Direct Edge Portal^sm

FIX Application Programming Interface (API) Specification

Date: 11/26/2008

Version: 2.37

This document contains information proprietary to Direct Edge ECN LLC  and may not be reproduced, disclosed or used in whole or part without the express written consent of the Direct Edge ECN LLC.

© Direct Edge ECN LLC 2008

Table Of Contents

1.0 Data 3

1.1 General Criteria – Used in ALL FIX Messages 3

1.2 Message Types 3

1.3 Data Types – Used in All FIX Messages 3

2.0 General FIX Message Structure 4

2.1 Standard Header 4

2.2 Standard Trailer 4

3.0 Administrative Messages 5

3.1 Logon - From Client 5

3.2 Logon - Response From Direct Edge ECN^sm 5

3.3 HeartBeat - From Direct Edge ECN^sm and Client 5

3.4 TestRequest - From Direct Edge ECN^sm and Client 5

3.5 Resend - From Direct Edge ECN^sm and Client 6

3.6 Reject - From Direct Edge ECN^sm and Client 6

3.7 SequenceReset/GapFill - From Direct Edge ECN^sm and Client 6

3.8 Logout - From Direct Edge ECN^sm and Client 6

4.0 Order Entry Messages 7

4.1 New Order Single - From Client 7

4.2 Execution Report – GENERIC EXECUTION REPORT From Direct Edge ECN^sm 9

4.3 Execution Report - New Order or Cancel/Replace - From Direct Edge ECN^sm 11

4.4 Execution Report - Filling Status From Direct Edge ECN^sm 12

4.5 Execution Report - Order Status from Direct Edge ECN^sm 13

5.0 Order Cancel Messages 14

5.1 Order Cancel – From Client 14

5.2 Order Cancel Replace Request – From Client 14

5.3 Order Cancel Reject - From Direct Edge ECN^sm 14

6.0 Operational Sequence 16

6.1 Logon Process 16

6.2 Regular FIX Communications 16

6.3 Logout Process 16

6.4 Order Placement 17

6.5 Cancel / Replace Logic 17

6.6 NYSE and AMEX Listed Symbol Suffixes 18

7.0 Revision Changes 19

The most recent version of this API may be obtained on the Direct Edge ECN^sm Website:

http://www.directedgeecn.com

The Direct Edge ECN uses the FIX 4.2 protocol:

http://www.fixprotocol.org

The ECN website contains a complete overview of ECN Certification process.  Direct Edge ECN^sm Certification Procedures are available online in the same section as the Direct Edge ECN^sm Portal API.

1.0 Data

1.1 General Criteria – Used in ALL FIX Messages

1. EDGA/ EDGX are insensitive to the client’s field orderings, except where dictated by the FIX Standard Header and Standard Trailer (see next Section).

2. EDGA / EDGX will order the FIX fields within the message in ascending order, except for the header and trailer.

1.2 Message Types

The Following FIX messages are understood by the system

0 = HeartBeat

1 = TestRequest

2 = ResendRequest

3 = Reject

4 = SequenceReset

5 = Logout

8 = ExecutionReport

9 = OrderCancelReject

A = Logon

D = NewOrderSingle

F = OrderCancelRequest
G = OrderCancelReplaceRequest

H = OrderStatusRequest

1.3 Data Types – Used in All FIX Messages

Type	Format	Example
Int	Integer	99999
Float	Numeric digits with optional decimal point and sign character.  Accommodate at least 15 significant digits. Price restrictions are: Minimum Price Variant of 0.01 or 0.0001 (See RegNMS  pricing).  Quotes are rounded down or up for buys and sells respectively to the NASDAQ MPV of 0.01.  Maximum Price is 99999.00.  Minimum Price is 0.01 or 0.0001 (See RegNMS Pricing)	-2000.000000 -2000 -2000.
Qty	Quantity: see float (0 < Qty < 2,147,483,647)
Price	Price: see float (0 < Price < 99,999.00)
Price Offset	Price Offset: see float
Amt	Amount: see float
Char	Single Character.
Boolean	Single Character ‘Y’ or ‘N’
String	Case Sensitive Alphanumeric characters with no terminating character	EDGA / EDGX ZXZZT
UTC Date/Time	GMT Date/Time: YYYYMMDD-HH:MM:SS GMT Date/Time: YYYYMMDD-HH:MM:SS.sss	20011231-22:30:00 20011231-22:30:00.015
UTC Date	GMT Date: YYYYMMDD	20011231
UTC Time	GMT Time: HH:MM:SS	22:30:00

2.0 General FIX Message Structure

The Standard Header and Standard Trailer are required on all FIX messages.  MsgType (FIX 35) is part of the header.  These fields are REQUIRED to be in this order on the header and trailer.

2.1 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 8 = ExecutionReport 9 = OrderCancelReject A = Logon D = NewOrderSingle F = OrderCancelRequest G = OrderCancelReplaceRequest H = OrderStatusRequest
49	SenderCompID	MMID, EDGA / EDGX	Sender Company ID (MMID of message sender)
56	TargetCompID	EDGA / EDGX, MMID	Target Company ID (MMID of message receiver)
34	MsgSeqNum		Message Sequence Number (Resets to 1 at the start of each trading day)
115*	OnBehalfOfCompID	MMID	“On Behalf Of” Company MMID (required from Service Bureau Client.  MMID of original client)
128*	DeliverToCompID	MMID	“Deliver To” Company MMID (sent by DIRECT EDGE to Service Bureau, MMID of original client)
50*	SenderSubID	MMID1	Sender Sub ID (required from client only on Logon Messages)
57*	TargetSubID	MMID1	Target Sub ID (sent by DIRECT EDGE on Logon Response Messages)
43*	PossDupFlag		Indicates possible retransmission of this seq num.  43=N is the default if field is omitted, and 43=N should not be sent on all messages.
97*	PossResend		Indicates possible retransmission of msg under a New sequence number.  97=N is the default if filed is omitted, and 97=N should not be sent on all messages.
52	SendingTime		GMT Date/Time Message was sent

2.2 Standard Trailer

TAG	FieldName		Contents	Comments
10		CheckSum			Integer byte count of message length without the CheckSum field

* = Optional.

3.0 Administrative Messages

3.1 Logon - From Client

TAG	FieldName	Contents	Comments
35	MsgType	A	(Contained in header)
95	RawDataLength	String[20]	Length of RawData
96	RawData	Password	Password for username SenderSubID
98	EncryptMethod	0	None
108	HeartBtInt		Client Hearbeat Interval (In seconds)

3.2 Logon - Response From Direct Edge ECN^sm

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.

3.3 HeartBeat - From Direct Edge ECN^sm and Client

TAG	FieldName	Contents	Comments
35	MsgType	0	(Contained in header)
112*	TestReqID		Required in response to a Test Request

3.4 TestRequest - From Direct Edge ECN^sm and Client

TAG	FieldName	Contents	Comments
35	MsgType	1	(Contained in header)
112	TestReqID		Auto-Generated Request ID

* = Optional.   

3.5 Resend - From Direct Edge ECN^sm and Client

TAG	FieldName	Contents	Comments
35	MsgType	2	(Contained in header)
7	BeginSeqNo
16	EndSeqNo		0 means +infinity

3.6 Reject - From Direct Edge ECN^sm and Client

TAG	FieldName	Contents	Comments
35	MsgType	3	(Contained in header)
45	RefSeqNum		MsgSeqNo of Rejected Message
371*	RefTagID
372*	RefMsgType
373*	Sess