It is the Venue that dictates the message flow, not the Client - thus, the Whisperer Direct message schema is Maker/Taker agnostic.
When directly inspecting "on-the-wire" representations of char datatypes - including enumerations which may take numeric values - be aware that these are subject to UTF-8 encoding, and you may be inspecting the decimal code of the given character. Refer to https://en.wikipedia.org/wiki/UTF-8#Codepage_layout for details. Example: <enum name="Side" description="Side" encodingType="char"> '49' - Buy '50' - Sell '55' - TwoWay |
<?xml version="1.0" encoding="UTF-8" standalone="yes"?>
<!--
*
* Copyright (C) 2018 MarketFactory, Inc. All rights reserved.
* Use in source and binary forms, with or without modification, is permitted provided that the following conditions are met:
* 1. You may only use this software for internal evaluation and testing purposes and may not use the software for engaging
* in live trades, unless and until you have entered into a separate agreement with MarketFactory governing the use of
* MarketFactory software in a production environment.
* 2. You may not distribute the software (in either source or binary forms) to third parties.
* 3. All copies of source code must retain the above copyright notice, this list of conditions and the following disclaimer.
* THIS SOFTWARE IS PROVIDED BY MARKETFACTORY AND ITS LICENSORS "AS IS" AND ANY EXPRESS OR IMPLIED WARRANTIES, INCLUDING,
* BUT NOT LIMITED TO, THE IMPLIED WARRANTIES OF MERCHANTABILITY AND FITNESS FOR A PARTICULAR PURPOSE ARE DISCLAIMED. IN
* NO EVENT SHALL MARKETFACTORY OR ITS LICENSORS BE LIABLE FOR ANY DIRECT, INDIRECT, INCIDENTAL, SPECIAL, EXEMPLARY, OR
* CONSEQUENTIAL DAMAGES (INCLUDING, BUT NOT LIMITED TO, PROCUREMENT OF SUBSTITUTE GOODS OR SERVICES; LOSS OF USE, DATA,
* OR PROFITS; OR BUSINESS INTERRUPTION) HOWEVER CAUSED AND ON ANY THEORY OF LIABILITY, WHETHER IN CONTRACT, STRICT
* LIABILITY, OR TORT (INCLUDING NEGLIGENCE OR OTHERWISE) ARISING IN ANY WAY OUT OF THE USE OF THIS SOFTWARE, EVEN IF
* ADVISED OF THE POSSIBILITY OF SUCH DAMAGE.
*
-->
<sbe:messageSchema xmlns:sbe="http://fixprotocol.io/2016/sbe"
package="mfsbe4"
id="5"
version="20180518"
semanticVersion="MF-FIX5.0SP2"
description="Schema for marketdata and trading messages. Based on FIX50SP2. The protocol is designed to run over TCP."
byteOrder="littleEndian">
<!-- For usage details, please refer to https://confluence.marketfactory.com/display/EX/Whisperer+SBE4 -->
<!-- NOTE
This Schema utilises the following custom tags:
20004 PipSize
20006 NoModels
20008 HopArrivalTime
20018 NoProducts
20019 TradingModel
20024 Venuename
20050 AllocRegulatoryFields
20051 AllocRegulatoryKey
20052 AllocRegulatoryValue
20053 BodyRegulatoryFields
20054 BodyRegulatoryKey
20055 BodyRegulatoryValue
20057 MDFlags
20058 FixingReference
20059 FwdPriceIncrement
20060 LegAllocCalculatedCcyQty
20061 LegCumQty
20062 LegLeavesQty
20063 LegRegulatoryFields
20064 LegRegulatoryKey
20065 LegRegulatoryValue
20066 LotSize
20067 SessionType
20068 LastSecurity
20069 NumCompetitors
20073 PassthruFields
20074 PassthruKey
20075 PassthruValue
20076 RegulatoryBodies
20080 OrderAttributes
A couple of commands to help maintain this list:
egrep '2[0-9]{4}' *.xml
egrep 'id="(2[0-9]{4}|TODO)"' mfsbe4.xml | awk 'BEGIN { FS="\"" } {print $4, $2 }' | sort -u
-->
<!-- TODO presence optionality should be defined for the field, or the type?
Any value in defining groups for common fields sharing the same condition (e.g. NDF-specific fields not in group, but Regulatory fields are)?
