European Equities - FIX 4.2 Specification

A delimiter identifying the start of a new FIX message. BeginString must be the first field present in every FIX message.

it == "FIX.4.2"

Message length, in bytes, of all characters up to and including the delimiter preceding the CheckSum field. BodyLength must be the second field present in every FIX message.

The message sequence number, per the rules governing message sequence numbers.

The type of the FIX message. MsgType must be the third field present in every FIX message.

A flag indicating whether a message is a possible session level retransmission, per the message delivery rules.

OneChronos will assign this identifier as part of customer onboarding. Messages sent to OneChronos must always include Subscriber"s assigned SenderCompID.

The time of message transmission (always in UTC). OneChronos supports UTC timestamps at nanosecond precision.

The logical mirror of SenderCompID. Messages received from OneChronos will always have this field set to the SenderCompID assigned to you by us.

A flag indicating whether a message is a possible business level retransmission, per the message delivery rules. For messages sent to OneChronos, any value other than "N" will trigger a rejection. OneChronos will never populate this field.

Trading partner company ID used when sending messages via a third party.

Required by the FIX spec for orders where PossDupFlag=Y.

When a Subscriber populates OnBehalfOfCompId any message sent in response by OneChronos will populate this field with the value of OnBehalfOfCompId specified by Subscriber.

A message checksum. Always the last field in the message.

Must be present if sent in response to a TestRequest message.

An identifier for use with TestRequest and Heartbeat messages.

Message sequence number of first message in range to be resent.

Message sequence number of last message in range to be resent. If request is for a single message BeginSeqNo = EndSeqNo. If request is for all messages subsequent to a particular message, EndSeqNo = "0" (representing infinity).

The sequence number of the message being referenced.

Free form text. Subscribers can populate this field for internal use; OneChronos may populate this field to provide additional context to Subscriber when sending a rejection.

Always present when the rejection was triggered by a specific tag. If multiple tags are invalid, RefTagID will be populated for the first invalid tag.

Always present when type is parsable on the message being rejected.

An error code indicating why a message was rejected on the session level.

The next expected sequence number, per the rules governing message sequence numbers.

Indicates whether a SequenceReset is of type SequenceReset-Gap-Fill or SequenceReset-Reset. See Message Delivery for additional details.

Free form text. Subscribers can populate this field for internal use; OneChronos may populate this field to provide additional context to Subscriber when sending a rejection.

An enum value representing the type of Layer 6 encryption that should be used for the FIX dialogue. Required by the FIX standard, but not used by OneChronos.

it == EncryptMethod.NONE

The desired interval, in seconds, between heartbeats. See Heartbeats for additional details.

it >= 5 && it <= 180

The sequence number of the message being referenced.

Free form text. Subscribers can populate this field for internal use; OneChronos may populate this field to provide additional context to Subscriber when sending a rejection.

Always present when type is parsable on the message being rejected.

An error code indicating why a message was rejected by a BusinessMessageReject

A client supplied account identifier.

case it                   
  {None: true}            
  {Some account:          
    strLen(account) <= 32}

A Subscriber provided order ID satisfying the requirements for Subscriber provided IDs.

(strLen(it) > 0) && (strLen(it) <= 32)

Trading currency of the instrument, i.e. GBX for pence listed instruments and GBP for pound listed instruments.

Execution instruction for order handling; required for Pegged orders (40=P), not allowed on limit orders (40=2)

case it                                                                        
  {None: true}                                                                 
  {Some execInst: subset(execInst, {|MidPricePeg, NearTouchPeg, FarTouchPeg|})}

HandlInst is required by FIX, but not used by OneChronos.

Values supported by OneChronos; 4 = ISIN Number

The number of shares for the order.

it > 0.0

The type of an order.

Instrument price per unit of quantity. When Price is present Price >0.0

it > 0.0

Instrument ID (ISIN)

The side of an order.

The symbol (ticker) of the instrument being traded. Echoed from order.

A field governing how long an order will remain active for.

A UTC timestamp indicating when a transaction occurred. OneChronos logs events at nanosecond precision.

The minimum permissible fill quantity for an order.

case it                
  {None: true}         
  {Some qty: qty > 0.0}

When TimeInForce=6 Good Till Time, ExpireTime must be populated with the desired expiry time.

Market Identification Code. MIC code for the listing market for the ISIN

Number of ticks, signed positive or negative, applied to the reference price for a pegged order.

