A Trader's Guide to the FIX Protocol

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35 Message Type (MsgType) FIX has numerous messages for different purposes: ie for sending an order, requesting order status etc This field exists in every message and identifies the type of message General / Common 1 Account (Account) Field used for account mnemonic Its identification source is mutually agreed between the counterparties 660 Account ID Source (AccountIDSource) Introduced in FIX 44, this field is used to identify the source of Account (1) code Possible values for source can be BIC, OMGEO, DTCC code, TFM or SID code 581 Account Type (AccountType) Used to identify the type of account (eg house trader, floor trader, joint back office account) 58 Text (Text) 22 Security ID Source (SecurityIDSource) General purpose text tag which exists in most messages Can be used to pass human readable information between counterparties Security Identification Indicates the source database which will be used for identifying securities For example: 22=1 means CUSIP, 22=4 means ISIN 48 Security ID (SecurityID) Identification of the security as defined in source database indicated in field 22 55 Symbol (Symbol) In older FIX implementations, source database for security identification is implicitly identified in Rules of Engagement document and identification put in field 55 107 Security Description (SecurityDesc) Human-readable description about the security which can be helpful in manual trader-assisted orders 207 Security Exchange (SecurityExchange) MIC of the market which was used to identify security Useful when security IDs are not universally unique 167 Security Type (SecurityType) Indicates the type of security (eg common or preferred stock, CFI code for futures product) Order and Venue Identification

11 Client Order ID (ClOrdID) Order ID assigned by buy-side system is carried as a value of tag 11 in trading messages 37 Order ID (OrderID) Order ID assigned by sell-side / broker system is carried as a value of tag 37 in trading messages 41 Original Client Order ID (OrigClOrdID) Order modification and cancel requests have new Client Order ID in tag 11 and in these messages existing order is identified by the value provided in tag 41 100 Execution Destination (ExDestination) Contains MIC of the execution venue where the order originator wants it to be executed 30 Last Market (LastMkt) Market where the last fill on order executed Indicates where the order was routed to by the broker 39 Order Status (OrdStatus) Identifies the current status of the order (eg New, Partially Filled, Filled, Cancelled, Rejected) 851 38 Last Liquidity Indicator (LastLiquidityInd) Order Quantity (OrderQty) Indicator to identify whether current fill was a result of a liquidity provider providing or liquidity taker taking the liquidity Applicable only for OrdStatus of Partial or Filled Quantities and Prices In trading messages, value of field 38 indicates the units of security being bought or sold 152 516 32 151 Cash Order Quantity (CashOrdQty) Percentage Order Quantity (OrderPercent) Last Quantity (LastQty) Leaves Quantity (LeavesQty) Used to specify order quantity in cash instead of units Value is the amount in underlying currency Introduced in FIX 43, this field is used to specify the order quantity in percentage (eg for Collective Investment Vehicles) Quantity of shares bought or sold in the last fill Number of shares open for execution in the current order

14 424 425 Cumulative Quantity (CumQty) Day Order Quantity (DayOrdQty) Number of total shares bought or sold in the current order For Good Till Date orders, order quantity open for execution on a day Applicable for days after the first one It is the OrderQty (38) less all quantity (adjusted for stock splits) that traded on previous days DayOrderQty (424) = OrderQty (38) [CumQty (14) DayCumQty (425)] Day Cumulative Quantity (DayCumQty) For Good Till Date orders, number of shares traded today 44 Price (Price) Price per unit of quantity Required for limit orders 31 Last Price (LastPx) Price at which quanity in last fill executed 6 Average Price (AvgPx) Broker calculated average price of all fills on the current order 140 Previous Close Price (PrevClosePx) Closing price of security on previous day Useful for identifying security 99 Stop Price (StopPx) Indicates the stop price of appropriate order types Required for order type Stop or Stop Limit 426 Day Average Price (DayAvgPx) For Good Till Date order, average price of the quantity filled today 15 Currency (Currency) Currency in which price information of an order is provided Usually it is trade currency of the security but can also be different 120 Settlement Currency (SettlCurrency) Required if order is to be settled in different currency than trade currency This is indicated with 121=Y (ForexReqd) 639 Price Improvement (PriceImprovement) Introduced in FIX 43 Amount of price improvement achieved by the broker and reported to the buy-side in execution reports Execution Management