Clear, consistent policy required. -->
<!--TODO - revisit QuoteReq and Quote IDs - do these need to be 64 byte strings? Can we convert to uint32 as per mkt data? Certainly the quote ID can be an incrementing integer... -->
<types>
<!-- SBE defined types -->
<composite name="messageHeader" description="The SBE header that is part of each message.">
<type name="messageLength" primitiveType="uint16" description="Length of the whole message. May span multiple packets."/>
<type name="blockLength" primitiveType="uint16" description="The length of the message root block before repeating groups or variable data commences."/>
<type name="templateId" primitiveType="uint16" description="The identifier for the template type of the message that is to follow."/>
<type name="schemaId" primitiveType="uint16" description="The identifier for the schema that defines the message."/>
<type name="version" primitiveType="uint16" description="The version of the schema allowing for extension."/>
<type name="msgSeqNum" primitiveType="uint32" description="Sequence number for detecting missed messages. On detection of a sequence number gap, the recipient should immediately Logout and then Logon in order to resolve the dropped message(s)."/>
<type name="sendingTime" primitiveType="uint64" description="UTCTimestamp when the message was sent."/>
</composite>
<composite name="varDataEncoding" description="Definition for a variable length string."> <!-- NOTE: This schema does not use variable length data elements, included only for completeness. -->
<type name="length" primitiveType="uint8" maxValue="1300" description="Length of string."/>
<type name="varData" primitiveType="uint8" length="0" characterEncoding="UTF-8" description="Array of UTF-8 characters."/>
</composite>
<composite name="groupSizeEncoding" semanticType="NumInGroup" description="Repeating group dimensions.">
<type name="blockLength" primitiveType="uint8" description="Length of element."/>
<type name="numInGroup" primitiveType="uint8" description="Number of items in repeating group."/>
</composite>
<!-- Primitive types -->
<type name="Int32NULL" presence="optional" nullValue="-2147483648" primitiveType="int32" semanticType="int" description="Nullable, signed 32-bit integer."/>
<type name="Int8NULL" presence="optional" nullValue="-128" primitiveType="int8" description="Nullable, signed 8-bit integer."/>
<type name="uInt32NULL" presence="optional" nullValue="4294967295" primitiveType="uint32" description="Nullable, unsigned 32-bit integer."/>
<type name="uInt8NULL" presence="optional" nullValue="255" primitiveType="uint8" description="Nullable, unsigned 8-bit integer."/>
<type name="LocalMktDate" presence="optional" nullValue="65535" primitiveType="uint16" semanticType="LocalMktDate" description="Local calendar date in days since epoch."/> <!-- TODO what is the local timezone?! I would prefer this- infact ALL - dates and times to be UTC-->
<type name="SeqNum" primitiveType="uint32" semanticType="SeqNum" description="Sequence number for detecting missed messages."/>
<type name="RequestID" presence="optional" nullValue="4294967295" primitiveType="uint32" semanticType="int" description="Unique (within curent session) identifier to reliably link request and response messages."/>
<type name="UTCTimestamp" primitiveType="uint64" semanticType="UTCTimestamp" description="Number of nanoseconds since epoch."/>
<!-- String types -->
<type name="Text64" primitiveType="char" length="64" semanticType="String" description="Free format fixed-length text string."/>
<type name="Symbol" primitiveType="char" length="32" semanticType="String" description="Identifier for a security."/>
<type name="Username" primitiveType="char" length="64" semanticType="String" description="Id given to user for logging on."/>
<type name="Venuename" primitiveType="char" length="64" semanticType="String" description="Id given to user for logging on."/>
<type name="Password" primitiveType="char" length="32" semanticType="String" description="Password used to logon."/>
<type name="Currency" primitiveType="char" length="3" semanticType="Currency" description="Currency code supported by MarketFactory. Usually the ISO 4217 Currency code value."/>
<type name="PassthruKey" primitiveType="char" length="32" semanticType="String" description="Passthru Element name. e.g. Name of FIX tag."/>
<type name="PassthruValue" primitiveType="char" length="64" semanticType="String" description="Passthru Element value."/>
<type name="RegulatoryValue" primitiveType="char" length="64" semanticType="String" description="Body/Leg/Allocation Regulatory field value."/>
<type name="IDString" primitiveType="char" length="64" semanticType="String" description="Fixed length string type for IDs assigned by Venues. All valid ASCII from decimal 32 to decimal 126 allowed, excluding ~`_!*,-:=[]"/> <!-- Char exclusion list based on EBS ClOrdID constraint. -->
<type name="PartyString" primitiveType="char" length="64" semanticType="String" description="Fixed length string type for IDs assigned by Venues."/>
<type name="FixingReference" primitiveType="char" length="64" semanticType="String" description="Fixed length string type for IDs assigned by Venues. Refer to [REF TODO] for Venue-specific fixing reference strings."/>
<!-- Price and Qty types -->
<composite name="DecimalQtyNULL" semanticType="Qty" description="A number representing quantity.">
<type name="mantissa" presence="optional" nullValue="-9223372036854775807" primitiveType="int64" description="The significant digits of the quantity value with an optional NULL value."/>
