Application Messages By Name

Used to report changes in position, primarily in equity options, due to modifications to the underlying due to corporate actions

Advertisement messages are used to announce completed transactions. The advertisement 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.

The Allocation Instruction (J) message provides the ability to specify how an order or set of orders should be subdivided amongst one or more accounts. In versions of FIX prior to version 4.4, this same message was known as the Allocation message. Note in versions of FIX prior to version 4.4, the allocation message was also used to communicate fee and expense details from the Sellside to the Buyside. This role has now been removed from the Allocation Instruction (J) and is now performed by the new (to version 4.4) Allocation Report and Confirmation (AK) messages.,The Allocation Report message should be used for the Sell-side Initiated Allocation role as defined in previous versions of the protocol.

In versions of FIX prior to version 4.4, this message was known as the Allocation ACK message.

This message is used in a 3-party allocation model where notification of group creation and group updates to counterparites is needed. The mssage will also carry trade information that comprised the group to the counterparites.

Sent from sell-side to buy-side, sell-side to 3rd-party or 3rd-party to buy-side, the Allocation Report (Claim) (AS) provides account breakdown of an order or set of orders plus any additional follow-up front-office information developed post-trade during the trade allocation, matching and calculation phase. In versions of FIX prior to version 4.4, this functionality was provided through the Allocation (J) message. Depending on the needs of the market and the timing of "confirmed" status, the role of Allocation Report (AS) can be taken over in whole or in part by the Confirmation (AK) message.

The Allocation Report Ack message is used to acknowledge the receipt of and provide status for an Allocation Report message.

This message is used for three difference purposes: to reset the ApplSeqNum (1181) of a specified ApplID (1180) . To indicate that the last message has been sent for a particular ApplID, or as a keep-alive mechanism for ApplIDs with infrequent message traffic. The purpose of the Application Message Report is indicated by ApplReportType (1426) .

This message is used to request a retransmission of a set of one or more messages generated by the application specified in RefApplID (1355). The message can be used for five types of transmission requests:

This message is used to acknowledge an Application Message Request providing a status on the request (i.e. whether successful or not). This message does not provide the actual content of the messages to be resent.

Assignment Reports are sent from a clearing house to counterparties, such as a clearing firm as a result of the assignment process. Communication Scenarios

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 assign collateral to cover a trading position. This message can be sent unsolicited or in reply to a Collateral Request (AX) message.

Used to inquire for collateral status.

Used to respond to a Collateral Inquiry (BB) in the following situations:

Used to report collateral status when responding to a Collateral Inquiry (BB) message.

An initiator that requires collateral from a respondent sends a Collateral Request. The initiator can be either counterparty to a trade in a two party model or an intermediary such as an ATS or clearinghouse in a three party model. A Collateral Assignment (AY) is expected as a response to a request for collateral.

Used to respond to a Collateral Assignment (AY) message.

The Confirmation (AK) messages are used to provide individual trade level confirmations from the sell side to the buy side. In versions of FIX prior to version 4.4, this role was performed by the allocation message. Unlike the allocation message, the confirmation message operates at an allocation account (trade) level rather than block level, allowing for the affirmation or rejection of individual confirmations.

The Confirmation Ack (AU) message is used to respond to a Confirmation (AK) message.

The Confirmation Request (BH) message is used to request a Confirmation (AK) message.

The Contrary Intention Report (BO) is used for reporting of contrary expiration quantities for Saturday expiring options. This information is required by options exchanges for regulatory purposes.

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 for details concerning message usage.

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

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

The Derivative Security List Update Report message is used to send updates to an option family or the strikes that comprise an option family.

The Dont Know Trade (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 message is similar to the format and purpose of 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

The Execution Report Acknowledgement (BN) message is an optional message that provides dual functionality to notify a trading partner that an electronically received execution has either been accepted or rejected (DK'd).

Indication of interest 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 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 exist at the broker's site. This message may also be used to respond to the List Cancel Request.

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

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.

The second Market Data 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, 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. 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, the trade volume or open interest for a security, or any combination of these.

Some systems allow the transmission of real-time quote, order, trade, trade volume, open interest, 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, 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 Market Definition message is used to respond to Market Definition Request. In a subscription, it will be used to provide the initial snapshot of the information requested. Subsequent updates are provided by the Market Definition Update Report.

The Market Definition Request message is used to request for market structure information from the Respondent that receives this request. Fields that are specified will act as "filters" for the request. For example, if MarketID is specified then only market structure information for that specified market should be sent back if available. If MarketID is not specified then the request is for all available market structure information.

In a subscription for market structure information, this message is used once the initial snapshot of the information has been sent using the Market Definition message.

The Mass Quote (S) 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 (S) Acknowledgement is used as the application level response to a Mass Quote (S) message. The Mass Quote (S) Acknowledgement contains a field for reporting the reason in the event that the entire quote is rejected (QuoteRejectReason[300]). The Mass Quote (S) Acknowledgement 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 (S) 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 for details concerning message usage.

It is envisaged these messages will be used in two scenarios:

This message is sent in response to a Network (Counterparty System) Status Request Message.

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.

The NewOrderList 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 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 message is issued by the broker upon receipt of a cancel request or cancel/replace request 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 message requests the cancelation of all of the remaining quantity of an existing order. Note that the Order Cancel/Replace Request should be used to partially cancel (reduce) an order).

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

The Order Mass Action Report is used to acknowledge an Order Mass Action Request. Note that each affected order that is suspended or released or canceled is acknowledged with a separate Execution Report for each order.

