FIX Drop Copy Specification
for Equities
Version 1.21
Updated 4 October 2023

FIX Drop Copy Specification for Equities

2023-10-04

Table of Contents
1

Introduction .................................................................................................................................. 3

2

Overview ...................................................................................................................................... 33

Service Configuration .................................................................................................................. 3

4

FIX Protocol ................................................................................................................................. 6

5

4.1

Data Types and Required Fields ............................................................................................ 6

4.2

Limitations............................................................................................................................. 6

Protocol Mappings ....................................................................................................................... 7
5.1

FIX Order Entry .................................................................................................................... 7

5.2

OUCH Order Entry ............................................................................................................... 7

6

FIX Session Management ............................................................................................................ 87

FIX Messages ............................................................................................................................... 8
7.1

Standard Header – Incoming Messages ................................................................................ 8

7.2

Standard Header – Outgoing Messages................................................................................. 9

7.3

Standard Trailer ..................................................................................................................... 9

7.4

Administrative Messages .................................................................................................... 10

7.4.1

Logon ........................................................................................................................... 10

7.4.2

Heartbeat ...................................................................................................................... 10

7.4.3

Test Request ................................................................................................................. 10

7.4.4

Resend Request ............................................................................................................ 10

7.4.5

Reject ........................................................................................................................... 10

7.4.6

Sequence Reset ............................................................................................................ 11

7.4.7

Logout .......................................................................................................................... 11

7.5

8

Application Messages.......................................................................................................... 11

7.5.1

Execution Report – Order Accepted ............................................................................ 11

7.5.2

Execution Report – Order Replaced ............................................................................ 13

7.5.3

Execution Report – Order Canceled ............................................................................ 14

7.5.4

Execution Report – Trade ............................................................................................ 16

7.5.5

Business Message Reject ............................................................................................. 17

Revision History ........................................................................................................................ 19

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FIX Drop Copy Specification for Equities

12023-10-04

Introduction

This document explains access to the equities drop copy services of Japannext PTS via the FIX protocol. It
describes the service's configuration and specifies the messages that can be received via subscription. For
further information and inquiries regarding drop copy services or for questions concerning connectivity
please contact Japannext PTS Technical Support via email to: ito@japannext.co.jp.

2

Overview

The drop copy service is designed to deliver real-time information about trading activity taking place at
Japannext PTS and can be configured to send a message any time an order is entered, modified, canceled or
executed. The service can be integrated for straight through processing (STP) into a client's risk management
and settlement systems (see Figure 1).

Figure 1: Drop copy integration
The TCP/IP protocol is used for the point-to-point transport layer.

3Service Configuration

The drop copy service can be configured to deliver copies of transactions based on a combination of order
entry port identifier, security group identifier and client reference.
Two subscription types are available:•

Reconciliation, consisting of only trade-related transactions.

•

Full, consisting of both order and trade-related transactions.

The ClientID field can be configured to indicate the origin of an order with the following information:•

Order entry port identifier.

•Trade group identifier to which the order entry port belongs.

•

Both of the above.

As an example, consider an institution with a trading facility which uses two order entry ports providing

3

FIX Drop Copy Specification for Equities

2023-10-04

access to Japannext PTS for three trade groups (see Figure 2).

Figure 2: Trading flow
There are two typical use cases of the drop copy service, back office processing and risk management.
Usually a back office specific configuration includes copies of all trade reports for all trade groups (seeFigure 3).

Figure 3: Back office specific flow
Whereas a risk management's scope of interest is more narrow, focusing only on particular trade groups,

4

FIX Drop Copy Specification for Equities

2023-10-04

however is more detailed in that it includes all transactions (see Figure 4).

Figure 4: Risk management specific flow

4

FIX Protocol

The messaging described in this specification complies to the standard FIX 4.2 protocol. For details pleaserefer to https://www.fixtrading.org/standards/fix-4-2/.
This specification follows the standard FIX specification as much as possible. However in limited cases
fields and field values have been extended by backporting from the FIX 4.4 specification.

4.1 Data Types and Required Fields
Field data types in this specification are the same as those defined in the standard FIX specification.
However, in certain places this specification further restricts field values from those specified in the standard.
All field values will be stated in the message specification details.
Fields that are marked as required in the standard FIX specification are also marked as required in thisspecification, denoted 'Y' in the message definitions. Additionally required fields by this specification are
denoted 'R'.

