Nasdaq CXC Limited FIX 4.2 Application Notes

Transcription

1 Nadaq CXC Limited FIX 4.2 Application Note

2 Nadaq CXC Limited FIX 4.2 Application Note June 22, 218 Verion: , Nadaq CXC Limited. All right reerved. Nadaq i a regitered trademark. The copyright in the whole and every part hall not be copied or reproduced in whole or any part in any manner or form or in or on any media without the prior written conent of Nadaq CXC Limited. Thi information i provided for informational purpoe only. It doe not take into account the particular invetment objective, financial ituation, or need of any individual or entity. Under no circumtance i it to be ued or conidered a an offer to purchae or ell any ecurity, or a a olicitation or recommendation of the purchae, ale, or offer to purchae or ell any ecurity. While the information ha been obtained from ource deemed reliable, neither Nadaq CXC Limited, nor it licenor, nor any other party through whom the uer obtain any uch information: (i) make any guarantee that it i accurate, complete, timely, or contain correct equencing of information; (ii) make any warrantie with regard to the reult obtained from it ue; or (iii) hall have any liability for any claim, loe, or damage ariing from or occaioned by any inaccuracy, error, delay, or omiion, or from the ue of the information or action taken in reliance on the information. Reproduction or reditribution of thi information i prohibited except with written permiion from Nadaq Canada. Sytem repone time may vary for a number of reaon including market condition, trading volume and ytem performance. Reviion Hitory Verion Decription Date Verion 1.11 Made tag 6774 BrokerNumber required on new order Verion 1.12 Added tag 198 SecondaryOrderID on execution report Removed comment: order quantity can be revied down only. Quantity can be revied up or down Verion 1.13 Added Smart Routing detination, CSO, Peg Offet and Cro Verion 1.14 Added tag 6776 and 6777 in Trade Report and identify hidden order value

3 Verion 1.15 Removed PT value from tag 675 UMIRAccountType Added 59=N for Bypa order Verion 1.16 Added value to tag 76 in Trade Report meage Added tag 11 in New Order Verion 1.17 Added 59=P for Pot-Only order Added tag 82 in New Order Verion 1.18 Modified Bypa order implementation from 59=N to 6791=Y Verion 1.19 Added additional value poibilitie for tag 76 (ALPH, MATCH) Verion 1.2 Removed Principal and Wah trade marker from new order Verion 1.21 Added tag 21 in Cro Order Verion 1.22 Changed tag 21 to modified if value other than Verion 1.23 Added tag 6761, anonymou Verion 1.24 Clean up Removed reference to alternate ymbology Verion 1.25 Removed 6761 from execution Verion 1.26 Added TMXS a a valid execbroker for TMX Select tranaction Verion 1.27 Added tag 7729 SME for future ue, tag 25 Facilitation, additional cro type (C,V,B), and bypa cro order. Added NoTradeFeat (7713) and NoTradeKey (7714) Verion 1.28 Added CSO to cro order type Verion 1.29 Added tag 6763 to Order Cancel/Replace Requet and Trade Report. Added tag 8114 (RepriceReaon) to Acknowledgement meage Verion 1.3 Incorporated CX2 change. Added tag 8115 (BrokerPrefEligible) and 8116 (BrokerPref). Modified tag 6761 (Anonymou) and added CX2 value for tag 57, 1, 128 and 129. Added CX2 a a valid ExecBroker for CX2 tranaction. Verion 1.31 Added tag 198 to Trade Report, added tag 9882 to Order Cancel Acknowledgement, removed tag Added ContraBroker (375) and NoContraBroker (382) to Trade Report. Verion 1.32 Added UMIRAccountType (675) and Jitney (6757) to New Order Single Repone and Trade Report meage

4 Verion 1.33 Remove reference to ell hort exempt order Update ShortMarkingExempt (7729) decription. Update decription of ClOrdID (11) and D (41) in Order Cancel Acknowledgment and Order Cancel and Cancel/Replace Reject. Update PegDifference (211). Verion 1.34 Added FacilitationSide (251) to Cro Order Removed DeliverToCompID (128), and DeliverToSubID (129), BrokerNumber (6774). Added additional validation to Account (1), ClOrdID (11), OrdType (4), D (41), Side (54), and TimeInForce (59). Added ExecBroker (76) to New Order Single Repone. Verion 1.35 Added poible value of LYNX to ExecBroker (76) Verion 1.36 Added elf-trade prevention option of Execute Change to NoTradeFeat (7713) on New Order Single and added ExecuteMatch (7733) on Trade Report. Verion 1.37 Removed market wide option for NoTradeFeat (7713). Added AEQN for Aequita Neo and AEQL for Aequita Lit a poible value for ExecBroker (76). Verion 1.38 Added Market On Cloe, Add Hidden and Remove Hidden value to TradeLiquidityIndicator (9882). Added Market On Cloe and Limit On Cloe to OrdType (4) and TimeInForce (59). Added TimeInForce (59) to Trade Report meage. Verion 1.39 Removed PT = Profeional Trader from CHIXBuyAccountType (6767) and CHIXSellAccountType (6768) of Cro Order. Added clarification of default for MOC order to Anonymou (6761). Added Anonymou (6761) to Order Cancel/Replace Requet meage. Verion 1.4 Added SettlType (63) and SettlDate (64) on Cro Order to Support Special Settlement Term. Removed TMXS a a valid ExecBroker (76) value

5 Verion 1.41 Added SecurityIDSource (22), SecurityID (48), BrokerNumber (6774) and OrigSendercompID (9688) to identify additional drop copy tag. Added Minimum Price Improvement (MPI) order value to ExecInt (18). Added CXD a poible value for ExecBroker (76). Variou reference to CXD added to pre-exiting field. Added poible value of 4 to RepriceReaon (8114) and retate meage type (15= for Marketplace Threhold. Verion 1.42 Removed retate meage type (15= Verion 1.43 Removed default option from TargetSubid (57) and ExDetination (1) Verion 1.44 Added Minimum Quantity (MQ) option to ExecInt (18) for CXD. Added Minimum Acceptable Quantity (MAQ) to Min (11) for CXD. Added poible TradeLiquidityIndicator (9882) value to indicate at-the-touch liquidity. Added Account (1) to Trade Report meage. Verion 1.45 Removed Minimum Quantity (MQ) option to ExecInt (18) for CXD. Verion 1.46 Changed CSO to DAO. Added poible value to ExecBroker (76) to New Order Single Repone. Added MaxFloor (111) to New Order Single Repone. Added poible value of BU to AccountType (675), CHIXBuyAccountType (6767) and CHIXSellAccountType (6768). Added poible value of D to CroType (6773). Verion 1.47 Added Minimum Quantity (MQ) option to ExecInt (18) for CXD. Verion 1.48 Added upport for POComment (7737) Verion 1.49 OPR Cancel and OPR Reprice added to HandleInt (21). Reject combination of Min (11) and Bypa (6791). Update HandlInt (21) for Cro Order meage. Added MAQ order type to CXC and CX2 in Min (11). Verion 1.5 Houekeeping update Verion 1.51 Change default value of Anonymou (6761) for CXC

