Page History

...

If a credential is not found, or if the credential is disabled, or if any risk pools containing the credential is in a UNPLUGGED state, or if password translation is enabled and password match failed, then the session is terminated. Otherwise, the message passes through.

Flag	Presence	Field	Type
COMP_ID	Required	SenderCompID[49]	STRING
SUB_ID	Optional	SenderSubID[50]	STRING
PASSWORD	Optional	Password[554]	STRING
NEW_PASSWORD	Optional	NewPassword[925]	STRING

Tip

title	Password Translation

Password translation is an optional feature where the trader is not provided the venue's FIX logon password. Instead, the trader is provisioned a different password of the same length. On logon, Reflector checks for the fake password. Upon matching, it overwrites the fake password with the real password.

...

On an inbound Logon[A] message, a credential is deduced and looked up using the ordered triple { ExchangeCode, COMP_ID, SUB_ID }. If a credential is not found, or if the credential is disabled, or if any risk pools containing the credential is in a UNPLUGGED state, the session is terminated. Otherwise, the message passes through, and the session is bound to the credential, inheriting its SessionType.

Flag	Presence	Field	Type
COMP_ID	Required	SenderCompID[49]	STRING
SUB_ID	Optional	SenderSubID[50]	STRING

Password Change

Outbound

EBS & Reuters have a unique password changing process whereby traders must log in to change passwords with a UserRequest[BE] message. The SessionTypes PASS_TKR & PASS_MKR handle this contingency for PBs who do not wish for their clients to know the real logon passwords:

Message Name	MsgType[35]	Action	Explanation
Logon	A	Drop session	Outbound risk message with risk implications is banned.
NewOrderSingle	D	Drop session	Outbound risk message with risk implications is banned.
QuoteResponse	AJ	Drop session	Outbound risk message with risk implications is banned.
NewOrderList	E	Drop session	Outbound risk message with risk implications is banned.
NewOrderMultileg	AB	Drop session	Outbound risk message with risk implications is banned.
ExecutionReport	8	Drop session	Outbound risk message with risk implications is banned.
ExecutionAcknowledgement	BN	Drop session	Outbound risk message with risk implications is banned.
Logout	5	Change session type	PASS_TKR maps to TAKER PASS_MKR maps to MAKER
everything else	-	Change new password	NewPassword[925] is replaced by the preset venue password.

Inbound

Inbound messages on tcp sessions in password changing mode are completely unscreened with one exception: on detection of Logon[A] message, the stream terminates immediately.

...

On an outbound taker stream, potential order actions are inspected.

Message Name	MsgType[35]	Action	Explanation
Logon	A	Drop session	Trader already logged on
ExecutionReport	8	Drop session	Maker exec submission
NewOrderSingle	D	Inspect	New order submission request
QuoteResponse	AJ	Inspect	New order submission request
OrderCancelReplaceRequest	G	Inspect	Existing order modication request
NewOrderList	E	Overwrite	Not yet implemented
NewOrderMultileg	AB	Overwrite	Not yet implemented
Quote	S	Overwrite	Illegal
MassQuote	i	Overwrite	Illegal
OrderMassActionRequest	CA	Inspect	Block unsupported actions

Info

title	OrderCancelRequest[F]

Notably missing from this list is OrderCancelRequest[F]. It is omitted because it has no risk implications.

...

NewOrderSingle[D], QuoteResponse[AJ], & OrderCancelReplaceRequest[G]

