Trade
Summary
List of message supported on the trade connection
- New Order Single (Client → TDX)
- Order Cancel Request (Client → TDX)
- Execution Report (Client ← TDX)
- Order Cancel Reject (Client ← TDX)
New Order Single
| Tag | Field name | Req'd | Data Type | Comments |
|---|---|---|---|---|
| Standard Header | Y | MsgType = D | ||
| 11 | ClOrdID | Y | String | Must be unique identifier sent by the client. Used for response |
| 1 | Account | Y | String | Provided by TDX |
| 526 | EndClientIdentifier | N | For institutional clients that don't segregate assets account but need trading alerts detection on end client performed by TDX. (Need to be enabled beforehand). Must be an unique ID per end client. Must be anonymized (non-PII). | |
| 54 | Side | Y | Char | Side of order in reference to the dealt assets (tag 15). Valid values: 1 = Buy 2 = Sell |
| 55 | Symbol | Y | String | Symbol to trade on |
| 38 | OrderQty | Y | Qty | The amount for the order of the specified asset (tag 15) |
| 40 | OrdType | Y | Char | Type of order. Valid values: 1 = Market 2 = Limit |
| 44 | Price | C | Price | Required for limit orders |
| 110 | MinQty | N | Qty | Minimum accepted fill size. Defaults to 0. |
| 59 | TimeInForce | N | Char | How long the order remains in effect. Valid values: 0 = Day (default for limit orders) 1 = Good till cancel 5 = Immediate or cancel (default for market orders) |
| 60 | TransactTime | Y | UTCTimestamp | Time this order was initiated/released by the client trading system |
| 376 | ComplianceID | N | String | ID used to represent this transaction for compliance purposes. Evt. provided by TDX |
| 528 | OrderCapacity | N | Char | Designates the capacity of the firm placing the order. Valid Values: A = Agency G = Proprietary I = Individual P = Principal (Note for CMS purposes, Principal includes Proprietary) R = Riskless Principal W = Agent for Other Member |
| 529 | OrderRestrictions | N | MultipleValueString | Restrictions associated with an order. If more than one restriction is applicable to an order, this field can contain multiple instructions separated by space. Valid values: 1 = Program Trade 2 = Index Arbitrage 3 = Non-Index Arbitrage 4 = Competing Market Maker 5 = Acting as Market Maker or Specialist in the security 6 = Acting as Market Maker or Specialist in the underlying security of a derivative security 7 = Foreign Entity (of foreign government or regulatory jurisdiction) 8 = External Market Participant 9 = External Inter-connected Market Linkage A = Riskless Arbitrage |
| Standard Trailer | Y |
Order Cancel Request
Used to cancel an order. An order already partially filed will have the remaining quantity canceled.
| Tag | Field name | Req'd | Data Type | Comments |
|---|---|---|---|---|
| Standard Header | Y | MsgType = F | ||
| 11 | ClOrdID | Y | String | Must be unique identifier sent by the client. Used for response |
| 41 | OrigClOrdID | Y | String | ClOrdID of the order to be replaced. This should be the id of the most recent revision where order has already been amended. |
| 55 | Symbol | Y | String | Symbol of the order to cancel |
| 54 | Side | Y | Char | Side of order to cancel |
| 38 | OrderQty | Y | Qty | Ignored (required by FIX) |
| 60 | TransactTime | Y | UTCTimestamp | Time this cancel request was initiated/released by the client trading system |
| Standard Trailer | Y |
Execution Report
| Tag | Field name | Req'd | Data Type | Comments |
|---|---|---|---|---|
| Standard Header | Y | MsgType = 9 | ||
| 37 | OrderID | Y | String | Unique identifier defined by TDX. Unique and unchanged for this chain of order (the initial execution report and all the following execution report from regarding a status update or the order eventual modification / cancellation) |
| 11 | ClOrdID | Y | String | Must be the unique identifier sent by the client. Used for response |
| 54 | Side | Y | Char | Side of the order |
| 55 | Symbol | Y | String | Symbol |
| 38 | OrderQty | Y | Qty | Quantity ordered |
| 40 | OrdType | Y | Char | Type of order |
| 44 | Price | C | Price | Price at which the client wants to buy/sell. Only if OrdType = 40 (limit). |
| 110 | MinQty | N | Qty | Minimum quantity ordered by the client |
| 150 | ExecType | Y | Char | The execution report’s type. Valid values: 0 = New 3 = Done 4 = Cancelled 5 = Replaced 8 = Rejected C = Expired F = Trade (Partial Fill or Fill) |
| 39 | OrdStatus | Y | Char | Current order state. Valid values: 0 = New 1 = Partially filled 2 = Filled 4 = Cancelled 8 = Rejected C = Expired |
| 32 | LastQty | C | Quantity | Quantity bought/sold on the last fill. Only when ExecType = F (trade). |
| 31 | LastPx | C | Price | Price of this last fill. Only when ExecType = F (trade). |
| 151 | LeavesQty | C | Quantity | Remaining quantity open for execution |
| 14 | CumQty | C | Quantity | Sum of executed quantities for this chain of fills for the same order. Only set when ExecType = F (trade) |
| 6 | AvgPx | C | Price | Average price of the chain of fills weighted by quantity. Only set when ExecType = F (trade) |
| 60 | TransactTime | Y | UTCTimestamp | Time this cancel request was initiated/released by the client trading system |
| 58 | Text | C | String | Will contain the reason if a rejection occurred |
| Standard Trailer | Y |
Order Cancel Reject
| Tag | Field name | Req'd | Data Type | Comments |
|---|---|---|---|---|
| Standard Header | Y | MsgType = 8 | ||
| 37 | OrderID | Y | String | Unique identifier defined by TDX. Unique and unchanged for this chain of order (the initial execution report and all the following execution report from regarding a status update or the order eventual modification / cancellation) |
| 11 | ClOrdID | Y | String | Must be the unique identifier sent by the client. Used for response |
| 41 | OrigClOrdID | Y | String | ClOrdID of the Order that could not be cancelled |
| 39 | OrdStatus | Y | Char | Current order state. Valid values: 0 = New 1 = Partially filled 2 = Filled 3 = Done for the day 4 = Cancelled 6 = Pending cancel 8 = Rejected C = Expired |
| 58 | Text | Y | String | Will contain the reason |
| Standard Trailer | Y |
Updated about 1 year ago