6 Verion 1.52 Verion 1.53 Added NBBOSetter (8115) on New Order Single Repone. Added NBBO Setter value to TradeLiquidityIndicator (9882). Removed (CXD Only) from Minimum Price Improvement intruction in ExecInt (18). Added new ExecInt (18) value for Minimum Acceptable Quantity at the Touch (MAQ ATT), Minimum Quantity at the Touch (MQ ATT), and new tag 7731 (SeekPriceImprovement) on New Order Single, New Order Single Repone, Order Cancel Acknowledgement, and Trade Report meage. Added HandlInt (21) to New Order Single Repone and Order Cancel Acknowledgement meage

7 Table of Content 1 INTRODUCTION DOCUMENTATION METHODOLOGY NASDAQ CANADA S FIX INTERFACE CONFIGURATION INFORMATION CLIENT SenderCompID TargetCompID Encryption NASDAQ CONFIGURATION SenderCompID TargetCompID IP Addree SESSION MANAGEMENT MESSAGE HEADER FORMAT TO NASDAQ CANADA MESSAGE HEADER FORMAT TO CLIENT MESSAGE TRAILER FORMAT LOGON Client logon Nadaq Canada logon ADMINISTRATIVE MESSAGES LOGOUT Client Nadaq Canada Nightly Maintenance REJECT MESSAGES RECOVERY APPLICATION MESSAGES SYMBOLOGY ORDER ENTRY Client New Order Single Order Cancel Requet Order Cancel/Replace Requet Nadaq Canada Order Entry Meage New Order Single Repone Order Cancel Acknowledgment Order Cancel and Cancel/Replace Reject Replace Repone Trade Report Unupported FIX Meage CROSS... 36

8 6 APPENDIX A EXAMPLE ORDER FLOW MATRICES APPENDIX B NASDAQ CANADA PEG ORDER DEFINITIONS PRIMARY (PRIM) PEG TYPE Baic Primary Peg MID (MI PEG TYPE Baic Mid Peg MARKET (MKT) PEG TYPE Baic Market Peg... 67

9 Nadaq Canada FIX 4.2 Application Note June 28, INTRODUCTION Thi document decribe pecifically what functionality i available through Nadaq Canada verion FIX 4.2-baed interface. It alo decribe how Nadaq Canada ue the FIX protocol to achieve thi functionality. Thi document i intended to upplement the FIX Protocol Specification ( by decribing: Where there are multiple way to achieve a deired outcome with the protocol, thi document decribe which one() Nadaq Canada upport. Where the protocol doe not define the exact meaning or content of variou field, thi document provide a much detail a poible to decribe Nadaq Canada choen implementation. Where there are poible alternative interpretation, thi document decribe which interpretation Nadaq Canada ha elected. What i FIX? FIX Connectivity enable the eay integration of the Nadaq Canada trading ytem into your workflow and make it eaier for you to trade by reducing your keytroke. FIX tand for the Financial Information exchange Protocol. The FIX protocol i a language created by a group of intitutional client and broker to tandardize the delivery of relevant pre-trade and trade information. It i a public-domain pecification owned and maintained by the FIX Protocol Organization. Nadaq Canada offer many option for you to eaily integrate Nadaq Canada into your workflow uing a FIX connection. Send order or lit to Nadaq Canada directly from your trade blotter With a FIX connection between your ytem and Nadaq Canada, you can eaily end order to Nadaq Canada automatically from your trade blotter, providing intant acce to Canadian trading opportunitie and liquidity. 1.1 Documentation Methodology FIX meage and field are reprinted in thi document only if their content or uage differ from the original FIX pecification ( FIX meage are quoted in boldface (e.g. Reend Requet, Logon); FIX field are quoted in italic (e.g. PoReend, SenderSubI. 9

10 Nadaq Canada FIX 4.2 Application Note June 28, NASDAQ CANADA S FIX INTERFACE Since Nadaq Canada i not a multi-day trading ytem, it doe not upport multi-day order. When the ytem i brought down for nightly maintenance, all order reiding on the ytem will be cancelled, and FIX equence number will be reet. When the ytem come back up, it i conidered the next trading day. The following i the chedule for nightly maintenance (pleae note that time are approximate): Monday thru Friday 6 pm to 6 am EST time Pleae alo note that nightly maintenance will occur during Holiday. Upon requet, our Nadaq Canada Support taff will provide you with acce to the FIX tet erver. An appointment i required for certification purpoe. While uing the tet connection, the client will receive approximately the ame traffic a that from the production connection. Pleae note, that not all trade or order will be the ame on the tet erver a they are on the production erver. 1

11 Nadaq Canada FIX 4.2 Application Note June 28, CONFIGURATION INFORMATION 3.1 Client SenderCompID Client mut identify the eion in the SenderCompID (49) field. NASDAQ mut approve thi value. Nadaq Canada oftware i cae enitive and the maximum ize of the SenderCompID (49) field i 32 character TargetCompID TargetCompID mut identify NASDAQ a the receiving firm Encryption Nadaq Canada doe not upport encryption of FIX meage. 3.2 NASDAQ Configuration SenderCompID The value the client will receive in the SenderCompID field from Nadaq Canada will be the value originally upplied to Nadaq Canada in the TargetCompID field in the logon meage TargetCompID The value the client will receive in the TargetCompID field from Nadaq Canada will be the value originally upplied to Nadaq Canada in the SenderCompID field in the logon meage IP Addree Nadaq Canada will provide client the appropriate IP addree for the production and tet environment. 11