4.2 Limitations
This specification applies limitations on particular field lengths.
Tag

Field Name

Data Type

Comments

1

Account

StringLimited to 10 characters.

6

AvgPx

Price

Limited to 8 whole number digits and 4 decimal places.

11

ClOrdID

StringLimited to 32 characters.

14

CumQtyQty

Limited to 9 whole number digits.

17

ExecID

StringLimited to 20 characters.

31

LastPxPrice

Limited to 8 whole number digits and 1 decimal place.

5

FIX Drop Copy Specification for Equities
Tag

Field Name

Data Type

Comments

32

LastShares

Qty

Limited to 9 whole number digits.

37

OrderID

StringLimited to 20 characters.

38

OrderQty

Qty

Limited to 9 whole number digits.

41

OrigClOrdID

StringLimited to 32 characters.

44

Price

Price

Limited to 8 whole number digits and 1 decimal place.

50

SenderSubID

StringLimited to 4 characters for outgoing messages.

55

SymbolStringLimited to 9 characters.

109

ClientID

StringLimited to 20 characters.

110

MinQtyQty

Limited to 9 whole number digits.

151

LeavesQty

Qty

Limited to 9 whole number digits.

880

TrdMatchID

StringLimited to 20 characters.

52023-10-04

Protocol Mappings

This section defines mappings from the order entry protocols used in the trading services of Japannext PTS
to the drop copy protocol.

5.1 FIX Order Entry
Fields in the drop copy messages match the original trading messages with the following exceptions.
In the original messages the ClientID field contains the firm identifier (MPID), whereas in the drop copy
messages this field contains the order entry port and/or trade group identifiers (see Service Configuration).
Since a drop copy session can deliver messages aggregated from multiple order entry ports, the subscriber
should not rely solely on the ClOrdID field to uniquely identify orders. Augmenting the ClOrdID with anappropriately configured ClientID can be used for this purpose.
If the original message has the TimeInForce field with value 4 = Fill or Kill (FOK) then the drop copy
message will have the TimeInForce field with value 3 = Immediate or Cancel (IOC) and the MinQty fieldwith value equal to the OrderQty field's value.
The ExecID assigned to a drop copy message will differ from that of the original message. Uniqueness of
this field is only guaranteed per individual drop copy session.

5.2 OUCH Order Entry
Fields in the drop copy messages match the original trading messages with the following exceptions.
In the original messages the ClientID (Firm) field contains the firm identifier (MPID), whereas in the drop
copy messages this field contains the order entry port and/or trade group identifiers (see Service
Configuration).
Since a drop copy session can deliver messages aggregated from multiple order entry ports, the subscriber
should not rely solely on the ClOrdID (Order Token) field to uniquely identify orders. Augmenting the
ClOrdID (Order Token) with an appropriately configured ClientID can be used for this purpose.
Uniqueness of the ExecID field is only guaranteed per individual drop copy session.
FIX and OUCH field mappings are defined below.

6

FIX Drop Copy Specification for Equities
Tag
11

Field Name
ClOrdID

2023-10-04

OUCH Field Name
Order Token
Replacement Order Token

1

Account

Client Reference

54

Side

Buy/Sell Indicator

38

OrderQty

Quantity

55

SymbolOrderbook Id

50

SenderSubID

Group

44

Price

Price

59

TimeInForce

Time in Force

109

ClientID

Firm

47

Rule80A

Capacity

37

OrderID

Order Number

110

MinQtyMinimum Quantity

41

OrigClOrdID

Previous Order Token

378

ExecRestatementReason Canceled Order Reason

32

LastShares

Executed Quantity

31

LastPxExecution Price851

LastLiquidityInd

Liquidity Indicator880

TrdMatchID

Match Number

8060 OrderClassification

Order Classification

544

Cash Margin TypeCashMargin

8214 MarginTransactionType

6

FIX Session Management

FIX sessions are uniquely defined by the SenderCompID and TargetCompID. Any attempt to establish an
additional FIX session using the same SenderCompID and TargetCompID will be rejected.
At log on clients are identified by their SenderCompID.
Clients are required to log on to the service using the logon message. Once logged on, clients will need tosend heartbeat messages to keep the session active.
In case of connection loss clients are required to again log on using the next transmitted sequence numbers
while also taking care of any potential message loss in a FIX protocol compliant manner.
IP addresses, port numbers and CompIDs to use are issued upon application completion.

