FIX Integration

FX - FIX 4.2 Specification

Order Types

OneChronos supports limit and pegged order types.

All Messages

General Notes

To ensure correctness and an easy interop OneChronos uses a FIX engine and order management system programmatically generated from a formal specification. The specification is written in Imandra Protocol Language (IPL). Excerpts of the model that pertain to field and message validation are included in this documentation.

Standard Header

The "Standard Header" is included at the beginning of every FIX message. The first three tags (BeginString, BodyLength, and type) must appear in that exact order.

BeginString

Tag
8
Type
string
Description
A delimiter identifying the start of a new FIX message. BeginString must be the first field present in every FIX message.
Required
Y
Validation
it == "FIX.4.2"

BodyLength

Tag
9
Type
int
Description
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.
Required
Y

MsgSeqNum

Tag
34
Type
int
Description
The message sequence number, per the rules governing message sequence numbers.
Required
Y

MsgType

Tag
35
Type
string
Description
The type of the FIX message. MsgType must be the third field present in every FIX message.
Required
Y
Enum values
  • HEARTBEAT: 0
    Message is a Heartbeat.
  • TEST_REQUEST: 1
    Message is a TestRequest.
  • RESEND_REQUEST: 2
    Message is a ResendRequest.
  • REJECT: 3
    Message is a Reject.
  • SEQUENCE_RESET: 4
    Message is a SequenceReset.
  • LOGOUT: 5
    Message is a Logout.
  • EXECUTION_REPORT: 8
    Message is a ExecutionReport.
  • ORDER_CANCEL_REJECT: 9
    Message is an OrderCancelReject.
  • LOGON: A
    Message is a Logon.
  • ORDER_SINGLE: D
    Message is a NewOrderSingle.
  • ORDER_CANCEL_REQUEST: F
    Message is a OrderCancelRequest.
  • ORDER_CANCEL_REPLACE_REQUEST: G
    Message is a OrderCancelReplaceRequest.
  • BUSINESS_MESSAGE_REJECT: j
    Message is a BusinessMessageReject.
  • TRADE_BUST: UCC
    Message is a TradeBust.

PossDupFlag

Tag
43
Type
boolean
Description
A flag indicating whether a message is a possible session level retransmission, per the message delivery rules.
Required
N
Enum values
  • POSSIBLE_DUPLICATE: Y
    Message is a possible retransmission.
  • ORIGINAL_TRANSMISSION: N
    Message is guaranteed to be an original transmission.

SenderCompID

Tag
49
Type
string
Description
OneChronos will assign this identifier as part of customer onboarding. Messages sent to OneChronos must always include Subscriber's assigned SenderCompID.
Required
Y

SendingTime

Tag
52
Type
utctimestamp
Description
The time of message transmission (always in UTC). OneChronos supports UTC timestamps at second, millisecond, or microsecond precision.
Required
Y

TargetCompID

Tag
56
Type
string
Description
The logical mirror of SenderCompID. Messages received from OneChronos will always have this field set to the SenderCompID assigned to you by us.
Required
Y

PossResend

Tag
97
Type
boolean
Description
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.
Required
N
Enum values
  • POSSIBLE_DUPLICATE: Y
    Message is a possible retransmission.
  • ORIGINAL_TRANSMISSION: N
    Message is guaranteed to be an original transmission.

OnBehalfOfCompID

Tag
115
Type
string
Description
Must be a valid NSCC MPID if present. Populating OnBehalfOfCompID will override the default port level MPID.
Required
N

OrigSendingTime

Tag
122
Type
utctimestamp
Description
Required by the FIX spec for orders where PossDupFlag=Y.
Required
N

DeliverToCompID

Tag
128
Type
string
Description
When a Subscriber populates OnBehalfOfCompId any message sent in response by OneChronos will populate this field with the value of OnBehalfOfCompId specified by Subscriber.
Required
N

Standard Trailer

The "Standard Trailer" is included at the end of every FIX message. CheckSum must appear as the last field.

CheckSum

Tag
10
Type
int
Description
A message checksum per the checksum calculation instructions.
Required
Y

Administrative Messages

Heartbeat (0)

Heartbeat messages should be sent whenever the HeartBtInt agreed to via login procedures has elapsed without another another message being sent. See the section on bidirectional heartbeats for additional information.

TestReqID

Tag
112
Type
string
Description
Must be present if sent in response to a TestRequest message.
Required
N

TestRequest (1)

TestRequest messages are used to explicitly request a Heartbeat from the counterparty when none is received. Applications should send a TestRequest whenever the agreed upon heartbeat interval plus one second (HeartBtInt+1) has elapsed without the receipt of a message, Heartbeat or otherwise. If a Heartbeat is not received promptly thereafter, the FIX session should be disconnected on the network level without attempting to send another message. Logon and message recovery procedures can proceed thereafter. A TestRequest can be sent by Subscriber to OneChronos, or by OneChronos to Subscriber.

TestReqID

Tag
112
Type
string
Description
An identifier for use with TestRequest and Heartbeat messages.
Required
Y

ResendRequest (2)

Request that one or more messages be retransmitted, per the procedures outlined in the section on FIX message Recovery. A ResendRequest can be sent by Subscriber to OneChronos, or by OneChronos to Subscriber.

BeginSeqNo

Tag
7
Type
int
Description
Message sequence number of first message in range to be resent.
Required
Y

EndSeqNo

Tag
16
Type
int
Description
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).
Required
Y

Reject (3)

Reject messages are used by OneChronos to indicate that a message received from Subscriber is invalid on the session level. Whereas business level rejections via ExecutionReport-BusinessReject are typical, Reject messages should not be received outside of FIX certification. Transmitting additional messages without further investigation is not recommended.

