| ID | Abbr | NumInGroup ID | NumInGroup name |
|---|---|---|---|
| 2032 | Inc | 268 | NoMDEntries |
| Added | EP | Updated | EP | Deprecated | EP |
|---|---|---|---|---|---|
| FIX.4.4 |
| ID | Name | Abbr | Presence | Description |
|---|---|---|---|---|
| 279 | MDUpdateAction | UpdtAct | required | SYNOPSIS:
Type of Market Data update action.
|
| 285 | DeleteReason | DelRsn | optional | SYNOPSIS:
Reason for deletion.
|
| 1173 | MDSubBookType | MDSubBkTyp | optional | SYNOPSIS:
Describes a class of sub book, e.g. for the separation of various lot types. The Sub Book Type indicates that the following Market Data Entries belong to a non-integrated Sub Book. Whenever provided the Sub Book must be used together with MDPriceLevel and MDEntryPositionNo in order to sort the order properly.
Values are bilaterally agreed.
|
| 264 | MarketDepth | MktDepth | optional | SYNOPSIS:
Depth of market for Book Snapshot / Incremental updates
0 - full book depth
1 - top of book
2 and above - book depth (number of levels)
|
| 269 | MDEntryType | Typ | optional | SYNOPSIS:
Type of market data entry.
|
| 278 | MDEntryID | MDID | optional | SYNOPSIS:
Unique Market Data Entry identifier.
|
| 280 | MDEntryRefID | RefID | optional | SYNOPSIS:
Refers to a previous MDEntryID (278).
|
| 1500 | MDStreamID | MDStrmID | optional | SYNOPSIS:
The identifier or name of the price stream.
|
| 1003 | Instrument | Instrmt | optional | SYNOPSIS:
The Instrument component block contains all the fields commonly used to describe a security or instrument. Typically the data elements in this component block are considered the static data of a security, data that may be commonly found in a security master database. The Instrument component block can be used to describe any asset type supported by FIX.
ELABORATION: |
| 1004 | InstrumentExtension | InstrmtExt | optional | SYNOPSIS:
The InstrumentExtension component block identifies additional security attributes that are more commonly found for Fixed Income securities.
ELABORATION: |
| 1002 | FinancingDetails | FinDetls | optional | SYNOPSIS:
Component block is optionally used for financial transaction where legal contracts, master agreements or master confirmations is to be referenced. This component identifies the legal agreement under which the deal was made and other unique characteristics of the transaction. For example, the AgreementDesc(913) field refers to base standard documents such as MRA 1996 Repurchase Agreement, GMRA 2000 Bills Transaction (U.K.), MSLA 1993 Securities Loan – Amended 1998, for example.
ELABORATION: |
| 2066 | UndInstrmtGrp | Undly | optional | SYNOPSIS: ELABORATION: |
| 2019 | InstrmtLegGrp | Leg | optional | SYNOPSIS: ELABORATION: |
| 1066 | RelatedInstrumentGrp | ReltdInstrmt | optional | SYNOPSIS:
The RelatedInstrumentGrp is a repeating component at the same hierarchical level as the Instrument component, describing relationships and linkages between the Instrument, UnderlyingInstrument and InstrumentLeg entries. If all instances of the UnderlyingInstrument in the message are true underliers of the Instrument then the RelatedInstrumentGrp component is not needed. If any instance of the UnderlyingInstrument has a different relationship, e.g. underlier of an InstrumentLeg, stream, equity equivalent or nearest exchange-traded contract or there are multiple instances of InstrumentLeg, then an entry for every relationship should be included in this component. When the RelatedInstrumentGrp appears within a repeating group, each entry only apply to the Instrument component at the same hierarchical level.
In messages, such as Email(35=C) and News(35=B), where Instrument and the InstrumentLeg are within their repeating groups, the RelatedInstrumentGrp component may be used to link legs and underliers to their appropriate base Instrument.
