named BestBid Modified TradingSessionID (tag 336) new value AUCTION_BID (15) instead of AUCTION_STANCE Fixed Income FIX Specification Page 4 of 111

5 Index 1. ABOUT THIS DOCUMENT INTRODUCTION INTENDED AUDIENCE SCOPE TERMINOLOGY CONVENTIONS CONTACTS COMMERCIAL INFORMATION HELP DESK NETWORK CONNECTIVITY TO BCS TRADING GATEWAY DIRECT LEASED LINE INTERNET VPN ACCESS SUPPORTED FIX MESSAGE FORMATS MESSAGE SUMMARY STANDARD HEADER STANDARD TRAILER COUNTER PARTY IDENTIFICATION SESSION MESSAGES Heartbeat (MsgType = 0) Test Request (MsgType = 1) Resend Request (MsgType = 2) Reject (MsgType = 3) Sequence Reset (MsgType = 4) Logout (MsgType = 5) Logon (MsgType =A) APPLICATION LEVEL MESSAGES Component Blocks New Order Single (MsgType = D) New Order Cross (MsgType = s) Order Cancel Request (MsgType = F) Order Cancel/Replace Request (MsgType = G) Order Cancel Reject (MsgType = 9) Execution Report (MsgType = 8) Order Status Request (MsgType = H) Order Mass Status Request (MsgType = AF) Security List Request (MsgType=x) Fixed Income FIX Specification Page 5 of 111

6 Security List (MsgType = y) Security List Update Report (MsgType = BK) Trading Session Status Request (MsgType=g) Trading Session Status (MsgType=h) EVENT MESSAGES News (MsgType = B) Business Message Reject ( MsgType = j ) MESSAGE SCENARIOS APPLICATION LEVEL MESSAGES DAU - Offer Entry with Acknowledgement DAU Offer Cancelation by ClOrdID DAU Bid Entry with Acknowledgement EAU - Offer Entry with Acknowledgement EAU Offer Cancelation by ClOrdID EAU Offer Cancelation by OrderID EAU Offer Modification by ClOrdID EAU Bid Entry to Repetition with Acknowledgement EAU Bid Entry to Repetition with Bidding Loss EAU Bid Entry to Repetition with Reject EAU Bid Entry to Fraction with Acknowledgement EAU Bid Entry to Fraction with Division TLR - Offer Entry with Acknowledgement TLR Order Cancelation by ClOrdID TLR Order Modification by ClOrdID TLR - Offer Entry with Partial Fill TLR Order Reject EXAMPLES LOGON SECURITY LIST REQUEST SECURITY LIST ORDER STATUS REQUEST FOR TELERENTA WITH EXECUTION REPORT DAU: TRADING SESSION STATUS REQUEST WITH UPDATE DAU: LIMIT DAY ORDER AND EXECUTION REPORT DAU: LIMIT DAY ORDER MODIFICATION AND EXECUTION REPORT DAU: LIMIT DAY ORDER CANCELATION AND EXECUTION REPORT DAU: BID TO AN OFFER AND EXECUTION REPORT EAU: TRADING SESSION STATUS REQUEST WITH UPDATE EAU: LIMIT DAY ORDER AND EXECUTION REPORT EAU: LIMIT DAY ORDER MODIFICATION AND EXECUTION REPORT Fixed Income FIX Specification Page 6 of 111

7 6.13 EAU: LIMIT DAY ORDER CANCELATION AND EXECUTION REPORT EAU: BID TO AN OFFER TLR: LIMIT DAY ORDER WITH EXECUTION REPORT TLR: LIMIT DAY ORDER MODIFICATION AND EXECUTION REPORT TLR: LIMIT DAY ORDER CANCELATION AND EXECUTION REPORT TLR: LIMIT DAY ORDER FILL AND EXECUTION REPORT Fixed Income FIX Specification Page 7 of 111

8 1. ABOUT THIS DOCUMENT 1.1 Introduction Bolsa de Comercio de Santiago (BCS) provides a trading interface based on the FIX Protocol 4.4 version. This interface is named BCS Trading Gateway, which offers direct market access (DMA) based on the Financial Information Exchange protocol (FIX). FIX is an open technical specification for electronic communication of trade-related messages. This connection allows electronic trading and real-time reception of market information. For further details refer to This document contains detailed information for connecting to BCS Trading Gateway interface, which includes the description of the FIX messages implemented by the BCS, also includes diagrams for each FIX message type and its behavior. 1.2 Intended Audience This document is directed to BCS members, customers, extranet providers and service bureaus intending to implement access to the BCS Trading Gateway interface. It assumes previous knowledge of FIX protocol. 1.3 Scope Bolsa de Comercio de Santiago currently offers DMA access to the fixed income market and its three sub-systems: remate electrónico, remate holandés and Telerenta. The remate electrónico of fixed income and money market papers is designed to accumulate ask offers during certain periods of the day so that buyers can submit their bid offers. After each allocated time period has lapsed, the system assigns the papers to the highest bidder in concurrent auction mode. The remate holandés is a system oriented towards the electronic negotiation of fixed income papers via the filling of offers that are auctioned off and awarded under the single rate mode to all highest received bids. The system receives offers for debt papers both from the primary and the secondary market. Telerenta is an electronic system for the transmission of bid and ask offers that allows buying and selling debt papers using the automatic matching mode. Central bank bonds, zero coupon bonds and mortgage papers issued by financial institutions are included among the securities negotiable through this system. Fixed Income FIX Specification Page 8 of 111

9 1.4 Terminology Term BCS BCS Trading Gateway Broker Brokerage Counterparty DMA Entering Firm Entering Trader Executing Firm FIX ICP IIF IRF IVP Instrument Market Data Remate electrónico Remate holandés Security Telerenta UF Vendor Definition Bolsa de Comercio de Santiago. Bolsa de Comercio de Santiago s application for accessing directly to its electronic trading platform. A broker is an individual or firm who acts as an intermediary between a buyer and seller. Used interchangeably with broker when referring to a firm rather than an individual. Also called brokerage house or brokerage firm. Party to a trade. Direct Market Access functionality that allows end-customers, such as hedge funds or investment banks, to directly access the exchange electronically without the need to go over physical broker firm infrastructure. Broker or firm which originates an order to the BCS. This firms could be brokers or local and external agents from a DMA provider or order routing solution. Individual usually identified by a trading badge number or initials who belongs to an entering firm. Identifies local broker that could represent an external agent. Financial Information Exchange Protocol. Average Chamber Index. Instrument used to represent the cost of resulting funds by financing a position at overnight rate. Instrumentos intermediación financiera Money Market Instruments Instrumentos renta fija Fixed Income Instruments Average Value Index. Adjustable currency type created in 1983 to control mortgage debts agreed in UF. Financial capital in a readily tradable form. A collective term for bids, offers, last trades, volume statistics, indexes and other trading information used by the market to evaluate trading opportunities. Fixed income system that allows the buy-side to match previously sent ask offers in auction mode. Fixed income system oriented towards the fill of ask offers under the single rate mode to all the highest bids, using the auction mode. Stock that has been authorized for trading. Fixed income system that allows negotiation using the automatic marching mode. Its operation is similar to the equity market s Telepregón. Indexed unit of account. Is corrected monthly according to the variation of the previous month s Consumer Primer Index (IPC). Institution that sells services to its clients. In the context of this document, a vendor is an institution that sells access to market data feeds and order management interfaces to an Exchange. Fixed Income FIX Specification Page 9 of 111

10 1.5 Conventions All messages will provide the following information for all the fields: Column Tag Field Name Req d System Data Type Comment Definition FIX tag number. All fields added for BCS specific purposes have a tag number above Field name according to the FIX 4.4 specification. Only present in Session and Application Level messages. Possible values are: Y indicates that the field is required. N means that the field is optional. C specifies that the field is conditional. Y* states that the field is required in the BCS FIX implementation but is optional in the FIX 4.4 specification. Fixed income system(s) that use(s) the tag. This column is only visible in Application Level messages. If the value is empty or the column does not exist in the referred component, then all systems use the tag. Values are: DAU Remate holandés. EAU Remate electrónico. TLR Telerenta (automatic matching). Data storage format that contains a FIX tag s value. Field description for the message context. Fixed Income FIX Specification Page 10 of 111