RefSeqNum

Tag
45
Type
int
Description
The sequence number of the message being referenced.
Required
Y

Text

Tag
58
Type
string
Description
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.
Required
N

RefTagID

Tag
371
Type
int
Description
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.
Required
N

RefMsgType

Tag
372
Type
string
Description
Always present when type is parsable on the message being rejected.
Required
N

SessionRejectReason

Tag
373
Type
int
Description
An error code indicating why a message was rejected on the session level.
Required
Y
Enum values
  • INVALID_TAG_NUMBER: 0
    One or more tag numbers fall outside of the legal tag range [1, 29999].
  • REQUIRED_TAG_MISSING: 1
    A required tag is missing.
  • TAG_NOT_DEFINED_FOR_MESSAGE: 2
    A tag that is valid for some message types but invalid for the given message type was present.
  • UNDEFINED_TAG: 3
    An unknown tag was included in the message.
  • TAG_WITHOUT_VALUE: 4
    A tag was present without a value.
  • VALUE_IS_INCORRECT: 5
    The referenced value is of the correct data type, but invalid.
  • INCORRECT_DATA_FORMAT: 6
    The referenced value does not have the correct data type.
  • COMP_ID_PROBLEM: 9
    Either the SenderCompID or TargetCompID is invalid.
  • SENDING_TIME_ACCURACY_PROBLEM: 10
    The differential between SendingTime and message receipt by OneChronos is too large.
  • INVALID_MESSAGE_TYPE: 11
    The message specifies a type outside of the OneChronos FIX specification.

SequenceReset (4)

Used by the sending application to modify the incoming sequence number of the application facing the sender. Further details are available in the section on sequence resets.

NewSeqNo

Tag
36
Type
int
Description
The next expected sequence number, per the rules governing message sequence numbers.
Required
Y

GapFillFlag

Tag
123
Type
boolean
Description
Indicates whether a SequenceReset is of type SequenceReset-Gap-Fill or SequenceReset-Reset. See Message Delivery for additional details.
Required
N
Enum values
  • GAP_FILL_MESSAGE_MSGSEQNUM_FIELD_VALID: Y
    Message is a SequenceReset-Gap-Fill; this is the correct value to use for message recovery/non disaster situations.
  • SEQUENCE_RESET_IGNORE_MSGSEQNUM: N
    Message is a SequenceReset-Reset; reset the counterparty's sequence expected incoming sequence number, without performing message recovery.

Logout (5)

Logout messages are used to initiate or acknowledge the orderly termination of a FIX session. Subscribers can initiate a logout at will. Under normal operating conditions OneChronos will only initiate a logout as part of the daily sequence number reset. See Logout for additional information.

Text

Tag
58
Type
string
Description
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.
Required
N

Logon (A)

Clients must send a Logon message to OneChronos immediately after establishing a TCP connection and before sending any other messages. If the Logon request is valid OneChronos will reply with a reciprocal Logon and wait one second before sending additional messages to ensure that no ResendRequest messages from Subscriber are in-flight. Clients should not send any business messages during this one second period. After the synchronization period has elapsed OneChronos will send a Heartbeat to indicate that the waiting period has ended. See the section on Login Procedures for additional information.

EncryptMethod

Tag
98
Type
int
Description
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.
Required
Y
Validation
it == EncryptMethod.NONE
Enum values
  • NONE: 0
    Do not use encryption.

HeartBtInt

Tag
108
Type
int
Description
The desired interval, in seconds, between heartbeats. See Heartbeats for additional details.
Required
Y
Validation
it >= 5 && it <= 180

BusinessMessageReject (j)

BusinessMessageReject messages are sent when a field validation is violated in a FIX message. (e.g. field length constraint)

RefSeqNum

Tag
45
Type
int
Description
The sequence number of the message being referenced.
Required
N

Text

Tag
58
Type
string
Description
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.
Required
N

RefMsgType

Tag
372
Type
string
Description
Always present when type is parsable on the message being rejected.
Required
Y

BusinessRejectReason

Tag
380
Type
int
Description
An error code indicating why a message was rejected by a BusinessMessageReject
Required
Y
Enum values
  • OTHER: 0
    Order violates one or more aspects of the venue order entry field specification
  • APPLICATION_NOT_AVAILABLE: 4
    In production and UAT environments, this status code indicates that the FIX gateway is temporarily unavailable and not accepting business messages. In certification, this status code and Tag 58 indicate what FIX business logic validations failed.
  • THROTTLE_LIMIT_EXCEEDED: 99
    Throttle limit exceeded

From Subscriber

NewOrderSingle (D)

NewOrderSingle messages are sent by Subscriber to OneChronos to initiate a new order. OneChronos supports OrdType=LIMIT and OrdType=PEGGED orders.

Account

Tag
1
Type
string
Description
A client supplied account identifier.
Required
N
Validation
case it                                  
    {None: true}                         
    {Some account: strLen(account) <= 32}

ClOrdID

Tag
11
Type
string
Description
A Subscriber provided order ID satisfying the requirements for Subscriber provided IDs.
Required
Y
Validation
strLen(it) > 0 && strLen(it) <= 32

ExecInst

Tag
18
Type
ExecInst
Description
Order handling instructions; multiple instructions can be specified in a space delimited list.
Required
N
Validation
it in {| MidPricePeg, None |}
Enum values
  • MID_PRICE_PEG: M
    Execute at a price equal to or more favorable than the midpoint of the NBBO.
  • PRIMARY_PEG: R
    Execute at a price equal to or more favorable than the NBB in the case of a buy order or the NBO in the case of a sell order.
  • MARKET_PEG: P
    Execute at a price equal to or more favorable than the NBO in the case of a buy order or the NBB in the case of a sell order.
  • CONDITIONAL: c
    Conditional indication.
  • FIRM_UP: u
    Firm up associated with a conditional invitation.
  • OPT_IN_TRIGGER_CONDITIONAL_INVITE: d
    Opt-in to triggering conditional invitations. Can only be used on firm orders targeting a user defined Nexus, not base.
  • OPT_OUT_MATCH_WITH_FIRM_UP: j
    Opt-out of matching with firm up orders in OneChronos auctions. Can only be used on firm orders.

HandlInst

Tag
21
Type
HandlInst
Description
HandlInst is required by FIX, but not used by OneChronos.
Required
Y
Enum values
  • AUTOMATED_EXECUTION_NO_INTERVENTION: 1
    Required by FIX, but not used by OneChronos.

