Orchimate 1.5.0 /

FIX4.2

Account mnemonic as agreed between broker and institution.

Unique identifier of advertisement message.

(Prior to FIX 4.1 this field was of type int)

Reference identifier used with CANCEL and REPLACE transaction types.

(Prior to FIX 4.1 this field was of type int)

Broker's side of advertised trade

Valid values:
B = Buy
S = Sell
X = Cross
T = Trade

Identifies advertisement message transaction type

Valid values:
N = New
C = Cancel
R = Replace

Calculated average price of all fills on this order.

Message sequence number of first message in range to be resent

Identifies beginning of new message and protocol version. ALWAYS FIRST FIELD IN MESSAGE. (Always unencrypted)

Valid values:
FIX.4.2

Message length, in bytes, forward to the CheckSum field. ALWAYS SECOND FIELD IN MESSAGE. (Always unencrypted)

Three byte, simple checksum (see Appendix B: CheckSum Calculation for description). ALWAYS LAST FIELD IN MESSAGE; i.e. serves, with the trailing <SOH>, as the end-of-message delimiter. Always defined as three characters. (Always unencrypted)

Unique identifier for Order as assigned by institution. Uniqueness must be guaranteed within a single trading day. Firms which electronically submit multi-day orders should consider embedding a date within the ClOrdID field to assure uniqueness across days.

Commission. Note if CommType is percentage, Commission of 5% should be represented as .05.

Commission type

Valid values:
1 = per share
2 = percentage
3 = absolute

Total number of shares filled.

(Prior to FIX 4.2 this field was of type int)

Identifies currency used for price. Absence of this field is interpreted as the default for the security. It is recommended that systems provide the currency value whenever possible. See Appendix A: Valid Currency Codes for information on obtaining valid values.

Message sequence number of last message in range to be resent. If request is for a single message BeginSeqNo = EndSeqNo. If request is for all messages subsequent to a particular message, EndSeqNo = “0” (representing infinity).

Unique identifier of execution message as assigned by broker (will be 0 (zero) for ExecTransType=3 (Status)).

Uniqueness must be guaranteed within a single trading day or the life of a multi-day order. Firms which accept multi-day orders should consider embedding a date within the ExecID field to assure uniqueness across days.

(Prior to FIX 4.1 this field was of type int)

Instructions for order handling on exchange trading floor. If more than one instruction is applicable to an order, this field can contain multiple instructions separated by space.

Valid values:
1 = Not held
2 = Work
3 = Go along
4 = Over the day
5 = Held
6 = Participate don't initiate
7 = Strict scale
8 = Try to scale
9 = Stay on bidside
0 = Stay on offerside
A = No cross (cross is forbidden)
B = OK to cross
C = Call first
D = Percent of volume (indicates that the sender does not want to be all of the volume on the floor vs. a specific percentage)
E = Do not increase - DNI
F = Do not reduce - DNR
G = All or none - AON
I = Institutions only
L = Last peg (last sale)
M = Mid-price peg (midprice of inside quote)
N = Non-negotiable
O = Opening peg
P = Market peg
R = Primary peg (primary market - buy at bid/sell at offer)
S = Suspend
T = Fixed Peg to Local best bid or offer at time of order
U = Customer Display Instruction (Rule11Ac1-1/4)
V = Netting (for Forex)
W = Peg to VWAP

Reference identifier used with Cancel and Correct transaction types.

(Prior to FIX 4.1 this field was of type int)

Identifies transaction type

Valid values:
0 = New
1 = Cancel
2 = Correct
3 = Status

Instructions for order handling on Broker trading floor

Valid values:
1 = Automated execution order, private, no Broker intervention
2 = Automated execution order, public, Broker intervention OK
3 = Manual order, best execution

Identifies class of alternative SecurityID

Valid values:
1 = CUSIP
2 = SEDOL
3 = QUIK
4 = ISIN number
5 = RIC code
6 = ISO Currency Code
7 = ISO Country Code
8 = Exchange Symbol
9 = Consolidated Tape Association (CTA) Symbol (SIAC CTS/CQS line format)

100+ are reserved for private security identifications

Unique identifier of IOI message.