Flag	Presence in D	Presence in AJ	Presence in G	Field	Type
POSS_DUPE	Optional	Optional	Optional	PossDupFlag[43], PossResend[97]	BOOL
SEQ_NUM	Required	Required	Required	MsgSeqNum[34]	INT
ACCOUNT	Optional	Optional	Optional	Account[1], PartyRole[452], etc	STRING
ALLOC_ACCT	BANNED	BANNED	BANNED	AllocAccount[79]	STRING
ORD_TYPE	Required	-	Optional	OrdType[40]	ENUM
QUOTE_RESP_TYPE	-	Required	-	QuoteRespType[694]	ENUM
ORIG_ORDER_ID	-	-	Optional	OrigClOrdID[41]	STRING
ORDER_ID	Required	Optional	Required	ClOrdID[11]	STRING
QUOTE_RESP_ID	-	Optional	-	QuoteRespID[693]	STRING
SYMBOL	Required	Required	Required	Symbol[55], SecurityID[48]	STRING, INT
CURRENCY	Optional	Required	Optional	Currency[15]	STRING
SIDE	Required	Required	Required	Side[54]	ENUM
CONTRACT_MULTIPLIER	Optional	Optional	Optional	ContractMultiplier[231]	FLOAT
PRICE	Optional	Optional	Required	Price[44]	FLOAT
PRICE	-	Optional	-	BidPx[132], OfferPx[133]	FLOAT
PRICE_TWO	BANNED	BANNED	BANNED	Price2[640]	FLOAT
PRICE_TWO	-	BANNED	-	BidPx2[. . . ], OfferPx2[. . .]	FLOAT
QUANTITY	Required	Optional	Required	OrderQty[38]	FLOAT
QUANTITY	-	Optional	-	BidSize[134], BidSize[135]	FLOAT
QUANTITY_TWO	BANNED	BANNED	BANNED	OrderQty2[192]	FLOAT
QUANTITY_TWO	-	BANNED	-	BidSize2[. . . ], BidSize2[. . . ]	FLOAT
SETTLE_DATE	Optional	Optional	Optional	SettlDate[64]	DATE
SETTLE_DATE_TWO	BANNED	BANNED	BANNED	SettlDate2[193]	DATE
NUM_LEGS	Optional	Optional	Optional	NoLegs[555]	INT

Processing Sequence

On an outbound risk-carrying Taker message, the parser acts as if the following events occur in sequence:

...

On an inbound taker stream, Reflector accepts updates (including rejects) to live orders and fill notications.

Message Name	MsgType[35]	Action	Explanation
Logon	A	Drop session	Trader already logged on
NewOrderSingle	D	Drop session	Maker new order
QuoteResponse	AJ	Drop session	Maker new order
NewOrderList	E	Drop session	Maker new order
NewOrderMultileg	AB	Drop session	Maker new order
ExecutionReport	8	Update	Order update + fill insert
TradeCaptureReport	AE	Update	Fill Insert
OrderMassCancelReport	r	Update	Order revoke
OrderCancelReject	9	Nothing	Nothing
Reject	3	Update	Order revoke
BusinessMessageReject	j	Update	Order revoke

Reflector models live and filled outlays separately. This means that on an ExecutionReport[8], two independent potential updates of separate records could be performed: one to update the state of the live order, another to insert a fill. No attempt is made to track which fill belongs to which order.

...

A ExecutionReport[8] is a potential TradeCaptureReport[AE], plus a mandatory live order state update; where the fill portion is identified by the same ExecID[17] and the live portion is identified by one or more of ClOrdID[11], OrigClOrdID[41], or QuoteRespID[693].
If Text[58] exists, and Reflector has previously blocked the identified order, then it's content will be replaced by Reflector's ErrorCode.