OrderQty

Tag
38
Type
Qty
Description
The number of shares for the order.
Required
Y
Validation
it > 0.0

OrdType

Tag
40
Type
OrdType
Description
The type of an order.
Required
Y
Enum values
  • LIMIT: 2
    Order is eligible for execution at a price equal to or more favorable than Price.
  • PEGGED: P
    Order is eligible for execution at a price equal to or more favorable than a computed price per the peg instructions given in ExecInst and PegDifference.

Price

Tag
44
Type
Price
Description
The limit price of an order.
Required
N
Validation
case it {None: true} {Some price: price > 0.0}

Rule80A

Tag
47
Type
Rule80A
Description
The capacity of an order. For US equities, order capacity is in reference to Rule 80A.
Required
Y
Enum values
  • AGENCY_SINGLE_ORDER: A
    Broker is executing in an pure agency capacity.
  • PRINCIPAL: P
    Broker is executing as a principal in the transaction.
  • RISKLESS_PRINCIPAL: R
    Broker is executing as a riskless principal in the transaction.

Side

Tag
54
Type
Side
Description
The side of an order.
Required
Y
Enum values
  • BUY: 1
    Order is a buy.
  • SELL: 2
    Order is a long sell.

Symbol

Tag
55
Type
string
Description
The symbol (ticker) of the instrument being traded. See Symbology for additional details.
Required
Y
Validation
strLen(it) > 0 && strLen(it) <= 6

TimeInForce

Tag
59
Type
TimeInForce
Description
A field governing how long an order will remain active for.
Required
Y
Enum values
  • DAY: 0
    Order will remain active throughout the regular trading session.
  • IMMEDIATE_OR_CANCEL: 3
    Order will be canceled after participating in one auction.
  • FILL_OR_KILL: 4
    Order will be canceled unless it can be filled in entirety in one auction; partial fills are not allowed.
  • GOOD_TILL_DATE: 6
    Order will remain active until the time specified by ExpireTime.

TransactTime

Tag
60
Type
UTCTimestamp
Description
A UTC timestamp indicating when a transaction occurred. Internally, OneChronos logs events at microsecond or higher precision but disseminates time msgFields with millisecond precision. Subscribers desiring microsecond precision timestamps can enable them on a port level.
Required
Y

MinQty

Tag
110
Type
Qty
Description
The minimum permissible fill quantity for an order.
Required
N
Validation
case it                  
    {None: true}         
    {Some qty: qty > 0.0}

ExpireTime

Tag
126
Type
UTCTimestamp
Description
When TimeInForce=GOOD_TILL_DATE ExpireTime must be populated with the desired expiry time.
Required
N

PegDifference

Tag
211
Type
PriceOffset
Description
Amount (signed) added to the price of the peg for a pegged order.
Required
N
Validation
case it                  
    {None: true}         
    {Some qty: qty > 0.0}

AnalyticsTags

Tag
20001
Type
string
Description
An optional Subscriber/Customer 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.
Required
N
Validation
case it                                              
    {None: true}                                     
    {Some analyticsTags: strLen(analyticsTags) <= 32}

ExpressiveBidURI

Tag
20004
Type
string
Description
The Expressive Bid URI.
Required
N

ExpressiveBidArgument1

Tag
20009
Type
string
Description
Expressve Bid argument 1.
Required
N

ExpressiveBidArgument2

Tag
20010
Type
string
Description
Expressve Bid argument 2.
Required
N

ExpressiveBidArgument3

Tag
20011
Type
string
Description
Expressve Bid argument 3.
Required
N

ExpressiveBidArgument4

Tag
20012
Type
string
Description
Expressve Bid argument 4.
Required
N

Message Validations

state.orderEntry.isConnected

state.portSettings.dropCopyDisconnect.rejectNew ==>
    state.orderEntry.isDropCopyConnected

isUnusedClOrdId(this.ClOrdID)

isMarketHours()

this.ExecInst == (Some MidPricePeg) <==> this.OrdType == OrdType.Pegged

isValidSymbol(this.Symbol)

this.OrdType == Pegged ==> present(this.ExecInst)

this.OrdType == OrdType.Limit ==> present(this.Price)

this.TimeInForce == GoodTillDate ==> present(this.ExpireTime)

this.TimeInForce != GoodTillDate ==> !present(this.ExpireTime)

this.TimeInForce in [FillOrKill] ==> !present(this.MinQty) ||
    (case this.MinQty
     {None: true}
     {Some x: x == this.OrderQty})

isValidExpireTime(this.ExpireTime)

present(this.MinQty) ==> (case this.MinQty
                              {Some minQty: minQty <= this.OrderQty }
                              {None: true })

present(this.PegDifference) ==> this.ExecInst in {|MidPricePeg, PrimaryPeg, MarketPeg|}

!present(this.ExpressiveBidURI)
    &&
    !present(this.ExpressiveBidArgument1)
    &&
    !present(this.ExpressiveBidArgument2)
    &&
    !present(this.ExpressiveBidArgument3)
    &&
    !present(this.ExpressiveBidArgument4)

OrderCancelRequest (F)

Subscribers may request that an order entered via NewOrderSingle be canceled by sending OneChronos an OrderCancelRequest. Cancellations are accepted via an ExecutionReport message and rejected via OrderCancelReject.

ClOrdID

Tag
11
Type
string
Description
A Subscriber provided order ID satisfying the requirements for Subscriber provided IDs.
Required
Y
Validation
strLen(it) > 0 && strLen(it) <= 32

OrderID

Tag
37
Type
string
Description
An identifier assigned by OneChronos to all orders entered via NewOrderSingle. In contexts where an OrderID is required but not available, e.g., when sending an OrderCancelReject in response to an unknown order, OrderID will be populated with NONE.
Required
N
Validation
case it                                                         
    {None: true}                                                
    {Some orderId: strLen(orderId) > 0 && strLen(orderId) <= 32}

OrderQty

Tag
38
Type
Qty
Description
The number of shares for the order.
Required
N

OrigClOrdID

Tag
41
Type
string
Description
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.
Required
N
Validation
case it                                                         
    {None: true}                                                
    {Some orderId: strLen(orderId) > 0 && strLen(orderId) <= 32}

Side

Tag
54
Type
Side
Description
The side of an order.
Required
Y
Validation
it == state.Side
Enum values
  • BUY: 1
    Order is a buy.
  • SELL: 2
    Order is a long sell.