The Order Mass Action Request message can be used to request the suspension or release of a group of orders that match the criteria specified within the request. This is equivalent to individual Order Cancel Replace Requests for each order with or without adding "S" to the ExecInst values. It can also be used for mass order cancellation.

The Order Mass Cancel Report (r) is used to acknowledge an Order Mass Cancel Request. Note that each affected order that is canceled is acknowledged with a separate Execution Report or Order Cancel Reject (9) message.

The order mass cancel request 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 order messages (reduce the full quantity).

The order mass status request message requests the status for orders matching criteria specified within the request.

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

The Position Maintenance Report (AM) message is sent by the holder of a positon in response to a Position Maintenance Request (AL) and is used to confirm that a request has been successfully processed or rejected.

The Position Maintenance Request (AL) message allows the position owner to submit requests to the holder of a position which will result in a specific action being taken which will affect the position. Generally, the holder of the position is a central counter party or clearing organization but can also be a party providing investment services. Submission of a request may result in the following:

The Position Report (AP) message is returned by the holder of a position in response to a Request for Position message. The purpose of the message is to report all aspects of a position and may be provided on a standing basis to report end of day positions to an owner.

The Quote (S) message is used as the response to a Quote Request (R) or a Quote Response (AJ) 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 message is used for this purpose. This message is commonly referred to as an Request For Quote (S) (RFQ)

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

The Quote Response (AJ) message is used to respond to a IOI message or Quote (S) message. It is also used to counter a Quote (S) or end a negotiation dialog.

The quote status report message is used:

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

In tradeable and restricted tradeable quoting markets Quote Requests (R) are issued by counterparties interested in ascertaining the market for an instrument. Quote Requests (R) 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 (R) . 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 Request For Positions (AN) message is used by the owner of a position to request a Position Report (AP) from the holder of the position, usually the central counter party or clearing organization. The request can be made at several levels of granualarity.

The Request for Positions Ack (AO) message is returned by the holder of the position in response to a Request for Positions message. The purpose of the message is to acknowledge that a request has been received and is being processed.

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

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

This message is used for reporting updates to a Product (460) Security Masterfile. Updates could be the result of corporate actions or other business events. Updates may include additions, modifications or deletions.

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

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 List Update Report (BK) is used for reporting updates to a Contract Security Masterfile. Updates could be due to Corporate Actions or other business events. Update may include additions, modifications and deletions.

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 message is used to return a list of security types available from a counterparty or market.

The Settlement Instruction Request (AV) message is used to request standing settlement instructions from another party. This could be:

The Settlement Instructions (T) message provides the brokers, the institutions, or the intermediarys instructions for trade settlement. 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 Settlement Obligation Report message provides a central counterparty, institution, or individual counterparty with a capacity for reporting the final details of a currency settlement obligation. The settlement obligation is intended to be used for auxiliary reporting of settlement details that will be conducted over SWIFT or CLS in order to affect the instructions. The Settlement Obligation Report message is designed to allow multiple FX deals to be aggregated and netted into a single instruction to simplify the reporting process.

The Trade Capture Report (AE) message can be:

The Trade Capture Report Ack (AR) message can be:

• Used to acknowledge trade capture reports received from a counterparty
• Used to reject a trade capture report received from a counterparty

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 (AD)
• Subscribe for trade capture reports based upon selection criteria provided on the trade capture report request (AD) .

The Trade Capture Request Ack (AQ) message is used to:

• Provide an acknowledgement to a Trade Capture Report Request (AD) in the case where the Trade Capture Report Request (AD) is used to specify a subscription or delivery of reports via an out-of-band ResponseTransmissionMethod.
• Provide an acknowledgement to a Trade Capture Report Request (AD) in the case when the return of the Trade Capture Reports matching that request will be delayed or delivered asynchronously. This is useful in distributed trading system environments.
• Indicate that no trades were found that matched the selection criteria specified on the Trade Capture Report Request (AD)
• The Trade Capture Request was invalid for some business reason, such as request is not authorized, invalid or unknown instrument, party, trading session, etc.

The Trading Session List (BJ) message is sent as a response to a Trading Session List (BJ) Request. The Trading Session List (BJ) should contain the characteristics of the trading session and the current state of the trading session.

The Trading Session List Request (BI) is used to request a list of trading sessions available in a market place and the state of those trading sessions. The request can be modified to request status on a particular trading session (by specifying the TradingSessionID (336) (tag 336) and TradingSessionSubID (625) (tag 625) (if used by the market place). The request can be used to request a list of trading sessions that use a particular trading method or mode (such as electronic) by specifying the TradSesMethod (338) (tag 338) and/or TradSesMode( tag 339).

The Trading Session List Update Report is used by marketplaces to provide intra-day updates of trading sessions when there are changes to one or more trading sessions.

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 User Notification message is used to notify one or more users of an event or information from the sender of the message. This message is usually sent unsolicited from a marketplace (e.g. Exchange, ECN) to a market participant.

These messages are provided in FIX to allow the passing of individual user information between two counterparties. The messages allow for the following function

This message is used to respond to a user request message, it reports the status of the user after the completion of any action requested in the user request message.

While the FIX Session Protocol is based upon "Tag=Value" syntax for the Standard Header, Standard Trailer, and the Administrative Messages which make up the FIX Session Protocol, it is possible to send FIXML or other XMLbased content ("payload") via the FIX Session Protocol. The FIXML or other XML-based 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.