Standard Header
|
TAG |
FieldName |
Contents |
Comments |
|
8 |
BeginString |
FIX.4.2(.X) |
Protocol Version, X is the ECN version number. The “.X” portion is optional and may be altered. Only on the “FIX.4.2” string should be depended upon. |
|
9 |
BodyLength |
99999 |
Length of Message Body |
|
35 |
MsgType |
Accepted Message Types |
0 = HeartBeat 1 = TestRequest 2 = ResendRequest 3 = Reject 4 = SequenceReset 5 = Logout 6 = Indication of Interest 8 = ExecutionReport A = Logon D = NewOrderSingle
|
|
34 |
MsgSeqNum |
|
Message Sequence Number (Resets to 1 at the start of each trading day) |
|
49 |
SenderCompID |
MMID, EDGX |
Sender Company ID (MMID of message sender) |
|
56 |
TargetCompID |
EDGX, MMID |
Target Company ID (MMID of message receiver) |
|
43* |
PossDupFlag |
|
Indicates possible retransmission of this seq num |
|
97* |
PossResend |
|
Indicates possible retransmission of msg under a New sequence number |
|
52 |
SendingTime |
|
GMT Date/Time Message was sent |
Standard Trailer
|
TAG |
FieldName |
Contents |
Comments |
|||
|
10 |
CheckSum |
|
Integer byte count of message length without the CheckSum field |
|||
Logon – From Client
|
TAG |
FieldName |
Contents |
Comments |
|
35 |
MsgType |
A |
(Contained in header) |
|
95 |
RawDataLength |
|
Length of RawData |
|
96 |
RawData |
Password |
Password for username SenderSubID |
|
98 |
EncryptMethod |
0 |
None |
|
108 |
HeartBtInt |
|
Client Hearbeat Interval (In seconds) |
Logon – Response From Direct Edge ECN
|
TAG |
FieldName |
Contents |
Comments |
|
35 |
MsgType |
A |
(Contained in header) |
|
98 |
EncryptMethod |
0 |
None |
|
108 |
HeartBtInt |
60 |
Direct Edge ECN Heartbeat Interval is 60 seconds. Clients should use a 60 second Heartbeat Interval. |
HeartBeat – From Client and Direct Edge ECN
|
TAG |
FieldName |
Contents |
Comments |
|
35 |
MsgType |
0 |
(Contained in header) |
|
112* |
TestReqID |
|
Required in response to a Test Request |
* = optional
Test Request – From Client and Direct Edge ECN
|
TAG |
FieldName |
Contents |
Comments |
|
35 |
MsgType |
1 |
(Contained in header) |
|
112 |
TestReqID |
|
Auto-Generated Request ID |
Resend – From Client and Direct Edge ECN
|
TAG |
FieldName |
Contents |
Comments |
|
35 |
MsgType |
2 |
(Contained in header) |
|
7 |
BeginSeqNo |
|
|
|
16 |
EndSeqNo |
|
0 means +infinity |
Reject – From Client and Direct Edge ECN
|
TAG |
FieldName |
Contents |
Comments |
|
35 |
MsgType |
3 |
(Contained in header) |
|
45 |
RefSeqNum |
|
MsgSeqNo of Rejected Message |
|
371* |
RefTagID |
|
|
|
372* |
RefMsgType |
|
|
|
373* |
SessionRejectReason |
|
|
|
58* |
Text |
|
|
Sequence Reset / Gap Fill – From Client and Direct Edge ECN
|
TAG |
FieldName |
Contents |
Comments |
|
35 |
MsgType |
4 |
(Contained in header) |
|
36 |
NewSeqNo |
|
Next expected Sequence Number |
|
123* |
GapFillFlag |
‘Y’ or ‘N’ (‘Y’ is required) |
The use of ‘Y’ is required for common resequencing. ‘N’ is not recommended, and should only be used in emergency situations that require manual intervention. ‘N’ causes the SeqNo of the SequenceReset message to be ignored, creating a high possibility of message loss. |
Logout – From Client and Direct Edge ECN
|
TAG |
FieldName |
Contents |
Comments |
|
35 |
MsgType |
5 |
(Contained in header) |
|
58* |
Text |
|
Indicates reason for logout |
* = optional
Indication of Interest – From Direct Edge ECN
|
TAG |
FieldName |
Contents |
Comments |
|
35 |
MsgType |
6 |
(Contained in header) |
|
23
|
IOIId
|
|
Indication of Interest ID Alphanumeric and Unique within a trading day. |
|
28 |
IOI TransType |
N |
New |
|
21 |
HandlInst |
1 |
Private AutoEx |
|
25 |
H |
|
|
|
44 |
Price |
|
See Data Types for Maximum Precision |