12 Nadaq Canada FIX 4.2 Application Note June 28, SESSION MANAGEMENT Thi ection decribe eion-level FIX meage ent between Nadaq Canada and the client. The production erver conit of a primary and a tandby erver. If the eion to the primary erver fail, retry thi connection after 3 econd. If reconnection fail, etablih a eion with the tandby erver. The econdary eion will continue where the primary eion left off. Once a eion i reetablihed, Nadaq Canada will immediately begin ending execution report that were not uccefully delivered in the previou FIX eion for the ame trade date. 4.1 Meage header format to Nadaq Canada Nadaq Canada procee only the following field in the meage header and ignore all other: Tag Field Name Req d Comment 8 BeginString Y FIX BodyLength Y Mut be the econd field in the meage. 34 MgSeqNum Y See tandard FIX explanation. 35 MgType Y Mut be the third field in the meage. 43 PoDupFlag N Alway required for retranmiion, whether prompted by the ending ytem or a the reult of a reend requet. 49 SenderCompID Y The value ued mut be recognized and agreed to by Nadaq Canada. 5 SenderSubID N Thi can be ued to indicate a pecific Nadaq Canada account or client. Nadaq Canada ignore thi tag. 52 SendingTime Y Indicate the time the meage wa ent by the client. 56 TargetCompID Y Identifie Nadaq Canada a the receiving firm 97 PoReend N Required when meage may be duplicate of another meage ent under a different equence number. 4.2 Meage header format to Client Nadaq Canada procee only the following field in the meage header and ignore all other: Tag Field Name Req d Comment 8 BeginString Y FIX BodyLength Y Will be the econd field in the meage. 34 MgSeqNum Y See tandard FIX explanation. 35 MgType Y Will be the third field in the meage. 43 PoDupFlag N Alway required for retranmiion, whether prompted by the ending ytem or a the reult of a reend requet. 12

13 Nadaq Canada FIX 4.2 Application Note June 28, 218 Tag Field Name Req Comment d 49 SenderCompID Y The value originally upplied to Nadaq Canada in the TargetCompID field in the logon meage from the Client. 52 SendingTime Y Indicate the time the meage wa ent by Nadaq Canada. 56 TargetCompID Y The value originally upplied to Nadaq Canada in the SenderCompID field in the logon meage from the Client. 57 TargetSubID N The value originally upplied to Nadaq Canada in the SenderSubID field in related application meage from the Client, if pecified. 97 PoReend N Required when meage may be duplicate of another meage ent under a different equence number. 4.3 Meage trailer format NASDAQ procee only the following field in the meage trailer and ignore all other: Tag Field Name Req d Comment 1 CheckSum Y (Alway unencrypted, alway lat field in meage) 4.4 Logon Client logon The firt expected meage Nadaq Canada will receive from a client i a Logon meage. The following are the logon parameter: The equence number, on the initial logon for each trading day, mut be et to 1. The heartbeat interval mut be greater than zero. The SenderCompID (49) mut be recognized by Nadaq Canada (ee ection titled Configuration Information). The client mut et the TargetCompID (56). If a client receive a equence number le than expected, the client mut terminate their eion immediately, and hould then contact Nadaq Canada to correct the problem, a per the FIX protocol Nadaq Canada logon Once Nadaq Canada receive a Logon requet, it will validate the SenderCompID and perform a recovery proce (ee ection titled Recovery). No meage hould be ent to Nadaq Canada until a Logon meage i received in reply from Nadaq Canada. 13

14 Nadaq Canada FIX 4.2 Application Note June 28, 218 In ome cae, ome time will elape before a repone i ent from Nadaq Canada. Once the poitive repone i returned, the client heartbeat interval timer hould begin. The eion i igned on and both partie can begin exchanging meage. The negative repone to a Logon requet i a Logout. 4.5 Adminitrative meage Thi ection decribe the minimum requirement to keep the eion alive and ynchronized. Nadaq Canada mut receive a meage from the client at leat once in the heartbeat interval defined in the logon. Nadaq Canada will aume the eion i not alive if a meage i not received in two heartbeat interval, will end a Logout meage to the client and then diconnect the eion a per the FIX protocol. Nadaq Canada will end a meage at leat once in the heartbeat interval. In addition, Nadaq Canada handle the following eion level meage: Reend Requet, Sequence Reet and Tet Requet meage and ignore the OrigSendingTime (122) in all meage. 4.6 Logout Thi ection concern normal and abnormal termination of a eion by either party Client A Client FIX eion hould remain etablihed throughout the trading day. Nadaq Canada will logout client eion before the tart of the maintenance window. Abnormal eion termination i treated a though the client had logged out from Nadaq Canada. The following are conidered abnormal eion termination: Network level diconnection Failure to end a meage after two heartbeat interval (ee ection titled Adminitrative Meage ) Nadaq Canada Nightly Maintenance When Nadaq Canada hut down for nightly maintenance, any live eion will be terminated. All remaining open order will be cancelled and a new trade date will begin. No Execution Report will be ent for order ent on previou trading day. 4.7 Reject meage Reject meage ent by Nadaq Canada will include the equence number of the rejected meage and an explanation of the nature of the error, in the text field, whenever poible. If NASDAQ receive a meage with a equence number le than expected during normal eion proceing, and it doe not contain the PoDupFlag field, the meage i dicarded and a Reject meage i ent to the client. 4.8 Recovery When a client reconnect after a break in the eion during the ame trading day, Nadaq Canada begin the following recovery equence: 14

15 Nadaq Canada FIX 4.2 Application Note June 28, 218 If Nadaq Canada receive a equence number le than expected the eion will be terminated immediately without ending a logoff. The client hould contact Nadaq Canada to correct the problem. Nadaq Canada will tranmit any unent execution report on receipt of a Reend Requet from the client for the miing equence number. If trade occur while the FIX eion i down, Nadaq Canada outgoing equence number will be higher than expected by the client. The client i reponible for detecting meage gap for meage tranmitted by Nadaq Canada that may have been lot in the previou eion, a per the FIX protocol. Nadaq Canada will retranmit thoe meage when requeted to do o by the client. 15

16 Nadaq Canada FIX 4.2 Application Note June 28, APPLICATION MESSAGES Thi ection dicue the application-level FIX meage ent and accepted by Nadaq Canada. 5.1 Symbology Nadaq Canada upport only the Local/ exchange tock naming identifier in FIX meage. 16