Symbol

Tag
55
Type
string
Description
The symbol (ticker) of the instrument being traded. See Symbology for additional details.
Required
Y
Validation
it == state.Symbol

TransactTime

Tag
60
Type
UTCTimestamp
Description
A UTC timestamp indicating when a transaction occurred. Internally, OneChronos logs events at microsecond or higher precision but disseminates time msgFields with millisecond precision. Subscribers desiring microsecond precision timestamps can enable them on a port level.
Required
Y

AnalyticsTags

Tag
20001
Type
string
Description
An optional Subscriber/Customer 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.
Required
N

Message Validations

state.orderEntry.isConnected

isUnusedClOrdId(this.ClOrdID)

isLegalCancelOrder(this.OrderID, this.OrigClOrdID)

isMarketHours()

isLegalStateForCancelOrModify(state.OrdStatus)

OrderCancelReplaceRequest (G)

Subscribers may request that an order entered via NewOrderSingle be modified by sending OneChronos an OrderCancelReplaceRequest. Modifications are accepted via an ExecutionReport message and rejected via OrderCancelReject. Only a subset of the Order's fields can be modified. See the field validations below to determine which fields are eligible for modification.

Account

Tag
1
Type
string
Description
A client supplied account identifier.
Required
N
Validation
case it                                                         
    {None: true}                                                
    {Some account: strLen(account) > 0 && strLen(account) <= 32}

ClOrdID

Tag
11
Type
string
Description
A Subscriber provided order ID satisfying the requirements for Subscriber provided IDs.
Required
Y
Validation
strLen(it) > 0 && strLen(it) <= 32

ExecInst

Tag
18
Type
ExecInst
Description
Order handling instructions; multiple instructions can be specified in a space delimited list.
Required
N
Validation
it == state.ExecInst
Enum values
  • MID_PRICE_PEG: M
    Execute at a price equal to or more favorable than the midpoint of the NBBO.
  • PRIMARY_PEG: R
    Execute at a price equal to or more favorable than the NBB in the case of a buy order or the NBO in the case of a sell order.
  • MARKET_PEG: P
    Execute at a price equal to or more favorable than the NBO in the case of a buy order or the NBB in the case of a sell order.
  • CONDITIONAL: c
    Conditional indication.
  • FIRM_UP: u
    Firm up associated with a conditional invitation.
  • OPT_IN_TRIGGER_CONDITIONAL_INVITE: d
    Opt-in to triggering conditional invitations. Can only be used on firm orders targeting a user defined Nexus, not base.
  • OPT_OUT_MATCH_WITH_FIRM_UP: j
    Opt-out of matching with firm up orders in OneChronos auctions. Can only be used on firm orders.

HandlInst

Tag
21
Type
HandlInst
Description
HandlInst is required by FIX, but not used by OneChronos.
Required
Y
Enum values
  • AUTOMATED_EXECUTION_NO_INTERVENTION: 1
    Required by FIX, but not used by OneChronos.

OrderQty

Tag
38
Type
Qty
Description
The number of shares for the order.
Required
N
Validation
isLegalModifyQty(it)

OrdType

Tag
40
Type
OrdType
Description
The type of an order.
Required
Y
Validation
it == state.OrdType
Enum values
  • LIMIT: 2
    Order is eligible for execution at a price equal to or more favorable than Price.
  • PEGGED: P
    Order is eligible for execution at a price equal to or more favorable than a computed price per the peg instructions given in ExecInst and PegDifference.

OrigClOrdID

Tag
41
Type
string
Description
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.
Required
Y
Validation
strLen(it) > 0 && strLen(it) <= 32

Price

Tag
44
Type
Price
Description
The limit price of an order.
Required
N

Rule80A

Tag
47
Type
Rule80A
Description
The capacity of an order. For US equities, order capacity is in reference to Rule 80A.
Required
Y
Validation
it == state.Rule80A
Enum values
  • AGENCY_SINGLE_ORDER: A
    Broker is executing in an pure agency capacity.
  • PRINCIPAL: P
    Broker is executing as a principal in the transaction.
  • RISKLESS_PRINCIPAL: R
    Broker is executing as a riskless principal in the transaction.

Side

Tag
54
Type
Side
Description
The side of an order.
Required
Y
Validation
it == state.Side
Enum values
  • BUY: 1
    Order is a buy.
  • SELL: 2
    Order is a long sell.

Symbol

Tag
55
Type
string
Description
The symbol (ticker) of the instrument being traded. See Symbology for additional details.
Required
Y
Validation
it == state.Symbol

TimeInForce

Tag
59
Type
TimeInForce
Description
A field governing how long an order will remain active for.
Required
Y
Validation
it == state.TimeInForce
Enum values
  • DAY: 0
    Order will remain active throughout the regular trading session.
  • IMMEDIATE_OR_CANCEL: 3
    Order will be canceled after participating in one auction.
  • FILL_OR_KILL: 4
    Order will be canceled unless it can be filled in entirety in one auction; partial fills are not allowed.
  • GOOD_TILL_DATE: 6
    Order will remain active until the time specified by ExpireTime.