7

FIX Messages

7.1 Standard Header – Incoming Messages
Tag

Field Name

Data Type Req’d

Comments

8

BeginString

StringY

Identifies beginning of new message and protocol version. Always first
field in message. Value is FIX.4.2.

9

BodyLengthintY

Message length, in bytes, forward to the CheckSum (10) field. Always
second field in message.

7

FIX Drop Copy Specification for Equities
Tag

Field Name

Data Type Req’d2023-10-04

Comments

35

MsgType

StringY

Defines message type. Always third field in message.

34

MsgSeqNum

int

Y

Integer message sequence number.

43

PossDupFlag

Boolean49

SenderCompID

String

52

SendingTimeUTC
YTimestamp

Time of message transmission (always expressed in UTC).

56

TargetCompID

StringUsed to identify receiving firm. As assigned by Japannext PTS.

122

OrigSendingTime

UTCTimestamp

Indicates possible re transmission of message with this sequence number.
Values:Y = Possible duplicate
N = Original transmission
Y

Y

Used to identify firm sending message. As assigned by Japannext PTS.

Original time of message transmission (always expressed in UTC).

7.2 Standard Header – Outgoing Messages
Tag

Field Name

Data Type Req’d

Comments

8

BeginString

StringY

Identifies beginning of new message and protocol version. Always first
field in message. Value is FIX.4.2.

9

BodyLengthintY

Message length, in bytes, forward to the CheckSum (10) field. Always
second field in message.

35

MsgType

StringY

Defines message type. Always third field in message.

34

MsgSeqNum

int

Y

Integer message sequence number.

49

SenderCompID

StringY

Used to identify firm sending message. As assigned by Japannext PTS.

50

SenderSubID

StringAssigned value used to identify specific message originator.
Values:DAY = Daytime J-Market
NGHT = Nighttime J-Market
DAYX = X-Market
DAYU = U-Market

52

SendingTimeUTC
YTimestamp

Time of message transmission (always expressed in UTC).

56

TargetCompID

StringUsed to identify receiving firm. As assigned by Japannext PTS.

122

OrigSendingTime

UTCTimestamp

Y

Original time of message transmission (always expressed in UTC).

7.3 Standard Trailer
Tag
10

Field Name
CheckSum

Data Type Req’d
StringY

Comments
Three byte, simple checksum. Always defined as three characters. Always
last field in message.

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FIX Drop Copy Specification for Equities

2023-10-04

7.4 Administrative Messages
7.4.1 Logon
Tag

Field Name

Data Type Req’d

Standard header

Comments
MsgType (35) = A

98

EncryptMethod

intY

Method of encryption. Not supported.
Values:0 = None / other108

HeartBtInt

int

YHeartbeat interval (seconds). Recommended value is 30 seconds.

141

ResetSeqNumFlag

BooleanIndicates that both sides of the FIX session should reset sequence numbers.
Values:Y = Yes, reset sequence numbers
N = No553

Username

String

Userid. As assigned by Japannext PTS.

554

Password

StringPassword or passphrase. As assigned by Japannext PTS.

Standard trailer

7.4.2 Heartbeat
Tag

Field Name

Data Type Req’d

Standard header
112

TestReqID

Comments
MsgType (35) = 0

StringRequired when the heartbeat is the result of a Test Request message.

Standard trailer

7.4.3 Test Request
Tag

Field Name

Data Type Req’d

Standard header
112

TestReqID

Comments
MsgType (35) = 1

StringY

Identifier to be returned in resulting Heartbeat.

Standard trailer

7.4.4 Resend Request
Tag

Field Name

Data Type Req’d

Standard header

Comments
MsgType (35) = 2

7

BeginSeqNo

int

Y

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

16

EndSeqNo

int

Y

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

Standard trailer

7.4.5 Reject
Tag

Field Name

Data Type Req’d

Standard header
45

RefSeqNum

Comments
MsgType (35) = 3

intY

MsgSeqNum (34) of rejected message

9

FIX Drop Copy Specification for Equities
Tag

Field Name

Data Type Req’d2023-10-04

Comments

58

Text

StringMessage explaining reject reason.