17 Nadaq Canada FIX 4.2 Application Note June 28, Order Entry Client Nadaq Canada currently upport the New Order Single, Order Cancel Requet, Order/Cancel Replace Requet FIX meage New Order Single In addition to the tandard header, trailer, and Nadaq Canada-accepted ymbol definition field, Nadaq Canada procee only the following field in a New Order Single meage, and ignore all other: Tag Field Name Req d Comment 1 Account N Identifie the trading account. Maximum of 32 character. 11 ClOrdID Y Mut be unique for each order throughout the trading day, acro all tock and ide from the ame FIX Seion ID. Note: A FIX erver will not necearily verify the uniquene of ClOrdID. Maximum of 32 character. 18 ExecInt N Value upported by Nadaq Canada (ome value may be combined and each mut be eparated by a pace): G = All or None (AON) P = Market Peg M = Mid-price Peg R = Primary Peg f = DAO (Not upported on CX m = Minimum Acceptable Quantity At the Touch (CXD only) (require tag 11 and TimeInForce(59) = 3) t = Minimum Quantity At the Touch (CXD only) (require tag 11 and TimeInForce(59) = 3) x = Minimum Price Improvement z = Minimum Quantity (MQ) (tag 11 required) Note: Any other value will be ignored. DAO order to CXD will be accepted, but DAO will be ignored. 17

18 Nadaq Canada FIX 4.2 Application Note June 28, 218 Tag Field Name Req d 21 HandlInt Y Comment Intruction for order handling on Nadaq Canada trading ytem. Value upported by Nadaq Canada: 1 = OPR Reprice 5 = OPR Cancel 6 = OPR Reprice 38 Order Y Quantity of order. All other value will be modified to 1. Tag 18=f will override any value in tag 21 and the order treated a DAO. 4 OrdType Y Value upported by Nadaq Canada: 1 = Market 2 = Limit 5 = Market On Cloe (require TimeInForce(59) = ) B = Limit On Cloe (SOR only) P =Pegged (require ExecInt of M, R, P or x) Note: Any other value will caue the order to be rejected. 44 Price N Required for limit order. If included in a Market order, the order will be rejected. 54 Side Y Value upported by Nadaq Canada: 1 = Buy 2 = Sell 5 = Sell hort 55 Symbol Y Local/ exchange ymbol only Note: Any other value will caue the order to be rejected. 57 TargetSubid N Indicate how the order hould be routed: CHIX CX2 CXD Smart Order Router (SOR) Strategie: Value will be provided by Nadaq Canada Operation following certification. A valid value i required in either TargetSubid (57) or ExDetination (1) 18

19 Nadaq Canada FIX 4.2 Application Note June 28, 218 Tag Field Name Req d Comment 59 TimeInForce N Abence of thi field indicate a day order. Value upported by Nadaq Canada: = Day (Default) 1 = Good Till Cancel (GTC) Treated a a Day Order and will expire at end of the day. 2 = At the Opening (OPG) Treated a a Day Order and will expire at end of the day. 3 = Immediate or Cancel A much of the order a poible mut be executed immediately. Any part of the order that i not executed immediately get canceled. 4 = Fill Or Kill (FOK) Fill the order in it entirety or cancel it immediately. 6 = Good Till Date (GT Date mut be today trading date. Thi field mut be ued in conjunction with field ExpireTime (Field ID 126). 7 = At The Cloe Require OrdType(4)=1 for MOC or OrdType(4)=2 for LOC. Cannot be ued in combination with OrdType(4)=5 or OrdType(4)=B. LOC order will be routed to the TSX when uing the Nadaq Canada SOR. P = Pot-Only Order Day order are in effect until the client cancel the order, or until the Nadaq Canada trading ytem i hut down for Nadaq Canada Nightly Maintenance. Note: Any other value will caue the order to be rejected. 6 TranactTime Y Time thi order requet wa initiated by client. 1 ExDetination N Indicate how the order hould be routed: CHIX CX2 CXD Smart Order Router (SOR) Strategie: Value will be provided by Nadaq Canada Operation following certification. A valid value i required in either TargetSubid (57) or ExDetination (1) 19

20 Nadaq Canada FIX 4.2 Application Note June 28, 218 Tag Field Name Req d Comment 11 Min N Minimum Quantity (MQ): Minimum quantity of each fill event allowing for aggregation of contra order. Minimum Acceptable Quantity (MAQ): Minimum quantity of each execution report. Order will not interact with maller ized contra order. (default, ue tag 18 to elect MQ) Order will be rejected if Bypa=Y i combined with Min. 111 MaxFloor N Reerve ize order. Mut be equal to or multiple of STU (Standard Trading Unit) Hidden Order: A value of hide the order Any other value upplied by the client will caue the order to be rejected. (Not upported on CX 126 ExpireTime N Time/Date of order expiration in GMT. Only valid when TimeInForce (59) = 6 (Good Till Date). Date mut be today Trading Date. Incorrect data reult in a rejected order. 211 PegDifference N Amount in dollar in $.1 increment added to the price of the peg. Poitive value are more aggreive, negative value more paive. 675 UMIRAccountType Y Required for Canadian regulatory reporting. CL = Client (Default) NC = Non-Client ST = Specialit IN = Inventory OF = Option firm account OT = Option market maker BU = Bundled Note: If unpecified, Default i applied 6751 UMIRUerID Y Required for Canadian regulatory reporting, the trading ytem uer ID for the trader BaketTrade N Identification for order a part of a baket trade: N = No (Default) 1*5Digit = Baket Number 6755 ProgramTrade N An order that i part of a baket trade compried of Index ecuritie to offet a future or option poition. Y = Ye N = No (Default) 2

21 Nadaq Canada FIX 4.2 Application Note June 28, 218 Tag Field Name Req d Comment 6757 Jitney N To mark an order a being executed on behalf of another broker: TSX Broker Number, 3 digit numeric Anonymou N Whether the TSX Broker Number hould be hidden on the order book and execution. Y = Ye N = No (Default) 6763 UMIRRegulationID N Identification marker for UMIR-pecific deignation to order and trade. IA = Inider Account NA = Not Applicable SS = Significant Shareholder 6791 Bypa N Order marker that indicate the order hould only trade with diplayed volume, i.e. ignore any hidden quantitie. Thee order are treated a IOC. Y N ; default i N (Not upported on CX Order will be rejected if Bypa=Y i combined with Min NoTradeFeat N Define the behaviour of elf-trade prevention when uing NoTradeKey. 2 character (not pace eparated): 1 t character: N = Cancel newet order (the active order i cancelled) (Default) O = Cancel oldet order (the reting order i cancelled and the new order i allowed to book) D = Decrement and Cancel (the quantity of the larger order will be reduced, and the maller order() are cancelled) E = Execute trade (Trade i uppreed on public market data feed) Field ExecuteMatch (7733) i returned on trade report meage. 2 nd character: M or B = Self-trade prevention at broker level (only order with the ame broker number will be prevented from matching) (Default) The NoTradeFeat of the incoming order will take precedence NoTradeKey N Thi participant generated key prevent the order from trading againt order with the ame key value. 6*AlphaNumeric, no default 21

