AbbeyCross FIX RoE
Introduction
Purpose
This document describes AbbeyCross’s FIX Rules of Engagement.
FIX Version
The specification is based upon FIX 4.4.
Header Fields
- BeginString (Required)
- BodyLength (Required)
- MsgType (Required)
- SenderCompID (Required)
- TargetCompID (Required)
- MsgSeqNum (Required)
- PossDupFlag (Optional)
- PossResend (Optional)
- SendingTime (Required)
- OrigSendingTime (Optional)
Trailer Fields
- CheckSum (Required)
Messages
Heartbeat (0)
| Tag | Name | Required | Description |
|---|---|---|---|
| 112 | TestReqID | N | Identifier included in Test Request message to be returned in resulting Heartbeat |
TestRequest (1)
| Tag | Name | Required | Description |
|---|---|---|---|
| 112 | TestReqID | Y | Identifier included in Test Request message to be returned in resulting Heartbeat |
ResendRequest (2)
| Tag | Name | Required | Description |
|---|---|---|---|
| 7 | BeginSeqNo | Y | Message sequence number of first message in range to be resent |
| 16 | EndSeqNo | Y | Message sequence number of last message in range to be resent |
Reject (3)
| Tag | Name | Required | Description |
|---|---|---|---|
| 45 | RefSeqNum | Y | Reference message sequence number |
| 371 | RefTagID | N | The tag number of the FIX field being referenced. |
SequenceReset (4)
| Tag | Name | Required | Description |
|---|---|---|---|
| 372 | RefMsgType | N | The MsgType of the FIX message being referenced |
| 373 | SessionRejectReason | N | Code to identify reason for a session-level reject message |
| 58 | Text | N | Free format text string |
| 123 | GapFillFlag | N | Valid values: |
| 36 | NewSeqNo | Y | New sequence number |
Logout (5)
| Tag | Name | Required | Description |
|---|---|---|---|
| 58 | Text | N | Free format text string |
ExecutionReport (8)
| Tag | Name | Required | Description |
|---|---|---|---|
| 37 | OrderID | Y | Unique identifier for Order as assigned by AbbeyCross |
| 11 | ClOrdID | N | Unique identifier for Order as assigned by the Client |
| 17 | ExecID | Y | Total quantity filled |
| 150 | ExecType | Y | Describes the specific Execution Report |
| 5001 | Source | N | The underlying rate source |
| 39 | OrdStatus | Y | Identifies current status of order |
| 103 | OrdRejReason | N | Code to identify reason for order rejection |
| 64 | SettlDate | N | Specific date of trade settlement (YYYYMMDD format) |
| 55 | Symbol | Y | Use "[N/A]" for products which do not have a symbol |
| 460 | Product | Y | Indicates the type of product associated with the security |
| 461 | CFICode | Y | The MsgType of the FIX message being referenced |
| 167 | SecurityType | N | Indicates type of security |
| 54 | Side | Y | Side of order |
| 15 | Currency | Y | Identifies currency used for price |
| 40 | OrdType | N | Order type |
| 151 | LeavesQty | Y | Quantity open for further execution |
| 14 | CumQty | Y | Total quantity filled |
| 6 | AvgPx | Y | Calculated average price of all fills on this order |
| 58 | Text | N | Free format text string |
OrderCancelReject (9)
| Tag | Name | Required | Description |
|---|---|---|---|
| 37 | OrderID | Y | Unique identifier for Order assigned by AbbeyCross |
| 11 | ClOrdID | Y | Unique identifier for Order assigned by the Client |
| 39 | OrdStatus | Y | Identifies current status of order |
| 58 | Text | N | Free format text string |
Logon (A)
| Tag | Name | Required | Description |
|---|---|---|---|
| 98 | EncryptMethod | Y | Method of encryption |
| 108 | HeartBtInt | Y | Heartbeat interval (seconds) |
| 141 | ResetSeqNumFlag | N | Indicates that both sides of the FIX session should reset sequence numbers |
NewOrderSingle (D)
| Tag | Name | Required | Description |
|---|---|---|---|
| 11 | ClOrdID | Y | Unique identifier for Order assigned by the Client |
| 64 | SettlDate | N | Specific date of trade settlement (YYYYMMDD format) |
| 55 | Symbol | Y | Use "[N/A]" for products which do not have a symbol |
| 460 | Product | Y | Indicates the type of product associated with the security |
| 461 | CFICode | Y | The MsgType of the FIX message being referenced |
| 167 | SecurityType | N | Indicates type of security |
| 54 | Side | Y | Side of order |
| 60 | TransactTime | Y | Time of execution/order creation (UTC format) |
| 40 | OrdType | Y | Order type |
| 15 | Currency | Y | Identifies currency used for price |
| 44 | Price | N | Price |
| 38 | OrderQty | Y | Quantity ordered |
| 117 | QuoteID | N | Unique identifier for quote |
| 58 | Text | N | Free format text string |
Group: NoSources (Optional)
| Tag | Name | Required | Description |
|---|---|---|---|
| 5001 | Source | Y | The underlying rate source |
OrderCancelRequest (F)
| Tag | Name | Required | Description |
|---|---|---|---|
| 37 | OrderID | N | Unique identifier for Order assigned by AbbeyCross |
| 11 | ClOrdID | Y | Unique identifier for Order assigned by the Client |
| 55 | Symbol | Y | Use "[N/A]" for products which do not have a symbol |
| 460 | Product | N | Indicates the type of product associated with the security |