TransactTime

Tag
60
Type
UTCTimestamp
Description
A UTC timestamp indicating when a transaction occurred. Internally, OneChronos logs events at microsecond or higher precision but disseminates time msgFields with millisecond precision. Subscribers desiring microsecond precision timestamps can enable them on a port level.
Required
Y

MinQty

Tag
110
Type
Qty
Description
The minimum permissible fill quantity for an order.
Required
N
Validation
case it                  
    {None: true}         
    {Some qty: qty > 0.0}

ExpireTime

Tag
126
Type
UTCTimestamp
Description
When TimeInForce=GOOD_TILL_DATE ExpireTime must be populated with the desired expiry time.
Required
N
Validation
it == state.ExpireTime

PegDifference

Tag
211
Type
PriceOffset
Description
Amount (signed) added to the price of the peg for a pegged order.
Required
N

AnalyticsTags

Tag
20001
Type
string
Description
An optional Subscriber/Customer 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.
Required
N
Validation
case it                                             
    {None: true}                                    
    {Some _analyticsTags: it == state.AnalyticsTags}

ExpressiveBidURI

Tag
20004
Type
string
Description
The Expressive Bid URI.
Required
N

ExpressiveBidArgument1

Tag
20009
Type
string
Description
Expressve Bid argument 1.
Required
N

ExpressiveBidArgument2

Tag
20010
Type
string
Description
Expressve Bid argument 2.
Required
N

ExpressiveBidArgument3

Tag
20011
Type
string
Description
Expressve Bid argument 3.
Required
N

ExpressiveBidArgument4

Tag
20012
Type
string
Description
Expressve Bid argument 4.
Required
N

Message Validations

state.orderEntry.isConnected

isUnusedClOrdId(this.ClOrdID)

this.OrigClOrdID == state.ClOrdID

isMarketHours()

isLegalStateForCancelOrModify(state.OrdStatus)

this.OrdType == OrdType.Limit ==> present(state.Price)

present(this.MinQty) ==> (
            case this.MinQty
            { None: true }
            { Some minQty: minQty <= this.OrderQty })

present(this.PegDifference) ==> this.ExecInst in {|MidPricePeg, PrimaryPeg, MarketPeg|}

!present(this.ExpressiveBidURI)
    &&
    !present(this.ExpressiveBidArgument1)
    &&
    !present(this.ExpressiveBidArgument2)
    &&
    !present(this.ExpressiveBidArgument3)
    &&
    !present(this.ExpressiveBidArgument4)

To Subscriber

ExecutionReport (8)

Execution reports are sent by OneChronos to Subscriber to acknowledge order entry and cancellation, communicate fills (both partial and complete), and notify Subscriber when the state of an order changes due to venue or order specific lifecycle events. The following msgFields are common to all execution reports. Order state specific reports contain additional msgFields, as indicated below this section.

Account

Tag
1
Type
string
Description
A client supplied account identifier.
Required
Y
Validation
it == state.Account

AvgPx

Tag
6
Type
Price
Description
An average price computed across all fills for an order.
Required
Y

ClOrdID

Tag
11
Type
string
Description
A Subscriber provided order ID satisfying the requirements for Subscriber provided IDs.
Required
Y
Validation
it == state.ClOrdID

CumQty

Tag
14
Type
Qty
Description
The aggregate filled quantity computed across all fills for an order.
Required
Y
Validation
it >= 0.0

ExecID

Tag
17
Type
string
Description
A unique ID for each execution report sent from OneChronos to Subscriber.
Required
Y

ExecInst

Tag
18
Type
ExecInst
Description
Order handling instructions; multiple instructions can be specified in a space delimited list.
Required
N
Validation
it == state.ExecInst
Enum values
  • MID_PRICE_PEG: M
    Execute at a price equal to or more favorable than the midpoint of the NBBO.
  • PRIMARY_PEG: R
    Execute at a price equal to or more favorable than the NBB in the case of a buy order or the NBO in the case of a sell order.
  • MARKET_PEG: P
    Execute at a price equal to or more favorable than the NBO in the case of a buy order or the NBB in the case of a sell order.
  • CONDITIONAL: c
    Conditional indication.
  • FIRM_UP: u
    Firm up associated with a conditional invitation.
  • OPT_IN_TRIGGER_CONDITIONAL_INVITE: d
    Opt-in to triggering conditional invitations. Can only be used on firm orders targeting a user defined Nexus, not base.
  • OPT_OUT_MATCH_WITH_FIRM_UP: j
    Opt-out of matching with firm up orders in OneChronos auctions. Can only be used on firm orders.

ExecTransType

Tag
20
Type
ExecTransType
Description
Identifies the type of a transaction.
Required
Y
Validation
it == ExecTransType.New
Enum values
  • NEW: 0
    A new execution report.
  • CANCEL: 1
    Cancellation of a previously sent execution report.

LastPx

Tag
31
Type
Price
Description
The price of the last fill.
Required
N

LastShares

Tag
32
Type
Qty
Description
The quantity of the last fill.
Required
N

OrderID

Tag
37
Type
string
Description
An identifier assigned by OneChronos to all orders entered via NewOrderSingle. In contexts where an OrderID is required but not available, e.g., when sending an OrderCancelReject in response to an unknown order, OrderID will be populated with NONE.
Required
Y
Validation
it == state.OrderID

OrderQty

Tag
38
Type
Qty
Description
The number of shares for the order.
Required
Y
Validation
it == state.OrderQty

OrdStatus

Tag
39
Type
OrdStatus
Description
The state of the order. State transitions are governed per the FIX order state transition rules.
Required
Y
Enum values
  • NEW: 0
    Order is acknowledged.
  • PARTIALLY_FILLED: 1
    Order is partially filled.
  • FILLED: 2
    Order is fully filled.
  • CANCELED: 4
    Order was successfully canceled.
  • REPLACED: 5
    Order was replaced.
  • PENDING_CANCEL: 6
    Order is awaiting Cancellation.
  • REJECTED: 8
    Order was rejected.
  • EXPIRED: C
    Order is expired.
  • PENDING_REPLACE: E
    Order is in a pending replace state.

OrdType

Tag
40
Type
OrdType
Description
The type of an order.
Required
Y
Validation
it == state.OrdType
Enum values
  • LIMIT: 2
    Order is eligible for execution at a price equal to or more favorable than Price.
  • PEGGED: P
    Order is eligible for execution at a price equal to or more favorable than a computed price per the peg instructions given in ExecInst and PegDifference.

OrigClOrdID

Tag
41
Type
string
Description
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.
Required
N

Price

Tag
44
Type
Price
Description
The limit price of an order.
Required
N
Validation
it == state.Price

Rule80A

Tag
47
Type
Rule80A
Description
The capacity of an order. For US equities, order capacity is in reference to Rule 80A.
Required
Y
Validation
it == state.Rule80A
Enum values
  • AGENCY_SINGLE_ORDER: A
    Broker is executing in an pure agency capacity.
  • PRINCIPAL: P
    Broker is executing as a principal in the transaction.
  • RISKLESS_PRINCIPAL: R
    Broker is executing as a riskless principal in the transaction.