22 Nadaq Canada FIX 4.2 Application Note June 28, 218 Tag Field Name Req d Comment 7729 ShortMarkingExempt N Identifie an order a Short Marking Exempt (SME). Not valid on hort ell order. = SME 7731 SeekPriceImprovement N 1 = Trade with price improving hidden order (order mut be immediate or cancel) 7737 POComment N A free-form, pa-through tag provided for ue by Participant. Maximum of 32 character. 82 DiplayRange N Quantity aigned to max floor order indicating the range in which the diplayed quantity will randomly increae or decreae. (Not upported on CX Order Cancel Requet Nadaq Canada procee a Cancel Requet quantity a the full remaining quantity. Nadaq Canada doe not upport partial cancel. In addition to the tandard header, trailer, and Nadaq Canada-accepted ymbol definition field, Nadaq Canada procee only the following field in an Order Cancel Requet meage, and ignore all other: Tag Field Name Req d Comment 11 ClOrdID Y Unique ID of cancel requet aigned by the client. Maximum of 32 character. 38 Order Y Required by the FIX protocol, ignored by Nadaq Canada. All cancel requet are for full remaining quantity. 41 D Y Unique ID of original order to be cancelled a aigned by client. Maximum of 32 character. 54 Side Y 55 Symbol Y 6 TranactTime Y Time thi order requet wa initiated by client. 22

23 Nadaq Canada FIX 4.2 Application Note June 28, Order Cancel/Replace Requet Cancel/Replace requet will be handled a per the FIX protocol. Cancel/Replace requet that cannot be proceed will be rejected uing the Cancel Reject meage; If Nadaq Canada reject the Cancel/Replace requet, the ClOrdID of the replacement order will be inerted in the ClOrdID field of the Cancel Reject meage for identification purpoe. In addition to the tandard header, trailer, and Nadaq Canada-accepted ymbol definition field, Nadaq Canada procee only the following field in an Order Cancel/Replace Requet meage, and ignore all other. Tag Field Name Req d Comment 11 ClOrdID Y Unique ID of replacement order a aigned by the client. Maximum of 32 character. 18 ExecInt N For a replacement order, thi field mut be populated anew (i.e. original order value will not be brought forward to replacement order unle redefined within thi meage). 21 HandlInt Y 38 Ord Y Note: The quantity in the Cancel/Replace meage i the total order quantity, a defined by the FIX protocol and total order quantity emantic. Pleae refer to Appendix A for more information. 4 OrdType Y New Order Type for the requet. Value upported: 1 = Market 2 = Limit P = Pegged (require ExecInt of M, R, P or x) 41 D Y Unique ID of order to be replaced a aigned by client. Maximum of 32 character. 44 Price N Required for Limit order 54 Side Y 55 Symbol Y 59 TimeInForce N Abence indicate a Day order 6 TranactTime Y Time thi order requet wa initiated by client. 11 Min N See New Order Single ection. 111 MaxFloor N See New Order Single ection. 126 ExpireTime N If the client attempt to revie the expiration time to a time prior than the current time, the Cancel/Replace Requet will be rejected. 23

24 Nadaq Canada FIX 4.2 Application Note June 28, 218 Tag Field Name Req d Comment 6763 UMIRRegulationID N Identification marker for UMIR-pecific deignation to order and trade. IA = Inider Account NA = Not Applicable SS = Significant Shareholder 6761 Anonymou N Whether the TSX Broker Number hould be hidden on the order book and execution. Y = Ye N = No (Default) 82 DiplayRange N Quantity aigned to max floor order indicating the range in which the diplayed quantity will randomly increae or decreae. (Not upported on CX Nadaq Canada Order Entry Meage New Order Single Repone In addition to the tandard header, trailer and Nadaq Canada-accepted ymbol definition field, Nadaq Canada will provide the following field in an Execution Report meage in repone to a New Order Single requet. Tag Field Name Re q d Comment 6 AvgPx Y The average price of all hare traded. Defaulted to for order acknowledgement. 11 ClOrdID N Nadaq Canada will alway populate thi field with the value aigned by client in the New Order Single meage. 14 Cum Y The total hare traded againt the original order quantity. Defaulted to for order acknowledgement. 15 Currency N Currency aociated with ymbol in Symbol (55) field 17 ExecID Y A unique identifier of execution meage a aigned by Nadaq Canada. 24

25 Nadaq Canada FIX 4.2 Application Note June 28, 218 Tag Field Name Re q d Comment 18 ExecInt N Value upported by Nadaq Canada (ome value may be combined and each mut be eparated by a pace): 2 ExecTranType Y = New G = All or None (AON) P = Market Peg M = Mid-price Peg R = Primary Peg f = DAO (Not upported on CX m = Minimum Acceptable Quantity At the Touch (CXD only) (require tag 11 and TimeInForce(59) = 3) t = Minimum Quantity At the Touch (CXD only) (require tag 11 and TimeInForce(59) = 3) x = Minimum Price Improvement z = Minimum Quantity (MQ) (tag 11 required) Note: Any other value will be ignored. DAO order to CXD will be accepted, but DAO will be ignored. 21 HandlInt Y Value upported by Nadaq Canada: 1 = OPR Reprice 5 = OPR Cancel 6 = OPR Reprice 22 SecurityIDSource N Identifie cla or ource of the SecurityID (48) value. (Drop copy only) Value upported by Nadaq Canada: 1=CUSIP 31 LatPx Y Defaulted to for order acknowledgement. 32 LatShare Y Defaulted to for order acknowledgement. 35 MgType Y 8 = Execution Report 37 OrderID Y Nadaq Canada order reference number. 38 Order Y Quantity of original order. 39 OrdStatu Y = New 5 = Replaced 8 = Rejected 25