11 2. Contacts 2.1 Commercial Information For issues regarding sales and contractual information please refer to: Mr. Felipe Urrutia Phone: Mr. Alexander Nannig Phone: Help Desk For issues regarding production and UAT environment, for both testing support and problems, please refer to: BCS Client Support Team Phone: Fixed Income FIX Specification Page 11 of 111

12 3. Network Connectivity to BCS Trading Gateway BCS supports two network connectivity mechanisms: Direct leased line. Internet VPN access. 3.1 Direct Leased Line Clients may contract a direct leased line from a service provider to connect to BCS with a dedicated line. Please contact BCS for details on setting up this type of connectivity. It may be used for trading or for receiving market data information. 3.2 Internet VPN access Clients may also connect to BCS via the Internet implementing a VPN tunnel, which reduces cost but does not provide contingency. This type of connection may be used for the certification process of all trading features, including market data, drop copy and order routing, even though in the production environment it is recommendable to connect via direct leased line. Fixed Income FIX Specification Page 12 of 111

13 4. Supported FIX Message Formats 4.1 Message Summary Session Messages MsgType Sent by BCS Received by BCS Heartbeat 0 Test Request 1 Resend Request 2 Reject 3 Sequence Reset 4 Logout 5 Logon A Fixed Income Trading Application Messages MsgType Sent by BCS Received by BCS New Order Single D New Order Cross s Order Cancel Request F Order Cancel Replace Request G Order Cancel Reject 9 Cross Order Cancel Replace Request t Execution Report 8 Order Status Request H Order Mass Status Request AF Security List Request x Security List y Security Status Request e Security Status f Trading Session Status Request g Trading Session Status h News B Business Message Reject j Any unsupported messages that are received by BCS will be rejected with a Business Message Reject message, with tag BusinessRejectReason (380) = 3 (unsupported message type). Fixed Income FIX Specification Page 13 of 111

14 4.2 Standard Header Tag Field Name Req d Data type Comment 8 BeginString Y String FIX BodyLength Y Int (Always unencrypted, must be second field in message). 35 MsgType Y String (Always unencrypted, must be third field in message). 34 MsgSeqNum Y Int Message sequence number. 49 SenderCompID Y String Please contact BCS for appropriate CompID assignment. 52 SendingTime Y UTCTimestamp Time of message transmission (always expressed in UTC (Universal Time Coordinated, also known as GMT ). 56 TargetCompID Y String Please contact BCS for appropriate CompID assignment. 50 SenderSubID N String It may be used by the client to tag the incoming messages. 57 TargetSubID N String BCS echoes back the incoming SenderSubID. 43 PossDupFlag N Boolean Always required for retransmitted messages, whether prompted by the sending system or as the result of a resend request. 97 PossResend N Boolean Required when message may be duplicate of another message sent under a different sequence number. 4.3 Standard Trailer Tag Field Name Req d Data type Comment 10 CheckSum Y Int (Always unencrypted, always last field in message). Fixed Income FIX Specification Page 14 of 111

15 4.4 Counter Party Identification FIX connections are established based on comp IDs fields that identify, on the session level, the counterparty in the connection. These IDs do not convey trader or firm information; they are used only on the FIX session level. FIX comp IDs and IP addresses for connection are assigned by BCS. For direct connection from client to BCS (UAT): Sender CompID Target CompID Client sends directly to BCS Client BCSG BCS sends directly to Client BCSG Client For direct connection from client to BCS (Production): Sender CompID Target CompID Client sends directly to BCS Client BCSGATEWAY BCS sends directly to Client BCSGATEWAY Client Fixed Income FIX Specification Page 15 of 111

16 4.5 Session Messages Heartbeat (MsgType = 0) The Heartbeat monitors the status of the communication link and identifies when the last of a string of messages was not received. Tag Field Name Req d Data type Comment [Standard Header] Y MsgType= TestReqID N String Required when the heartbeat is the result of a Test Request message. [Standard Trailer] Y See section Test Request (MsgType = 1) The FIX Test Request message requests a heartbeat from the counterparty. The Test Request message checks sequence numbers or verifies the communication line status. The opposite application responds to the Test Request with a Heartbeat message, echoing the TestReqID (112) tag contained in the request. Tag Field Name Req d Data type Comment [Standard Header] Y MsgType = 1 String Identifier included in Test Request 112 TestReqID Y message to be returned in resulting Heartbeat [Standard Trailer] Y See section Resend Request (MsgType = 2) The resend request is sent by the receiving application to initiate message retransmission. This function is used if a gap in sequence numbers is detected, if the receiving application lost a message, or as a part of the initialization process. Tag Field Name Req d Data type Comment [Standard Header] Y MsgType= 2 7 BeginSeqNo Y Int Message sequence number of first message in range to be resent 16 EndSeqNo Y Int Message sequence number of last message in range to be resent. If request is for a single message BeginSeqNo = EndSeqNo. If request is for all messages subsequent to a particular message, EndSeqNo = "0" (representing infinity). [Standard Trailer] Y See section 4.3. Fixed Income FIX Specification Page 16 of 111

17 4.5.4 Reject (MsgType = 3) The FIX Reject message should be issued when a message is received but cannot be properly processed due to a session-level rule violation. Tag Field Name Req d Data type Comment [Standard Header] Y MsgType= 3 45 RefSeqNum Y Int MsgSeqNum of rejected message 371 RefTagID N Int The tag number of the FIX field being referenced. 372 RefMsgType N String The MsgType of the FIX message being referenced. 373 SessionRejectReason Y Int Code to identify reason for a session-level Reject message. Values issued by BCS: 0 = Invalid tag number 1 = Required tag missing 2 = Tag not defined for this message type 3 = Undefined Tag 4 = Tag specified without a value 5 = Value is incorrect (out of range) for this tag 6 = Incorrect data format for value 9 = CompID problem 10 = SendingTime accuracy problem 11 = Invalid MsgType 13 = Tag appears more than once 14 = Tag specified out of required order 15 = Repeating group fields out of order 16 = Incorrect NumInGroup count for repeating group 17 = Non "data" value includes field delimiter (SOH character) 99 = Other 58 Text N String Message to explain reason for rejection. [Standard Trailer] Y See section 4.3. Fixed Income FIX Specification Page 17 of 111

18 4.5.5 Sequence Reset (MsgType = 4) The Sequence Reset message has two modes: Gap Fill mode and Reset mode. Gap Fill mode is used in response to a FIX Resend Request when one or more messages must be skipped. Reset mode involves specifying an arbitrarily higher new sequence number to be expected by the receiver of the FIX Sequence Reset message, and is used to reestablish a FIX session after an unrecoverable application failure. Tag Field Name Req d Data type Comment [Standard Header] Y MsgType= GapFillFlag N Boolean Indicates that the Sequence Reset message is replacing administrative or application messages which will not be resent. Valid values: Y = Gap Fill message, MsgSeqNum field valid N = Sequence Reset, ignore MsgSeqNum 36 NewSeqNo Y Int New sequence number. [Standard Trailer] Y See section Logout (MsgType = 5) The FIX Logout message initiates or confirms the termination of a FIX session. Disconnection without the exchange of Logout messages should be interpreted as an abnormal condition. Tag Field Name Req d Data type Comment [Standard Header] Y MsgType= 5 58 Text N String Explanation for Logout reason (if any). [Standard Trailer] Y See section 4.3. Fixed Income FIX Specification Page 18 of 111

19 4.5.7 Logon (MsgType =A) The FIX Logon message authenticates a user establishing a connection to a remote system. The Logon message must be the first message sent by the application requesting to initiate a FIX session. Tag Field Name Req d Data type Comment [Standard Header] Y MsgType= A 98 EncryptedMethod Y Int Must be HeartBtInt Y Int Must be RawDataLength N Length Required. For more details on authentication data, please contact BCS. 96 RawData N Data Required. For more details on authentication data, please contact BCS. 141 ResetSeqNumFlag N Boolean Indicates that the both sides of the FIX session should reset sequence numbers. Valid values are: N=No Y=Yes 789 NextExpectedMsgSeq Next expected MsgSeqNum value to N Int Num be received. 464 TestMessageIndicator N Boolean Sent only by BCS. [Standard Trailer] Y See section 4.3. Fixed Income FIX Specification Page 19 of 111