Side

Tag
54
Type
Side
Description
The side of an order.
Required
Y
Validation
it == state.Side
Enum values
  • BUY: 1
    Order is a buy.
  • SELL: 2
    Order is a long sell.

Symbol

Tag
55
Type
string
Description
The symbol (ticker) of the instrument being traded. See Symbology for additional details.
Required
Y
Validation
it == state.Symbol

Text

Tag
58
Type
string
Description
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.
Required
N

TimeInForce

Tag
59
Type
TimeInForce
Description
A field governing how long an order will remain active for.
Required
Y
Validation
it == state.TimeInForce
Enum values
  • DAY: 0
    Order will remain active throughout the regular trading session.
  • IMMEDIATE_OR_CANCEL: 3
    Order will be canceled after participating in one auction.
  • FILL_OR_KILL: 4
    Order will be canceled unless it can be filled in entirety in one auction; partial fills are not allowed.
  • GOOD_TILL_DATE: 6
    Order will remain active until the time specified by ExpireTime.

TransactTime

Tag
60
Type
UTCTimestamp
Description
A UTC timestamp indicating when a transaction occurred. Internally, OneChronos logs events at microsecond or higher precision but disseminates time msgFields with millisecond precision. Subscribers desiring microsecond precision timestamps can enable them on a port level.
Required
Y

FutSettDate

Tag
64
Type
LocalMktDate
Description
Specific date of trade settlement
Required
N

TradeDate

Tag
75
Type
LocalMktDate
Description
Indicates date of trade
Required
N

OrdRejReason

Tag
103
Type
OrdRejReason
Description
An error code indicating why a NewOrderSingle (type=ORDER_SINGLE) was rejected.
Required
N
Enum values
  • BROKER_OPTION: 0
    Order violates one or more aspects of the venue order entry specification not enumerated by OrdRejReason.
  • UNKNOWN_SYMBOL: 1
    Order references an unknown Symbol or SymbolSfx.
  • EXCHANGE_CLOSED: 2
    Order received outside of market hours.
  • ORDER_EXCEEDS_LIMIT: 3
    Order violates venue or user configured risk limits.
  • DUPLICATE_ORDER: 6
    Order specifies a ClOrdID that is currently in use.
  • INVALID_EXPRESSIVE_BID_URI: 9
    The expressive bid URI and/or arguments associated with an OrderSingle was invalid.

MinQty

Tag
110
Type
Qty
Description
The minimum permissible fill quantity for an order.
Required
N
Validation
it == state.MinQty

ExpireTime

Tag
126
Type
UTCTimestamp
Description
When TimeInForce=GOOD_TILL_DATE ExpireTime must be populated with the desired expiry time.
Required
N
Validation
it == state.ExpireTime

ExecType

Tag
150
Type
ExecType
Description
The type of an ExecutionReport. See the section on FIX order state transitions for additional details.
Required
Y
Enum values
  • NEW: 0
    Report is an ExecutionReport-Acknowledgement.
  • PARTIAL_FILL: 1
    Report is an ExecutionReport-PartialFill.
  • FILL: 2
    Report is an ExecutionReport-Fill.
  • CANCELED: 4
    Execution report is an ExecutionReport-Cancel or ExecutionReport-UnsolicitedCancel.
  • REPLACED: 5
    Execution report is an ExecutionReport-Replace.
  • PENDING_CANCEL: 6
    Execution report is an ExecutionReport-PendingCancel.
  • REJECTED: 8
    Execution report is an ExecutionReport-BusinessReject.
  • EXPIRED: C
    Report is an ExecutionReport-Expired.
  • PENDING_REPLACE: E
    Report is an ExecutionReport-PendingReplace.

LeavesQty

Tag
151
Type
Qty
Description
The remaining (unfilled) quantity of an order open for additional fills. If OrdStatus is CANCELED, EXPIRED, or REJECTED LeavesQty=0. Otherwise, LeavesQty=OrderQty - CumQty.
Required
Y
Validation
it == 0.0 || it == leavesQty()

PegDifference

Tag
211
Type
PriceOffset
Description
Amount (signed) added to the price of the peg for a pegged order.
Required
N
Validation
it == state.PegDifference

TradeLiquidityIndicator

Tag
9730
Type
string
Description
An indicator code containing alphanumeric strings (up to four characters) that represent the type of the trade (e.g. conditional firm up) and associated fee.
Required
N

AnalyticsTags

Tag
20001
Type
string
Description
An optional Subscriber/Customer 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.
Required
N
Validation
it == state.AnalyticsTags

OmniverseTags

Tag
20003
Type
string
Description
An optional string passing back the the Omniverse arguments of an order
Required
N

AuctionID

Tag
20005
Type
int
Description
A unique identifier assigned by OneChronos to each auction.
Required
N

AuctionSubID

Tag
20006
Type
int
Description
A unique identifier assigned by OneChronos to each atomic symbol within a given auction. Any given AuctionID can have zero or more values of AuctionSubID associated with it.
Required
N

CancelReason

Tag
20007
Type
CancelReason
Description
An indicator code detailing why an an order was canceled
Required
N
Enum values
  • UNSPECIFIED: 0
    Unspecified - no additional information is available
  • USER_INITIATED: 1
    The user initiated the cancel
  • IOC: 2
    The cancelation was sent as the result of an Immediate or Cancel (IOC) order expiring either partially filled or unfilled.
  • FOK: 3
    The cancelation was sent as the result of a Fill or Kill (FOK) order expiring unfilled.
  • TIME_IN_FORCE: 4
    The cancelation was sent as the result of an order expiring due to a time in force constraint.
  • HALT: 5
    The cancelation was sent as the result of either a venue wide or trading symbol specific trading halt.
  • ORDER_ENTRY_DISCONNECT: 6
    The cancelation was sent as the result of an order entry FIX session disconnect when cancel on disconnect behavior is configured.
  • DROP_COPY_DISCONNECT: 7
    The cancelation was sent as the result of a drop copy FIX session disconnect when cancel on disconnect behavior is configured.
  • CONDITIONAL_INVITATION: 8
    The cancelation was sent as the result of a conditional invitation.