371

RefTagIDint

The tag number of the FIX field being referenced.

372

RefMsgType

String

The MsgType (35) of the FIX message being referenced.

373

SessionRejectReason

int

Code to identify reason for a session-level Reject message.
Values:0 = Invalid tag number
1 = Required tag missing
2 = Tag not defined for this message type
3 = Undefined tag
4 = Tag specified without a value
5 = Value is incorrect (out of range) for this tag
6 = Incorrect data format for value
9 = CompID problem
10 = SendingTime (52) accuracy problem
11 = Invalid MsgType (35)Standard trailer

7.4.6 Sequence Reset
Tag

Field Name

Data Type Req’d

Standard header

Comments
MsgType (35) = 4

36

NewSeqNo

int

123

GapFillFlag

BooleanY

New sequence number.
Indicates replacing administrative or application messages which will not be
resent.
Values:Y = Gap Fill message, MsgSeqNum (34) field valid
N = Sequence Reset, ignore MsgSeqNum (34)Standard trailer

7.4.7 Logout
Tag

Field Name

Data Type Req’d

Standard header
58

Text

Comments
MsgType (35) = 5

StringMessage explaining logout reason.

Standard trailer

7.5 Application Messages
7.5.1 Execution Report – Order Accepted
Tag

Field Name

Data Type Req’d

Standard header - Outgoing

Comments
MsgType (35) = 8

1

Account

String

6

AvgPx

Price

11

ClOrdID

String

14

CumQtyQty

Account mnemonic as assigned by the institution.
Y

Calculated average price of all fills on this order.
Value is 0.
Unique identifier for the order as assigned by the institution.

Y

Total number of shares filled.
Value is 0.

10

FIX Drop Copy Specification for Equities
Tag

Field Name

Data Type Req’d2023-10-04

Comments

17

ExecID

StringY

Unique identifier of execution message as assigned by Japannext PTS.

20

ExecTransType

char

Y

Identifies transaction type.
Values:0 = New

37

OrderID

StringY

Unique identifier for order as assigned by Japannext PTS.

38

OrderQty

Qty

R

Quantity accepted.

39

OrdStatuscharY

Identifies current status of this order.
Values:0 = New

40

OrdTypechar

ROrder type.
Values:2 = Limit

44

Price

Price

R

Price per share.

47

Rule80A

char

R

Designates the capacity of the firm placing the order.
Values:A = Agency
P = Principal

54

Side

char

Y

Side of order.
Values:1 = Buy
2 = Sell
5 = Sell short
6 = Sell short exempt

55

SymbolStringY

Ticker symbol.
Value is the Quick code.

59

TimeInForce

char

R

Specifies how long the order remains in effect.
Values:0 = Day
3 = Immediate or Cancel (IOC)60TransactTime

UTC
R
Timestamp

Time the transaction represented by this message occurred.

109

ClientID

StringOrder entry port and/or trade group identifiers as assigned by Japannext
PTS.

110

MinQtyQty

Minimum quantity of an order to be executed.

150

ExecTypechar

Y

Describes the specific Execution Report.
Values:0 = New

151

LeavesQty

Qty

YAmount of shares open for further execution.
Value is the same as that of OrderQty (38).

544

CashMargin

char

R

Identifies whether an order is a margin order or a non-margin order.
Values:
1 = Cash
2 = Margin Open
3 = Margin Close

797

CopyMsgIndicator

BooleanR

Indicates whether or not this message is a drop copy of another message.
Value is Y = Yes

11

FIX Drop Copy Specification for Equities
Tag

Field Name

Data Type Req’d

8060

OrderClassification

8214

MarginTransactionType char

char

R

2023-10-04

Comments
High Frequency Trading (HFT) order classification.
Values:
1 = Non HFT
3 = HFT market making strategy
4 = HFT arbitrage strategy
5 = HFT directional strategy
6 = HFT other strategy
Margin transaction type of the margin order.
Values:
1 = Negotiable
2 = StandardizedStandard trailer

7.5.2 Execution Report – Order Replaced
Tag

Field Name

Data Type Req’d

Standard header - Outgoing

Comments
MsgType (35) = 8

1

Account

StringAccount mnemonic as assigned by the institution.