Flag	Presence in 8	Presence in AE	Field	Type
POSS_DUPE	Optional	Optional	PossDupFlag[43], PossResend[97]	BOOL
SEQ_NUM	Required	Required	MsgSeqNum[34]	INT
TEXT	Optional	-	Text[58]	STRING
ACCOUNT	Optional	Optional	Account[1], PartyRole[452], etc	STRING
ALLOC_ACCT	BANNED	BANNED	AllocAccount[79]	STRING
ORD_TYPE	Required	-	OrdType[40]	ENUM
ORD_STATUS	Required	-	OrdStatus[39]	ENUM
EXEC_TYPE	Required	-	ExecType[190]	ENUM
MATCH_STATUS	-	Required	MatchStatus[573]	ENUM
ORIG_ORDER_ID	Optional	-	OrigClOrdID[41]	STRING
ORDER_ID	Optional	-	ClOrdID[11]	STRING
QUOTE_RESP_ID	Optional	-	QuoteRespID[693]	STRING
EXEC_ID	Required	Required	ExecID[17]	STRING
SYMBOL	Required	Required	Symbol[55], SecurityID[48]	STRING, INT
CURRENCY	Optional	Optional	Currency[15]	STRING
SIDE	Required	Required	Side[54]	ENUM
CONTRACT_MULTIPLIER	Optional	Optional	ContractMultiplier[231]	FLOAT
PRICE	Optional	-	Price[44]	FLOAT
PRICE_TWO	BANNED	-	Price2[640]	FLOAT
QUANTITY	Required	-	OrderQty[38]	FLOAT
QUANTITY_TWO	BANNED	-	OrderQty2[192]	FLOAT
LEAVES_QUANTITY	Required	-	LeavesQty[151]	FLOAT
LEAVES_QUANTITY_TWO	BANNED	-	LeavesQty2[...]	FLOAT
LAST_PRICE	Optional	Required	LastPx[31]	FLOAT
LAST_PRICE_TWO	BANNED	BANNED	LastPx2[...]	FLOAT
LAST_QUANTITY	Optional	Required	LastQty[32]	FLOAT
LAST_QUANTITY_TWO	BANNED	BANNED	LastQty2[...]	FLOAT
SETTLE_DATE	Optional	Required	SettlDate[64]	DATE
SETTLE_DATE_TWO	BANNED	BANNED	SettlDate2[193]	DATE
NUM_LEGS	Optional	Optional	NoLegs[555]	INT

OrderMassCancelReport[r] & OrderCancelReject[9]

On OrderMassCancelReport[r], on every ClOrdID[11] and OrigClOrdID[41] observed, the corresponding live order is looked up and invalidated. On OrderCancelReject[9], no order actions are taken; but if fields ClOrdID[11] and Text[58] exist, and Reflector has previously blocked an order identified by ClOrdID[11], then the value of Text[58] will be replaced by Reflector's ErrorCode.

Flag	Presence in 8	Presence in AE	Field	Type
TEXT	-	Optional	Text[58]	STRING
ORIG_ORDER_ID	Optional	-	OrigClOrdID[41]	STRING
TEXT	Optional	Optional	ClOrdID[11]	STRING

Reject[3] & BusinessMessageReject[j]

Reject[3] & BusinessMessageReject[j] are handled in the exact same way. If a corresponding live order is found when RefSeqNum[45] will be looked up, it will be invalidated. Additionally, if Reflector has previously blocked an order identified by RefSeqNum[45], then the value of Text[58], if it exists, will be replaced by Reflector's ErrorCode.

Flag	Presence in 8	Presence in AE	Field	Type
TEXT	Optional	Optional	Text[58]	STRING
REF_SEQ_NUM	Required	Required	RefSeqNum[45]	INT

Maker

Outbound

On an outbound maker stream, only ExecutionReport[8] & ExecutionAcknowledgement[BN] are meaningful to inspect.

Message Name	MsgType[35]	Action	Explanation
Logon	A	Drop session	Trader already logged on
NewOrderSingle	D	Drop session	Taker order submission
QuoteResponse	AJ	Drop session	Taker order submission
NewOrderList	E	Drop session	Taker order submission
NewOrderMultileg	AB	Drop session	Taker order submission
ExecutionReport	8	Inspect	New execution request
ExecutionAcknowledgement	BN	Inspect	New execution request

ExecutionReport[8] & ExecutionAcknowledgement[BN]

Takers need to deal with both orders and executions (fills). Makers deal with only executions, but must handle the rare case where they could be rolled back.