26 Nadaq Canada FIX 4.2 Application Note June 28, 218 Tag Field Name Re q d Comment 4 OrdType N Value upported by Nadaq Canada: 1 = Market 2 = Limit 5 = Market On Cloe 44 Price N Limit Price B = Limit On Cloe (SOR only) P = Pegged (require ExecInt of M, R, P or x) Required for limit order only. 48 SecurityID N Security identifier value of SecurityIDSource (22) type. (Drop copy only) 54 Side Y Value upported by Nadaq Canada: 1 = Buy 2 = Sell 5 = Sell hort 55 Symbol Y Local/exchange ymbol 59 TimeInForce N Will be returned if upplied in original New Order Single meage. 63 SettlType N Settlement term of the order: 1 = Cah (T+) 2 = Next Day (T+1) 6 = Future (ued in combination with SettlDate (64)) 64 SettlDate N Specific date of trade ettlement in YYYYMMDD format. Thi field i returned if the value of SettlType (63) i ExecBroker N Poible Value: CHIX, CX2, CXD, TSX, PURE, ALPH, MATCH, OMGA, LYNX, AEQN, AEQL 13 OrdRejReaon N Ued with OrdStatu = 8 (Rejected) if reaon i definable. 15 ExecType Y = New 5 = Replaced 8 = Rejected 151 Leave Y Amount of hare open for further execution. 198 SecondaryOrderID N When preent, NASDAQ order number a reported in the market data feed (CHIXM otherwie ue tag

27 Nadaq Canada FIX 4.2 Application Note June 28, 218 Tag Field Name Re q d Comment 675 UMIRAccountType Y Required for Canadian regulatory reporting. CL = Client (Default) NC = Non-Client ST = Specialit IN = Inventory OF = Option firm account OT = Option market maker BU = Bundled Note: If unpecified, Default i applied 6751 UMIRUerID Y Required for Canadian regulatory reporting, the trading ytem uer ID for the trader Jitney N To mark an order a being executed on behalf of another broker: TSX Broker Number, 3 digit numeric Anonymou N Whether the TSX Broker Number hould be hidden on the order book and execution. Y = Ye N = No (Default) 6763 UMIRRegulationID N Identification marker for UMIR-pecific deignation to order and trade. IA = Inider Account NA = Not Applicable SS = Significant Shareholder 6791 Bypa N Will be returned if upplied in original New Order Single meage BrokerNumber N TSX Broker Number, 3 digit numeric. (Drop copy only) 7729 ShortMarkingExempt N Will be returned if upplied in original New Order Single meage SeekPriceImprovement N 1 = Trade with price improving hidden order 7737 POComment N A free-form, pa-through tag provided for ue by Participant. Maximum of 32 character. 27

28 Nadaq Canada FIX 4.2 Application Note June 28, 218 Tag Field Name Re q d Comment 8114 RepriceReaon N Populated with a reaon code if the order i repriced: 1 = Repriced to prevent trade 2 = Repriced to prevent lock 3 = Repriced to prevent cro 4 = Repriced for Marketplace Threhold 8115 NBBOSetter N The Order i an NBBO Setter. Value() upported by Nadaq Canada: Y= Order i NBBO Setter 9688 OrigSendercompID N SenderCompID of the original order entry eion. (Drop copy only) Order Cancel Acknowledgment In addition to the tandard header, trailer and Nadaq Canada -accepted ymbol definition field, Nadaq Canada will provide the following field in an Execution Report meage in repone to an order cancel or cancel/replace requet that i accepted by Nadaq Canada. Tag Field Name Req d Comment 6 AvgPx Y The average price of all hare traded. 11 ClOrdID N Nadaq Canada will alway populate thi field with the value aigned by client in the Order Cancel Requet meage. 14 Cum Y The total hare traded againt the original order quantity. 15 Currency N Currency aociated with ymbol in Symbol (55) field. 17 ExecID Y A unique identifier of execution meage a aigned by Nadaq Canada. 28

29 Nadaq Canada FIX 4.2 Application Note June 28, 218 Tag Field Name Req d Comment 18 ExecInt N Value upported by Nadaq Canada (ome value may be combined and each mut be eparated by a pace): 2 ExecTranType Y = New G = All or None (AON) P = Market Peg M = Mid-price Peg R = Primary Peg f = DAO (Not upported on CX m = Minimum Acceptable Quantity At the Touch (CXD only) (require tag 11 and TimeInForce(59) = 3) t = Minimum Quantity At the Touch (CXD only) (require tag 11 and TimeInForce(59) = 3) x = Minimum Price Improvement z = Minimum Quantity (MQ) (tag 11 required) Note: Any other value will be ignored. DAO order to CXD will be accepted, but DAO will be ignored. 21 HandlInt Y Value upported by Nadaq Canada: 1 = OPR Reprice 5 = OPR Cancel 6 = OPR Reprice 22 SecurityIDSource N Identifie cla or ource of the SecurityID (48) value. (Drop copy only) Value upported by Nadaq Canada: 1=CUSIP 31 LatPx Y Defaulted to for order cancel acknowledgement. Price at which the match would have occurred if not prevented when cancelled/replaced due to no-elf trade. 32 LatShare Y Defaulted to for order cancel acknowledgement. 35 MgType Y 8 = Execution Report The quantity of hare that would have matched if not prevented when cancelled/replaced due to no-elf trade. 37 OrderID Y Nadaq Canada order reference number. 38 Order Y Quantity of original order. 29

30 Nadaq Canada FIX 4.2 Application Note June 28, 218 Tag Field Name Req d Comment 39 OrdStatu Y 4 = Cancelled 4 OrdType N Value upported by Nadaq Canada: 1 = Market 2 = Limit 5 = Market On Cloe B = Limit On Cloe (SOR only) P = Pegged (require ExecInt of M, R, P or x) 41 D Y Unique ID of original order to be cancelled a aigned by client. 44 Price N Limit Price 48 SecurityID N Security identifier value of SecurityIDSource (22) type. (Drop copy only) 54 Side Y Value upported by Nadaq Canada: 1 = Buy 2 = Sell 5 = Sell hort 55 Symbol Y Local/exchange ymbol 59 TimeInForce N Will be returned if upplied in original New Order Single meage. 15 ExecType Y 4 = Cancelled 151 Leave Y Amount of hare open for further execution UMIRUerID Y Required for Canadian regulatory reporting, the trading ytem uer ID for the trader Anonymou N Whether the TSX Broker Number hould be hidden on the order book and execution. Y = Ye N = No (Default) 6763 UMIRRegulationID N Identification marker for UMIR-pecific deignation to order and trade. IA=Inider Account NA=Not Applicable SS=Significant Shareholder 6791 Bypa N Will be returned if upplied in original New Order Single meage BrokerNumber N TSX Broker Number, 3 digit numeric. (Drop copy only) 3