20 4.6 Application Level Messages Component Blocks Instrument Identification Instruments are uniquely identified using the block of tags below. Tag Field Name Req d Data type Comment 55 Symbol Y String Contains the mnemonic of the security. It corresponds to the SVS name of the instrument, with a length between 1 and 12 characters. 48 SecurityID N String Security ID defined by ISIN. 22 SecurityIDSource C String Conditionally required if the SecurityID field is set. Valid values: 4 = ISIN number 454 NoSecurityAltID N NumInGroup Repeating group to describe alternate Security identifiers. For BCS internal use only. >> 455 >> 456 SecurityAltI D SecurityAltI DSource N N String String 225 IssueDate N LocalMktDate 228 Factor N Float 543 InstrRegistry N String 696 RedemptionDate N LocalMktDate 202 StrikePrice N Price Alternate Security identifier value for this security. For BCS internal use only. Conditionally required if the SecurityID field is set. For BCS internal use only. The date on which a bond or stock offering is issued. For BCS internal use only. Importance factor for TLR client ordering. For BCS internal use only. If this field has any value then it s on DCV. For BCS internal use. Return of investor's principal in a security. Bond redemption can occur before maturity date. For BCS internal use only. Strike Price for an Option. For BCS internal use only Currency in which the StrikePrice (tag 202) is denominated. 947 StrikeCurrency N Currency Possible values: 1 = CLP 2 = UF paid in CLP 3 = USD paid in CLP 4 = USD paid in USD 5 = ICP paid in CLP 6 = EUR paid in CLP 7 = EUR paid in EUR 8 = IVP paid in CLP Fixed Income FIX Specification Page 20 of 111

21 9 = OTHER 206 OptAttribute N Char 106 Issuer N String For BCS internal use only Name of security issuer. 348 EncodedIssuer N String Encoded (non-ascii characters) representation of the Issuer (tag 106) field. 167 SecurityType C String Required in New Order Single, Order Cancel Request and Order Cancel/Replace Request messages. The market ID of the security. Valid values: IRF = Fixed Income IIF = Money Market 762 SecuritySubType N String Sub-type qualification/identification of the SecurityType. Valid values are: RFTF = Fixed rate bond RFFL = Floating rate bond BR = Recognition bond CORA = Agrarian Reform Corporation bond 207 SecurityExchange C String Required in New Order Single, Order Cancel Request and Order Cancel/Replace Request messages. Indicates the security exchange of the instrument. Valid values are: XSGO = BCS 107 SecurityDesc N String Security description. 876 CPRegType N String This tag is used only in the Security List message. Indicates if the instrument is settled in the Central Securities Depository. Valid values are: S = yes N = no If field is not present, means N (no) Family N String Family of the instrument. For BCS internal use only SplitFactor N Price Split factor of the instrument. For BCS internal use only Bolson N String Indicates if the instrument is type Bolson. For BCS internal use only. Currency used for payment PaymentCurrency N String Possible values: 1 = CLP 2 = UF paid in CLP 3 = USD paid in CLP 4 = USD paid in USD 5 = ICP paid in CLP 6 = EUR paid in CLP 7 = EUR paid in EUR 8 = IVP paid in CLP 9 = OTHER Fixed Income FIX Specification Page 21 of 111

22 10165 MinCut N String IssueAmount N Amt RiskIndicator N String When sent, it s the minimum quantity (and least common multiple) of the Quantity expected on New order single, used only on IRF. Amount on issue date. For BCS internal use only. Risk of the instrument. For BCS internal use only. For BCS internal use only FixedIncomePriceTy pe N Int 1 = Percentage 2 = Per Unit 3 = Fixed Amount 4 = Discount 5 = Premium 6 = Spread 7 = Ted Price 8 = Ted Yield 9 = Yield Fixed Income FIX Specification Page 22 of 111

23 Order Quantity Data (OrderQtyData) Block component with quantity ordered. Tag Field Name Req d Data type Comment 38 OrderQty Y Qty 152 CashOrderQt y N Qty Quantity ordered. This represents the number of shares for equities or par, face or nominal value for FI instruments. Specifies the approximate order quantity desired in total monetary units vs. as a number of shares. The broker would be responsible for converting and calculating a share quantity (OrderQty <38>) based upon this amount to be used for the actual order and subsequent messages. For BCS internal use only Parties Repeating group block component containing party identification data (Executing Firm, entering Firm, entering trader, etc). An order sent to BCS should at least contain ExecutingFirm, EnteringFirm and EnteringTrader parties. Tag Field Name Req d Data type Comment 453 NoPartyID Y NumInGroup >> 448 PartyID Y String >> 447 PartyIDSource Y Char >> 452 PartyRole Y Int 802 NoPartySubIDs N NumInGroup Repeating group below must contain the firm identification of the parties. Used to identify the Party. For PartyRole 1, 7 and 36 is a three-digit code suministrated by BCS. If PartyRole is 39 then this is a single character code, given by the fund manager in the order, which is currently winning an auction. Identifies class or source of the PartyID. Value accepted is: D = Proprietary code Identifies the type or role of the PartyID (448) specified. Values accepted by BCS: 1 = Executing Firm (broker). 3 = ClientID (Broker client). Not required. 7 = Entering Firm (broker/firm). 36 = Entering Trader (trader Id). Repeating group of Party sub-identifiers. For BCS internal use only >> 523 PartySubID N String Sub-identifier. For BCS internal use only Fixed Income FIX Specification Page 23 of 111

24 >> 786 PartySubIDType N String Type of Sub-identifier. For BCS internal use only Fixed Income FIX Specification Page 24 of 111

25 Security List Update Related Sym Group (SecLstUpdRelSymGrp) Block component used in Security List Update Report message. It mainly contains the Instrument component. Tag Field Name Req d Data type Comment >> [Instrument] N See section Money Market Valuation (IIFValuation) Component used to include specific fields regarding money market instruments valuation. This is a custom component created by BCS. Tag Field Name Req d Data type Comment IifValAdjustmentCurrency Y String Adjustment currency of the instrument. Valid values are: 1 = CLP 2 = UF paid in CLP 3 = USD paid in CLP 4 = USD paid in USD 5 = ICP paid in CLP 6 = EUR paid in CLP 7 = EUR paid in EUR 8 = IVP paid in CLP 9 = Other IifValDate Y UTCTimestamp Valuationdate IifValSettlType Y Char Settlement type IifValDueDate N UTCTimestamp Expiration date IifValDueDays N Int Days until expiration date IifValInterestRate Y Price Interest rate IifValRescueAmount Y Amt Rescue amount expressed in adjustment currency IifValInvestmentAmount N Amt Acquisition amount expressed in CLP IifValInvestmentAmountAdju Acquisition amount expressed in N Amt stedcurrency adjustment currency IifValFloatSymbol N String Symbol of floating Money Market instrument IifValFloatIssueDate N LocalMktDate Issue date of floating Money Market instrument IifValFloatNominalQty N Qty Nominal quantity of floating Money Market instrument IifValFloatEstimatedInterest Estimated interest rate. N Price Rate IifValReferentialValue N Boolean Referential value. Fixed Income FIX Specification Page 25 of 111

26 Fixed Income Valuation (IRFValuation) Component used to include specific fields regarding fixed income instruments valuation. This is a custom component created by BCS. Tag Field Name Req d Data type Comment IrfValSymbol Y String Symbol of Fixed Income instrument IrfValQty Y Qty Quantity expressed in issuing currency IrfValTir N Price Annual rate percentage IrfValPrice N Price Par value percentage price IrfValAmount N Amt Amount expressed in CLP IrfValAmountAdjustedCurrency N Amt Amount expressed in issuing currency IrfValSettlAmount N Amt Amount expressed in settlement currency IrfValPar N Price Base 100 par value IrfValPeriod N String Instrument term IrfValDuration N Price Instrument duration IrfValConvex N Price Instrument convexity IrfValFloatingRateParValue N Price Par value rate of floating Fixed Income instrument IrfValFloatingRateEstRate N Price Estimated rate of floating Fixed Income instrument IrfValOtherPeriodYears N Int Term of a CORA bond IrfValOtherEstYearInflationRate N Price Estimated annual average inflation of CORA bond IrfValAdjustmentCurrency Y Currency Adjustment currency IrfValDate Y UTCTimestamp Valuationdate IrfValSettlType Y Char Settlement type IrfValReferentialValue N Boolean Referential value. Fixed Income FIX Specification Page 26 of 111

