Application Messages By MsgType

Indication of Interest (6) messages market merchandise which the broker is buying or selling in either a proprietary or agency capacity. The indications can be time bound with a specific expiration value. Indications are distributed with the understanding that other firms may react to the message first and that the merchandise may no longer be available due to prior trade.

Advertisement (7) messages are used to announce completed transactions. The Advertisement (7) message can be transmitted in various transaction types; NEW, CANCEL and REPLACE. All message types other than NEW modify the state of a previously transmitted advertisement identified in AdvRefID (3) .

The Execution Report (8) 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 (9) message is issued by the broker upon receipt of a Order Cancel Request (F) or Order Cancel/Replace Request (G) message which cannot be honored. Requests to change price or decrease quantity are executed only when an outstanding quantity exists. Filled orders cannot be changed (i.e quantity reduced or price change. However, the broker/sellside may support increasing the order quantity on a currently filled order).

The News (B) message is a general free format message between the broker and institution. The message contains flags to identify the news item's urgency and to allow sorting by subject company (symbol). The News record can be originated at either the broker or institution side.

The Email (C) message is similar to the format and purpose of to the News (B) message, however, it is intended for private use between two parties.

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

The New Order - List (E) message can be used in one of two ways depending on which market conventions are being followed.

The order cancel request (F) message requests the cancelation of all of the remaining quantity of an existing order. Note that the Order Cancel/Replace Request (G) should be used to partially cancel (reduce) an order).

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

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

The Allocation (J) message provides the ability to specify how an order or set of orders should be subdivided amongst one or more accounts. It can also be used as a confirmation message through which third parties can communicate execution and settlement details between trading partners. In addition, the Allocation (J) message can be sent by the broker to communicate fees and other details that can only be computed once the sub-account breakdowns are known.

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

The list execute (L) message type is used by institutions to instruct the broker to begin execution of a previously submitted list. This message may or may not be used, as it may be mirroring a phone conversation.

The List Status Request (M) message type is used by institutions to instruct the broker to generate status messages for a list.

The list status (N) message is issued as the response to a List Status Request (M) message sent in an unsolicited fashion by the sell-side. It indicates the current state of the orders within the list as they exists at the broker's site.

The Allocation ACK (P) message is used to acknowledge the receipt and status of an Allocation (J) message received from the institution.

The Don't Know Trade (DK) (Q) message notifies a trading partner that an electronically received execution has been rejected. This message can be thought of as an execution reject message.

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

The Quote (S) message is used as the response to a Quote Request (R) message and can be used to publish unsolicited quotes.

The Settlement Instructions (T) message provides either the broker\s or the institution\s instructions for trade settlement. The SettlInstSource (165) field indicates if the settlement instructions are the broker\s or the institution\s. This message has been designed so that it can be sent from the broker to the institution, from the institution to the broker, or from either to an independent "standing instructions" database or matching system.

Some systems allow the transmission of real-time quote, order, trade and/or other price information on a subscription basis. A Market Data Request (V) is a general request for market data on specific securities or forex quotes.

The Market Data messages are used as the response to a Market Data Request (V) message. In all cases, one Market Data message refers only to one Market Data Request (V) . It can be used to transmit a 2-sided book of orders or list of quotes, a list of trades, index values, opening, closing, settlement, high, low, or VWAP prices, or any combination of these.

The second Market Data (X) message format is used for incremental updates. Market Data Entries may have an MDEntryID (278) unique among all currently active Market Data Entries so they can be referenced for the purposes of deleting and changing them later. When changing a Market Data Entry, it may keep the same MDEntryID (278) , in which case only MDEntryID (278) would be populated, or the MDEntryID (278) may change, in which case MDEntryID (278) will contain the new ID, and MDEntryRefID (280) will contain the ID of the Market Data Entry being changed. An MDEntryID (278) can be reused within a day only if it has first been deleted.

The Market Data Request Reject (Y) is used when the broker cannot honor the Market Data Request (V) , due to business or technical reasons. Brokers may choose to limit various parameters, such as the size of requests, whether just the top of book or the entire book may be displayed, and whether Full or Incremental updates must be used.

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

The Quote Status Request (a) message is used by the institution to generate an execution report that contains the quote status message back from the counterparty. It is used to retrieve the status of the originating party\s quotes and not to obtain market data information.

An optional response to Quote (S) , Mass Quote (i) , Quote Cancel (Z) , and Quote Request (R) message is the Quote Acknowledgement (b) message. The use of the Quote Acknowledgement (b) message is optional per Quote (S) , Mass Quote (i) , or Quote Request (R) message. It is intended to provide application level acknowledgement of quotes. The level of response requested from a receiver of the Quote Acknowledgement (b) message is specified in the QuoteResponseLevel (301) tag.

The Security Definition Request (c) 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 (55) , TradingSessionID (336) , SecurityExchange (207) , and Security Type (167) .

The Security Definition (d) message is used for the following:

1. Accept the security defined in a Security Definition (d) message.
2. Accept the security defined in a Security Definition (d) message with changes to the definition and/or identity of the security.
3. Reject the security requested in a Security Definition (d) message
4. Return a list of Security Types
5. Return a list of Securities

The Security Status Request (e) message provides for the ability to request the status of a security. One or more Security Status (f) messages are returned as a result of a Security Status Request (e) message.

The Security Status (f) message provides for the ability to report changes in status to a security. The Security Status (f) message contains fields to indicate trading status, corporate actions, financial status of the company. The Security Status (f) message is used by one trading entity (for instance an exchange) to report changes in the state of a security.

The Trading Session Status Request (g) is used to request information on the status of a market. With the move to multiple sessions occurring for a given trading party (morning and evening sessions for instance) there is a need to be able to provide information on what product is trading on what market.

The Trading Session Status (h) provides information on the status of a market. With the move to multiple sessions occurring for a given trading party (morning and evening sessions for instance) there is a need to be able to provide information on what product is trading on what market.

The Mass Quote (i) message can contain quotes for multiple securities to support applications that allow for the mass quoting of an option series. Two levels of repeating groups have been provided to minimize the amount of data required to submit a set of quotes for a class of options (e.g. all option series for IBM).

The Business Message Reject (j) message can reject an application-level message which fulfills session-level rules and cannot be rejected via any other means. Note if the message fails a session-level rule (e.g. body length is incorrect), a session-level Reject message should be issued.

The Bid Request (k) message can be used in one of two ways depending on which market conventions are being followed.

The Bid Response (l) message can be used in one of two ways depending on which market conventions are being followed.

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