Orchimate / FIX Trading /

FIX.4.2FIX.4.2_EP310

The Heartbeat monitors the status of the communication link and identifies when the last of a string of messages was not received.

The test request message forces a heartbeat from the opposing application.

The resend request is sent by the receiving application to initiate the retransmission of messages. This function is utilized if a sequence number gap is detected, if the receiving application lost a message, or as a function of the initialization process.

The reject message should be issued when a message is received but cannot be properly processed due to a session-level rule violation.

The sequence reset message is used by the sending application to reset the incoming sequence number on the opposing side.

The logout message initiates or confirms the termination of a FIX session.

Indication of interest messages market merchandise which the broker is buying or selling in either a proprietary or agency capacity.

Advertisement messages are used to announce completed transactions.

The execution report message is used to:
1. Confirm the receipt of an order
2. Confirm changes to an existing order (i.e. accept cancel and replace requests)
3. Relay order status information
4. Relay fill information on working orders
5. Reject orders
6. Report post-trade fees calculations associated with a trade

The order cancel reject message is issued by the broker upon receipt of a cancel request or cancel/replace request message which cannot be honored.

The logon message authenticates a user establishing a connection to a remote system.

The news message is a general free format message between the broker and institution.

The email message is similar to the format and purpose of to the News message, however, it is intended for private use between two parties.

The new order message type is used by institutions wishing to electronically submit securities and forex orders to a broker for execution.

The NewOrderList Message can be used in one of two ways depending on which market conventions are being followed.

The order cancel request message requests the cancellation of all the remaining quantity of an existing order.

The order cancel/replace request is used to change the parameters of an existing order.

The order status request message is used by the institution to generate an order status message back from the broker.

The Allocation message provides the ability to specify how an order or set of orders should be subdivided amongst one or more accounts.

The list cancel request message type is used by institutions wishing to cancel previously submitted lists either before or during execution.

The list execute message type is used by institutions to instruct the broker to begin execution of a previously submitted list.

The list status request message type is used by institutions to instruct the broker to generate status messages for a list.

The list status message is issued as the response to a List Status Request message sent in an unsolicited fashion by the sell-side.

The allocation ACK message is used to acknowledge the receipt and status of an allocation message received from the institution.

The Don’t Know Trade (DK) message notifies a trading partner that an electronically received execution has been rejected.

In some markets it is the practice to request quotes from brokers prior to placement of an order. The quote request message is used for this purpose.

The quote message is used as the response to a Quote Request message and can be used to publish unsolicited quotes.

The Settlement Instructions message provides either the broker’s or the institution’s instructions for trade settlement.

Some systems allow the transmission of real-time quote, order, trade and/or other price information on a subscription basis.

The Market Data messages are used as the response to a Market Data Request message.

The second Market Data message format is used for incremental updates.

The Market Data Request Reject is used when the broker cannot honor the Market Data Request, due to business or technical reasons.

The Quote Cancel message is used by an originator of quotes to cancel quotes.

The quote status request message is used by the institution to generate an execution report that contains the quote status message back from the counterparty.

An optional response to Quote, Mass Quote, Quote Cancel, and Quote Request message is the Quote Acknowledgement message.

The Security Definition Request message is used for the following:
1. Request a specific Security to be traded with the second party. The request security can be defined as a complex security made up of one or more underlying securities.
2. Request a list of the Security Types that can be traded with the second party.
3. Request a list of Securities that can be traded with the second party. This request can optionally be qualified with Symbol, TradingSessionID, SecurityExchange, and Security Type.

The Security Definition message is used for the following:
1. Accept the security defined in a Security Definition message.
2. Accept the security defined in a Security Definition message with changes to the definition and/or identity of the security.
3. Reject the security requested in a Security Definition message
4. Return a list of Security Types
5. Return a list of Securities

The Security Status Request message provides for the ability to request the status of a security.

The Trading Session Status Request is used to request information on the status of a market.

The Trading Session Status provides information on the status of a market.

The Mass Quote message can contain quotes for multiple securities to support applications that allow for the mass quoting of an option series.

The Business Message Reject message can reject an application-level message which fulfills session-level rules and cannot be rejected via any other means.

The BidRequest Message can be used in one of two ways depending on which market conventions are being followed.

The Bid Response message can be used in one of two ways depending on which market conventions are being followed.
In the "Non disclosed" convention the Bid Response message can be used to supply a bid based on the sector, country, index and liquidity information contained within the corresponding bid request message. See "Program/Basket/List Trading" for an example.
In the "Disclosed" convention the Bid Response message can be used to supply bids based on the List Order Detail messages sent in advance of the corresponding Bid Request message.

The strike price message is used to exchange strike price information for principal trades. It can also be used to exchange reference prices for agency trades.