ELABORATION: For simple relationships such as identifying a "hedges for" security the entry simply defines the symbol or identifier of an externally known security. For relationships within strategies and swaps the entry refers up through one of the "related to" fields to the Instrument, InstrumentLeg, UnderlyingInstrument, stream or dividend period with which the related security has correlation. It then points down through RelatedSecurityID(1650) or RelatedSymbol(1649) to an UnderlyingInstrument instance in the current message defining the related security. The nature of the relationship is given in RelatedInstrumentType(1648). |
| 291 | FinancialStatus | FinclStat | optional | SYNOPSIS:
Identifies a firm's or a security's financial status
|
| 292 | CorporateAction | CorpActn | optional | SYNOPSIS:
Identifies the type of Corporate Action.
|
| 270 | MDEntryPx | Px | optional | SYNOPSIS:
Price of the Market Data Entry.
|
| 423 | PriceType | PxTyp | optional | SYNOPSIS:
Code to represent the price type.
ELABORATION: For Financing transactions PriceType(423) implies the "repo type" - Fixed or Floating - 9 (Yield) or 6 (Spread) respectively - and Price(44) gives the corresponding "repo rate". See Volume 1 "Glossary" for further value definitions. |
| 1074 | PriceQualifierGrp | PxQual | optional | SYNOPSIS:
The PriceQualifierGrp component clarifies the composition of the price when standard market practice for the security calls for a price that is atypical when traded in other markets, or when a price can be expressed in more than one way.
ELABORATION: |
| 819 | AvgPxIndicator | AvgPxInd | optional | SYNOPSIS:
Average pricing indicator.
|
| 1022 | YieldData | Yield | optional | SYNOPSIS:
The YieldData component block conveys yield information for a given Fixed Income security.
ELABORATION: |
| 1018 | SpreadOrBenchmarkCurveData | SprdBnchmkCurve | optional | SYNOPSIS:
The SpreadOrBenchmarkCurveData component block is primarily used for Fixed Income to convey spread to a benchmark security or curve.
ELABORATION: |
| 40 | OrdType | OrdTyp | optional | SYNOPSIS:
Order type. *** SOME VALUES ARE NO LONGER USED - See "Deprecated (Phased-out) Features and Supported Approach" *** (see Volume : "Glossary" for value definitions)
|
| 15 | Currency | Ccy | optional | SYNOPSIS:
Identifies currency used for price. Absence of this field is interpreted as the default for the security. It is recommended that systems provide the currency value whenever possible. See "Appendix 6-A: Valid Currency Codes" for information on obtaining valid values.
|
| 120 | SettlCurrency | SettlCcy | optional | SYNOPSIS:
Currency code of settlement denomination.
|
| 1062 | RateSource | RtSrc | optional | SYNOPSIS: ELABORATION: |
| 271 | MDEntrySize | Sz | optional | SYNOPSIS:
Quantity or volume represented by the Market Data Entry.
|
| 2102 | SecSizesGrp | SecSizesGrp | optional | SYNOPSIS: ELABORATION: |
| 1093 | LotType | LotTyp | optional | SYNOPSIS:
Defines the lot type assigned to the order.
|
| 272 | MDEntryDate | Dt | optional | SYNOPSIS:
Date of Market Data Entry.
(prior to FIX 4.4 field was of type UTCDate)
|
| 273 | MDEntryTime | Tm | optional | SYNOPSIS:
Time of Market Data Entry.
|
| 274 | TickDirection | TickDirctn | optional | SYNOPSIS:
Direction of the "tick".
|
| 275 | MDMkt | Mkt | optional | SYNOPSIS:
Market posting quote / trade.
Valid values:
See "Appendix 6-C"
|
| 336 | TradingSessionID | SesID | optional | SYNOPSIS:
Identifier for a trading session.
A trading session spans an extended period of time that can also be expressed informally in terms of the trading day. Usage is determined by market or counterparties.
To specify good for session where session spans more than one calendar day, use TimeInForce = 0 (Day) in conjunction with TradingSessionID(336).