Flag	Presence in 8	Presence in BN	Field	Type
POSS_DUPE	Optional	Optional	PossDupFlag[43], PossResend[97]	BOOL
SEQ_NUM	Required	Required	MsgSeqNum[34]	INT
ACCOUNT	Optional	Optional	Account[1], PartyRole[452], etc	STRING
ALLOC_ACCT	BANNED	BANNED	AllocAccount[79]	STRING
EXEC_TYPE	Required	-	ExecType[190]	ENUM
EXEC_ACK_STATUS	-	Required	ExecAckStatus[1036]	ENUM
ORDER_ID	Required	Required	ClOrdID[11]	STRING
EXEC_ID	Required	Required	ExecID[17]	STRING
SYMBOL	Required	Required	Symbol[55], SecurityID[48]	STRING, INT
CURRENCY	Required	Required	Currency[15]	STRING
SIDE	Required	Required	Side[54]	ENUM
CONTRACT_MULTIPLIER	Optional	Optional	ContractMultiplier[231]	FLOAT
PRICE	Optional	Optional	Price[44]	FLOAT
PRICE_TWO	BANNED	BANNED	Price2[640]	FLOAT
QUANTITY	Optional	Optional	OrderQty[38]	FLOAT
QUANTITY_TWO	BANNED	BANNED	OrderQty2[192]	FLOAT
LAST_PRICE	Required	Required	LastPx[31]	FLOAT
LAST_PRICE_TWO	BANNED	BANNED	LastPx2[...]	FLOAT
LAST_QUANTITY	Required	Required	LastQty[32]	FLOAT
LAST_QUANTITY_TWO	BANNED	BANNED	LastQty2[...]	FLOAT
SETTLE_DATE	Required	Required	SettlDate[64]	DATE
SETTLE_DATE_TWO	BANNED	BANNED	SettlDate2[193]	DATE
NUM_LEGS	Optional	Optional	NoLegs[555]	INT

On an outbound maker risk-carrying message, the parser acts as-if the following events occur in sequence:

...

On an inbound maker stream, we basically check for various ways an outbound accept could be invalidated:

Message Name	MsgType[35]	Action	Explanation
Logon	A	Drop session	Trader already logged on
ExecutionReport	8	Update	New order + fill update
ExecutionAcknowledgement	BN	Update	Fill update
DontKnowTrade	Q	Update	Revoke fill via ExecID[17]
OrderTimeOut	OT	Update	Revoke fills via ClOrdID[11]
Currenex OrderTimeOut	U3	Update	Revoke fills via ClOrdID[11]
Reject	3	Update	Revoke fill via MsgSeqNum[34]
BusinessMessageReject	j	Update	Revoke fill via MsgSeqNum[34]

ExecutionReport[8] & ExecutionAcknowledgement[BN]

Some venues use ExecutionReport[8] as new (FXall), those are skipped. Some venues use ExecutionReport[8] as ack, those are inspected. Some venues use ExecutionReport[8] as both new and ack (Hotspot), those are included inspected too. Additionally, if Reflector has previously blocked an execution identified by ExecID[17], then value of Text[58], if it exists, will be replaced by Reflector's ErrorCode.

Flag	Presence in 8	Presence in BN	Field	Type
POSS_DUPE	Optional	Optional	PossDupFlag[43], PossResend[97]	BOOL
TEXT	Optional	Optional	Text[58]	STRING
ACCOUNT	Optional	Optional	Account[1], PartyRole[452], etc	STRING
ALLOC_ACCT	BANNED	BANNED	AllocAccount[79]	STRING
EXEC_TYPE	Required	-	ExecType[190], HSFXTradeStatus[7226]	ENUM
EXEC_ACK_STATUS	-	Required	ExecAckStatus[1036]	ENUM
ORDER_ID	Required	Required	ClOrdID[11]	STRING
EXEC_ID	Required	Required	ExecID[17]	STRING
SYMBOL	Required	Required	Symbol[55], SecurityID[48]	STRING, INT
CURRENCY	Optional	Optional	Currency[15]	STRING
SIDE	Required	Required	Side[54]	ENUM
CONTRACT_MULTIPLIER	Optional	Optional	ContractMultiplier[231]	FLOAT
PRICE	Optional	Optional	Price[44]	FLOAT
PRICE_TWO	BANNED	BANNED	Price2[640]	FLOAT
QUANTITY	Optional	Optional	OrderQty[38]	FLOAT
QUANTITY_TWO	BANNED	BANNED	OrderQty2[192]	FLOAT
LAST_PRICE	Required	Required	LastPx[31]	FLOAT
LAST_PRICE_TWO	BANNED	BANNED	LastPx2[...]	FLOAT
LAST_QUANTITY	Required	Required	LastQty[32]	FLOAT
LAST_QUANTITY_TWO	BANNED	BANNED	LastQty2[...]	FLOAT
SETTLE_DATE	Required	Required	SettlDate[64]	DATE
SETTLE_DATE_TWO	BANNED	BANNED	SettlDate2[193]	DATE
NUM_LEGS	Optional	Optional	NoLegs[555]	INT