<type name="exponent" presence="constant" primitiveType="int8" description="The scale of the decimal number as a power of 10.">-5</type>
</composite>
<composite name="PriceNULL" semanticType="Price" description="Price NULL">
<type name="mantissa" presence="optional" nullValue="18446744073709551615" primitiveType="uint64" description="The significant digits of the price value with an optional NULL value."/>
<type name="exponent" presence="constant" primitiveType="int8" description="The scale of the decimal number as a power of 10.">-9</type>
</composite>
<composite name="VarText" semanticType="String" description="Free format variable-length text string.">
<type name="length" primitiveType="uint16" semanticType="Length"/>
<type name="varData" length="0" primitiveType="uint8" semanticType="data" characterEncoding="UTF-8"/><!-- The length attribute is set to zero as special value to indicate that the character data is of variable length. -->
</composite>
<!-- Enumerations and sets -->
<set name="TradingFlags" encodingType="uint64" semanticType="Boolean"> <!-- Implemented as a set to avoid any problems with null values -->
<choice name="PossDupFlag" description="TRUE if message has been resent in response to an identified sequence number gap.">0</choice>
</set>
<set name="SecurityDefinitionFlags" encodingType="uint64" semanticType="Boolean"> <!-- Implemented as a set to avoid any problems with null values -->
<choice name="LastSecurity" description="TRUE if this is the last SecurityDefinition message to be published.">0</choice>
</set>
<set name="MDFlags" encodingType="uint64" semanticType="Boolean"> <!-- Implemented as a set to avoid any problems with null values -->
<choice name="LastInTimeSlice" description="FALSE if this Venue does not implement Market Data time-slicing, or if there are further Incremental messages to follow in the current time-slice. TRUE if this is the last Incremental in the current time-slice.">0</choice>
</set>
<enum name="SessionType" encodingType="uint8" semanticType="Boolean"> <!-- Implemented as a set to avoid any problems with null values -->
<validValue name="Pricing" description="MFAPI Client establishes a MarketData session with the Venue, CLOB or ESP MassQuotes.">0</validValue>
<validValue name="Orders" description="MFAPI Client establishes a Trading session with the Venue, CLOB or ESP Orders.">1</validValue>
<validValue name="RFS" description="MFAPI Client establishes a RFS/RFQ quotation negotiation session with the Venue.">2</validValue>
<validValue name="DropCopy" description="MFAPI Client establishes a STP session with the Venue.">3</validValue>
</enum>
<enum name="OrdType" encodingType="char" semanticType="char">
<!-- TODO Review coverage, naming: PreviouslyQuoted/Market/Market-Limit/Limit/Limit-TakeProfit/Limit-Iceberg/Stop-Loss/Stop-Limit/Stop-Trailing/Pegged/Fixing/Mid etc -->
<validValue name="Market" description="Standard Market order. An instruction to deal immediately at the best possible price (the current rate quotation).">1</validValue>
<validValue name="Limit" description="Standard Limit order. An instruction to deal if a market moves to a MORE favourable level.">2</validValue>
<!-- TakeProfit/Limit-sell -->
<validValue name="StopLoss" description="Standard Stop Loss order. An instruction to deal if a market moves to a LESS favourable level.">3</validValue>
<!-- Stop-sell Order executed at a predetermined price in order to limit potential losses should the market move against an investor's position. The order rate must be lower than the current bid rate. -->
<validValue name="StopLimit" description="Standard Stop Limit order. Executes an exposure reducing limit order when market exceeds order's price.">4</validValue>
<!-- A Stop order with a specified worst price at which the order can be filled. A Limit is additionally specified, to ensure execution only within a specified range of bid or offer prices.-->
<validValue name="PreviouslyQuoted" description="An order to hit an individual quote. To hit multiple quotes, aka sweeping, the user must submit individual orders from best to worst price.">D</validValue>
<validValue name="MarketWithLeftOverAsLimit" description="Trading only, not used in published Market Data. Order that starts as a Market order and executes any leaves quantity as a limit order.">K</validValue>
<validValue name="TrailingStop" description="The Stop Price follows the market by a specified offset.">w</validValue>
<validValue name="VwapSweep" description="An order that can hit/lift one or multiple quotes by submitting an order with the desired amount and the Volume Weighted Average Price (VWAP) of the total amount.">y</validValue><!-- TODO - Consider VWAP support in more detail. -->
<!-- TBD treat pegged orders as a specific order type? -->
<!-- Iceberg vs MoreQuantity in Reuters MAPI -->
</enum>
<enum name="TimeInForce" encodingType="char" semanticType="char">
<validValue name="DAY" description="Day - The Order expires automatically on close of the trading day, if it is still unfilled.">0</validValue>
<validValue name="GTC" description="Good 'til Canceled - The Order remains active until it is either executed or cancelled. NOTE: Maximum duration is the trading week, but is equivalent to DAY for most Venues that reset daily.">1</validValue>
<validValue name="IOC" description="Immediate Or Cancel - The Order must be executed immediately, at least in part (Partial fills are allowed), otherwise the Order is cancelled. AKA 'Fill and Kill'">3</validValue>