|
38 |
OrderQty |
|
# of Shares |
|
54 |
Side |
|
1 = Buy 2 = Sell |
|
55 |
Symbol |
|
Valid Ticker Symbol |
|
65* |
SymbolSfx |
|
Valid Ticker Suffix |
|
40 |
OrdType |
|
2 = Limit |
|
59 |
TimeInForce |
|
3 = Immediate Or Cancel |
|
110* |
MinQty |
|
Minimum quantity of an order to be executed. Orders that are bellow this qty will be rejected. |
|
167 |
Security Type |
CS |
Common Stock |
|
58* |
Text |
|
Comments field. 40 chars maximum length |
* = Optional
New Order Single – From Client
|
TAG |
FieldName |
Contents |
Comments |
|
35 |
MsgType |
D |
(Contained in header) |
|
11
|
ClOrdID
|
Client ID |
Client Order ID Alphanumeric and Unique within a trading day. 20 chars maximum length. |
|
23 |
IOIId |
|
Indication of Interest ID |
|
21 |
HandlInst |
1 |
Private AutoEx |
|
38 |
OrderQty |
|
# of shares. 0 = Do not want shares |
|
44 |
Price |
|
See Data Types for Maximum Precision |
|
54 |
Side |
|
1 = Buy 2 = Sell 5 = Sell Short 6 = Sell Short Exempt |
|
55 |
Symbol |
|
Valid Ticker Symbol |
|
65* |
SymbolSfx |
|
Valid Ticker Suffix |
|
40 |
OrdType |
|
2 = Limit |
|
59 |
TimeInForce |
|
3 = Immediate or Cancel 4 = Fill or Kill |
|
60 |
TransactTime |
|
Time Order was Initiated |
|
58* |
Text |
|
Comments field. 40 chars maximum length |
* = Optional
Execution Report – Generic - From Direct Edge ECN
All possible fields that could be sent to the Client in an Execution Report. Not all fields are sent on all messages. Extra fields on all FIX messages should be ignored. The presence of fields beyond this API should not cause message rejects. New fields may be added to the API, and unnecessary fields may be removed from the API.
|
TAG |
FieldName |
Contents |
Comments |
|
35 |
MsgType |
8 |
(Contained in header) |
|
11 |
ClOrdID |
Client ID |
See “4.1 New Order Single” for specs. |
|
37 |
OrderID |
ClOrdId |
Will currently contain same values as ClOrdID. May change in future. |
|
17 |
ExecID |
Execution ID |
21 chars maximum length. “None” on an Execution Report for a new order. |
|
20 |
ExecTransType |
Execution Report Type |
0 = New |
|
150 |
ExecType |
Execution Type |
0 = New 1 = Partial Fill 2 = Fill |
|
39 |
OrdStatus |
Current Order Status |
1 = Partially Filled 2 = Filled 8 = Rejected
|
|
23 |
IOIId |
|
Indication of Interest ID |
|
1* |
Account |
Account ID |
Sent by client, and returned to client on all Execution reports for this order. See “4.1 Execution Report” for specs. |
|
55 |
Symbol |
|
Valid Ticker Symbol |
|
65* |
SymbolSfx |
|
Valid Ticker Suffix |
|
54 |
Side |
|
1 = Buy 2 = Sell 5 = Sell Short 6 = Sell Short Exempt |
|
38 |
OrderQty |
|
Order Quantity |
|
40 |
OrdType |
2 |
2 = Limit |
|
44 |
Price |
|
Limit Price specified |
|
59
|
TimeInForce
|
|
3 = Immediate Or Cancel 4 = Fill or Kill |
|
32 |
LastShares |
ExeQty |
Executed Shares or Cancelled Shares |
|
31 |
LastPx |
ExePrice |
Executed Price |
|
58 |
Text |
|
Rejection reason |
|
60 |
TransactTime |
|
Time Order was Initiated |
* = Optional.
Execution Report – Fills – From Direct Edge ECN
|
TAG |
FieldName |
Contents |
Comments |
|
|
35 |
MsgType |
8 |
(Contained in header) |
|
|
11 |
ClOrdID |
Client ID |
See “4.1 New Order Single” for specs.
|
|
|
37 |
OrderID |
|
See “4.2 Execution Report” for specs. |
|
|
17 |
ExecID |
Execution ID |
See “4.2 Execution Report” for specs. |
|
|
20 |
ExecTransType |
0 |
0 = New |
|
|
150 |
ExecType |
Execution Type |
1 = Partial Fill 2 = Fill
|
|
|
39 |
OrdStatus |
Current Order Status |
1 = Partially Filled 2 = Filled 8 = Rejected |
|
|
1* |
Account |
Account ID |
Sent by client, and returned to client on all Execution reports for this order. 20 chars maximum length. |
|