31 Nadaq Canada FIX 4.2 Application Note June 28, 218 Tag Field Name Req d Comment 7729 ShortMarkingExempt N Will be returned if upplied in original New Order Single meage SeekPriceImprovement N 1 = Trade with price improving hidden order 7737 POComment N A free-form, pa-through tag provided for ue by Participant. Maximum of 32 character OrigSendercompID N SenderCompID of the original order entry eion. (Drop copy only) 9882 TradeLiquidityIndicator N Value upported by Nadaq Canada: A = Order added liquidity R = Order removed liquidity a = Order added hidden liquidity r = Order removed hidden liquidity d = Order added hidden liquidity at-the-touch D = Order removed hidden liquidity at-the-touch S = Diplayed, liquidity-adding order improve the NBBO Liquidity indicator if the match would have occurred if not prevented when cancelled/replaced due to no-elf trade Order Cancel and Cancel/Replace Reject In addition to the tandard header, trailer and Nadaq Canada accepted ymbol definition field, Nadaq Canada will provide the following field in a Cancel Reject meage in repone to an order cancel requet that i rejected. Tag Field Name Req d Comment 11 ClOrdID Y Nadaq Canada will alway populate thi field with the value aigned by client in the Order Cancel or Cancel/Replace meage. 35 MgType Y 9 = Order Cancel Reject 37 OrderID Y Nadaq Canada order reference number. 39 OrdStatu Y OrdStatu value after thi cancel reject i applied. 41 D Y Nadaq Canada will alway populate thi field with the value aigned by client in the mot recently accepted New Order Single or Order Cancel/Replace meage. 58 Text N The reaon for the cancel reject. 31

32 Nadaq Canada FIX 4.2 Application Note June 28, 218 Tag Field Name Req d Comment 66 LitID N Required for reject againt order which were ubmitted a part of a lit. 434 CxlRejReponeTo Y Type of requet to which thi i a repone: 1=Order Cancel Requet 2=Order Cancel/Replace Requet Replace Repone Pleae refer to the ection New Order Single Repone for how Nadaq Canada repond to Cancel/Replace requet a per the FIX protocol Trade Report NASDAQ end your trade report via the Execution Report meage. The trade report provide relay fill information a order trade, including: average price of hare traded; total hare traded againt the original order quantity; tranaction time; and trade date. Pleae note that thi doe not include ettlement information uch a commiion or tax information. NOTE: The ExecID i conidered to be the unique identifier of an execution meage by Nadaq Canada, a per the FIX protocol. It i the client reponibility to detect and appropriately proce poible duplicate ExecID, regardle of whether the PoReend flag ha been et on the meage or not. In addition to the tandard header, trailer, and Nadaq Canada-accepted ymbol definition field, Nadaq Canada provide only the following field in an Execution Report: Tag Field Name Re q d Comment 1 Account N Identifie the trading account. Maximum of 32 character. 6 AvgPx Y Average price of hare traded. 11 ClOrdID N Nadaq Canada will alway populate thi field with the original value aigned by client in the New Order Single meage. 14 Cum Y Total hare traded againt the original order quantity. 15 Currency N Currency in which the ecurity i traded. 17 ExecID Y A unique identifier of execution meage a aigned by NASDAQ. 32

33 Nadaq Canada FIX 4.2 Application Note June 28, 218 Tag Field Name Re q d Comment 18 ExecInt N Value upported by Nadaq Canada (ome value may be combined and each mut be eparated by a pace): G = All or None (AON) P = Market Peg M = Mid-price Peg R = Primary Peg f = DAO (Not upported on CX m = Minimum Acceptable Quantity At the Touch (CXD only) (require tag 11 and TimeInForce(59) = 3) t = Minimum Quantity At the Touch (CXD only) (require tag 11 and TimeInForce(59) = 3) x = Minimum Price Improvement z = Minimum Quantity (MQ) (tag 11 required) Note: Any other value will be ignored. DAO order to CXD will be accepted, but DAO will be ignored. 19 ExecRefID N Ued in a trade correct or cancel meage (i.e. ExecTranType = 1 or 2) to refer to the previou Execution Report to which the current meage applie. 2 ExecTranType Y Value upported by : = New to indicate a trade report 1 = Cancel to indicate a trade cancel 2 = Correct to indicate a trade reviion 22 SecurityIDSource N Identifie cla or ource of the SecurityID (48) value. (Drop copy only) Value upported by Nadaq Canada: 1=CUSIP 31 LatPx Y Price of hare bought or old on thi fill. 32 LatShare Y Quantity of hare bought or old on thi fill. 37 OrderID Y Nadaq Canada order reference number. 38 Order Y Quantity of original order. 39 OrdStatu Y 1 = Partially filled 2 = Filled 4 = Cancelled 33

34 Nadaq Canada FIX 4.2 Application Note June 28, 218 Tag Field Name Re q d Comment 4 OrdType N Value upported by Nadaq Canada: 1 = Market 2 = Limit 44 Price N Limit Price 5 = Market On Cloe B = Limit On Cloe (SOR only) P = Pegged (require ExecInt of M, R, P or x) Required for limit order only. 48 SecurityID N Security identifier value of SecurityIDSource (22) type. (Drop copy only) 54 Side Y Value upported by Nadaq Canada: 1 = Buy 2 = Sell 5 = Sell Short 55 Symbol Y Return the Local/ exchange ymbol of the ecurity traded. 59 TimeInForce N Will be returned if upplied in original New Order Single meage. 6 TranactTime N Time and date of execution (expreed a GMT). 63 SettlType N Settlement term of the order: 1 = Cah (T+) 2 = Next Day (T+1) 6 = Future (ued in combination with SettlDate (64)) 64 SettlDate N Specific date of trade ettlement in YYYYMMDD format. Thi field i required if the value of SettlType (63) i TradeDate N Date of trade in YYYYMMDD format. 76 ExecBroker N Poible Value: CHIX, CX2, CXD, TSX, PURE, ALPH, MATCH, OMGA, LYNX, AEQN, AEQL 15 ExecType Y 1 = Partially filled 2 = Filled 151 Leave Y Amount of hare open for further execution. 198 SecondaryOrderID N When preent, Nadaq Canada order number a reported in the market data feed (CHIXM otherwie ue tag ContraBroker N TSX Broker Number on the oppoite ide of trade. Will not be populated if contra order i anonymou. 34