<validValue name="FOK" description="Fill Or Kill - The Order must be executed immediately, in full (no Partial fills), otherwise the Order is cancelled. AKA 'All Or None'.">4</validValue>
<validValue name="GTD" description="Good 'til Date - The Order expires at the specified time (current business day).">6</validValue>
<validValue name="GFT" description="Good For Time - The Order expires after the specified duration.">A</validValue>
</enum>
<enum name="Side" description="Side" encodingType="char">
<validValue name="Buy">1</validValue>
<validValue name="Sell">2</validValue>
<validValue name="TwoWay">7</validValue>
</enum>
<enum name="SecurityType" encodingType="char">
<!-- Single-legged -->
<validValue name="SPT" description="FX Spot">0</validValue>
<validValue name="FWD" description="FX Forward">1</validValue>
<validValue name="NDF" description="FX Non-Deliverable Forward">2</validValue>
<!-- Two-legged -->
<validValue name="SWP" description="FX Swap">3</validValue>
<validValue name="NDS" description="FX Non-Deliverable Swap">4</validValue>
<!-- N-Legged, N > 1 -->
<validValue name="BLK" description="FX Block">5</validValue>
<!-- Non-FX -->
<validValue name="FUT" description="Future">6</validValue>
<validValue name="IMM" description="Money Market (Cash)">7</validValue>
<validValue name="OPT" description="FX Option">8</validValue>
</enum>
<enum name="TenorType" encodingType="uint8" description="Defines the standard Tenors supported by MarketFactory.">
<validValue name="BKN" description="Broken Date">0</validValue>
<!-- Standard rolling Tenors -->
<validValue name="TOD" description="Today">1</validValue>
<validValue name="TOM" description="Tomorrow">2</validValue>
<validValue name="SPT" description="Spot">3</validValue>
<validValue name="D1" description="One day after Spot">4</validValue>
<validValue name="D2" description="Two days after Spot">5</validValue>
<validValue name="W1" description="One Week">6</validValue>
<validValue name="W2" description="Two Weeks">7</validValue>
<validValue name="W3" description="Three Weeks">8</validValue>
<validValue name="M1" description="One Month">9</validValue>
<validValue name="M2" description="Two Months">10</validValue>
<validValue name="M3" description="Three Months">11</validValue>
<validValue name="M4" description="Four Months">12</validValue>
<validValue name="M5" description="Five Months">13</validValue>
<validValue name="M6" description="Six Months">14</validValue>
<validValue name="M7" description="Seven Months">15</validValue>
<validValue name="M8" description="Eight Months">16</validValue>
<validValue name="M9" description="Nine Months">17</validValue>
<validValue name="M10" description="Ten Months">18</validValue>
<validValue name="M11" description="Eleven Months">19</validValue>
<validValue name="Y1" description="One Year">20</validValue>
<validValue name="M15" description="Fifteen Months">21</validValue>
<validValue name="M18" description="Eighteen Months">22</validValue>
<validValue name="Y2" description="Two Years">23</validValue>
<validValue name="Y3" description="Three Years">24</validValue>
<validValue name="Y4" description="Four Years">25</validValue>
<validValue name="Y5" description="Five Years">26</validValue>
<!-- Fixed dates -->
<validValue name="JAN" description="January Futures Expiration Date">27</validValue>
<validValue name="FEB" description="FebruaryFutures Expiration Date">28</validValue>
<validValue name="MAR" description="March Futures Expiration/IMM Date">29</validValue>
<validValue name="APR" description="April Futures Expiration Date">30</validValue>
<validValue name="MAY" description="May Futures Expiration Date">31</validValue>
<validValue name="JUN" description="June Futures Expiration/IMM Date">32</validValue>
<validValue name="JUL" description="July Futures Expiration Date">33</validValue>
<validValue name="AUG" description="August Futures Expiration Date">34</validValue>
<validValue name="SEP" description="September Futures Expiration/IMM Date">35</validValue>
<validValue name="OCT" description="October Futures Expiration Date">36</validValue>
<validValue name="NOV" description="November Futures Expiration Date">37</validValue>
<validValue name="DEC" description="December Futures Expiration/IMM Date">38</validValue>
<validValue name="M0E" description="Last working day of current Month">39</validValue><!-- required for R5FX -->
<validValue name="M1E" description="Last working day of next Month">40</validValue><!-- required for R5FX -->
<validValue name="SYM" description="Settlement date defined by Symbol.">41</validValue><!-- E.g. Futures -->
</enum>
<set name="QuoteType" encodingType="uint64" semanticType="Boolean"> <!-- Implemented as a set to avoid any problems with null values -->
<choice name="BidIsTradeable" description="FALSE if the Quoted Bid price is Indicative.">0</choice>
<choice name="OfferIsTradeable" description="FALSE if the Quoted Offer price is Indicative">1</choice>
</set>
<enum name="BodyRegulatoryKey" encodingType="uint8" description="Details of conditionally populated Regulatory fields.">
<!-- SEF 0..19 -->
<validValue name="SEFTakerIsUSPerson" description="Y/N: A legal term referring to any U.S. person or legal entity anywhere in the world that should be taxed under U.S. law.">0</validValue>
<validValue name="SEFDataRepository" description="Repository for the reporting of SEF trades.">1</validValue> <!-- PartyRole 102 -->
<validValue name="SEFReportingEntity" description="Maker/Taker/SEF: Identifies the trading counterparty with the responsibility to report the transaction to a Data Repository after execution.">2</validValue>
