Application Messages By Name

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 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. Note the response to the Allocation (J) message is the Allocation ACK (P) message.

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

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 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.

Used to fully cancel the remaining open quantity of a cross order.

Used to modify a cross order previously submitted using the New Order - Cross (s) message. See Order Cancel/Replace Request (G) for details concerning message usage.

The Derivative Security List (AA) message is used to return a list of securities that matches the criteria specified in a Derivative Security List Request (z) .

The Derivative Security List Request (z) message is used to return a list of securities from the counterparty that match criteria provided on the request

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.

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 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. relay fill information on tradeable or restricted tradeable quotes
6. reject orders
7. report post-trade fees calculations associated with a trade

Indication of interest (6) messages are used to 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.

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 (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. This message may also be used to respond to the List Cancel Request (K) .

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

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.

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 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.

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 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 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).

Mass Quote Acknowledgement (b) is used as the application level response to a Mass Quote (i) message. The Mass Quote Acknowledgement (b) contains a field for reporting the reason in the event that the entire quote is rejected ( QuoteRejectReason (300) ). The Mass Quote Acknowledgement (b) also contains a field for each quote that is used in the event that the quote entry is rejected ( QuoteEntryRejectReason (368) ). The ability to reject an individual quote entry is important so that the majority of quotes can be successfully applied to the market instead of having to reject the entire Mass Quote (i) for a minority of rejected quotes.

Used to modify a multileg order previously submitted using the New Order - Multileg (AB) message. See Order Cancel/Replace Request (G) for details concerning message usage.

Used to submit a cross order into a market. The cross order contains two order sides (a buy and a sell). The cross order is identified by its CrossID (548) .

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

The New Order - Multileg (AB) is provided to submit orders for securities that are made up of multiple securities, known as legs.

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

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 (B) message can be originated at either the broker or institution side.

The order cancel reject (9) message is issued by the broker upon receipt of a cancel request (F) or 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 Order Cancel Request (F) message requests the cancellation 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 Mass Cancel Report (r) is used to acknowledge an Order Mass Cancel Request (q) . Note that each affected order that is canceled is acknowledged with a separate Execution Report (8) or Order Cancel Reject (9) message.

The order mass cancel request (q) message requests the cancelation of all of the remaining quantity of a group of orders matching criteria specified within the request. NOTE: This message can only be used to cancel messages (reduce the full quantity).

The Order Mass Status Request (AF) message requests the status for orders matching criteria specified within the request.

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

The quote (S) message is used as the response to a Quote Request (R) message in both indicative, tradeable, and restricted tradeable quoting markets.

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

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. This message is commonly referred to as an Request For Quote (RFQ) (AH)

The Quote Request Reject (AG) message is used to reject Quote Request (R) messages for all quoting models.

The Quote Status Report (AI) message is used:

• as the response to a Quote Status Request (a) message
• as a response to a Quote Cancel (Z) message

The quote status request (a) message is used for the following purposes in markets that employ tradeable or restricted tradeable quotes:

• For the issuer of a quote in a market to query the status of that quote (using the QuoteID (117) to specify the target quote).
• To subscribe and unsubscribe for Quote Status Report (AI) messages for one or more securities.

In tradeable and restricted tradeable quoting markets - Quote Requests are issued by counterparties interested in ascertaining the market for an instrument. Quote Requests are then distributed by the market to liquidity providers who make markets in the instrument. The RFQ Request (AH) is used by liquidity providers to indicate to the market for which instruments they are interested in receiving Quote Requests. It can be used to register interest in receiving quote requests for a single instrument or for multiple instruments

The Registration Instructions (o) message type may be used by institutions or retail intermediaries wishing to electronically submit registration information to a broker or fund manager (for CIV) for an order or for an allocation.

The Registration Instructions Response (p) message type may be used by broker or fund manager (for CIV) in response to a Registration Instructions (o) message submitted by an institution or retail intermediary for an order or for an allocation.

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

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 multileg security made up of one or more instrument legs.

The Security List (y) message is used to return a list of securities that matches the criteria specified in a Security List Request (x) .

The Security List Request (x) message is used to return a list of securities from the counterparty that match criteria provided on the request

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 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 Type Request (v) message is used to return a list of security types available from a counterparty or market.

The Security Type (w) message is used to return a list of security types available from a counterparty or market.

The Settlement Instructions (T) message provides the broker's, the institution's, or the intermediary's instructions for trade settlement. The SettlInstSource (165) field indicates if the settlement instructions are the broker's, the institution's, or the intermediary'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 or, for CIV, from an intermediary to a fund manager.

The Trade Capture Report (AE) message can be:

• Used to report trades between counterparties.
• Can be sent unsolicited between counterparties.
• Sent as a reply to a Trade Capture Report Request (AD) .
• Can be used to report unmatched and matched trades.

The Trade Capture Report Request (AD) can be used to:

• Request one or more trade capture reports based upon selection criteria provided on the trade capture report request
• Subscribe for trade capture reports based upon selection criteria provided on the trade capture report request.

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 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 XML message (e.g. non-FIX MsgType) (n) is used to transmitting XML content which is not defined with a FIX MsgType. XML content is enclosed in a traditional "Tag=Value" FIX standard header via the standard header's XmlDataLen and XmlData fields and followed by the "Tag=Value" FIX standard trailer.