6

AvgPx

Price

11

ClOrdID

String

14

CumQtyQty

Y

Total number of shares filled.

17

ExecID

StringY

Unique identifier of execution message as assigned by Japannext PTS.

20

ExecTransType

char

Y

Identifies transaction type.
Values:0 = New

37

OrderID

StringY

Unique identifier for order as assigned by Japannext PTS.

38

OrderQty

Qty

R

Quantity accepted.

39

OrdStatuscharY

Identifies current status of this order.
Values:
1 = Partially filled
2 = Filled
5 = Replaced40

OrdTypechar

ROrder type.
Values:2 = Limit

41

OrigClOrdID

StringR

ClOrdID (11) of the previous order (not the initial order) as assigned by theinstitution.

44

Price

Price

47

Rule80A

char

R

Designates the capacity of the firm placing the order.
Values:A = Agency
P = Principal

54

Side

char

Y

Side of order.
Values:1 = Buy
2 = Sell
5 = Sell short
6 = Sell short exempt

55

SymbolStringY

Ticker symbol.
Value is the Quick code.

Y

Calculated average price of all fills on this order.
Unique identifier for the order as assigned by the institution.

Price per share.

12

FIX Drop Copy Specification for Equities
Tag

Field Name

Data Type Req’dR

2023-10-04

Comments

59

TimeInForcechar

Specifies how long the order remains in effect.
Values:0 = Day
3 = Immediate or Cancel (IOC)60TransactTime

UTC
R
Timestamp

Time the transaction represented by this message occurred.

109

ClientID

StringOrder entry port and/or trade group identifiers as assigned by Japannext
PTS.

110

MinQtyQty

Minimum quantity of an order to be executed.

150

ExecTypechar

Y

Describes the specific Execution Report.
Values:5 = Replaced

151

LeavesQty

Qty

YAmount of shares open for further execution.

378

ExecRestatement
Reasonint

Y

Code to identify reason for unsolicited cancel.
Values:100 = Trade prevention

544

CashMargin

char

R

Identifies whether an order is a margin order or a non-margin order.
Values:
1 = Cash
2 = Margin Open
3 = Margin Close

797

CopyMsgIndicator

BooleanR

Indicates whether or not this message is a drop copy of another message.
Value is Y = Yes

8060

OrderClassification

char

R

High Frequency Trading (HFT) order classification.
Values:
1 = Non HFT
3 = HFT market making strategy
4 = HFT arbitrage strategy
5 = HFT directional strategy
6 = HFT other strategy

8214

MarginTransactionType charMargin transaction type of the margin order.
Values:
1 = Negotiable
2 = StandardizedStandard trailer

7.5.3 Execution Report – Order Canceled
Tag

Field Name

Data Type Req’d

Standard header - Outgoing

Comments
MsgType (35) = 8

1

Account

StringAccount mnemonic as assigned by the institution.

6

AvgPx

Price

11

ClOrdID

String

14

CumQtyQty

Y

Total number of shares filled.

17

ExecID

StringY

Unique identifier of execution message as assigned by Japannext PTS.

20

ExecTransType

char

Y

Identifies transaction type.
Values:0 = New

37

OrderID

StringY

Unique identifier for order as assigned by Japannext PTS.

38

OrderQty

Qty

R

Quantity accepted.

Y

Calculated average price of all fills on this order.
Unique identifier for the order as assigned by the institution.

13

FIX Drop Copy Specification for Equities
Tag

Field Name

Data Type Req’d2023-10-04

Comments

39

OrdStatuscharY

Identifies current status of this order.
Values:
4 = Canceled40

OrdTypechar

ROrder type.
Values:2 = Limit

41

OrigClOrdID

String

44

Price

Price

R

Price per share.

47

Rule80A

char

R

Designates the capacity of the firm placing the order.
Values:A = Agency
P = Principal

54

Side

char

Y

Side of order.
Values:1 = Buy
2 = Sell
5 = Sell short
6 = Sell short exempt

55

SymbolStringY

Ticker symbol.
Value is the Quick code.