<validValue name="SEFIsLargeTrade" description="Y/N: Indicates whether or not part of a large trade.">3</validValue>
<validValue name="SEFRequiredTransaction" description="Y/N: Indicates whether or not a required transaction (rather than permitted).">4</validValue>
<validValue name="SEFClearingExempted" description="Y/N: Indicates whether or not this trade is exempted from clearing.">5</validValue>
<validValue name="SEFClearer" description="Conditionally populated if SEFClearingExempted=N. Clearing House (DCO) to be used for the clearing of SEF trades.">6</validValue>
<!-- EMIR 20..39 -->
<validValue name="EMIRDoNotUse" description="Intentionally blank.">20</validValue>
<!-- MiFID 40..59 -->
<validValue name="MiFIDExecutingUnit" description="Maker branch/business unit under which this trade will be booked.">40</validValue> <!-- PartyRole 59 -->
<validValue name="MiFIDTradingVenue" description="4 character Market Identifier Code (MIC) of the Multilateral Trading Facility (MTF), Organized Trading Facility (OTF) or Regulated Market (RM).">41</validValue> <!-- PartyRole 65 -->
<validValue name="MiFIDExecutingDecisionMaker" description="Shortcode representing Executing Decision Maker of message sender.">42</validValue>
<validValue name="MiFIDInvestmentDecisionMaker" description="Shortcode representing Investment Decision Maker of message sender.">43</validValue>
<validValue name="MiFIDIlliquidInstrumentWaver" description="Y/N: Pre-Trade Illiquid Instrument waiver indicator.">44</validValue>
<validValue name="MiFIDSizeSpecificWaver" description="Y/N: Pre-Trade Size-specific (trade of substantial size etc.) waiver indicator.">45</validValue>
<validValue name="MiFIDLiquidityProvisionFlag" description="Y/N: Indicates that the Order is part of a liquidity provision activity.">46</validValue>
<validValue name="MiFIDAlgorithmicOrderFlag" description="Y/N: Indicates that the Order was generated by algorithmic trading.">47</validValue>
<validValue name="MiFIDPackageTradeFlag" description="Y/N: Indicates that the Order is considered a Package/aggregated transaction for reporting purposes.">48</validValue> <!-- Swaps, Blocks, Batches in scope -->
<validValue name="MiFIDPackageID" description="Conditionally populated if MiFIDPackageTradeFlag=Y. Identifier assigned to a collection of trades so they may be analysed as a single unit.">49</validValue>
<validValue name="MiFIDSystematicInternaliserFlag" description="Y/N: Used to indicate whether the specified party is a Systematic Internaliser for this Order.">50</validValue>
<validValue name="MiFIDRiskReductionOrderFlag" description="Y/N: In the context of ESMA RTS 22 Article 4(2)(i), signifies whether or not the Order is a transaction 'to reduce risk in an objectively measurable way in accordance with Article 57 of Directive 2014/65/EU'.">51</validValue>
</enum>
<enum name="LegRegulatoryKey" encodingType="uint8" description="Details of conditionally populated Regulatory fields.">
<!-- SEF 0..19 -->
<validValue name="LegSEFUSIPrefix" description="10 character Unique Swap Identifier Prefix for this Leg, usually a hash of the code issueing authority’s LEI. The Maker may choose to generate their own IDs, in whhich case this value will differ from the that provided in the Order.">0</validValue>
<validValue name="LegSEFUSI" description="32 character Unique Swap Identifier (USI) for this Leg. The Maker may choose to generate their own IDs, in whhich case the ExecutionReport value will differ from the that provided in the Order.">1</validValue>
<!--- TODO UPI Prefix/Value -->
<!-- EMIR 20..39 -->
<validValue name="LegEMIRUTIPrefix" description="10 character Unique Trade Identifier (UTI) Prefix for this Leg, usually a hash of the code issueing authority’s LEI.">20</validValue>
<validValue name="LegEMIRUTI" description="42 character Unique Trade Identifier (UTI) for this Leg.">21</validValue>
<!-- MiFID 40..59 -->
<validValue name="LegMiFIDISIN" description="12 character International Securities Identification Number http://www.anna-web.org/home/derivatives-service-bureau/. NOTE: Where per-product ISINs are utilised, these will be passed on a per-leg basis.">40</validValue>
<validValue name="LegMiFIDTVTIC" description="52 character Trading Venue Transaction Identification Code (TVTIC) for this Leg.">41</validValue>
<validValue name="LegMiFIDConversionFlag" description="Indicates that the Leg is an FX conversion trade and related to a transaction which would be exempt from margining and reporting. Tenor must be less than T+5 - i.e. TOD, TOM, SPT, D1 or D2.">42</validValue>
</enum>
<enum name="AllocRegulatoryKey" encodingType="uint8" description="Details of conditionally populated Regulatory fields.">
<!-- SEF 0..19 -->
<validValue name="AllocSEFUSIPrefix" description="10 character Unique Swap Identifier Prefix for this Allocation, usually a hash of the code issueing authority’s LEI.">0</validValue>
<validValue name="AllocSEFUSI" description="32 character Unique Swap Identifier (USI) for this Allocation.">1</validValue>
<!-- EMIR 20..39 -->
<validValue name="AllocEMIRUTIPrefix" description="10 character Unique Trade Identifier (UTI) Prefix for this Allocation, usually a hash of the code issueing authority’s LEI.">20</validValue>
<validValue name="AllocEMIRUTI" description="42 character Unique Trade Identifier (UTI) for this Allocation.">21</validValue>
<!-- MiFID 40..59 -->
