Overview

Reflector contains a monolithic FIX message parser which interprets sequences of bytes and translates them into possible order actions.

It is compatible with all current FIX protocol versions without needing to differentiate them. It handles all current FIX venues (except RBS RFQ) while rarely differentiating them. It performs deserialization, field parsing, order action interpretation, and constraint/error checking all in one go. It preserves all field locations, so that it can write back to arbitrary fields later if necessary. Since this is a real time application, Reflector does all this without touching the heap.

Every Session Type except DATA requires inspection by the FIX Parser: LOGON, PASS_TKR, PASS_MKR, TAKER, MAKER, & COPY.

The messages within each SessionType are separated further by their direction of transit:

Outbound messages are requests, since the whole objective of this mechanism is to constrain the trader under the weight of risk limits.
Inbound messages are updates, as the venue is, by definition, a source of truth.

Discipline

Reflector is only allowed to alter the semantics of outbound FIX messages.

When it alters them, it always alters in the direction of voiding an order action (TAKER), voiding an execution (MAKER), or changing passwords (LOGON, PASS_TKR, PASS_MKR). Reflector shall never change the identity of a quote, order, or execution. On inbound FIX messages, the only fields that Reflector is allowed to alter are Text[58] and Checksum[10]. This is predicated on the assumption that text fields have no semantics.

Parser behaviour necessarily varies depending on the

Session Type

Logon

Outbound

On the outbound direction of a session in logon state, the only allowed messages are Logon[A] and Logout[5]. Logon[A] messages are inspected. Logout[5] messages are ignored. If any other message is received, the result is session termination. On an outbound 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, 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

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.

EBS & Reuters utilize a session-in-session scheme where the inner session must be logged onto using the UserRequest[BE] message. In practice, almost everyone uses the same credentials for the outer and inner sessions. Reflector requires that this be the case, and performs password translation again on the UserRequest[BE] message. Refer below for more details.

Inbound

On the inbound direction of a session in logon state, the only allowed messages are Logon[A] and Logout[5]. Logon[A] messages are inspected. Logout[5] messages are ignored. If any other message is received, the result is session termination.

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.

Taker

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

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

Outbound

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:

Attributes are read in.
Venue-specific patches are applied.
Unsupported features: If any of the following conditions hold, the order action will be blocked. Unless specified, the stated reason for rejection will be serialized as (Z_UNSUPPORTED):
1. If OrdType[40] has value FOREX_SWAP[G]
2. If any of these fields are present: Price2[640], OrderQty2[192], SettlDate2[193], AllocAccount[79]
3. If Symbol[55] (SecurityID[48] in LMAX44) did not resolve to a valid currency pair (Z_PRODUCT_UNKNOWN)
4. If NoLegs[555] is present and contains any nonzero value
Sanity: If any of the following conditions hold, the order action will be blocked. Unless specified, the stated reason for rejection will be serialized as (Z_NON_CONFORMING):
1. If PossDupFlag[43] or PossResend[97] is present and has value Y
2. If any of the required fields are missing
3. If account resolution failed on a credential with multiple overloaded accounts set up (Z_ACCOUNT_UNKNOWN)
4. For non-market orders, if Price[44] is missing or more than a factor of 2 outside of reference rate (Z_PRICE_RANGE)
5. If OrderQty[38] did not contain a positive scalar amount (Z_QUANTITY_RANGE)
6. If Currency[15] is missing on an order referencing a quote (Z_DEALT_CCY_UNKNOWN)
7. If Currency[15] is present but did not refer to either of the currencies in the symbol (Z_DEALT_CCY_UNKNOWN)
8. For Spot orders, if a settle date cannot be computed for the state symbol (Z_SETTLE_DATE_UNKNOWN)
9. For non-Spot orders, if settle date computation failed sanity checks (Z_SETTLE_DATE_UNKNOWN)
10. If Side[54] contained a value other than BUY[1] or SELL[2]
A speculative order state is constructed.
Order state is sent to the Risk Instance for assessment. On failure, order action will be blocked with whichever reason it provides.