| 461 | CFICode | N | The MsgType of the FIX message being referenced |
| 167 | SecurityType | N | Indicates type of security |
| 54 | Side | Y | Side of order |
| 60 | TransactTime | Y | Time of execution/order creation (UTC format) |
| 58 | Text | N | Free format text string |
OrderStatusRequest (H)
| Tag | Name | Required | Description |
|---|---|---|---|
| 37 | OrderID | N | Unique identifier for Order assigned by AbbeyCross |
| 11 | ClOrdID | Y | Unique identifier for Order assigned by the Client |
| 55 | Symbol | Y | Use "[N/A]" for products which do not have a symbol |
| 460 | Product | N | Indicates the type of product associated with the security |
| 461 | CFICode | N | The MsgType of the FIX message being referenced |
| 167 | SecurityType | N | Indicates type of security |
| 54 | Side | Y | Side of order |
| 60 | TransactTime | Y | Time of execution/order creation (UTC format) |
| 58 | Text | N | Free format text string |
QuoteRequest (R)
| Tag | Name | Required | Description |
|---|---|---|---|
| 131 | QuoteReqID | Y | Unique identifier for quote request |
| 303 | QuoteRequestType | N | Indicates the type of Quote Request being generated |
| 5003 | QuoteStrategy | N | The quote strategy |
Group: NoSources (Optional)
| Tag | Name | Required | Description |
|---|---|---|---|
| 5001 | Source | Y | The underlying rate source |
Quote (S)
| Tag | Name | Required | Description |
|---|---|---|---|
| 131 | QuoteReqID | N | Unique identifier for quote request |
| 117 | QuoteID | Y | Unique identifier for quote |
| 537 | QuoteType | N | Identifies the type of quote |
| 5001 | Source | Y | The underlying rate source |
| 55 | Symbol | Y | Use "[N/A]" for products which do not have a symbol |
| 460 | Product | Y | Indicates the type of product associated with the security |
| 461 | CFICode | Y | The MsgType of the FIX message being referenced |
| 167 | SecurityType | N | Indicates type of security |
| 64 | SettlDate | N | Specific date of trade settlement (YYYYMMDD format) |
| 15 | Currency | Y | Identifies currency used for price |
| 132 | BidPx | N | Bid price/rate |
| 133 | OfferPx | N | Offer price/rate |
| 134 | BidSize | N | Quantity of bid |
| 135 | OfferSize | N | Quantity of offer |
| 62 | ValidUntilTime | N | Indicates expiration time of indication message (UTC format) |
| 188 | BidSpotRate | N | Bid spot rate |
| 190 | OfferSpotRate | N | Offer spot rate |
| 60 | TransactTime | N | Time of execution/order creation (UTC format) |
Group: NoSources (Optional)
| Tag | Name | Required | Description |
|---|---|---|---|
| 5001 | Source | Y | The underlying rate source |
MarketDataSnapshotFullRefresh (W)
| Tag | Name | Required | Description |
|---|---|---|---|
| 262 | MDReqID | N | Unique identifier for Market Data Request |
| 55 | Symbol | Y | Use "[N/A]" for products which do not have a symbol |
| 460 | Product | N | Indicates the type of product associated with the security |
| 461 | CFICode | N | The MsgType of the FIX message being referenced |
| 167 | SecurityType | N | Indicates type of security |
| 5001 | Source | N | The underlying rate source |
Group: NoMDEntries (Optional)
| Tag | Name | Required | Description |
|---|---|---|---|
| 269 | MDEntryType | Y | Type of Market Data entry |
| 270 | MDEntryPx | Y | Price of the Market Data Entry |
| 271 | MDEntrySize | Y | Quantity or volume represented by the Market Data Entry |
| 432 | ExpireDate | N | Date of order expiration (local market date) |
| 126 | ExpireTime | N | Time/Date of order expiration (UTC format) |
MarketDataRequestReject (Y)
| Tag | Name | Required | Description |
|---|---|---|---|
| 262 | MDReqID | Y | Unique identifier for Market Data Request |
| 281 | MDReqRejReason | N | Reason for the rejection of a Market Data Request |
| 58 | Text | N | Free format text string |
QuoteCancel (Z)
| Tag | Name | Required | Description |
|---|---|---|---|
| 131 | QuoteReqID | Y | Unique identifier for quote request |
QuoteStatusRequest (a)
| Tag | Name | Required | Description |
|---|---|---|---|
| 649 | QuoteStatusReqID | N | Unique identifier for Quote Status Request |
| 117 | QuoteID | N | Unique identifier for quote |
| 55 | Symbol | Y | Use "[N/A]" for products which do not have a symbol |
| 460 | Product | N | Indicates the type of product associated with the security |
| 461 | CFICode | N | The MsgType of the FIX message being referenced |
| 167 | SecurityType | N | Indicates type of security |
| 263 | SubscriptionRequestType | N | Subscription Request Type |
QuoteRequestReject (AG)
| Tag | Name | Required | Description |
|---|---|---|---|
| 131 | QuoteReqID | Y | Unique identifier for quote request |
| 658 | QuoteRequestRejectReason | Y | Reason QuoteRequest was rejected |
| 58 | Text | N | Free format text string |
Group: NoRelatedSym (Optional)
| Tag | Name | Required | Description |
|---|---|---|---|
| 55 | Symbol | Y | Use "[N/A]" for products which do not have a symbol |