<validValue name="AllocMiFIDTVTIC" description="52 character Trading Venue Transaction Identification Code (TVTIC) for this Allocation">40</validValue>
</enum>
<set name="RegulatoryBodies" encodingType="uint64" description="Allows definition of which Regulatory Fields the Order will include.">
<choice name="SEF" description="Dodd-Frank Swap Execution Facility.">0</choice>
<choice name="EMIR" description="European Market Infrastructure Regulation.">1</choice>
<choice name="MiFID" description="Markets in Financial Instruments Directive.">2</choice>
</set>
<enum name="PartyRole" encodingType="uint8" description="Details of conditionally populated counterparty identification fields.">
<validValue name="ExecutingFirm" description="Maker Firm responsible for filling/rejecting this Order.">1</validValue>
<validValue name="ExecutingTrader" description="Maker Trader responsible for filling/rejecting this Order - may be human or autotrader.">12</validValue>
<validValue name="ExecutingFirmLEI" description="Conditionally populated if RegulatoryBodies=SEF/EMIR/MiFID. A Legal Entity Identifier defined by ISO 17442 to identify the Maker Firm.">253</validValue> <!-- http://fiximate.fixtrading.org/latestEP/en/FIX.5.0SP2_EP240/tag803.html=84 -->
<validValue name="OrderOriginationFirm" description="Taker Firm responsible for submission of this Order.">13</validValue>
<validValue name="OrderOriginationTrader" description="Taker Trader responsible for submission of this Order - may be human or autotrader.">11</validValue>
<validValue name="OrderOriginationFirmLEI" description="Conditionally populated if RegulatoryBodies=SEF/EMIR/MiFID. A Legal Entity Identifier defined by ISO 17442 to identify the Taker Firm.">254</validValue> <!-- http://fiximate.fixtrading.org/latestEP/en/FIX.5.0SP2_EP240/tag803.html=84 -->
</enum>
<set name="OrderAttributes" encodingType="uint64" description="Distinguishing features of a particular Venues Order Model.">
<choice name="SupportedByMF" description="Set if the MFAPI supports this Venue Order Model.">0</choice>
<choice name="hasTimeSlicing" description="Set if the Venue supports time-slicing of Market Data. Currently only on EBS feeds.">1</choice>
<choice name="hasLastLook" description="Set if the Venue allows the Maker final right-of-refusal on the Order.">2</choice>
<choice name="hasPegged" description="Set if Pegged Orders are supported">3</choice>
<choice name="hasIceberg" description="Set if Iceberg Orders are supported">4</choice>
<choice name="hasFixing" description="Set if Fixing Orders are supported">5</choice>
<!-- TODO MoreQuantity -->
<!-- TODO hasPriceImprovement -->
<choice name="allowsModify" description="Set if OrderCancelReplaceRequests are supported">6</choice>
<choice name="allowsCancel" description="Set if OrderCancelRequests are supported">7</choice>
<choice name="usesQuoteID" description="Set if OrdType=PreviouslyQuoted and the Venue mandates the use of identifiers for each quote.">8</choice>
<choice name="usesPrice" description="Set if OrdType != Market. If OrdType=PreviouslyQuoted then represents the Spot price, otherwise represents the Order Limit price.">9</choice>
<choice name="usesStopPx" description="Set if this Order is a Stop-type order.">10</choice>
<choice name="usesMaxShow" description="Set if this Order supports Icebergs. defines Iceberg tip-size.">11</choice><!-- TODO Or MoreQuantity (Reuters MAPI) -->
<choice name="usesDiscretionOffsetValue" description="Set if this Order supports provision of Discretion instructions - defines the worst price the trader will accept.">12</choice>
<choice name="usesPegOffsetValue" description="Set if this Order supports provision of Pegging instructions - defines the absolute value of market offset.">13</choice>
<choice name="usesExpireTime" description="Set if TimeInForce=GTD - defines the Order cancellation timestamp.">14</choice>
<choice name="usesExposureDuration" description="Set if TimeInForce=GFT. Number of seconds after which the Order will be cancelled.">15</choice>
<!-- TODO: AggregatedBook -->
<!-- TODO PriceDelta / DisplayQty/MaxShow / ReplenishDelay / PegType (Bid/Offer/Mid) / TrailBy -->
<!-- TODO usesPassthru - what messages, what Venue fields are passed ? -->
</set>
<enum name="MDUpdateAction" encodingType="char" semanticType="char" description="A market data update action.">
<validValue name="New">0</validValue>
<validValue name="Change">1</validValue>
<validValue name="Delete">2</validValue>
</enum>
<enum name="MDEntryType" encodingType="char" description="A market data entry type.">
<validValue name="Bid" description="Entry contains bid details.">0</validValue>
<validValue name="Offer" description="Entry contains offer details.">1</validValue>
<validValue name="Trade" description="Entry contains Venue trade details.">2</validValue>
<validValue name="MidPrice" description="Required for Regulatory reporting.">H</validValue>
<validValue name="EmptyBook" description="Sent to indicate the book should be cleared.">J</validValue>
<validValue name="WorstTradeGiven" description="The worst price that was sold on EBS during a timeslice.">w</validValue>
<validValue name="WorstTradePaid" description="The worst price that was bought on EBS during a timeslice.">x</validValue>
<validValue name="TradeGiven" description="Indicates trade where the Offer was aggressed.">y</validValue>
<validValue name="TradePaid" description="Indicates trade where the Bid was aggressed.">z</validValue>
</enum>
<enum name="MDBookType" encodingType="uint8" description="Defines the type of a market data update group.">