The handling of an inbound maker execution update is both complex (because we are essentially rescinding historic actions) and trivial (because things never actually get modified). For the sake of completeness, Reflector handles the complexity, even though it can never happen. The risk instance, upon processing a maker execution update request, can emit the following warnings:

...

ExecID[17] will be looked up and execution invalidated if not already invalid. Additionally, if Reflector has previously blocked an execution identified by ExecID[17], then value of Text[58], if it exists, will be replaced by Reflector's ErrorCode.

Flag	Presence	Field	Type
TEXT	Optional	Text[58]	STRING
EXEC_ID	Required	ExecID[17]	STRING

OrderTimeOut[OT] & Currenex OrderTimeOut[U3]

ClOrdID[11] will be looked up and every associated execution invalidated. For Currenex only, U3 will be looked up instead of OT.

Flag	Presence in OT	Presence in U3	Field	Type
ORDER_ID	Required	Required	ClOrdID[11]	STRING

Reject[3] & BusinessMessageReject[j]

Reject[3] & BusinessMessageReject[j] are handled in the exact same way. If a corresponding execution is found when RefSeqNum[45] will be looked up, it will be invalidated. Additionally, if Reflector has previously blocked an execution identified by RefSeqNum[45], then the value of Text[58], if it exists, will be replaced by Reflector's ErrorCode.

Flag	Presence in 8	Presence in AE	Field	Type
TEXT	Optional	Optional	Text[58]	STRING
REF_SEQ_NUM	Required	Required	RefSeqNum[45]	INT

Copy

SessionType::COPY denotes special sessions reserved for dropcopy fill injection into Reflector.

Counter-Currency Trading

Dealt currency status is tricky to determine because traders and venues alike tend to omit the Currency[15] field. This is fine when the intention is to convey the base ccy order that it defaults to anyway, but sometimes the field is similarly omitted for a term ccy order, for example when this is established in a previous message or a different (quote) stream.

For this reason, new order requests on taker sessions that are responding to quotes must populate Currency[15].

On maker sessions, outbound executions must populate Currency[15] too because the inbound NewOrderSingle is similarly unscreened.

Note
In the inbound direction on both taker and maker sessions, since we are powerless to restrain the venue, Reflector must rely on previouly tested evidence that the venue will populate Currency[15] on a term order confirmation or term execution ack.

Account Multiplexing

Some customers wish to map to multiple accounts per session, through Account[1] or otherwise. This is supported through Reflector, but it must know the complete set of allowed account tag values and what risk pool they belong to.

On a credential with account multiplexing set up, any order submission with a missing or unknown account tag will be rejected.

Versions Compared

Old Version 21

New Version Current

Key

Password Change

Outbound

Inbound

NewOrderSingle[D], QuoteResponse[AJ], & OrderCancelReplaceRequest[G]

Processing Sequence

OrderMassCancelReport[r] & OrderCancelReject[9]

Reject[3] & BusinessMessageReject[j]

Maker

Outbound

ExecutionReport[8] & ExecutionAcknowledgement[BN]

ExecutionReport[8] & ExecutionAcknowledgement[BN]

OrderTimeOut[OT] & Currenex OrderTimeOut[U3]

Reject[3] & BusinessMessageReject[j]

Copy

Counter-Currency Trading

Account Multiplexing