Tag 453 (NoPartyIDs) is optional. However, if it is populated with a value greater than 0, each party group entry must include tags 448 (PartyID), 447 (PartyIDSource), 452 (PartyRole), and 2376 (PartyRoleQualifier). A maximum of 3 party group entries is supported per message.

Designates the capacity of the firm placing the order.

DEA Flag indicator. Other values are unsupported and will be rejected.

When set to any value in the interval [3,65535] the order will not match against an order with the same value for SelfMatchPreventionID.

Value 1 is not supported. Orders containing SelfMatchPreventionID = 1 will be rejected. When SelfMatchPreventionID is present SelfMatchPreventionID >=0 and SelfMatchPreventionID != 1 and SelfMatchPreventionID <=65535

Order-level SMP always overrides the port-level SMP setting. If Tag 2362 is present on an order, its value takes precedence over any SMP mode configured at the session/port.

case it                                     
  {None: true}                              
  {Some id:                                 
    (id >= 0) && (id != 1) && (id <= 65535)}

The presence of a supported value indicates that condition applies to the order.

An optional Subscriber supplied comma separated list of identifiers. Tags are echoed back on fills and used as filter/query parameters in analytics reports. If specified, the rules outlined in the section on Identifiers apply. When Analytics Tags is present: String Length(AnalyticsTags) <=32

case it                         
  {None: true}                  
  {Some analyticsTags:          
    strLen(analyticsTags) <= 32}

The Expressive Bid URI (for future use).

Expressve Bid argument 1 (for future use).

Expressve Bid argument 2 (for future use).

Expressve Bid argument 3 (for future use).

Expressve Bid argument 4 (for future use).

The ID associated with a multi-symbol expressive bid (for future use).

case it              
  {None: true}       
  {Some id: id < 255}

The ID associated with a multi-symbol expressive bid (for future use).

case it              
  {None: true}       
  {Some id:          
    strLen(id) <= 32}

A Subscriber provided order ID satisfying the requirements for Subscriber provided IDs.

(strLen(it) > 0) && (strLen(it) <= 32)

Trading currency of the instrument, i.e. GBX for pence listed instruments and GBP for pound listed instruments.

Values supported by OneChronos; 4 = ISIN Number

When OrderIDis present stringLength(OrderID) >0 and stringLength(OrderID) <=32.

case it                                              
  {None: true}                                       
  {Some orderId:                                     
    (strLen(orderId) > 0) && (strLen(orderId) <= 32)}

The number of shares for the order.

it > 0.0

The ClOrdID of the previous order in a FIX cancel/replace chain. Clients should always set OrigClOrdID to the most recent non-rejected ClOrdID sent; when populating OrigClOrdID OneChronos will always use the last accepted ClOrdID. Echoed from order.

case it                                              
  {None: true}                                       
  {Some orderId:                                     
    (strLen(orderId) > 0) && (strLen(orderId) <= 32)}

Instrument ID (ISIN)

The side of an order.

it == state.Side

The symbol (ticker) of the instrument being traded. Echoed from order.

it == state.Symbol

A UTC timestamp indicating when a transaction occurred. OneChronos logs events at nanosecond precision.

Market Identification Code. MIC code for the listing market for the ISIN

An optional Subscriber supplied comma separated list of identifiers. Tags are echoed back on fills and used as filter/query parameters in analytics reports. If specified, the rules outlined in the section on Identifiers apply. When Analytics Tags is present: String Length(AnalyticsTags) <=32

A client supplied account identifier.

case it                                              
  {None: true}                                       
  {Some account:                                     
    (strLen(account) > 0) && (strLen(account) <= 32)}

A Subscriber provided order ID satisfying the requirements for Subscriber provided IDs.

(strLen(it) > 0) && (strLen(it) <= 32)

Trading currency of the instrument, i.e. GBX for pence listed instruments and GBP for pound listed instruments.

Execution instruction for order handling; required for Pegged orders (40=P), not allowed on limit orders (40=2)

it == state.ExecInst

HandlInst is required by FIX, but not used by OneChronos.

Values supported by OneChronos; 4 = ISIN Number

The number of shares for the order.

isLegalModifyQty(it)

The type of an order.

it == state.OrdType

The ClOrdID of the previous order in a FIX cancel/replace chain. Clients should always set OrigClOrdID to the most recent non-rejected ClOrdID sent; when populating OrigClOrdID OneChronos will always use the last accepted ClOrdID. Echoed from order.