27 4.6.2 New Order Single (MsgType = D) The New Order Single message is used by institutions to electronically submit orders to BCS. Orders should have a unique identifier (ClOrdID) assigned by the institution. CIOrdID must be unique for a trading day. The acknowledgment of receipt of a New Order Single message is issued by BCS in the form of an Execution Report message. Tag Field Name Req d System Data type Comment [Standard Header] Y MsgType= D 11 ClOrdID Y String Unique identifier of the order as assigned by institution. The maximum accepted length is 32 characters. 526 SecondaryClOrdID N String Private identifier of the order as assigned by institution. 583 ClOrdLinkID N String Permits order originators to tie together groups of orders in which trades resulting from orders are associated for a specific purpose, for example the calculation of average execution price for a customer or to associate lists submitted to a broker as waves of a larger program trade. [OrderQtyData] Y See section OrdType Y Char Order type. Values accepted by BCS: 1 = Market 2 = Limit 110 MinQty N Qty Minimum quantity of an order to be executed. For BCS internal use only 44 Price C Price Price per share. Conditionally required if the order type requires a price. 423 PriceType N Int For BCS internal use only. 54 Side Y Char Side of the order. Valid values: 1 = Buy 2 = Sell 5 = Short sell (Will be implemented in the future, currently all orders with Side= 5 will be rejected) [Instrument] Y See section [IIFValuation] N See section [IRFValuation] N See section Text N String Free format text string. 59 TimeInForce Y Char Specifies how long the order remains in effect. Values accepted by BCS: 0 = Day (or session) 3 = Immediate or Cancel (IOC) 4 = Fill or Kill (FOK) 6 = Good Till Date (GTD) If OrdType is 1: only values 3 and 4 are supported. If ExDestination is DAU or EAU : Fixed Income FIX Specification Page 27 of 111

28 only 0 and 6 are supported 60 TransactTime Y UTCTimestamp Time of order creation in UTC. 63 SettlType Y* Char Indicates order settlement period. The usual value used by the market at the BCS is T+2. Values accepted by BCS: 1 = Cash (T0) 2 = Next Day (T1) 3 = T ExDestination N String Destination fixed income market of the order. Valid values are: DAU = Remate holandés EAU = Remate electrónico TLR = Telerenta (automatic matching) 111 MaxFloor N Qty Maximum number of shares within an order to be shown on the exchange at any given time. Used for iceberg orders (orderds with hidden quantity). Only valid then ExDestination = TLR 432 ExpireDate N LocalMktDate Expiration date of a Serialized offer. Required when TimeInForce=6. Time/Date of order expiration (always expressed in UTC (Universal Time Coordinated, also known as "GMT") The meaning of expiration is specific to the context where the field is used. 126 ExpireTime C UTCTimestamp If ExDestination= DAU this value cannot have more than 4 days of expiration time. If ExDestination= TLR this value cannot have more than 30 days of expiration time. [Parties] Y See section RefOrderID C EAU, Identifies the offer that the client wants String DAU to fill RefOrderIDSource C EAU, Valid values are: Char DAU 1 = OrderId Auction number for which the order AuctionId Y* EAU Int wants to be entered. Value accepted by BCS are positive numbers equal or bigger than DcvTitle N EAU String The DCV title of the instrument. Accepted values are: 1 = Other 2 = Not DCV 3 = Certified 4 = DCV 5 = Deposit 6 = Primary, not DCV Expressed N EAU String Type in which the amount is expressed. Accepted values are: 1 = UF 2 = AFP Quote NoOffers N EAU Int Quantity of offers. Fixed Income FIX Specification Page 28 of 111

29 513 RegistID N EAU String Identifier supplied by the client to associate bid messages to different offers. Identifies currency used for price. Values sent by BCS: CLP = Chilean Peso Additional possible values: 1 = CLP 15 Currency N Currency 2 = UF paid in CLP 3 = USD paid in CLP 4 = USD paid in USD 5 = ICP paid in CLP 6 = EUR paid in CLP 7 = EUR paid in EUR 8 = IVP paid in CLP 9 = OTHER 192 OrderQty2 N Qty For BCS internal use only MaxRate N Price The maximum rate of an offer OwnRate N Price The rate entered by a broker on a bid RefOrderSubID N EAU String Identifies the offer repetition that the client wants to fill RefFractionID N EAU String Identifies the offer fraction that the client wants to fill. [Standard Trailer] Y See section 4.3. Fixed Income FIX Specification Page 29 of 111

30 4.6.3 New Order Cross (MsgType = s) The cross order contains two order sides (buy and sell), each one containing information about that side, including the buyer, the seller and ClOrdID field. Each of these sides is called a leg of the crossed order. The cross order is identified by the CrossID and it must be unique during a given trading day. This order is available only for Telerenta (automatic matching). Tag Field Name Req d Data type Comment [Standard Header] Y MsgType= s 548 CrossID Y String Identifier for a cross order. Must be unique during a given trading day. 549 CrossType Y Int Type of cross being submitted to a market. Accepted values: 2 = CrossIOC 550 CrossPrioritization Y Int Indicates if one side or the other of a cross order should be prioritized. Accepted Values: 0 = None 18 ExecInst Y Char Instructions for order handling on exchange. Valid values: B = OkCross 40 OrdType Y Char Order type. Values accepted by BCS for trade registration: 2 = Limit 59 TimeInForce Y Char Specifies how long the order remains in effect. Values accepted by BCS: 4 = Fill or Kill (FOK). This value identifies an automatic OD. 63 SettlType Y* Char Indicates order settlement period. The usual value used by the market at the BCS is T+2. Values accepted by BCS: 1 = Cash (T0) 2 = Next Day (T1) 3 = T+2 [Instrument] Y See section [IIFValuation] N See section [IRFValuation] N See section Price Y Price Price per share. 60 TransactTime Y UTCTimestamp Time of order creation; expressed in UTC (Universal Time Coordinated, also known as "GMT"). 552 NoSides Y NumInGroup Number of Side (54) repeating group instances. Must be always 2. Side of order. Valid values: 1 = Buy >> 54 Side Y Char 2 = Sell 5 = Short Sell (Will be implemented in the future, Fixed Income FIX Specification Page 30 of 111

31 currently all orders with Side= 5 will be rejected) >> 11 ClOrdID Y String Unique identifier of the order as assigned by the client. The maximum accepted length is 32 characters. >> [OrderQtyData] Y See section >> [Parties] N See section Destination fixed income market of the order. Valid values are: 100 ExDestination N String DAU = Remate holandés EAU = Remate electrónico TLR = Telerenta (automatic matching) [Standard Trailer] Y See section 4.3. Fixed Income FIX Specification Page 31 of 111