LastNexusID

Tag
20008
Type
string
Description
The NexusID associated with a fill. If the order was filled in Base, this field is left empty.
Required
N

Message Validations

state.orderEntry.isConnected

this.ExecType in [ExecType.PartialFill, ExecType.Fill] ==>
      present(this.LastPx) &&
      present(this.LastShares) &&
      present(this.FutSettDate) &&
      present(this.TradeDate) &&
      present(this.TradeLiquidityIndicator) &&
      present(this.AuctionID) &&
      present(this.AuctionSubID)

!(this.ExecType in [ExecType.PartialFill, ExecType.Fill]) ==>
      !(
        present(this.AuctionID) ||
        present(this.AuctionSubID)) ||
        present(this.FutSettDate) ||
        present(this.TradeDate) ||
        present(this.TradeLiquidityIndicator)

this.ExecType == ExecType.New ==> this.AvgPx == 0.0

this.ExecType == ExecType.Replaced ==> present(this.OrigClOrdID)

this.ExecType == ExecType.Rejected ==> present(this.OrdRejReason) &&
    this.ExecType != ExecType.Rejected ==> !present(this.OrdRejReason)

this.OrdStatus in [OrdStatus.Canceled, OrdStatus.Expired,
                       OrdStatus.Rejected] ==>
      this.LeavesQty == 0.0

!(this.OrdStatus in [OrdStatus.Canceled, OrdStatus.Expired,
                         OrdStatus.Rejected]) ==>
      this.LeavesQty == this.OrderQty - this.CumQty

this.ExecType in [ExecType.New, ExecType.Canceled, ExecType.Rejected, ExecType.Replaced,
                      ExecType.PendingCancel, ExecType.PendingReplace] ==>
      this.LastPx == (Some 0.0) && this.LastShares == (Some 0.0)

this.ExecType == ExecType.Canceled ==> present(this.CancelReason) &&
    this.ExecType != ExecType.Canceled ==> !present(this.CancelReason)

present(this.OmniverseTags) ==> this.ExecType in [
      ExecType.Fill, ExecType.PartialFill,
      ExecType.New, ExecType.Replaced, ExecType.PendingReplace,
      ExecType.Canceled, ExecType.PendingCancel
    ]

present(this.LastNexusID) ==> this.ExecType in [ExecType.Fill, ExecType.PartialFill]

OrderCancelReject (9)

OrderCancelReject messages are sent from OneChronos to Subscriber in response to OrderCancelRequest messages that are invalid on a business logic level, or that reference orders in a non-cancelable state.

Account

Tag
1
Type
string
Description
A client supplied account identifier.
Required
N
Validation
it == state.Account

ClOrdID

Tag
11
Type
string
Description
A Subscriber provided order ID satisfying the requirements for Subscriber provided IDs.
Required
Y
Validation
it == state.ClOrdID

OrderID

Tag
37
Type
string
Description
An identifier assigned by OneChronos to all orders entered via NewOrderSingle. In contexts where an OrderID is required but not available, e.g., when sending an OrderCancelReject in response to an unknown order, OrderID will be populated with NONE.
Required
Y

OrdStatus

Tag
39
Type
OrdStatus
Description
The state of the order. State transitions are governed per the FIX order state transition rules.
Required
Y
Validation
it == state.OrdStatus
Enum values
  • NEW: 0
    Order is acknowledged.
  • PARTIALLY_FILLED: 1
    Order is partially filled.
  • FILLED: 2
    Order is fully filled.
  • CANCELED: 4
    Order was successfully canceled.
  • REPLACED: 5
    Order was replaced.
  • PENDING_CANCEL: 6
    Order is awaiting Cancellation.
  • REJECTED: 8
    Order was rejected.
  • EXPIRED: C
    Order is expired.
  • PENDING_REPLACE: E
    Order is in a pending replace state.

OrigClOrdID

Tag
41
Type
string
Description
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.
Required
N

Text

Tag
58
Type
string
Description
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.
Required
N

CxlRejReason

Tag
102
Type
CxlRejReason
Description
An error code indicating why a OrderCancelRequest (type=ORDER_CANCEL_REQUEST) was rejected.
Required
Y
Enum values
  • TOO_LATE_TO_CANCEL: 0
    Cancellation request received after order was filled in entirety.
  • UNKNOWN_ORDER: 1
    The ClOrdID referenced in the OrderCancelRequest is unknown.
  • BROKER_OPTION: 2
    The request could not be processed and a more specific reason is not available.
  • ORDER_ALREADY_IN_PENDING_STATUS: 3
    A cancellation request was already received for the order referenced.
  • INVALID_EXPRESSIVE_BID_URI: 4
    The expressive bid URI and/or arguments was invalid; only applicable when CxlRejResponseTo=2 (OrderCancelReplaceRequest (G)).

CxlRejResponseTo

Tag
434
Type
CxlRejResponseTo
Description
Indicates the type of order cancel request that a OrderCancelReject is in response to.
Required
Y
Enum values
  • ORDER_CANCEL_REQUEST: 1
    A response to an OrderCancelRequest (F)
  • ORDER_CANCEL_REPLACE_REQUEST: 2
    A response to aa OrderCancelReplaceRequest (G)

Message Validations

state.orderEntry.isConnected

TradeBust (UCC)

TradeBust messages are sent to Subscriber to report trade breaks. Only full breaks (cancellations) ExecTransType=CANCEL are supported.

Report Specializations

ExecutionReport is used for many purposes, such as conveying the acceptance of an order or communicating fills to Subscriber. The ExecutionReport types sent by OneChronos are enumerated below. The rules that OneChronos uses to compute OrdStatus are strictly compliant with FIX, and outlined as a state transition matrix in the section on Order States.

Order State Transitions

OneChronos uses a subset of the legal FIX order state transitions. When an order is in multiple states at once (e.g. PENDING_CANCEL and PARTIALLY_FILLED) the FIX rules of precedence are used to determine which state is reported in the OrdStatus field of an ExecutionReport.