(strLen(it) > 0) && (strLen(it) <= 32)

Instrument price per unit of quantity. When Price is present Price >0.0

it > 0.0

Instrument ID (ISIN)

The side of an order.

it == state.Side

The symbol (ticker) of the instrument being traded. Echoed from order.

it == state.Symbol

A field governing how long an order will remain active for.

it == state.TimeInForce

A UTC timestamp indicating when a transaction occurred. OneChronos logs events at nanosecond precision.

The minimum permissible fill quantity for an order.

case it                
  {None: true}         
  {Some qty: qty > 0.0}

When TimeInForce=6 Good Till Time, ExpireTime must be populated with the desired expiry time.

it == state.ExpireTime

Market Identification Code. MIC code for the listing market for the ISIN

Number of ticks, signed positive or negative, applied to the reference price for a pegged order.

An optional Subscriber supplied comma separated list of identifiers. Tags are echoed back on fills and used as filter/query parameters in analytics reports. If specified, the rules outlined in the section on Identifiers apply. When Analytics Tags is present: String Length(AnalyticsTags) <=32

case it                                           
  {None: true}                                    
  {Some _analyticsTags: it == state.AnalyticsTags}

The Expressive Bid URI (for future use).

Expressve Bid argument 1 (for future use).

Expressve Bid argument 2 (for future use).

Expressve Bid argument 3 (for future use).

Expressve Bid argument 4 (for future use).

The ID associated with a multi-symbol expressive bid (for future use).

case it                      
  {None: true}               
  {Some _: it == state.LegID}

The ID associated with a multi-symbol expressive bid (for future use).

case it                         
  {None: true}                  
  {Some _: it == state.BasketID}

A client supplied account identifier.

it == state.Account

An average price computed across all fills for an order.

A Subscriber provided order ID satisfying the requirements for Subscriber provided IDs.

it == state.ClOrdID

The aggregate filled quantity computed across all fills for an order.

it >= 0.0

Trading currency of the instrument, i.e. GBX for pence listed instruments and GBP for pound listed instruments.

A unique ID for each execution report sent from OneChronos to Subscriber.

Execution instruction for order handling; required for Pegged orders (40=P), not allowed on limit orders (40=2)

it == state.ExecInst

Identifies the type of a transaction.

it == ExecTransType.New

Values supported by OneChronos; 4 = ISIN Number

The market of the last fill; always OCXL or OCXE.

case it                                                                  
  {None: true}                                                           
  {Some lastMkt:                                                         
    (lastMkt in [Exchange.OCXE, Exchange.OCXL]) && (it == state.LastMkt)}

The price of the last fill.

The quantity of the last fill.

When OrderIDis present stringLength(OrderID) >0 and stringLength(OrderID) <=32.

it == state.OrderID

The number of shares for the order.

it == state.OrderQty

The state of the order. State transitions are governed per the FIX order state transition rules.

The type of an order.

it == state.OrdType

The ClOrdID of the previous order in a FIX cancel/replace chain. Clients should always set OrigClOrdID to the most recent non-rejected ClOrdID sent; when populating OrigClOrdID OneChronos will always use the last accepted ClOrdID. Echoed from order.

Instrument price per unit of quantity. When Price is present Price >0.0

it == state.Price

Instrument ID (ISIN)

The side of an order.

it == state.Side

The symbol (ticker) of the instrument being traded. Echoed from order.

it == state.Symbol

Free form text. Subscribers can populate this field for internal use; OneChronos may populate this field to provide additional context to Subscriber when sending a rejection.

A field governing how long an order will remain active for.

it == state.TimeInForce

A UTC timestamp indicating when a transaction occurred. OneChronos logs events at nanosecond precision.

An error code indicating why a NewOrderSingle (type=ORDER_SINGLE) was rejected.

The minimum permissible fill quantity for an order.

it == state.MinQty

When TimeInForce=6 Good Till Time, ExpireTime must be populated with the desired expiry time.

it == state.ExpireTime

The type of an ExecutionReport. See the section on FIX order state transitions for additional details.

Remaining quantity open for further execution. LeavesQty must be 0.0 or LeavesQty must be leavesQty().

(it == 0.0) || (it == leavesQty())

Market Identification Code. MIC code for the listing market for the ISIN

Number of ticks, signed positive or negative, applied to the reference price for a pegged order.

it == state.PegDifference

Identifies the CCP of the subscriber for the trade; currently XCLR, ECCX, LCHL. Value SELF indicates a self-match where clearing is suppressed (default behavior). Optionally, clients can request to override the suppression of clearing on self-match executions with a venue-enabled session (port) setting. In these instances, the field will be populated with the CCP of the subscriber for the trade and the execution is sent to the CCP.