(Prior to FIX 4.1 this field was of type int)

Indicates if, and on which other services, the indication has been advertised. Each character represents an additional service (e.g. if on Bridge and Autex, field = BA, if only on Autex, field = A)

Valid values:
A = Autex
B = Bridge

Relative quality of indication

Valid values:
L = Low
M = Medium
H = High

Reference identifier used with CANCEL and REPLACE, transaction types.

(Prior to FIX 4.1 this field was of type int)

Number of shares in numeric or relative size.

Valid values:
0 - 1000000000
S = Small
M = Medium
L = Large

Identifies IOI message transaction type

Valid values:
N = New
C = Cancel
R = Replace

Broker capacity in order execution

Valid values:
1 = Agent
2 = Cross as agent
3 = Cross as principal
4 = Principal

Market of execution for last fill

Valid values:
See Appendix C

Price of this (last) fill. Field not required for ExecTransType = 3 (Status)

Quantity of shares bought/sold on this (last) fill. Field not required for ExecTransType = 3 (Status)

(Prior to FIX 4.2 this field was of type int)

Identifies number of lines of text body

Integer message sequence number.

Defines message type. ALWAYS THIRD FIELD IN MESSAGE. (Always unencrypted)

Note: A “U” as the first character in the MsgType field (i.e. U1, U2, etc) indicates that the message format is privately defined between the sender and receiver.

Valid values: *** Note the use of lower case letters ***

0 = Heartbeat
1 = Test Request
2 = Resend Request
3 = Reject
4 = Sequence Reset
5 = Logout
6 = Indication of Interest
7 = Advertisement
8 = Execution Report
9 = Order Cancel Reject
A = Logon
B = News
C = Email
D = Order - Single
E = Order - List
F = Order Cancel Request
G = Order Cancel/Replace Request
H = Order Status Request
J = Allocation
K = List Cancel Request
L = List Execute
M = List Status Request
N = List Status
P = Allocation ACK
Q = Don’t Know Trade (DK)
R = Quote Request
S = Quote
T = Settlement Instructions
V = Market Data Request
W = Market Data-Snapshot/Full Refresh
X = Market Data-Incremental Refresh
Y = Market Data Request Reject
Z = Quote Cancel
a = Quote Status Request
b = Quote Acknowledgement
c = Security Definition Request
d = Security Definition
e = Security Status Request
f = Security Status
g = Trading Session Status Request
h = Trading Session Status
i = Mass Quote
j = Business Message Reject
k = Bid Request
l = Bid Response (lowercase L)
m = List Strike Price

New sequence number

Unique identifier for Order as assigned by broker. Uniqueness must be guaranteed within a single trading day. Firms which accept multi-day orders should consider embedding a date within the OrderID field to assure uniqueness across days.

Number of shares ordered

(Prior to FIX 4.2 this field was of type int)

Identifies current status of order.

Valid values:
0 = New
1 = Partially filled
2 = Filled
3 = Done for day
4 = Canceled
5 = Replaced
6 = Pending Cancel (e.g. result of Order Cancel Request)
7 = Stopped
8 = Rejected
9 = Suspended
A = Pending New
B = Calculated
C = Expired
D = Accepted for bidding
E = Pending Replace (e.g. result of Order Cancel/Replace Request)

Order type.

Valid values:
1 = Market
2 = Limit
3 = Stop
4 = Stop limit
5 = Market on close
6 = With or without
7 = Limit or better
8 = Limit with or without
9 = On basis
A = On close
B = Limit on close
C = Forex - Market
D = Previously quoted
E = Previously indicated
F = Forex - Limit
G = Forex - Swap
H = Forex - Previously Quoted
P = Pegged (requires ExecInst = L, R, M, P or O)

ClOrdID of the previous order (NOT the initial order of the day) as assigned by the institution, used to identify the previous order in cancel and cancel/replace requests.