32 4.6.4 Order Cancel Request (MsgType = F) The Order Cancel Request message requests the cancellation of all of the remaining quantity of an existing order. The request will only be accepted if the order can successfully be pulled back from the exchange without executing. An order may be cancelled by either the client order ID (unique order ID assigned by the client and sent in the ClOrdID tag in the New Order message), the order ID (unique order ID assigned by BCS). In the Order Cancel Request message, the client order ID should be in the OrigClOrdID tag, and the BCS order ID in the OrderID tag. The precedence for order identification is OrderID -> OrigClOrderID. A cancel request is assigned a ClOrdID and is treated as a separate entity. If rejected, the ClOrdID of the Cancel Request will be sent in the Cancel Reject message, as well as the ClOrdID of the actual order in the OrigClOrdID field. The ClOrdID assigned to the cancel request must be unique amongst the ClOrdID assigned to regular orders and replacement orders. A successful Order Cancel Request is replied to with an Execution Report message. Tag Field Name Req d Data type Comment [Standard Header] Y MsgType= F 41 OrigClOrdID Y String ClOrdID of the order that the client is trying to cancel. 37 OrderID N String BCS OrderID of the order the client is trying to cancel. If this tag is present, the value in tag OrigClOrdID is ignored. 11 ClOrdID Y String Unique ID of cancel request as assigned by the institution. The maximum accepted length is 32 characters. 526 SecondaryClOrdID N String Private identifier of the order as assigned by institution. For BCS internal use only. 583 ClOrdLinkID N String Permits order originators to tie together groups of orders in which trades resulting from orders are associated for a specific purpose, for example the calculation of average execution price for a customer or to associate lists submitted to a broker as waves of a larger program trade. For BCS internal use only. [Instrument] Y See section [OrderQtyData] Y See section Side Y Int Side of order to be cancelled. Valid values: 1 = Buy 2 = Sell 60 TransactTime Y UTCTimestam p Time this order request was initiated/released by the trader or trading system, in UTC format ( GMT ) Fixed Income FIX Specification Page 32 of 111

33 100 ExDestination N String Destination fixed income market of the order. Valid values are: DAU = Remate holandés EAU = Remate electrónico TLR = Telerenta (automatic matching) [Parties] Y See section [Standard Trailer] Y See section 4.3. Fixed Income FIX Specification Page 33 of 111

34 4.6.5 Order Cancel/Replace Request (MsgType = G) The Order Cancel Replace Request message is used to change the parameters of a previously entered order. It may be used to change any attribute of an order (i.e. reduce/increase quantity, change price, change instructions, etc.). The Cancel/Replace request will only be accepted if the order can successfully be pulled back from the exchange without executing. Requests which cannot be processed will be rejected using the Order Cancel Reject message, containing the ClOrdID of the cancel/replace request and the OrigClOrdID of the order the client is trying to cancel. The client may optionally cancel the order by its OrderID. In this case, the OrigClOrdID tag will be ignored. The precedence for order identification is OrderID -> OrigClOrdID. Only the fields that are being changed need to be sent in the replacement. Fields that are not sent are considered to be the same as the cancelled order. Only the following fields may NOT be changed: Instrument Side Order type Attempts to change these fields will be rejected with an Order Cancel Reject, with tag CxlRejectReason (102) = 2 (Exchange/Broker option) and a description in tag Text (58). An order that is replaced will keep its OrderID. Tag Field Name Req d System Data type Comment [Standard Header] Y MsgType= G 41 OrigClOrdID Y String ClOrdID of the order that the client is trying to cancel. 37 OrderID N String BCS assigned OrderID of the order the client is trying to cancel. If this tag is present, the value in tag OrigClOrdID is ignored. 583 ClOrdLinkID N String Permits order originators to tie together groups of orders in which trades resulting from orders are associated for a specific purpose, for example the calculation of average execution price for a customer or to associate lists submitted to a broker as waves of a larger program trade. For BCS internal use only. [Instrument] Y See section [IIFValuation] N See section [IRFValuation] N See section ClOrdID Y String Unique ID of cancel replace request as assigned by the institution. The maximum accepted length is 32 characters. 526 SecondaryClOrdID N String Private identifier of the order as assigned by institution. 54 Side Y Char Side of order. Valid values 1 = Buy 2 = Sell 5 = Short sell (Will be implemented in the future, currently all orders with Fixed Income FIX Specification Page 34 of 111

35 Side= 5 will be rejected) [OrderQtyData] Y See section MaxFloor N Qty Maximum number of shares within an order to be shown on the exchange at any given time. Used for iceberg orders (orderds with hidden quantity). Only valid then ExDestination = TLR 40 OrdType Y Char Order type. Values accepted by BCS: 1 = Market 2 = Limit 44 Price C Price Price per share. Conditionally required if the order type requires a price. 59 TimeInForce Y Char Specifies how long the order remains in effect. Values accepted by BCS: 0 = Day (or session) 3 = Immediate or Cancel (IOC) 4 = Fill or Kill (FOK) 6 = Good Till Date (GTD) If OrdType is 1: only values 3 and 4 are supported. 126 ExpireTime C UTCTimestamp If ExDestination is DAU or EAU : only 0 and 6 are supported Required when TimeInForce=6. Time/Date of order expiration (always expressed in UTC (Universal Time Coordinated, also known as "GMT") The meaning of expiration is specific to the context where the field is used. If ExDestination= DAU this value cannot have more than 4 days of expiration time. If ExDestination= TLR this value cannot have more than 30 days of expiration time. [Parties] Y See section TransactTime Y UTCTimestamp Time this order cancel replace request was initiated/released by the trader or trading system, in UTC format ( GMT ). 63 SettlType Y Char Indicates order settlement period. The usual value used by the market at the BCS is T+2. Values accepted by BCS: 1 = Cash (T0) 2 = NextDay (T1) 3 = T AuctionId Y* EAU Int Auction number for which the order wants to be entered. Value accepted by BCS are positive numbers equal or bigger than DcvTitle N EAU String The DCV title of the instrument. Fixed Income FIX Specification Page 35 of 111

36 Accepted values are: 1 = Other 2 = Not DCV 3 = Certified 4 = DCV 5 = Deposit 6 = Primary, not DCV Expressed N EAU String Type in which the amount is expressed. Accepted values are: 1 = UF 2 = AFP Quote NoOffers N EAU Int Quantity of offers. 513 RegistID N String Identifier supplied by the client to associate bid messages to different offers RefOrderID N String Identifies the offer that the client wants to fill. Fixed Income FIX Specification Page 36 of 111

37 Order Cancel Reject (MsgType = 9) The Order Cancel Reject message is issued by BCS upon receipt of a Cancel Request or Order Cancel Replace Request (modification) message which cannot be executed. When rejecting an Order Cancel Request, the Order Cancel Reject message will provide the ClOrdID and OrigClOrdID values which were specified on the original Order Cancel Request message for identification. Tag Field Name Req d Data type Comment [Standard Header] Y MsgType= 9 37 OrderID Y String If CxlRejReason= Unknown order, value is NONE. Otherwise, unique identifier for Order as assigned by BCS. Uniqueness is guaranteed within a single trading day. 11 ClOrdID Y String Unique order id assigned by institution to the cancel request. 41 OrigClOrdID Y String ClOrdID which could not be canceled/replaced. 39 OrdStatus Y Char OrdStatus value after this cancel reject is applied. If CxlRejReason = 1 ( Unknown Order ), this field s value is 8 ( Rejected ). 75 TradeDate N LocalMktDate Indicates date of reject referenced in this message in YYYYMMDD format. Absence of this field indicates current day. 434 CxlRejResponseTo Y Char Identifies the type of request that this Cancel Reject is in response to. Values issued by BCS: 1 = Order Cancel Request 2 = Order Cancel/Replace Request 102 CxlRejReason N Int Code to identify reason for cancel rejection. Valid values: 0 = Too late to cancel 1 = Unknown order 99 = Other 58 Text C String Description of error in case CxlRejReason = 99 (Other), or in other cases, may contain extra information on stated CxlRejReason. [Standard Trailer] Y See section 4.3. Fixed Income FIX Specification Page 37 of 111

38 4.6.6 Execution Report (MsgType = 8) The Execution Report message is used in the following scenarios: Confirm the receipt of an order; Confirm changes to an existing order (i.e. accept order cancel requests); Relay order status information; Relay fill information on working orders (trades); Reject orders. Each execution report contains two fields which are used to communicate both the current state of the order as understood by the broker and the purpose of the message: OrdStatus (used to convey the current status of an order) and ExecType (used to identify the purpose of the Execution Report message). At the market closing trading phase, all unexecuted orders with expired timing force are cancelled from the order book, causing the generation of Execution Report messages with OrdStatus=Cancelled and ExecType=Expired to the order owners. Tag Field Name Req d System Data type Comment [Standard Header] Y MsgType= 8 37 OrderID Y String Unique identifier for Order as assigned by the exchange. Uniqueness is guaranteed within a single trading day. 198 SecondaryOrderID C String Specifies the secondary order ID assigned by the exchange to this order, which will identify this order in the market data feed for order-depth book updates, whereas the OrderID is immutable and is not sent in the market data feed. If an order is received with MaxFloor (disclosure quantity) > 0, every time the quantity is replenished by the disclosure quantity amount (e.g. due to an execution), a new SecondaryOrderID is assigned to the order. This identifier may also be used for order cancellation and modification. 526 SecondaryClOrdID N String Private identifier of the order as assigned by institution. 11 ClOrdID Y String ID of electronically submitted order by the institution. 41 OrigClOrdID C String Conditionally required when ExecType=5 (Replace); contains the ClOrdID of the replacement order. Otherwise, contains the same ID as ClOrdID. 583 ClOrdLinkID N String Permits order originators to tie together groups of orders in which trades resulting from orders are associated for a specific purpose, for example the calculation of average execution price for a customer or to Fixed Income FIX Specification Page 38 of 111