40 Order Type (OrdType) s use this field to indicate the order type in order messages For example: 40=1 is market order, 40=2 is a limit order 21 Handling Instruction (HandlInst) s use this field to indicate how the order should be executed by the broker For example: 21=1 means automatic execution while 21=3 means manual execution 54 Side (Side) Identifies if the order is for buying or selling (long or short) For example: 54=1 is Buy (Long), and 54=2 is Sell (Short) 111 Max Floor (MaxFloor) Maximum quantity from total order quantity to be shown on exchange floor at any given time 210 Max Show (MaxShow) Maximum quantity from total order quantity to be shown to other customers (eg by sending an IOI) 18 Execution Instruction (ExecInst) Instructions for order handling on exchange floor Can contain multiple instructions For example: No held, Work, Go along, Stay on bidside, All or none, Cancel on trading halt etc 110 114 Minimum Quantity (MinQty) Locate Required (LocateReqd) Minimum quantity of an order to be executed For short sell orders Indicates if broker is required to locate the stock 847 848 849 Target Strategy (TargetStrategy) Parameters for Target Strategy (TargetStrategyParam eters) Participation Rate (ParticipationRate) If order is for a strategy, the type of stratey (eg VWAP) Fields for the target strategy Mutually agreed between the counter-parties Required when TargetStrategy=Participate Used to indicate the participation rate 636 Working Indicator (WorkingIndicator) Sent by the broker in execution report to indicate if the order is currently being worked on, or not

103 Order Reject Reason (OrdRejReason) Indicates the reason of order rejection by broker (eg Unknown symbol, Order exceeds limit, Duplicate order, Stale order etc) 102 60 Cancel Reject Reason (CxlRejReason) Transact Time (TransactTime) Indicates the reason for rejection of an order modification or cancel request (eg Too late to cancel, Unknown order, Order in pending state, Duplicate ClOrderID etc) Date & Time Time in UTC when the trading instruction (ie new order, order cancel etc) was created in the trading system, or when a fill happened 59 Time In Force (TimeInForce) Specified how long an order remains active Absence of this field in an order implies a day order TIF can be Day, Good Till Cancel, Immediate Or Cancel, Fill Or Kill, Good Till Date etc 168 432 126 75 Effective Time (EffectiveTime) Expiration Date (ExpireDate) Expire Time (ExpireTime) Trade Date (TradeDate) Time in UTC when the instructions provided in the FIX message take effect Date when an order expires Always local date (not UTC) Time/Date of order expiration in UTC The meaning of expiration is specific to the context where the field is used For orders, this is the expiration time of a Good Til Date TimeInForce For Quotes - this is the expiration of the quote Used when a broker is reporting trades for a day other than the current day trades 64 Settlement Date (SettlDate) Date of trade settlement expressed in YYYYMMDD format Parties in Trade 29 Last Capacity (LastCapacity) Capacity in which broker executed the order (eg Agent, Cross as agent, Cross as principal, Principal) 76 Executing Broker (ExecBroker) Identified Executing / Give Up broker Deprecated in FIX 43

528 Order Capacity (OrderCapacity) Introduced in FIX 43 Indicates the capacity of the firm placing order (eg Agency, Proprietary, Individual, Principal, and an Agent) Used in conjunction with 529 (OrderRestrictions) 529 Order Restrictions (OrderRestrictions) Introduced in FIX 43 Indicates the restrictions which are associated with the order (eg Program order, Foreign entity, Market maker/specialist etc) 447 Party ID Source (PartyIDSource) Introduced in FIX 43 and part of Parties component Identifies class or source of Party ID (448) eg BIC, ISO country code, investor ID etc 448 Party ID (PartyID) 452 Party Role (PartyRole) 523 Party Sub ID (PartySubID) Introduced in FIX 43 and part of Parties component Indicates Party ID according to source indicated in PartyIDSource (447) Introduced in FIX 43 and part of Parties component Indentifies the type or role of the party identified with PartyID (448) eg Executing firm, Broker of credit, Clearing firm, Investor ID, Introducing firm, etc Introduced in FIX 43 and part of Parties component Sub-identifier (eg Clearing Account for PartyRole (452)=Clearing Firm, Locate ID for PartyRole=Locate/Lending Firm, etc) 803 Party Sub ID Type (PartySubIDType) Introduced in FIX 43 and part of Parties component Indicates type of PartySubID eg Firm, Person, System, Application, Email address, Phone number etc Miscellaneous 468 Rounding Direction (RoundingDirection) Specifies how calculated values like AvgPX should be rounded Can either be Round to nearest, Round down, or Round up