Time of message origination (always expressed in UTC (Universal Time Coordinated, also known as “GMT”))

Indicates possible retransmission of message with this sequence number

Valid values:
Y = Possible duplicate
N = Original transmission

Price per share

Reference message sequence number

Symbol of issue related to story. Can be repeated within message to identify multiple companies.

Note that the name of this field is changing to “OrderCapacity” as Rule80A is a very US market-specific term. Other world markets need to convey similar information, however, often a subset of the US values. . See the “Rule80A (aka OrderCapacity) Usage by Market” appendix for market-specific usage of this field.

Valid values:
A = Agency single order
B = Short exempt transaction (refer to A type)
C = Program Order, non-index arb, for Member firm/org
D = Program Order, index arb, for Member firm/org
E = Registered Equity Market Maker trades
F = Short exempt transaction (refer to W type)
H = Short exempt transaction (refer to I type)
I = Individual Investor, single order
J = Program Order, index arb, for individual customer
K = Program Order, non-index arb, for individual customer
L = Short exempt transaction for member competing market-maker affiliated with the firm clearing the trade (refer to P and O types)
M = Program Order, index arb, for other member
N = Program Order, non-index arb, for other member
O = Competing dealer trades
P = Principal
R = Competing dealer trades
S = Specialist trades
T = Competing dealer trades
U = Program Order, index arb, for other agency
W = All other orders as agent for other member
X = Short exempt transaction for member competing market-maker not affiliated with the firm clearing the trade (refer to W and T types)
Y = Program Order, non-index arb, for other agency
Z = Short exempt transaction for non-member competing market-maker (refer to A and R types)

CUSIP or other alternate security identifier

Assigned value used to identify firm sending message.

Assigned value used to identify specific message originator (desk, trader, etc.)

Date of message transmission in YYMMDD format (always expressed in GMT)

Valid values:
YY = 00-99
MM = 01-12
DD = 01-31

Time of message transmission (always expressed in UTC (Universal Time Coordinated, also known as “GMT”)

Number of shares

(Prior to FIX 4.2 this field was of type int)

Side of order

Valid values:
1 = Buy
2 = Sell
3 = Buy minus
4 = Sell plus
5 = Sell short
6 = Sell short exempt
7 = Undisclosed (valid for IOI and List Order messages only)
8 = Cross (orders where counterparty is an exchange, valid for all messages except IOIs)
9 = Cross short

Ticker symbol

Assigned value used to identify receiving firm.

Assigned value used to identify specific individual or unit intended to receive message. “ADMIN” reserved for administrative messages not intended for a specific user.

Free format text string

(Note: this field does not have a specified maximum length)

Specifies how long the order remains in effect. Absence of this field is interpreted as DAY.

Valid values:
0 = Day
1 = Good Till Cancel (GTC)
2 = At the Opening (OPG)
3 = Immediate or Cancel (OC)
4 = Fill or Kill (FOK)
5 = Good Till Crossing (GTX)
6 = Good Till Date

Time of execution/order creation (expressed in UTC (Universal Time Coordinated, also known as “GMT”)

Urgency flag

Valid values:
0 = Normal
1 = Flash
2 = Background

Indicates expiration time of indication message (always expressed in UTC (Universal Time Coordinated, also known as “GMT”)

Indicates order settlement period. Absence of this field is interpreted as Regular. Regular is defined as the default settlement period for the particular security on the exchange of execution.

Valid values:
0 = Regular
1 = Cash
2 = Next Day
3 = T+2
4 = T+3
5 = T+4
6 = Future
7 = When Issued
8 = Sellers Option
9 = T+ 5

Specific date of trade settlement (SettlementDate) in YYYYMMDD format. Required when SettlmntTyp = 6 (Future) or SettlmntTyp = 8 (Sellers Option). (expressed in local time at place of settlement)

Additional information about the security (e.g. preferred, warrants, etc.). Note also see SecurityType.