39 associate lists submitted to a broker as waves of a larger program trade. 584 MassStatusReqID C String Required if responding to an Order Mass Status Request message. This value is echoed back from the request message. 911 TotNumReports C Int Identifies the number of Execution Report messages that are returned as a response to an Order Mass Status Request. If only one Execution Report message is sent, this tag is optional. 912 LastRptRequested C Boolean Report message that is returned as a response to an Order Mass Status Request. Possible values: True = Last Execution Report returned False = Otherwise [Parties] N See section NoContraBrokers C NumInGroup Conditionally required when reporting trades. Number of contra brokers in an execution. Currently, this field will be always set to 1. >> 375 ContraBroker N String Identifies contra broker. >> 337 ContraTrader N String Identifies the trader of the ContraBroker. 548 CrossID C String ID of electronically submitted cross order by the institution (if in response to a cross order). 17 ExecID Y String as assigned by the exchange unique per instrument. Describes the action that triggered this specific Execution Report -see the OrdStatus (39) tag for the current order status (e.g, Partially Filled). Values issued by BCS: 0 = New 150 ExecType Y Char 4 = Canceled 5 = Replaced 8 = Rejected C = Expired D = Restated F = Trade G = Trade Correct H = Trade Cancel 39 OrdStatus Y Char Valid values: 0 = New 1 = Partially Filled 2 = Filled 3 = Done For Day 4 = Canceled 5 = Replaced (Removed/Replaced) 8 = Rejected 103 OrdRejReason C Int For optional use with ExecType = 8 (Rejected). Code to identify reason for order rejection. Valid values: 1 = Unknown symbol Fixed Income FIX Specification Page 39 of 111

40 378 ExecRestatementReaso n C String 381 GrossTradeAmt C Amt 63 SettlType N Char 2 = Exchange closed 3 = Order exceeds limit 4 = Too late to enter 5 = Unknown Order 6 = Duplicate Order (e.g. dupe ClOrdID) 11 = Unsupported order characteristic 13 = Incorrect Quantity 15 = Unknown Account 16 = Price exceeds current price band 18 = Invalid price increment 98 = Self fill denied 99 = Other (generic error) Used only when ExecType=D (Restated) to communicate the reason of a change in the order or a restatement of the order s parameters without an electronic request from the customer. It can also be used to communicate unsolicited cancels. Valid issued by BCS: 0 = GT corporate action 1 = GT renewal / restatement 2 = Verbal change 3 = Repricing of order 4 = Broker option 5 = Partial decline of OrderQty 6 = Cancel on Trading Halt 7 = Cancel on System Failure 8 = Market option 9 = Canceled, not best 10 = Warehouse Recap 99 = Other 100 = Replaced by third party Conditionally required if ExecType = F (Trade). GrossTradeAmt indicates the amount for this trade. Indicates order settlement period. The usual value used by the market at the BCS is T+2. Values accepted by BCS: 1 = Cash (T0) 2 = NextDay (T1) 3 = T+2 64 SettltDate N LocalMktDate Specific date of trade settlement in YYYYMMDD format. [Instrument] Y See section [IIFValuation] N See section [IRFValuation] N See section Side Y Int Side of order. Valid values: 1 = Buy 2 = Sell 38 OrderQty Y Qty Number of shares ordered. 40 OrdType C Char Conditionally required when ExecType = 8 (Reject). Values issued by BCS: 1 = Market 2 = Limit Fixed Income FIX Specification Page 40 of 111

41 44 Price C Price 15 Currency N Currency 59 TimeInForce Y Char Price per share. Required if specified on the order. Identifies currency used for price. Values sent by BCS: CLP = Chilean Peso Additional possible values: 1 = CLP 2 = UF paid in CLP 3 = USD paid in CLP 4 = USD paid in USD 5 = ICP paid in CLP 6 = EUR paid in CLP 7 = EUR paid in EUR 8 = IVP paid in CLP 9 = OTHER Specifies how long the order remains in effect. Values accepted by BCS: 0 = Day (or session) 3 = Immediate or Cancel (IOC) 4 = Fill or Kill (FOK) 6 = Good Till Date (GTD) If OrdType is 1: only values 3 and 4 are supported. If ExDestination is DAU or EAU : only 0 and 6 are supported Required when TimeInForce=6. Time/Date of order expiration (always UTCTimestam expressed in UTC (Universal Time 126 ExpireTime N p Coordinated, also known as "GMT") The meaning of expiration is specific to the context where the field is used. Conditionally required when ExecType 32 LastQty C Qty = F (Trade). Quantity of shares bought/sold on this (last) fill. 31 LastPx C Price Price of this (last) fill. Used only when ExecType=F (Trade) to represent a specific market trading session. 336 TradingSessionID C String Values issued by BCS: 14 = Auction offer 15 = Auction bid Amount of shares open for further execution. The general formula for the 151 LeavesQty Y Qty value is: LeavesQty = OrderQty - CumQty. Total number of shares or contracts 14 CumQty Y Qty filled. 6 AvgPx Y Price Always 0 (zero). Not used by BCS. Indicates date of trade referenced in this message in YYYYMMDD format. 75 TradeDate N LocalMktDate Absence of this field indicates current day (expressed in local time at place of trade). UTCTimestam Time of execution/order creation; 60 TransactTime N p expressed in UTC (Universal Time Fixed Income FIX Specification Page 41 of 111

42 Coordinated, also known as "GMT") 111 MaxFloor C Qty Maximum number of shares within an order to be shown on the exchange at any given time. Used for iceberg orders (orderds with hidden quantity). Only valid then ExDestination = TLR 58 Text N String Free format text string TradeId C String Conditionally required if ExecType = F (Trade). Contains the unique identifier for this trade, per instrument + trading date RefOrderID C EAU, Identifies the offer that the client String DAU wants to fill RefOrderIDSource C EAU, Valid values are: Char DAU 1 = OrderId Auction ID for which the order wants AuctionId N EAU Int to be entered. Value accepted by BCS are positive numbers equal or bigger than DcvTitle N EAU String The DCV title of the instrument. Accepted values are: 1 = Other 2 = Not DCV 3 = Certified 4 = DCV 5 = Deposit 6 = Primary, not DCV Expressed N EAU String Type in which the amount is expressed. Accepted values are: 1 = UF 2 = AFP Quote NoOffers N EAU Int Quantity of offers repetitions. Fixed income system where the order was executed. 30 LastMkt N String Valid values are: DAU = Remate holandés EAU = Remate electrónico TLR = Telerenta (automatic matching) OwnRate N Price The rate entered by a broker on a bid PublicRate N Price The adjudication rate visible for all the brokers. Valid values are: BestBid N Char Y = The bid has the best rate on the auction. N = The bid has not the best rate. Identifier supplied by the client to 513 RegistID N EAU String associate bid messages to different offers RefOrderSubID N String Order repetition identification RefFractionID N String Fraction identification >> [OrderQtyData] N See section ExpireDate N LocalMktDate Expiration date of a Serialized offer. 110 MinQty N Qty Minimum quantity of an order to be executed. For BCS internal use only. 192 OrderQty2 N Qty For BCS internal use only Fixed Income FIX Specification Page 42 of 111

43 10148 MaxRate N Price The maximum rate of an offer. Fixed Income FIX Specification Page 43 of 111

