Orchimate 1.3.2 /

FIX User Defined Fields1.0

Orchestra Hub

Additional text-based instructions for order execution.

Aggressor side of a trade in a central order book.

1: Buyer

2: Seller

Boolean flag (Y/N) to automatically send a Quote Request message following the Security Definition (35=d) message.

This might be used when users create an instrument using the Security Definition Request (35=c) message.

Back office information. TOPS Route sends this information to the back office system

Time that the broker receives the order

Indicate the increment between multiple cabinet prices for a given option instrument.

Symbol cancelled for an unsollicited Quote Ack message.

Business cycle as defined by clearing organization.

LastPx as formatted by clearing organization.

Order types as defined by clearing organization.

Security ID as assigned by clearing organization. (Combination of FIX 4.4 SecurityIDSource and SecurityID.)

Strike price as formatted by clearing organization.

Indicates if the order is a “give-up” or CMTA trade. Values are

T – CMTAG – Give-up

Id common to new order and subsequent series of requests against that order. Used for reporting.

Indicates the types of customer or account requesting the order. Values are

1 – For own account2 – For clearing member’s house account3 – For the account of another member present

4 – For any other customer account

Day count used to calculate interest rates.

Indicates the quantity a contract will decay by once the decay start date is reached.

The date at which a decaying product begins to decay.

Multiplier to convert electronic prices sent over fix to display prices.

Quote Request ID generated by the Exchange returned to the clients in the quote acknowledgment message (tag 35 = b) in response to their Quote Request message.

Type of clearing fee. Values are

B – CBOE member tradingC – Non-member rate (customer)E – Equity member rate

H – 106H/J Firms

L – Lessee/106.F employees

Reference to a specific fill being reported under a single FillSeqNum. (See custom field FillNumLines.)

Total number of fills being reported by station under a single FillSeqNum.

Sequence number assigned to the fill by the station reporting it.

ID of station reporting fill. (Similar to FIX 4.3 Party Role of Executing System.)

Clerk or trader entering the fill into the fill reporting system. (Potentially a Party Role.)

Identifies the time braket the fixing price is for.

LastPx formatted for processing by post-trade systems.

Identifies the clearing member firm to which the fill was “given up”.

Multileg instrument’s individual security’s group.

See SecurityGroup (1151) field for description

This tag shall contain the id used for login and routing purposes

Total number of mass quote messages received in a given time interval.

Boolean to indicate the beginning of a match event for a central order book system.

Indicate the maximum cabinet price for a given option instrument.

Indicate the minimum cabinet price for a given option instrument.

Account number information used in Quote related messages in FIX 4.2

When MM Protection is triggered, the Trading Engine will not accept any new Quotes from the Market Maker for that Product Group until it receives a Mass Quote Message with the MMProtectionReset flag set to ‘1’.

Number of quotes successfully accepted (if in response to a Mass Quote message) or number of quotes successfully cancelled (if in response to a Quote Cancel message).

Flag indicating the order quantity stipulated on Replace Request should be entered into the market as stated – without reduction for any fills that have occurred.

Indicates the types of customer or account requesting the order. Values are

1 – For own account2 – For clearing member’s house account3 – For the account of another member present

4 – For any other customer account

Quantity of the open interest in a given security.

same as official tag 337 or 9100** ADDED TO FIX 4.2 AS TAG: 375 (ContraBroker) **

Indicates the house of the contraBroker

When reporting fill, references the leg number in the order.

TBD.

Clearing firm of executed order. (Exists in FIX 4.3 as repeating group.)

Clearing organization for executed order. (Exists in FIX 4.4 as repeating group.)

Trader executing the order. (Exists in FIX 4.3 as repeating group.)

“PEA” = only valid value

Format to use to display the price on the screen.

Used for price calculation in spread and leg pricing.

Indicate the pricing model used to calculate the reported prices.

Label printed on trading floor order ticket.

High level product type.

N for Energy

A for Aggs

E for Equity

…

(more granularity than CFICode)

Total number of quote entries received in a given time interval.

For FIX 4.2 (contains the trade number in the fill notice – execution report). Added in FIX 4.3 as tag 527 – SecondaryExecID.

Sub-type qualification/identification of the SecurityType.

Same as 762 in FIX 4.4.For SecurityType=”MLEG” markets can provide the name of the option or futures strategy, such as Calendar, Vertical, Butterfly, etc.

NOTE: Additional values may be used by mutual agreement of the counterparties

Indicates the routing to an executing system

G – Globex trading engine

Equivalent to the ExecID of a spread when dealing with multi-leg securities.

SecurityID for the spread related to the leg reported as SecurityID in the message Execution Report.

Indicates confirmation of cancel is requested from the trading floor.

Flags message as possible retransmission for printing on trading floor order ticket.

Indicates the time bracket of an order fill.

Time order is received by exchange

Timestamp of fill being reported from the pit to the trading floor booth. (Exists in FIX 4.4 as repeating group.)

Refers to ClOrdID on fill being reported Too Late To Cancel. See custom tag 9731 TLTCFlag.

Fill being reported is flagged Too Late To Cancel when a cancel/replace or cancel request was received after the execution.

Total volume for a given security, cross venues.

Contains the date to which the TradingReferencePrice correspond.

Timestamp source for Broker Receipt timestamp. (Exists in FIX 4.4 as repeating group.)

Timestamp soource for Exectution timestamp. (Exists in FIX 4.4 as repeating group.)

Timestamp source of Time Out timestamp. (Exists in FIX 4.4 as repeating group.)

Timestamp source for Time In timestamp. (Exists in FIX 4.4 as repeating group.)

Type of the cancel generated by engine.

A: Cancel all quotes on disconnect

B: Cancel all quotes on logout

C: Cancel all by Operations

D: Cancel Instrument Group by Operations

E: Quote Expired

F: Cancelled by Market Maker Protection

G: Cancel Instrument Group when too many incorrect quotes submitted.

Boolean field to tell if the instrument defined by the Security Definition message is a user defined instrument or not.