59

TimeInForce

char

R

Specifies how long the order remains in effect.
Values:0 = Day
3 = Immediate or Cancel (IOC)60TransactTime

UTC
R
Timestamp

Time the transaction represented by this message occurred.

109

ClientID

StringOrder entry port and/or trade group identifiers as assigned by Japannext
PTS.

110

MinQtyQty

Minimum quantity of an order to be executed.

150

ExecTypechar

Y

Describes the specific Execution Report.
Values:
4 = Canceled

151

LeavesQty

Qty

YAmount of shares open for further execution.
Value is 0.

378

ExecRestatement
Reasonint

797

CopyMsgIndicator

BooleanR

Indicates whether or not this message is a drop copy of another message.
Value is Y = Yes.

544

CashMargin

char

R

Identifies whether an order is a margin order or a non-margin order.
Values:
1 = Cash
2 = Margin Open
3 = Margin Close

ClOrdID (11) of the previous order (not the initial order) as assigned by theinstitution.

Code to identify reason for unsolicited cancel.
Values:2 = Verbal change
7 = Cancel on System Failure
12 = Cancel on connection loss
99 = Other
100 = Trade prevention
102 = Cancel on margin restriction

14

FIX Drop Copy Specification for Equities
Tag

Field Name

Data Type Req’d

8060

OrderClassification

8214

MarginTransactionType char

char

R

2023-10-04

Comments
High Frequency Trading (HFT) order classification.
Values:
1 = Non HFT
3 = HFT market making strategy
4 = HFT arbitrage strategy
5 = HFT directional strategy
6 = HFT other strategy
Margin transaction type of the margin order.
Values:
1 = Negotiable
2 = StandardizedStandard trailer

7.5.4 Execution Report – Trade
Tag

Field Name

Data Type Req’d

Standard header - Outgoing

Comments
MsgType (35) = 8

1

Account

StringAccount mnemonic as assigned by the institution.

6

AvgPx

Price

11

ClOrdID

String

14

CumQtyQty

Y

Total number of shares filled.

17

ExecID

StringY

Unique identifier of execution message as assigned by Japannext PTS.

20

ExecTransType

Char

Y

Identifies transaction type.
Values:0 = New

31

LastPxPrice

R

Price of this (last) fill.

32

LastShares

Qty

R

Quantity bought/sold on this (last) fill.

37

OrderID

StringY

Unique identifier for order as assigned by Japannext PTS.

38

OrderQty

Qty

R

Quantity accepted.

39

OrdStatuscharY

Identifies current status of this order.
Values:
1 = Partially filled
2 = Filled

40

OrdTypechar

ROrder type.
Values:2 = Limit

44

Price

Price

R

Price per share accepted.

47

Rule80A

char

R

Designates the capacity of the firm placing the order.
Values:A = Agency
P = Principal

54

Side

char

Y

Side of order.
Values:1 = Buy
2 = Sell
5 = Sell short
6 = Sell short exempt

55

SymbolStringY

Ticker symbol.
Value is the Quick code.

Y

Calculated average price of all fills on this order.
Unique identifier for the order as assigned by the institution.

15

FIX Drop Copy Specification for Equities
Tag

Field Name

Data Type Req’dR

2023-10-04

Comments

59

TimeInForcechar

Specifies how long the order remains in effect.
Values:0 = Day
3 = Immediate or Cancel (IOC)60TransactTime

UTC
R
Timestamp

Time the transaction represented by this message occurred.

109

ClientID

StringOrder entry port and/or trade group identifiers as assigned by Japannext
PTS.

110

MinQtyQty

Minimum quantity of an order to be executed.

150

ExecTypechar

Y

Describes the specific Execution Report.
Values:
1 = Partial fill
2 = Fill

151

LeavesQty

Qty

YAmount of shares open for further execution.

544

CashMargin

char

R

Identifies whether an order is a margin order or a non-margin order.
Values:
1 = Cash
2 = Margin Open
3 = Margin Close

797

CopyMsgIndicator

BooleanR

Indicates whether or not this message is a drop copy of another message.
Value is Y = Yes.

851

LastLiquidityInd

intR

Indicator to identify whether this fill was a result of a liquidity provider
providing or liquidity taker taking the liquidity.
Values:1 = Added liquidity
2 = Removed liquidity880

TrdMatchID

StringR

Identifier assigned to a trade by a matching system.