Bilaterally agreed values of data type "String" that start with a character can be used for backward compatibility.
|
| 625 | TradingSessionSubID | SesSub | optional | SYNOPSIS:
Optional market assigned sub identifier for a trading phase within a trading session. Usage is determined by market or counterparties. Used by US based futures markets to identify exchange specific execution time bracket codes as required by US market regulations. Bilaterally agreed values of data type "String" that start with a character can be used for backward compatibility
|
| 326 | SecurityTradingStatus | TrdgStat | optional | SYNOPSIS:
Identifies the trading status applicable to the transaction.
|
| 327 | HaltReason | HaltRsn | optional | SYNOPSIS:
Denotes the reason for the Opening Delay or Trading Halt.
|
| 2447 | FastMarketIndicator | FastMktInd | optional | SYNOPSIS:
Indicates if the instrument is in "fast market" state.
ELABORATION: A "fast market" is a state in which market rules are applied to instrument(s) or entire trading session when market events causes significant price movements due to public information. |
| 2705 | MarketCondition | MktCond | optional | SYNOPSIS:
Market condition. In the context of ESMA RTS 8 it is important that trading venues communicate the condition of the market, particularly "stressed" and "exceptional", in order to provide incentives for firms contributing to liquidity.
|
| 276 | QuoteCondition | QCond | optional | SYNOPSIS:
Space-delimited list of conditions describing a quote.
|
| 277 | TradeCondition | TrdCond | optional | SYNOPSIS:
Type of market data entry.
|
| 2206 | TradePriceConditionGrp | TrdPxConds | optional | SYNOPSIS:
Price conditions associated with a trade that impact trade price.
ELABORATION: |
| 2667 | AlgorithmicTradeIndicator | AlgoTrdInd | optional | SYNOPSIS:
Indicates that the order or trade originates from a computer program or algorithm requiring little-to-no human intervention.
|
| 1934 | RegulatoryReportType | RegRptTyp | optional | SYNOPSIS:
Type of regulatory report.
|
| 828 | TrdType | TrdTyp | optional | SYNOPSIS:
Type of trade assigned to a trade.
ELABORATION: Note: several enumerations of this field duplicate the enumerations in TradePriceConditions(1839) field. These may be deprecated from TrdType(828) in the future. TradePriceConditions(1839) is preferred in messages that support it. |
| 829 | TrdSubType | TrdSubTyp | optional | SYNOPSIS:
Further qualification to the trade type
|
| 855 | SecondaryTrdType | TrdTyp2 | optional | SYNOPSIS:
Type of trade assigned to a trade. Used in addition to TrdType(828). Must not be used when only one trade type needs to be assigned.
|
| 2896 | TertiaryTrdType | TrdTyp3 | optional | SYNOPSIS:
Type of trade assigned to a trade. Used in addition to TrdType(828) and SecondaryTrdType(855). Must not be used when only one additional trade type needs to be assigned.
|
| 2405 | ExecMethod | ExecMeth | optional | SYNOPSIS:
Specifies how the transaction was executed, e.g. via an automated execution platform or other method.
|
| 574 | MatchType | MtchTyp | optional | SYNOPSIS:
The point in the matching process at which this trade was matched.
|
| 1115 | OrderCategory | OrdCat | optional | SYNOPSIS:
Defines the type of interest behind a trade (fill or partial fill).
|
| 1390 | TradePublishIndicator | TrdPubInd | optional | SYNOPSIS:
Indicates if a trade should be or has been published via a market publication service. The indicator governs all publication services of the recipient. Replaces PublishTrdIndicator(852).
|
| 1072 | TrdRegPublicationGrp | TrdRegPublctn | optional | SYNOPSIS:
The TrdRegPublicationGrp component is used to express trade publication reasons that are required by regulatory agencies. Reasons may include deferrals, exemptions, waivers, etc.
ELABORATION: Under the MiFID II regulation, this is used for indicating the reduction of pre- ("waivers") or post-trade transparency. In cases where a trade has been made outside an open order book venue or publication of trade data has been deferred, pertinent reason indicators are set in the TrdRegPublicationReason(2670) to further qualify the TrdRegPublicationType(2669). |
| 2373 | IntraFirmTradeIndicator | IntraFirmTrdInd | optional | SYNOPSIS:
Indicates whether the trade or position was entered into as an intra-group transaction, i.e. between two units of the same parent entity having majority ownership interest in both counterparties.