35 Nadaq Canada FIX 4.2 Application Note June 28, 218 Tag Field Name Re q d Comment 382 NoContraBroker Y Number of broker on the oppoite ide of a trade, alway et to 1. Will not be populated if contra order i anonymou. 675 UMIRAccountType Y Required for Canadian regulatory reporting. CL=Client (Default) NC=Non-Client ST=Specialit IN=Inventory OF = Option firm account OT = Option market maker BU = Bundled Note: If unpecified, Default i applied 6751 UMIRUerID Y Required for Canadian regulatory reporting, the trading ytem uer ID for the trader Jitney N To mark an order a being executed on behalf of another broker: TSX Broker Number, 3 digit numeric Anonymou N Whether the TSX Broker Number hould be hidden on the order book and execution. Y = Ye N = No (Default) 6763 UMIRRegulationID N Identification marker for UMIR-pecific deignation to order and trade. IA = Inider Account NA = Not Applicable SS = Significant Shareholder 6774 BrokerNumber N TSX Broker Number, 3 digit numeric. (Drop copy only) 6776 PrincipalTrade N A principal tranaction between a dealer and a dealer cutomer account. Y = Ye 6777 WahTrade N A trade that ha occurred between proprietary account of the ame member firm. Y = Ye 6791 Bypa N Will be returned if upplied in original New Order Single meage ShortMarkingExempt N Will be returned if upplied in original New Order Single meage SeekPriceImprovement N 1 = Trade with price improving hidden order 35

36 Nadaq Canada FIX 4.2 Application Note June 28, 218 Tag Field Name Re q d Comment 7733 ExecuteMatch N Trade matched and uppreed due to no elf-trade. Y = Ye 7737 POComment N A free-form, pa-through tag provided for ue by Participant. Maximum of 32 character BrokerPref N Trade matched due to broker preferencing. Y = Ye 9688 OrigSendercompID N SenderCompID of the original order entry eion. (Drop copy only) 9882 TradeLiquidityIndicator N Value upported by Nadaq Canada: A = Order added liquidity R = Order removed liquidity a = Order added hidden liquidity r = Order removed hidden liquidity d = Order added hidden liquidity at-the-touch D = Order removed hidden liquidity at-the-touch C = Market On Cloe S = Diplayed, liquidity-adding order improve the NBBO Unupported FIX Meage Nadaq Canada doe not upport the following FIX meage type: Allocation and Allocation ACK meage Quote Requet and Quote meage Advertiement, and New meage Order Lit, Order Statu Lit Cancel, Lit Execute and Lit Statu 5.3 Cro Tag Field Name Req d Comment 36

37 Nadaq Canada FIX 4.2 Application Note June 28, 218 Tag Field Name Req d Comment 11 ClOrdID Y Mut be unique for each order throughout the trading day, acro all tock and ide from the ame FIX Seion ID. 18 ExecInt N f = DAO 21 HandlInt Y Intruction for order handling on Nadaq Canada trading ytem. Value upported by Nadaq Canada: 1 = Automated execution order, private, no Broker intervention. 38 Order Y Quantity of order. NOTE: All other value will be modified to 1. 4 OrdType Y Value upported by Nadaq Canada for Croe: 2 = Limit 44 Price N Required for limit order. 54 Side Y Value upported by Nadaq Canada for Croe: 8 = Cro 9 = Cro Short 55 Symbol Y Local/ exchange ymbol only 57 TargetSubid N Indicate how the order hould be routed: CHIX CX2 CXD Smart Order Router (SOR) Strategie: Value will be provided by Nadaq CXC Operation following certification. A valid value i required in either TargetSubid (57) or ExDetination (1) 59 TimeInForce N Abence of thi field indicate a day order. Value upported by Nadaq Canada for Croe: = Day 6 TranactTime Y Time thi order requet wa initiated by client. 37

38 Nadaq Canada FIX 4.2 Application Note June 28, 218 Tag Field Name Req d Comment 63 SettlType N Settlement term of the order: 1 = Cah (T+) 2 = Next Day (T+1) 6 = Future (ued in combination with SettlDate (64)) 64 SettlDate N Specific date of trade ettlement in YYYYMMDD format. Thi field i required if the value of SettlType (63) i 6. 1 ExDetination N Indicate how the order hould be routed: CHIX CX2 CXD Smart Order Router (SOR) Strategie: Value will be provided by Nadaq Canada Operation following certification. A valid value i required in either TargetSubid (57) or ExDetination (1) 6751 UMIRUerID Y Required for Canadian regulatory reporting, the trading ytem uer ID for the trader BaketTrade N Identification for order a part of a baket trade: N=No (Default) 1*5Digit=Baket Number 6755 ProgramTrade N An order that i part of a baket trade compried of Index ecuritie to offet a future or option poition. Y=Ye N=No (Default) 6761 Anonymou N Whether the execution hould hide the TSX Broker Number. Y = Ye N = No (Default) 38

39 Nadaq Canada FIX 4.2 Application Note June 28, 218 Tag Field Name Req d Comment 6767 CHIXBuyAccountType Y Required for Canadian regulatory reporting. CL = Client (Default) NC = Non-Client ST = Specialit IN = Inventory OF = Option firm account OT = Option market maker BU = Bundled Note: If unpecified, Default i applied 6768 CHIXSellAccountType Y Required for Canadian regulatory reporting. CL = Client (Default) NC = Non-Client ST = Specialit IN = Inventory OF = Option firm account OT = Option market maker BU = Bundled Note: If unpecified, Default i applied 6769 CHIXBuyAccountID N Identifie the trading account on the Buy ide of the Cro. 677 CHIXSellAccountID N Identifie the trading account on the Sell ide of the Cro CHIXBuyRegulationID N Identification marker for UMIR-pecific deignation to order and trade. IA=Inider Account NA=Not Applicable SS=Significant Shareholder 6772 CHIXSellRegulationID N Identification marker for UMIR-pecific deignation to order and trade. IA = Inider Account NA = Not Applicable SS = Significant Shareholder 39