8060

OrderClassification

char

R

High Frequency Trading (HFT) order classification.
Values:
1 = Non HFT
3 = HFT market making strategy
4 = HFT arbitrage strategy
5 = HFT directional strategy
6 = HFT other strategy

8214

MarginTransactionType charMargin transaction type of the margin order.
Values:
1 = Negotiable
2 = StandardizedStandard trailer

7.5.5 Business Message Reject
Tag

Field Name

Data Type Req’d

Standard header - Outgoing

Comments
MsgType (35) = j

45

RefSeqNum

int

MsgSeqNum (34) of rejected message

58

Text

StringMessage explaining reject reason.

372

RefMsgType

StringY

The MsgType (35) of the FIX message being referenced.

380

BusinessRejectReason

int

Y

Code to identify reason for a Business Message Reject message.
Values:0 = Other
3 = Unsupported Message Type16

FIX Drop Copy Specification for Equities
Tag

Field Name

Data Type Req’d

Comments

Standard trailer

172023-10-04

FIX Drop Copy Specification for Equities

82023-10-04

Revision History
Date

VersionChanges

2011-02-25 1.0

Initial revision.

2011-07-13 1.1

Added Username (553) and Password (554) fields to Logon message.

2011-12-16 1.2

Correct PTS name used.

2012-04-06 1.3

ClOrdID (11) limit updated.

2012-04-18 1.4

Fixed typo in the Username (553) tag number.
Minor rephrasing of the Overview and System Configuration sections.
Incoming and outgoing messages now defined from the exchange point of view.

2012-05-11 1.5

Added LastLiquidityInd (851) field to Execution Report – Trade.
Added list of values for PTS side SubIDs.
Added MinQty (110) field to Execution Report messages.
Added MaxFloor (111) field to Execution Report messages.
Updated comment for OrderID (37) field to denote that it is not required to be preserved within theorder chain.

2012-09-24 1.6

Added OrigClOrdID (41) field to Execution Report – Replaced and Execution Report – Canceled.

2012-12-26 1.7

Added TrdMatchID (880) field to Execution Report – Trade.
Added Protocol Mappings section.
Reworded descriptions for Account (1), TimeInForce (59) and Rule80A (47) fields.

2014-01-22 1.8

Added ExecRestatementReason (378) field to Execution Report – Order Replaced and Execution
Report – Order Canceled.
Removed PossResend (97) field from standard header.

2015-01-22 1.9

Mentioned the U-market.

2015-06-25 1.10

Removed Text (58) filed from all non-reject messages.

2016-09-23 1.11

Fixed requirement for OrigClOrdID (41) field in Execution Report – Order Replaced. Changed to not
required.
Fixed values for OrdStatus (39) field in Execution Report – Trade. Removed values 6 = Pending Cancel
and E = Pending Replace.
Removed TradeDate (75) field from Execution Report – Trade.

2017-08-17 1.12

Removed MaxFloor (111) field from Execution Report messages.

2017-11-16 1.13

Added OrderClassification (8060) field to Execution Report messages.

2017-11-28 1.14

Added Data Type column to message definition tables.
Added values for boolean fields.
Changed order of fields listed in header to group first three required fields.
Added parenthesized tag numbers to field names appearing in comments of message definition tables.

2018-01-23 1.15

Added value 1 = Non HFT to OrderClassification (8060) field.

2018-03-01 1.16

The length of ExecID has been changed from 30 characters to 20 characters.
Edited ExecID description in section 5.1.
Added value 7 = Cancel on System Failure for ExecRestatementReason (378) in Execution Report –Order Canceled.
OrderClassification (8060) changed to required in Execution Report messages.

2018-12-12 1.17

Added CashMargin (544) field to Execution Report messages.
Added Cancel on margin restriction (102) value to ExecRestatementReason (378) field.

2019-08-07 1.18

Added CashMargin (544) values “2” and “3”.
Added MarginTransactionType (8214) field to Execution Report messages.

2019-09-03 1.19

Removed value 4 = Fill or Kill (FOK) from TimeInForce (59) field.

2020-04-01 1.20

Change company name.

2023-10-04 1.21

Changed Tag 55’s comment to “Value is the Quick code.” from “Value is the 4 digit Quick code.”18