ELABORATION: In the context of EMIR this refers to Regulation (EU) 648/2012 Article 3 "intragroup transactions" section 1 which states: "In relation to a non-financial counterparty, an intragroup transaction is an OTC derivative contract entered into with another counterparty which is part of the same group provided that both counterparties are included in the same consolidation on a full basis and they are subject to an appropriate centralised risk evaluation, measurement and control procedures and that counterparty is established in the Union or, if it is established in a third country, the Commission has adopted an implementing act under Article 13(2) in respect of that third country. Canada's similar requirement is under Appendix A to OSC Rule 91-507." |
| 570 | PreviouslyReported | PrevlyRpted | optional | SYNOPSIS:
Indicates if the transaction was previously reported to the counterparty or market.
|
| 2209 | RelatedTradeGrp | ReltdTrd | optional | SYNOPSIS:
This component is used to identify trades that are related to each other for a business purpose, such as netting of forwards. This component should not be used in lieu of explicit FIX fields that denote specific semantic relationships, but rather should be used when no such fields exist.
ELABORATION: |
| 282 | MDEntryOriginator | Orig | optional | SYNOPSIS:
Originator of a Market Data Entry
|
| 283 | LocationID | LctnID | optional | SYNOPSIS:
Identification of a Market Maker's location
|
| 284 | DeskID | DeskID | optional | SYNOPSIS:
Identification of a Market Maker's desk
|
| 286 | OpenCloseSettlFlag | OpenClsSettlFlag | optional | SYNOPSIS:
Flag that identifies a market data entry. (Prior to FIX 4.3 this field was of type char)
|
| 59 | TimeInForce | TmInForce | optional | SYNOPSIS:
Specifies how long the order remains in effect. Absence of this field is interpreted as DAY. NOTE not applicable to CIV Orders.
|
| 432 | ExpireDate | ExpireDt | optional | SYNOPSIS:
Date of order expiration (last day the order can trade), always expressed in terms of the local market date. The time at which the order expires is determined by the local market's business practices
|
| 126 | ExpireTime | ExpireTm | optional | SYNOPSIS:
Time/Date of order expiration (always expressed in UTC (Universal Time Coordinated, also known as "GMT")
The meaning of expiration is specific to the context where the field is used.
For orders, this is the expiration time of a Good Til Date TimeInForce.
For Quotes - this is the expiration of the quote.
Expiration time is provided across the quote message dialog to control the length of time of the overall quoting process.
For collateral requests, this is the time by which collateral must be assigned.
For collateral assignments, this is the time by which a response to the assignment is expected.
For credit/risk limit checks, this is the time when the reserved credit limit will expire for the requested transaction.
|
| 1629 | ExposureDuration | ExpsreDur | optional | SYNOPSIS:
This is the time in seconds of a "Good for Time" (GFT) TimeInForce.
Positive integer value which represents the time is seconds in which the new order remains active in the market before it is automatically cancelled (e.g. expired).
Bi-lateral agreements will dictate the maximum value of this field. It is assumed that most systems will impose a max limit of 86,400 seconds (i.e. 24 hours).
For Quotes: The period of time a quoted price is tradable(i.e. on-the-wire) before it becomes indicative (i.e. off-the-wire).
|
| 1916 | ExposureDurationUnit | ExpsreDurUnit | optional | SYNOPSIS:
Time unit in which the ExposureDuration(1629) is expressed.
|
| 110 | MinQty | MinQty | optional | SYNOPSIS:
Minimum quantity of an order to be executed.
(Prior to FIX 4.2 this field was of type int)
|
| 18 | ExecInst | ExecInst | optional | SYNOPSIS:
Instructions for order handling on exchange trading floor. If more than one instruction is applicable to an order, this field can contain multiple instructions separated by space. *** SOME VALUES HAVE BEEN REPLACED - See "Replaced Features and Supported Approach" *** (see Volume : "Glossary" for value definitions)
|
| 287 | SellerDays | SellerDays | optional | SYNOPSIS:
Specifies the number of days that may elapse before delivery of the security
|
| 37 | OrderID | OrdID | optional | SYNOPSIS:
Unique identifier for Order as assigned by sell-side (broker, exchange, ECN). Uniqueness must be guaranteed within a single trading day. Firms which accept multi-day orders should consider embedding a date within the OrderID field to assure uniqueness across days.