The number of ContraBroker msgFields contained in the message.

Tag 453 (NoPartyIDs) is optional. However, if it is populated with a value greater than 0, each party group entry must include tags 448 (PartyID), 447 (PartyIDSource), 452 (PartyRole), and 2376 (PartyRoleQualifier). A maximum of 3 party group entries is supported per message.

This is a value that is unique, consistent and persistent per ISO10383 segment MIC and per trading day. TradeID is the same across all fills, ensuring compliance with TVTIC reporting. It identifies the entire transaction, unique per trade.

DEA Flag indicator. Other values are unsupported and will be rejected.

When set to any value in the interval [3,65535] the order will not match against an order with the same value for SelfMatchPreventionID.

Value 1 is not supported. Orders containing SelfMatchPreventionID = 1 will be rejected. When SelfMatchPreventionID is present SelfMatchPreventionID >=0 and SelfMatchPreventionID != 1 and SelfMatchPreventionID <=65535

Order-level SMP always overrides the port-level SMP setting. If Tag 2362 is present on an order, its value takes precedence over any SMP mode configured at the session/port.

The presence of a supported value indicates that condition applies to the order.

Indicates the trade classification associated with the execution. This field currently takes the value F, execution on the OneChronos periodic auction mechanism. This field is only populated on Execution Reports corresponding to partial or full fills.

An optional Subscriber supplied comma separated list of identifiers. Tags are echoed back on fills and used as filter/query parameters in analytics reports. If specified, the rules outlined in the section on Identifiers apply. When Analytics Tags is present: String Length(AnalyticsTags) <=32

it == state.AnalyticsTags

A unique identifier assigned by OneChronos to each auction.

Order identifier supplied by OneChronos.

An indicator code detailing why an an order was canceled

A client supplied account identifier.

it == state.Account

A Subscriber provided order ID satisfying the requirements for Subscriber provided IDs.

it == state.ClOrdID

When OrderIDis present stringLength(OrderID) >0 and stringLength(OrderID) <=32.

The state of the order. State transitions are governed per the FIX order state transition rules.

it == state.OrdStatus

The ClOrdID of the previous order in a FIX cancel/replace chain. Clients should always set OrigClOrdID to the most recent non-rejected ClOrdID sent; when populating OrigClOrdID OneChronos will always use the last accepted ClOrdID. Echoed from order.

Free form text. Subscribers can populate this field for internal use; OneChronos may populate this field to provide additional context to Subscriber when sending a rejection.

An error code indicating why a OrderCancelRequest (type=ORDER_CANCEL_REQUEST) was rejected.

Indicates the type of order cancel request that a OrderCancelReject is in response to.

A Subscriber provided order ID satisfying the requirements for Subscriber provided IDs.

it == state.ClOrdID

Trading currency of the instrument, i.e. GBX for pence listed instruments and GBP for pound listed instruments.

A unique ID for each execution report sent from OneChronos to Subscriber.

A reference to the original ExecID used for messages where ExecTransType=CANCEL.

Identifies the type of a transaction.

it in [ExecTransType.Cancel]

Values supported by OneChronos; 4 = ISIN Number

The market of the last fill; always OCXL or OCXE.

The price of the last fill.

The quantity of the last fill.

When OrderIDis present stringLength(OrderID) >0 and stringLength(OrderID) <=32.

it == state.OrderID

The original sending time of an ExecutionReport.

Instrument ID (ISIN)

The side of an order.

it == state.Side

The symbol (ticker) of the instrument being traded. Echoed from order.

it == state.Symbol

A UTC timestamp indicating when a transaction occurred. OneChronos logs events at nanosecond precision.

Market Identification Code. MIC code for the listing market for the ISIN

Indicates the trade classification associated with the execution. This field currently takes the value F, execution on the OneChronos periodic auction mechanism. This field is only populated on Execution Reports corresponding to partial or full fills.

Defines the source or type of the PartyID. P = Short Code Identifier

The short code representing the client or decision maker represented by this block. The value depends on 452 (PartyRole). Applicable to PartyRole 3 (ClientID).

Specifies the role of the party identified by tag #448 (PartyID).

Further qualifies the PartyRole (tag #452).