44 4.6.7 Order Status Request (MsgType = H) This message is used to request the state of n previously entered order in a trading session; the response to this message is one or more Execution Report messages (cross orders use two) that represent the current state of the order. If no orders match the criteria entered in the Order Status Request message, then an Execution Report (message type 8) will be returned with the following tags set: OrderID <37> = UNKNOWN ; Symbol <55> = [N/A] ; MassStatusReqID <584> = original MassStatusReqID value from the request; TotNumReports <911> = 0 (this indicates that no orders matched the criteria); LastRptRequested <912> = Y; All other quantity and price fields, as well as side <54> should be ignored. Tag Field Name Req d Data type Comment [Standard Header] Y MsgType= AF 790 OrdStatusReqID Y String Can be used to uniquely identify a specific Order Status Request message. 11 ClOrdID Y String ID of electronically submitted order by the institution. The maximum accepted length is 32 characters. 37 OrderId C String If provided, the lookup will be performed by this value. 54 Side Y Char If set, the filtering is according to the values supplied. 1 = Buy 2 = Sell 100 ExDestination N String Destination fixed income market of the order. Valid values are: DAU = Remate holandés EAU = Remate electrónico TLR = Telerenta (automatic matching) [Parties] N See section Fixed Income FIX Specification Page 44 of 111

45 4.6.8 Order Mass Status Request (MsgType = AF) This message is used to request the state of all open orders in a trading session; the response to this message is a series of Execution Report messages that represents the current state of the orders of that trader in a trading session. The result of the request is returned according to the filtering criteria specified by the Parties repeating group (Allowed Party Roles: EnteringFirm and EnteringTrader). In later releases will be supported the request of all open and closed orders according to search criteria. If no orders match the criteria entered in the Order Mass Status Request message, then an Execution Report (message type 8) will be returned with the following tags set: OrderID <37> = UNKNOWN ; Symbol <55> = [N/A] ; MassStatusReqID <584> = original MassStatusReqID value from the request; TotNumReports <911> = 0 (this indicates that no orders matched the criteria); LastRptRequested <912> = Y; All other quantity and price fields, as well as side <54> should be ignored. Tag Field Name Req d Data type Comment [Standard Header] Y MsgType= AF 584 MassStatusReqID Y String Unique ID of this request assigned by the requesting party, and will be used to crossreference this request with the resulting Execution Report messages. Uniqueness will not be enforced by BCS, but it is strongly advised to be unique. 585 MassStatusRequestType Y Int Specifies the scope of this request. Values accepted by BCS 7 = Status for all orders 8 = Status for orders for a PartyID [Parties] Y See section [Instrument] N If set, the filtering is according to the values supplied. See section Side N Char If set, the filtering is according to the values supplied. 1 = Buy 2 = Sell 100 ExDestination N String Destination fixed income market of the order. Valid values are: DAU = Remate holandés EAU = Remate electrónico TLR = Telerenta (automatic matching) [Standard Trailer] Y See section 4.3. Fixed Income FIX Specification Page 45 of 111

46 4.6.9 Security List Request (MsgType=x) The Security List Request message is used by institutions that connect to BCS retrieve a list of all securities that are available for trading in that connection according to specified criteria. Its response is a Security List message, which contains information about the instruments traded such as Security IDs and relevant trading information. In case the request fails, its response will be the Security List message with the SecurityRequestResult field indicating the reason of the rejection. Tag Field Name Req d System Data type Comment [Standard Header] Y MsgType= x 320 SecurityReqID Y String Unique ID of the Security List Request. However, BCS will not validate it for its uniqueness. 559 SecurityListRequestType Y Int Values accepted by BCS: 4 = All securities. 263 SubscriptionRequestType N Char For use when cancelling subscription with value 2 (unsubscribe) See section >> [Instrument] N [Standard Trailer] Y See section 4.3. Fixed Income FIX Specification Page 46 of 111

47 Security List (MsgType = y) The Security List message is used to return a list of securities that matches the criteria specified in a Security List Request. If the list of securities returned is so large it requires message fragmentation (i.e. more than one message to return all the securities), tag TotNoRelatedSym will be set, containing the total number of securities to be returned in the stream of messages, as opposed to the value of NoRelatedSym, which indicates the number of securities returned in that specific message. This message can be sent in two ways: fragmented and non-fragmented (refer to Examples section for actual messages), depending on the Market Data service the client is connecting to. The last message in the stream will have tag LastFragment set to Y. Absence of tag LastFragment should be interpreted as LastFragment=N. If the list of securities that is requested is an empty set (i.e. there are no instruments that match the entered criteria in the Security List Request message), a Security List message is returned to the requesting counterparty with the LastFragment field set to Y and the TotNoRelatedSym field set to 0 (zero). Tag Field Name Req Data Comment d type [Standard Header] Y MsgType=y 320 SecurityReqID Y String Unique ID of the Security List Request. However, BCS will not validate it for its uniqueness. 322 SecurityResponseID Y String Unique ID of this message, generated by BCS. 393 TotNoRelatedSym Y Int Used to indicate the total number of securities being returned for this request. Used in the event that message fragmentation is required. 560 SecurityRequestResult Y Int The results returned to the Security List Request message. Valid values: 0 = Valid request 893 LastFragment Y Boolean Indicates whether this message is the last in the sequence of messages. Valid values: Y = Last message N = Not last message 146 NoRelatedSym N NumInGr Specifies the number of oup repeating instruments. >> [Instrument] Y See section [Standard Trailer] Y See section 4.3. Fixed Income FIX Specification Page 47 of 111

48 Security List Update Report (MsgType = BK) The Security List Update Report message is used for reporting updates for one or more securities. Updates could be due to corporate actions or other business events. Updates may include additions, modifications and deletions. Tag Field Name Req d Data type Comment [Standard Header] Y MsgType=BK 964 SecurityReportID Y Int Unique ID of the Security List Update Report. 60 TransactTime N UTCTimestamp Time of execution. 393 TotNoRelatedSym Y Int Used to indicate the total number of securities being returned for this request. Used in the event that message fragmentation is required. 980 SecurityUpdateAction N Char Specifies action of security update. Valid values are: A = Add D = Delete M = Modify 1300 MarketSegmentID N String Identifies the market segment. Valid values are: IRF = Fixed Income IIF = Money Market BOTH = IRF and IIF 292 CorporateAction N MultipleCharValue Identifies the type of corporate action: A = Ex-Dividend D = New S = Special Action 146 NoRelatedSym N NumInGroup Specifies the number of repeating instruments. >> [SecLstUpdRealSymGrp] N See section >> >> [Instrument] N See section Identifies currency used for price. Values sent by BCS: CLP = Chilean Peso >> 15 Currency N Currency Additional possible values: 1 = CLP 2 = UF paid in CLP 3 = USD paid in CLP 4 = USD paid in USD 5 = ICP paid in CLP 6 = EUR paid in CLP 7 = EUR paid in EUR Fixed Income FIX Specification Page 48 of 111

49 8 = IVP paid in CLP 9 = OTHER >> 58 Text N String Free format text string. For BCS internal use 1470 SecurityListType N Int only [Standard Trailer] Y See section 4.3. Fixed Income FIX Specification Page 49 of 111

50 Trading Session Status Request (MsgType=g) The Trading Session Status Request message is used to request information on the status of a market. This message is used in the remate electrónico and remate holandés systems only. Its response is a Trading Session Status message, which contains information concerning the current status of a given market. In case the request fails, its response will be the Trading Session Status message with the TradSesStatusRejReason field indicating the reason of the rejection. Tag Field Name Req d System Data type Comment [Standard Header] Y MsgType= g 100 ExDestination N 263 SubscriptionRequestType Y 335 TradSesReqID Y EAU, DAU EAU, DAU EAU, DAU String Char String 336 TradingSessionID N String Destination fixed income market of the request. Valid values are: DAU = Remate holandés EAU = Remate electrónico Values accepted by BCS: 0 = Snapshot 1 = Snapshot + Updates (Subscribe) 2 = Unsubscribe Must be unique, of the ID of previous TradingSessionStatusRequest (g) to disable if SubscriptionRequestType (263) = 2. For BCS internal use only [Standard Trailer] Y See section 4.3. Fixed Income FIX Specification Page 50 of 111