<validValue name="TopOfBook" description="Book containing just the top-of-book information.">1</validValue>
<validValue name="PriceDepth" description="Book containing the standard per level price and depth information.">2</validValue>
<validValue name="OrderDepth" description="Book containing the count of orders at each price level.">3</validValue>
<validValue name="AmountView" description="The worst PRICE for which you would have to trade in order to get at least the regular amount (it's a minimum, not a precise value). The size field should be set to the same fixed constraint amount every time (fixed by the exchange for each market). This corresponds to an EBS Regular Price and to a Reuters Aggregate Price. This entry is credit screened (once again, we treat EBS Live's amount constraint as if it were credit-screened).">100</validValue>
<validValue name="SpreadView" description="A price constraint, that is, the sum total amount that is available from the top of the book through a fixed number of price levels away from that price. Essentially, this provides an amount variable for a fixed price. Because the price changes constantly, the fixed price range is usually specified as a price difference from the top-of-book. We compute provide that price in this entry. This corresponds to EBS's Outside Amount. Sometimes this entry is capped. This entry is credit-screened.">101</validValue>
<validValue name="ExchangeBest" description="Used for Reuters. The best price on the Venue, regardless of whether it is credit screened.">102</validValue> <!-- Exchange best use to be just per side, now it is actually a separate book since Reuters supports multiple levels. -->
<!-- TODO - explicit identification of Aggregated books... To discuss - Maybe this is a function of the Venuename? -->
<!-- TODO EBS Direct - FullAmount View -->
<!-- TODO EBS Ai MarketSegmentID - “Fixing” “FixingOffset” “SwapOffset” “Standard” -->
</enum>
<enum name="MDSubBookType" encodingType="uint8" semanticType="int" description="Defines regional location of liquidity.">
<validValue name="Global" description="Aggregated information for all regions is provided in a single feed.">0</validValue>
<validValue name="Tokyo" description="Orders originating from Tokyo.">1</validValue>
<validValue name="London" description="Orders originating from London.">2</validValue>
<validValue name="NewYork" description="Orders originating from New York.">3</validValue>
</enum>
<enum name="SubscriptionRequestType" encodingType="char" semanticType="char" description="Market data subscription request type."> <!--MSW changed -->
<validValue name="SnapshotAndUpdates" description="Subscription for all market data updates.">1</validValue>
<validValue name="DisablePreviousSnapshot" description="Unsubscribe for all market data updates.">2</validValue>
</enum>
<enum name="SecurityRequestType" encodingType="uint8" description="Market data security request type.">
<validValue name="AllSecurities" description="Request for all securities.">8</validValue>
</enum>
<enum name="UserRequestType" encodingType="uint8" description="Venue action requested by MFAPI Client.">
<validValue name="LogOnUser" description="Request to establish connectivity with Venue.">1</validValue>
<validValue name="LogOffUser" description="Request to cease connectivity with Venue.">2</validValue>
</enum>
<enum name="UserStatus" encodingType="uint8" description="Venue notification of MFAPI Client status.">
<validValue name="LoggedOn" description="User connected with Venue.">1</validValue>
<validValue name="NotLoggedOn" description="User disconnected from Venue.">2</validValue>
<validValue name="PrimeBrokerLoggedOff" description="Reuters specific. The PB is logged off and therefore new orders are not able to be submitted.">251</validValue>
<validValue name="CreditLow" description="Credit status.">252</validValue>
<validValue name="CreditExhausted" description="Credit status.">253</validValue>
<validValue name="CreditAvailable" description="Credit status.">254</validValue>
</enum>
<enum name="SecurityTradingStatus" encodingType="uint8" semanticType="int" description="Trading status for a specific security.">
<validValue name="Close">4</validValue>
<validValue name="ReadyToTrade">17</validValue>
<validValue name="NotAvailableForTrading">18</validValue>
<validValue name="UnknownOrInvalid">20</validValue>
<validValue name="PreOpen">21</validValue>
<validValue name="PostClose">26</validValue>
<validValue name="NoCancel">27</validValue>
<validValue name="TradeDateRoll">100</validValue>
<validValue name="ValueDateRoll">101</validValue>
<validValue name="Error">254</validValue>
</enum>
<enum name="MatchStatus" encodingType="char" semanticType="char" description="Status of an Order-matching fill.">
<validValue name="Done">0</validValue>
<validValue name="Pending">1</validValue>
<validValue name="Error">2</validValue>
</enum>
<enum name="OrdStatus" encodingType="char" semanticType="char" description="Order status.">
<validValue name="New">0</validValue>
<validValue name="PartiallyFilled">1</validValue>
<validValue name="Filled">2</validValue>
<validValue name="Canceled">4</validValue>
<validValue name="PendingCancel">6</validValue>
<validValue name="Rejected">8</validValue>
<validValue name="PendingNew">A</validValue>
<validValue name="Calculated" description="For Drop-copy/STP notifications.">B</validValue>
<validValue name="Expired">C</validValue>
<validValue name="PendingReplace">E</validValue>
<validValue name="MFPendingNew">W</validValue>
<validValue name="MFPendingCancel">X</validValue>