  • PENDING_CANCEL: 12
    (highest precedence)
  • PENDING_REPLACE: 11
  • FILLED: 8
  • CANCELED: 5
  • PARTIALLY_FILLED: 4
  • NEW: 2
  • REJECTED: 2
  • PENDING_NEW: 2

Note that values are non-consecutive to maintain parity with the FIX 4.2 specification.

The following are legal transitions (from the perspective of OneChronos sending ExecutionReport messages). States that can only transition to themselves and for which no further messages will be sent (with the exception of trade breaks, when configured) are labeled TERMINAL.

  • NEW
    • PARTIALLY_FILLED
    • FILLED
    • EXPIRED
    • CANCELED
    • PENDING_CANCEL
  • PARTIALLY_FILLED
    • PARTIALLY_FILLED
    • FILLED
    • EXPIRED
    • CANCELED
    • PENDING_CANCEL
  • FILLED
    • TERMINAL
  • EXPIRED
    • TERMINAL
  • CANCELED
    • TERMINAL
  • PENDING_CANCEL
    • PENDING_CANCEL
    • FILLED
    • CANCELED
  • REJECTED
    • TERMINAL
  • PENDING_NEW
    • NEW
    • REJECTED

Drop Copy

OneChronos offers two types of FIX drop copy:

  • Order-by-Order: All business level messages (including trade breaks, if configured) are forwarded to the drop copy session
  • Fills Only: Only ExecutionReport-Fill and ExecutionReport-PartialFill messages are forwarded to the drop copy session

Drop copy functionality is configured on the port/session level.

Port Settings

The following parameters can be configured on the FIX port/session level:

Order Entry Port Settings

Allow Short Sales

Enabled by default: Y
Allow short sales - orders where Side=SELL_SHORT or Side=SELL_SHORT_EXEMPT.

Allow Test Symbols

Enabled by default: N
If true, orders for both test and tradable symbols will be accepted. If false, only tradable (non-test) symbols will be allowed.

Cancel On Disconnect

Enabled by default: Y
Cancel all orders in the event of a FIX/network disconnect. Orders that are too late to cancel (actively participating in an auction) will not be canceled.

Cancel on Halt

Enabled by default: N
Cancel all orders for halted symbols. If the halt impacts any one leg of a combinatorial order, all legs will be canceled.

Fat Finger Percent Delta

Enabled by default: N
Reject orders that are more than a given percent outside of the prevailing NBBO price upon the initiation of an auction. This calculation only applies to individual legs of a combinatorial order that specify a limit price.

Parameters:

  • Name: 
    maxPctDelta
    Description: The maximum percent delta.
    Type: 
    number
    Default Value: 
    10.0

    Validation: 

    this.maxPctDelta >= 0.000001 && this.maxPctDelta <= 10.0

Maximum Notional Value

Enabled by default: N
The maximum permissible notional value (in USD) for a single order.

Parameters:

  • Name: 
    maxValue
    Description: Max notional value.
    Type: 
    number
    Default Value: 
    1,000,000,000

    Validation: 

    this.maxValue >= 1.0 && this.maxValue <= 1,000,000,000

Maximum Order Shares

Enabled by default: Y
The maximum number of shares allowed for a single order.

Parameters:

  • Name: 
    maxValue
    Description: Max shares for a single order.
    Type: 
    integer
    Default Value: 
    10,000,000

    Validation: 

    this.maxValue >= 1 && this.maxValue <= 10,000,000

Self-Match Prevention

Enabled by default: N
Self-match prevention (anti-internalization) behavior. When disabled, all Subscriber orders are free to match against all other Subscriber orders. When enabled and set to SUBSCRIBER, orders will not match against other orders from the same Subscriber. When set to MPID, orders will not match against other orders from the same MPID as determined by OnBehalfOfCompID or the port level default MPID. When set to SENDER_COMP_ID, orders will not match against other orders from the same SenderCompID. Note that in all cases Tag 2362 SelfMatchPreventionID takes precedence over this port setting.

Parameters:

  • Name: 
    selfMatchPrevention
    Type: 
    enum
    Default Value: 
    SENDER_COMP_ID
    Enum values: 
    • SUBSCRIBER: 0
      Subscriber-level self match prevention
    • MPID: 1
      MPID-level self match prevention
    • SENDER_COMP_ID: 2
      Session/SenderCompID self match prevention

Symbology Type

Enabled by default: Y
Defines the symbology suffix convention to use for order entry.

Parameters:

  • Name: 
    symbologyType
    Type: 
    enum
    Default Value: 
    CMS_CONCATENATED
    Enum values: 
    • CMS_CONCATENATED: 0
      Use CMS Concatenated symbology for symbols requiring a suffix.
    • CMS_SUFFIX: 1
      Use CMS Suffix symbology for symbols requiring a suffix.
    • NASDAQ_INTEGRATED: 2
      Use NASDAQ Integrated symbology for symbols requiring a suffix.

Timestamp Accuracy

Enabled by default: Y
Controlls the accuracy of the timestamps that OneChronos will send the Subscriber in outbound messages e.g. an ExecutionReport.

Parameters:

  • Name: 
    timestampPrecision
    Type: 
    enum
    Default Value: 
    Milli
    Enum values: 
    • MILLI: 0
      Millisecond timestamp reporting
    • MICRO: 1
      Microsecond timestamp reporting
    • NANO: 2
      Naonsecond timestamp reporting

Trade Break Reporting

Enabled by default: N
Enable TradeBreak reporting.

Drop Copy Port Settings

Drop Copy Type

Enabled by default: Y
Controls the type of drop copy reports that are sent to Subscriber.

Parameters:

  • Name: 
    drop_copy_type
    Description: The type of drop copy reports that are sent.
    Type: 
    enum
    Default Value: 
    FILLS_ONLY
    Enum values: 
    • ORDER_BY_ORDER: 0
      All business level messages (including trade breaks, if configured) are forwarded to the drop copy session.
    • FILLS_ONLY: 1
      Only ExecutionReport-Fill and ExecutionReport-PartialFill messages are forwarded to the drop copy session.

Trade Break Reporting

Enabled by default: N
Enable TradeBreak reporting.