|
| 198 | SecondaryOrderID | OrdID2 | optional | SYNOPSIS:
Assigned by the party which accepts the order. Can be used to provide the OrderID (37) used by an exchange or executing system.
|
| 299 | QuoteEntryID | EntryID | optional | SYNOPSIS:
Unique identifier for a quote. The QuoteEntryID stays with the quote as a static identifier even if the quote is updated.
|
| 1003 | TradeID | TrdID | optional | SYNOPSIS:
The unique ID assigned to the trade entity once it is received or matched by the exchange or central counterparty.
|
| 1851 | StrategyLinkID | StrategyLinkID | optional | SYNOPSIS:
Identifies the multileg strategy (e.g. spread) to which the trade belongs. This links together trade legs executed as part of a strategy during a single match event.
|
| 288 | MDEntryBuyer | Buyer | optional | SYNOPSIS:
Buying party in a trade
|
| 289 | MDEntrySeller | Seller | optional | SYNOPSIS:
Selling party in a trade
|
| 2449 | NumberOfBuyOrders | NumOfBuyOrds | optional | SYNOPSIS:
Number of buy orders involved in a trade.
|
| 2450 | NumberOfSellOrders | NumOfSellOrds | optional | SYNOPSIS:
Number of sell orders involved in a trade.
|
| 346 | NumberOfOrders | NumOfOrds | optional | SYNOPSIS:
Number of orders in the market.
|
| 290 | MDEntryPositionNo | PosNo | optional | SYNOPSIS:
Display position of a bid or offer, numbered from most competitive to least competitive, per market side, beginning with .
|
| 546 | Scope | Scope | optional | SYNOPSIS:
Specifies the market scope of the market data.
|
| 811 | PriceDelta | PxDelta | optional | SYNOPSIS:
The rate of change in the price of a derivative with respect to the movement in the price of the underlying instrument(s) upon which the derivative instrument price is based.
This value is normally between -1.0 and 1.0.
|
| 451 | NetChgPrevDay | NetChgPrevDay | optional | SYNOPSIS:
Net change from previous day's closing price vs. last traded price.
|
| 58 | Text | Txt | optional | SYNOPSIS:
Free format text string
(Note: this field does not have a specified maximum length)
|
| 354 | EncodedTextLen | EncTxtLen | optional | SYNOPSIS:
Byte length of encoded (non-ASCII characters) EncodedText (355) field.
|
| 355 | EncodedText | EncTxt | optional | SYNOPSIS:
Encoded (non-ASCII characters) representation of the Text (58) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the Text(58) field.
|
| 1023 | MDPriceLevel | MDPxLvl | optional | SYNOPSIS:
Integer to convey the level of a bid or offer at a given price level. This is in contrast to MDEntryPositionNo which is used to convey the position of an order within a Price level
|
| 528 | OrderCapacity | Cpcty | optional | SYNOPSIS:
Designates the capacity of the firm placing the order.
(as of FIX 4.3, this field replaced Rule80A (tag 47) --used in conjunction with OrderRestrictions (529) field)
(see Volume : "Glossary" for value definitions)
|
| 1024 | MDOriginType | MDOrigTyp | optional | SYNOPSIS:
Used to describe the origin of the market data entry.
|
| 332 | HighPx | HighPx | optional | SYNOPSIS:
Represents an indication of the high end of the price range for a security prior to the open or reopen
|
| 333 | LowPx | LowPx | optional | SYNOPSIS:
Represents an indication of the low end of the price range for a security prior to the open or reopen
|
| 1025 | FirstPx | FirstPx | optional | SYNOPSIS:
Indicates the first trade price of the day/session
|
| 31 | LastPx | LastPx | optional | SYNOPSIS:
Price of this (last) fill.
|
| 1592 | DiscountFactor | DiscFctr | optional | SYNOPSIS:
Used to calculate the present value of an amount to be paid in the future.
|
| 1020 | TradeVolume | TrdVol | optional | SYNOPSIS:
Used to report volume with a trade
|
| 2122 | PriceLimits | PxLmts | optional | SYNOPSIS: ELABORATION: |
| 1143 | MaxPriceVariation | MxPxVar | optional | SYNOPSIS:
The maximum price variation of an execution from one event to the next for a given security. Expressed in absolute price terms.