Valid values:
As defined in the NYSE Stock and bond Symbol Directory and in the AMEX Fitch Directory

Unique identifier for list as assigned by institution, used to associate multiple individual orders. Uniqueness must be guaranteed within a single trading day. Firms which generate multi-day orders should consider embedding a date within the ListID field to assure uniqueness across days.

Sequence of individual order within list (i.e. ListSeqNo of ListNoOrds,2 of 25, 3 of 25, . . . )

Total number of list order entries across all messages. Should be the sum of all NoOrders in each message that has repeating list order entries related to the same ListID. Used to support fragmentation.

(Prior to FIX 4.2 this field was named “ListNoOrds”)

Free format text message containing list handling and execution instructions.

Unique identifier for allocation message.

(Prior to FIX 4.1 this field was of type int)

Identifies allocation transaction type

Valid values:
0 = New
1 = Replace
2 = Cancel
3 = Preliminary (without MiscFees and NetMoney)
4 = Calculated (includes MiscFees and NetMoney)
5 = Calculated without Preliminary (sent unsolicited by broker, includes MiscFees and NetMoney)

Reference identifier to be used with Replace and Cancel AllocTransType records.

(Prior to FIX 4.1 this field was of type int)

Indicates number of orders to be combined for average pricing and allocation.

Indicates number of decimal places to be used for average pricing. Absence of this field indicates that default precision arranged by the broker/institution is to be used.

Indicates date of trade referenced in this message in YYYYMMDD format. Absence of this field indicates current day (expressed in local time at place of trade).

Identifies executing / give-up broker. Standard NASD market-maker mnemonic is preferred.

For options only.

Valid values:
O = Open
C = Close

Number of repeating AllocAccount/AllocPrice entries.

Sub-account mnemonic

Number of shares to be allocated to specific sub-account

(Prior to FIX 4.2 this field was of type int)

Processing code for sub-account. Absence of this field in AllocAccount / AllocPrice/AllocShares / ProcessCode instance indicates regular trade.

Valid values:
0 = regular
1 = soft dollar
2 = step-in
3 = step-out
4 = soft-dollar step-in
5 = soft-dollar step-out
6 = plan sponsor

Total number of reports within series.

Sequence number of message within report series.

Total number of shares canceled for this order.

(Prior to FIX 4.2 this field was of type int)

Number of delivery instruction fields to follow

Free format text field to indicate delivery instructions

Identifies status of allocation.

Valid values:
0 = accepted (successfully processed)
1 = rejected
2 = partial accept
3 = received (received, not yet processed)

Identifies reason for rejection.

Valid values:
0 = unknown account(s)
1 = incorrect quantity
2 = incorrect average price
3 = unknown executing broker mnemonic
4 = commission difference
5 = unknown OrderID
6 = unknown ListID
7 = other

Electronic signature

Length of encrypted message

Actual encrypted data stream

Broker to receive trade credit.

Number of bytes in signature field.

Email message type.

Valid values:
0 = New
1 = Reply
2 = Admin Reply

Number of bytes in raw data field.

Unformatted raw data, can include bitmaps, word processor documents, etc.

Indicates that message may contain information that has been sent under another sequence number.

Valid values:
Y = Possible resend
N = Original transmission

Method of encryption.

Valid values:
0 = None / other
1 = PKCS (proprietary)
2 = DES (EBC mode)
3 = PKCS/DES (proprietary)
4 = PGP/DES (defunct)
5 = PGP/DES-MD5 (see app note on FIX web site)
6 = PEM/DES-MD5 (see app note on FIX web site)

Price per share

Execution destination as defined by institution when order is entered.

Valid values:
See Appendix C