US Equities ATS - 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 second, millisecond, or microsecond 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.

Must be a valid NSCC MPID if present. Populating OnBehalfOfCompID will override the default port level MPID.

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 per the checksum calculation instructions.

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

Order handling instructions; multiple instructions can be specified in a space delimited list.

case it                                                               
    {None: true}                                                      
    {Some execInst: subset(execInst, {|                               
                                        MidPricePeg,                  
                                        PrimaryPeg,                   
                                        MarketPeg,                    
                                        Conditional,                  
                                        FirmUp,                       
                                        OptInTriggerConditionalInvite,
                                        OptOutMatchWithFirmUp         
                                      |})}                            

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

The number of shares for the order.

it > 0.0

The type of an order.

The limit price of an order.

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

The capacity of an order. For US equities, order capacity is in reference to Rule 80A.

The side of an order.

The symbol (ticker) of the instrument being traded. See Symbology for additional details.

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

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

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.

A suffix for the symbol (ticker) being traded, when applicable. See Symbology for additional details.

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

The minimum permissible fill quantity for an order.

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

A boolean flag indicating whether a locate is required when selling short. For US equities orders, any order where LocateReqd is absent or set to Y will result in a rejection if Side=SELL_SHORT or Side=SELL_SHORT_EXEMPT.

When TimeInForce=GOOD_TILL_DATE ExpireTime must be populated with the desired expiry time.

Amount (signed) added to the price of the peg for a pegged order.

An integer value that mediates anti-internalization (self match prevention) behavior. When set to 0 the order containing this field will not match against another order from the same Subscriber. When set to 1 the order will not match against an order from the same MPID as determined by OnBehalfOfCompID or the port level default MPID. When set to 2 the order will not match against an order from the same SenderCompID. When set to any value in the interval [3,65535] the order will not match against an order with the same value for SelfMatchPreventionID.

case it                              
    {None: true}                     
    {Some id: id >= 0 && id <= 65535}

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.

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

The Expressive Bid URI.

Expressve Bid argument 1.

Expressve Bid argument 2.

Expressve Bid argument 3.

Expressve Bid argument 4.

The ID associated with a multi-symbol expressive bid.

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

The ID associated with a multi-symbol expressive bid.

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

The ID associated with a conditional invite.

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

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

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.

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

The number of shares for the order.

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.

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

The side of an order.

it == state.Side

The symbol (ticker) of the instrument being traded. See Symbology for additional details.

it == state.Symbol

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.

A suffix for the symbol (ticker) being traded, when applicable. See Symbology for additional details.

it == state.SymbolSfx

A boolean flag indicating whether a locate is required when selling short. For US equities orders, any order where LocateReqd is absent or set to Y will result in a rejection if Side=SELL_SHORT or Side=SELL_SHORT_EXEMPT.

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.

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

Order handling instructions; multiple instructions can be specified in a space delimited list.

it == state.ExecInst

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

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.

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

The limit price of an order.

The capacity of an order. For US equities, order capacity is in reference to Rule 80A.

it == state.Rule80A

The side of an order.

it == state.Side

The symbol (ticker) of the instrument being traded. See Symbology for additional details.

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. 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.

A suffix for the symbol (ticker) being traded, when applicable. See Symbology for additional details.

it == state.SymbolSfx

The minimum permissible fill quantity for an order.

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

A boolean flag indicating whether a locate is required when selling short. For US equities orders, any order where LocateReqd is absent or set to Y will result in a rejection if Side=SELL_SHORT or Side=SELL_SHORT_EXEMPT.

When TimeInForce=GOOD_TILL_DATE ExpireTime must be populated with the desired expiry time.

it == state.ExpireTime

Amount (signed) added to the price of the peg for a pegged order.

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.

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

The Expressive Bid URI.

Expressve Bid argument 1.

Expressve Bid argument 2.

Expressve Bid argument 3.

Expressve Bid argument 4.

The ID associated with a multi-symbol expressive bid.

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

The ID associated with a multi-symbol expressive bid.

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

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

Order handling instructions; multiple instructions can be specified in a space delimited list.

it == state.ExecInst

Identifies the type of a transaction.

it == ExecTransType.New

The market of the last fill; always CGXS.

case it                                     
    {None: true}                            
    {Some lastMkt: lastMkt == Exchange.CGXS}

The price of the last fill.

The quantity of the last fill.

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.

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.

The limit price of an order.

it == state.Price

The capacity of an order. For US equities, order capacity is in reference to Rule 80A.

it == state.Rule80A

The side of an order.

it == state.Side

The symbol (ticker) of the instrument being traded. See Symbology for additional details.

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. 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.

A suffix for the symbol (ticker) being traded, when applicable. See Symbology for additional details.

it == state.SymbolSfx

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=GOOD_TILL_DATE 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.

The remaining (unfilled) quantity of an order open for additional fills. If OrdStatus is CANCELED, EXPIRED, or REJECTED LeavesQty=0. Otherwise, LeavesQty=OrderQty - CumQty.

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

Amount (signed) added to the price of the peg for a pegged order.

it == state.PegDifference

Identifies the contra broker for a transaction.

The number of ContraBroker msgFields contained in the message.

An integer value that mediates anti-internalization (self match prevention) behavior. When set to 0 the order containing this field will not match against another order from the same Subscriber. When set to 1 the order will not match against an order from the same MPID as determined by OnBehalfOfCompID or the port level default MPID. When set to 2 the order will not match against an order from the same SenderCompID. When set to any value in the interval [3,65535] the order will not match against an order with the same value for SelfMatchPreventionID.

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.

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.

it == state.AnalyticsTags

An optional string passing back the the Omniverse arguments of an order

A unique identifier assigned by OneChronos to each auction.

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.

An indicator code detailing why an an order was canceled

The NexusID associated with a fill. If the order was filled in Base, this field is left empty.

The ID associated with a conditional invite.

A client supplied account identifier.

it == state.Account

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

it == state.ClOrdID

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.

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.

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 client supplied account identifier.

it == state.Account

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

it == state.ClOrdID

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

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

Identifies the type of a transaction.

it == ExecTransType.Cancel

The price of the last fill.

The quantity of the last fill.

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.

it == state.OrderID

The original sending time of an ExecutionReport.

The side of an order.

it == state.Side

The symbol (ticker) of the instrument being traded. See Symbology for additional details.

it == state.Symbol

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.

A suffix for the symbol (ticker) being traded, when applicable. See Symbology for additional details.

it == state.SymbolSfx

Identifies the contra broker for a transaction.

it == "CGXS"

The number of ContraBroker msgFields contained in the message.

it == 1