Taker Blocking

When an outbound taker message is found to be illegal, the following taker block procedure is performed:

The following fields, if existent, are zero-filled: OrderQty[38], OrderQty2[192], BidSize[134], OfferSize[135], BidSize2[...], OfferSize2[...], LegQty[687], LegOrderQty[685], AllocQty[80], LegAllocQty[271].
QuoteRespType[694], if existent, will be filled with PASS[6].
If the blocked message was a OrderCancelReplaceRequest[G], it will be changed to a OrderCancelRequest[F].
For specific venues, if these actions are insufficient, Reflector will also fill any provided QuoteID[117] with "_".

OrderMassActionRequest[CA]

The only supported MassActionType[1373] is CANCEL[3]. All appearances of that field will be coerced to the supported value.

Inbound

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.

ExecutionReport[8] & TradeCaptureReport[AE]

A TradeCaptureReport[AE] is a pure fill update, uniquely identiable by its ExecID[17].

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:

Attributes are read in.
Venue-specic patches are applied.
Unsupported features: if any of the following conditions hold, order action will be blocked with Z_UNSUPPORTED:
1. If any of these fields are present: Price2[640], SettlDate2[193], AllocAccount[79]
2. If Symbol[55] did not resolve to a valid currency pair
3. If NoLegs[555] is present and contains any nonzero value
Sanity: if any of the following conditions hold, order action will be blocked with Z_NON_CONFORMING:
1. If PossDupFlag[43] or PossResend[97] is present and has value Y
2. If any of the required fields are missing
3. If Currency[15] is missing on an order referencing a quote
4. If Currency[15] is present and referred neither of the currencies of the symbol
5. If Side[54] contained a value other than BUY[1] or SELL[2]
6. If LastPx[31] is more than a factor of 2 outside of reference rate
7. If LastQty[32] did not contain a positive scalar amount
A speculative execution state is constructed.
Execution state sent to risk backend for assessment. On failure, exec action will be blocked with whichever reason the risk backend provides.

Maker Blocking

When an outbound maker execution message is found to be illegal, the following maker block procedure is performed:

The following fields, if existent, are zero-filled: OrderQty[38], OrderQty2[192], LegQty[687], LegOrderQty[685], AllocQty[80], LegAllocQty[271], LastQty[32], LastQty2[...], CumQty[14], CumQty2[...].
OrdStatus[39] & ExecType[150], if existent, will be filled with REJECTED[8].
ExecAckStatus[1036], if existent, will be filled with REJECTED[2].

Some venues (e.g. Fastmatch & FXall) require special handling. The goal, is to have the venue acknowledge the invalidated execution/message in some way. The venue's response, in decreasing order or preference, should be one of the following:

Venue ACKs accepts, rejects, and errors.
Venue ACKs only rejects and errors.
Venue ACKs only errors.
Venue ACKs nothing, but emits an order timeout afterwards.
Venue terminates session in some way.

Inbound

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:

Z_EXEC_TIME_OUT - The confirm referred to an order that has been timed out. The confirm is ignored.
Z_EXEC_EXPIRATION - The confirm arrived after the associated maker exec has already been made permanent. The confirm is ignored.
Z_EXEC_ID_DISLOCATION - The conrm ExecID[17] matches something other than what was on record. The confirm is ignored. This is the most serious and least likely of the errors.
Z_EXEC_NOT_FOUND - Rogue confirmation. No record of associated maker exec existed; hence it was 'invented' by the exchange. The execution is accepted, and immediately made permanent.
Z_EXEC_REVISION - The confirm matches everything (exec id, order id, product, side), but quantity is different. The associated maker exec is updated. Not really an 'error' per se.

DontKnowTrade[Q]

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.

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.