51 Trading Session Status (MsgType=h) The Trading Session Status Request message provides information on the status of a market. This message is used in the remate electrónico and remate holandés systems only. Tag Field Name Req d System Data type Comment [Standard Header] Y MsgType= h 100 ExDestination N 340 TradSesStatus Y 336 TradingSessionID N 1300 MarketsegmentID N AuctionId N EAU, DAU EAU, DAU EAU, DAU EAU, DAU EAU, DAU String Int String String Int Destination fixed income market of the request. Valid values are: DAU = Remate holandés EAU = Remate electrónico State of the trading session. Values sent by BCS are: 2 = Open 3 = Closed 4 = Pre-Open Identifier for trading session. Values sent by BCS are: 1 = OPENING 14 = AUCTION_OFFER 15 = AUCTION_BID Identifies the fixed income segment market. Values sent by BCS are: IIF = Money Market IRF = Fixed Income BOTH = IIF and IRF ID of the auction number. Value sent by BCS are positive numbers equal or bigger than 1 [Standard Trailer] Y See section 4.3. Fixed Income FIX Specification Page 51 of 111

52 4.7 Event Messages News (MsgType = B) The News message is used to publish news information from BCS to the connected community. It is based on a push model, i.e. no subscription is required. As soon as the counterparty connects, it will start receiving news as they occur. Retransmission of News messages is not supported. News published by BCS may be: Security-specific or symbol related news Market Events (such as beginning of auction or price adjustment information). BCS official notices. Generic news. Tag Field Name Req d Data type Comment [Standard Header] Y MsgType= B 148 Headline Y String The headline of a News message. 33 LinesOfText Y NumInGroup Identifies number of lines of text body. >> 58 Text Y String Repeating field, number of instances defined in NoLinesOfText. 95 RawDataLength N Length Number of bytes in raw data field. 96 RawData N Data Unformatted raw data, can include bitmaps, word processor documents, etc. Indicator of which kind of news message is this. 1 = Market Event NewsType Y Int 2 = Symbol News 3 = Symbol Suspension 4 = Alarm 5 = Cross Order 9999 = Other NewsCode N String BCS Internal code associated with this news message. Used to specify the origin market of this News message. Valid values are: 30 LastMkt N String DAU = Remate holandés EAU = Remate electrónico TLR = Telerenta [Standard Trailer] Y See section 4.3. Fixed Income FIX Specification Page 52 of 111

53 4.7.2 Business Message Reject ( MsgType = j ) The Business Message Reject 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 message will be issued. Tag Field Name Req d Data type Comment [Standard Header] Y MsgType= j 45 RefSeqNum N Int MsgSeqNum of rejected message. 372 RefMsgType Y String The MsgType of the FIX message being referenced. 379 BusinessRejectRefID C String The value of the business-level ID field on the message being referenced. Required unless the corresponding ID field was not specified. 380 BusinessRejectReason Y Int Code to identify the reason of the rejection. Valid values: 0 = Other 1 = Unknown ID 2 = Unknown Security 3 = Unsupported Message Type 4 = Application not available 5 = Conditionally Required Field Missing 58 Text N String Message to explain reason for rejection, if available. [Standard Trailer] Y See section 4.3. Fixed Income FIX Specification Page 53 of 111

54 5. Message Scenarios The following sections provide examples of the most common message scenarios. 5.1 Application Level Messages The following diagrams illustrate different order (entry, execution, cancellation, modification) scenarios DAU - Offer Entry with Acknowledgement BCS. This example shows an offer that is sent by the client. This order is acknowledged by the Figure 1. Offer Entry with ack. Fixed Income FIX Specification Page 54 of 111

55 5.1.2 DAU Offer Cancelation by ClOrdID This example shows an offer that is issued by the client, accepted by BCS, and is cancelled afterwards. Once an order is accepted by BCS, it is assigned a unique identifier called OrderID that is sent in tag 37 in each Execution Report message. Figure 2. Order cancellation by ClOrdID. Fixed Income FIX Specification Page 55 of 111

56 5.1.3 DAU Bid Entry with Acknowledgement BCS. This example shows a bid that is sent by the client. This order is acknowledged by the Figure 3. Bid Entry with ack. Fixed Income FIX Specification Page 56 of 111

57 5.1.4 EAU - Offer Entry with Acknowledgement BCS. This example shows an offer that is sent by the client. This order is acknowledged by the Figure 4. Offer Entry with ack. Fixed Income FIX Specification Page 57 of 111

58 5.1.5 EAU Offer Cancelation by ClOrdID This example shows an offer that is issued by the client, accepted by BCS, and is cancelled afterwards. Once an order is accepted by BCS, it is assigned a unique identifier called OrderID that is sent in tag 37 in each Execution Report message. Figure 5. Order cancellation by ClOrdID. Fixed Income FIX Specification Page 58 of 111

59 5.1.6 EAU Offer Cancelation by OrderID This example shows an offer that is issued by the client, accepted by BCS, and is cancelled afterwards. Once an order is accepted by BCS, it is assigned a unique identifier called OrderID that is sent in tag 37 in each Execution Report message. Figure 6. Order cancellation by OrderID. Fixed Income FIX Specification Page 59 of 111

60 5.1.7 EAU Offer Modification by ClOrdID This example shows an offer that is issued by the client, accepted by BCS, and is cancelled afterwards. Once an order is accepted by BCS, it is assigned a unique identifier called OrderID that is sent in tag 37 in each Execution Report message. Figure 7. Order modification by ClOrdID. Fixed Income FIX Specification Page 60 of 111

61 5.1.8 EAU Bid Entry to Repetition with Acknowledgement This example shows a bid that is issued by the client and accepted by BCS. Figure 8. Bid entry to repetition with ack. Fixed Income FIX Specification Page 61 of 111

62 5.1.9 EAU Bid Entry to Repetition with Bidding Loss This example shows a bid that is issued by the client, accepted by BCS, and afterwards bidding is lost because another client sent a lower rate. Figure 9. Bid entry with ack and posterior bidding lose. Fixed Income FIX Specification Page 62 of 111

63 EAU Bid Entry to Repetition with Reject This example shows a bid that is issued by the client and reject by BCS because it does not lower the rate of the current winning bid of the auction. Figure 10. Bid entry with ack and posterior bidding lose. Fixed Income FIX Specification Page 63 of 111

64 EAU Bid Entry to Fraction with Acknowledgement This example shows a bid that is issued by the client and accepted by BCS. Figure 11. Bid entry to fraction with ack. Fixed Income FIX Specification Page 64 of 111

65 EAU Bid Entry to Fraction with Division This example shows a bid to a repetition that is issued by client 1 and accepted by BCS. Then, client 2 sends a bid to a fraction implying the generation of 1 up to 10 fractions. Figure 12. Bid entry to fraction with ack. Fixed Income FIX Specification Page 65 of 111

66 TLR - Offer Entry with Acknowledgement BCS. This example shows an offer that is sent by the client. This order is acknowledged by the Figure 13. Order Entry with ack. Fixed Income FIX Specification Page 66 of 111

67 TLR Order Cancelation by ClOrdID This example shows an offer that is issued by the client, accepted by BCS, and is cancelled afterwards. Once an order is accepted by BCS, it is assigned a unique identifier called OrderID that is sent in tag 37 in each Execution Report message. Figure 14. Order cancellation by ClOrdID. Fixed Income FIX Specification Page 67 of 111

68 TLR Order Modification by ClOrdID This example shows an offer that is issued by the client, accepted by BCS, and is modified afterwards. Once an order is accepted by BCS, it is assigned a unique identifier called OrderID that is sent in tag 37 in each Execution Report message. Figure 15. Order modification by ClOrdID. Fixed Income FIX Specification Page 68 of 111

69 TLR - Offer Entry with Partial Fill This example shows an offer that is sent by the client. This order is acknowledged by the BCS, and then partially filled by another client. Figure 16. Order Entry with ack. Fixed Income FIX Specification Page 69 of 111

70 TLR Order Reject This example shows an offer that is issued by the client and reject by BCS. The reject reason is showed in tag 58 (Text). Figure 17. Order reject by BCS. Fixed Income FIX Specification Page 70 of 111