|
| 731 | SettlPriceType | SetPxTyp | optional | SYNOPSIS:
Type of settlement price
|
| 2451 | SettlPriceDeterminationMethod | SettlPxDtrmnMeth | optional | SYNOPSIS:
Calculation method used to determine settlement price.
|
| 63 | SettlType | SettlTyp | optional | SYNOPSIS:
Indicates order settlement period. If present, SettlDate (64) overrides this field. If both SettlType (63) and SettDate (64) are omitted, the default for SettlType (63) is 0 (Regular)
Regular is defined as the default settlement period for the particular security on the exchange of execution.
In Fixed Income the contents of this field may influence the instrument definition if the SecurityID (48) is ambiguous. In the US an active Treasury offering may be re-opened, and for a time one CUSIP will apply to both the current and "when-issued" securities. Supplying a value of "7" clarifies the instrument description; any other value or the absence of this field should cause the respondent to default to the active issue.
Additionally the following patterns may be uses as well as enum values
Dx = FX tenor expression for "days", e.g. "D5", where "x" is any integer > 0
Mx = FX tenor expression for "months", e.g. "M3", where "x" is any integer > 0
Wx = FX tenor expression for "weeks", e.g. "W13", where "x" is any integer > 0
Yx = FX tenor expression for "years", e.g. "Y1", where "x" is any integer > 0
Noted that for FX the tenors expressed using Dx, Mx, Wx, and Yx values do not denote business days, but calendar days.
|
| 64 | SettlDate | SettlDt | optional | SYNOPSIS:
Specific date of trade settlement (SettlementDate) in YYYYMMDD format.
If present, this field overrides SettlType (63). This field is required if the value of SettlType (63) is 6 (Future) or 8 (Sellers Option). This field must be omitted if the value of SettlType (63) is 7 (When and If Issued)
(expressed in local time at place of settlement)
|
| 483 | TransBkdTime | TransBkdTm | optional | SYNOPSIS:
For CIV A date and time stamp to indicate the time a CIV order was booked by the fund manager.
For derivatives a date and time stamp to indicate when this order was booked with the agent prior to submission to the VMU. Indicates the time at which the order was finalized between the buyer and seller prior to submission.
|
| 60 | TransactTime | TxnTm | optional | SYNOPSIS:
Timestamp when the business transaction represented by the message occurred.
|
| 2445 | AggressorTime | AgrsrTm | optional | SYNOPSIS:
Timestamp of aggressive order or quote resulting in match event.
|
| 2446 | AggressorSide | AgrsrSide | optional | SYNOPSIS:
Side of aggressive order or quote resulting in match event.
|
| 1070 | MDQuoteType | MDQteTyp | optional | SYNOPSIS:
Identifies market data quote type.
|
| 83 | RptSeq | RptSeq | optional | SYNOPSIS:
Sequence number of message within report series. Used to carry reporting sequence number of the fill as represented on the Trade Report Side.
|
| 1048 | DealingCapacity | DealingCpcty | optional | SYNOPSIS:
Identifies role of dealer; Agent, Principal, RisklessPrincipal
|
| 1026 | MDEntrySpotRate | MDEntrySpotRt | optional | SYNOPSIS:
The spot rate for an FX entry
|
| 1027 | MDEntryForwardPoints | MDEntryFwdPnts | optional | SYNOPSIS:
Used for an F/X entry. The forward points to be added to or subtracted from the spot rate to get the "all-in" rate in MDEntryPx. Expressed in decimal form. For example, 61.99 points is expressed and sent as 0.006199
|
| 2103 | StatsIndGrp | StatsIndGrp | optional | SYNOPSIS: ELABORATION: |
| 1012 | Parties | Pty | optional | SYNOPSIS:
The Parties component block is used to identify and convey information on the entities both central and peripheral to the financial transaction represented by the FIX message containing the Parties Block. The Parties block allows many different types of entites to be expressed through use of the PartyRole field and identifies the source of the PartyID through the the PartyIDSource.
ELABORATION: |