<validValue name="MFPendingReplace">Y</validValue>
<validValue name="Error" description="Used for Reuters/EBS when a trade fails validation. Also used when an order goes into a bad state. Both situations require manual intervention.">Z</validValue>
</enum>
<enum name="ExecType" encodingType="char" semanticType="char" description="Execution Type.">
<validValue name="New">0</validValue>
<validValue name="Canceled">4</validValue>
<validValue name="Rejected">8</validValue>
<validValue name="Replaced">5</validValue>
<validValue name="PendingCancel">6</validValue>
<validValue name="PendingNew">A</validValue>
<validValue name="Calculated" description="For Drop-copy/STP notifications.">B</validValue>
<validValue name="Expired">C</validValue>
<validValue name="PendingReplace">E</validValue>
<validValue name="Trade">F</validValue>
<validValue name="CanceledLastLook" description="Fastmatch returns an indication that the Cancel reason is that the order was rejected because of a Last Look.">U</validValue>
<validValue name="PendingMatch" description="Used for Reuters and EBS when there is an execution that is awaiting validation.">V</validValue>
<validValue name="MFPendingNew">W</validValue>
<validValue name="MFPendingCancel">X</validValue>
<validValue name="MFPendingReplace">Y</validValue>
<validValue name="Error" description="Used for Reuters/EBS when a trade fails validation. Also used when an order goes into a bad state. Both situations require manual intervention.">Z</validValue>
</enum>
<enum name="ExecAckStatus" encodingType="char" semanticType="char" description="Confirms or denys Maker ExecutionReport.">
<validValue name="Accepted">1</validValue>
<validValue name="Rejected">2</validValue>
</enum>
<enum name="NegotiationMethod" encodingType="uint8" description="Indicates whether QuoteRequest is for ESP or RFS.">
<validValue name="ESP" description="Executable Streaming Prices via MassQuote.">100</validValue>
<validValue name="RFS" description="Request For Stream via Quote.">101</validValue>
<validValue name="RFQ" description="Request For Quote (single-shot) via Quote.">102</validValue>
<validValue name="Order" description="Instruction to Venue.">103</validValue>
</enum>
<enum name="QuoteRespType" encodingType="uint8" description="Reason for termination of QuoteRequest.">
<validValue name="Pass" description="RFS Stream terminated by Taker.">6</validValue>
<validValue name="TimedOut" description="RFS Stream duration ended without Order. Maker and ECN have individual time-outs.">8</validValue>
</enum>
<enum name="VenueType" encodingType="char" semanticType="char" description="Categorization for the various venues offered through Whisperer."> <!-- customization of http://fiximate.fixtrading.org/latestEP/en/FIX.5.0SP2_EP240/tag1430.html -->
<validValue name="Maker" description="Liquidity Provider, MFAPI Client must act as Taker.">M</validValue>
<validValue name="Taker" description="Liquidity Consumer, MFAPI Client must act as Maker.">T</validValue>
<validValue name="CLOB" description="Order-Matching, MFAPI Client may consumer or provide liquidity as desired.">C</validValue>
</enum>
<enum name="Subject" encodingType="uint8" description="Categorization of the various Venue-side events that require Warning notification.">
<validValue name="SessionRejectSentByMF" description="A Session-level Reject message was sen4t to the Venue by MF.">0</validValue>
<validValue name="SessionRejectReceivedByMF" description="A Session-level Reject message was sent by the Venue to MF.">1</validValue>
<validValue name="BusinessMessageRejectSentByMF" description="A Business-level Reject message was sent to the Venue by MF.">2</validValue>
<validValue name="BusinessMessageRejectReceivedByMF" description="A Business-level Reject message was sent by the Venue to MF.">3</validValue>
<validValue name="MFAPIMessageRejected" description="Client sent MF an erroneous message.">4</validValue>
<validValue name="MFAPIValidationError" description="Client message has bad content.">5</validValue>
</enum>
</types>
<!--
*
* Session-Level Messages
*
-->
<!-- Application Session -->
<sbe:message name="Logon" id="1" semanticType="A" description="Used to logon to a Market Data or Trading session.">
<field name="HeartBtInt" id="108" type="uint8" description ="Frequency with which the client wishes to validate connection health."/>
<field name="NextExpectedMsgSeqNum" id="789" type="SeqNum" description="Provided by MFAPI Client to support MF message gap checks. If equal to the next-to-be-assigned MF sequence then Whisperer will respond with a LogonResponse message and then proceed with the session as normal. If lower, then Whisperer will respond with a LogonResponse message and immediately (re)send persisted messages or GapFills, in order. On completion, it will proceed with the session as normal. If higher, then Whisperer will respond with a Logout message to abort the session."/>
<field name="Username" id="533" type="Username" description="MF-created and assigned MFAPI user."/>
<field name="Password" id="554" type="Password" description="MF-created password for user."/>
<field name="Venuename" id="20024" type="Venuename" description="MF-defined Venue name."/>
<field name="SessionType" id="20067" type="SessionType" description="Indicates desired session type for user, bilaterally agreed with MF."/>
<data name="Text" id="58" type="VarText" description="Free-form text string."/>
</sbe:message>
<sbe:message name="LogonResponse" id="2" semanticType="A" description="An acknowledgement from the server that the Logon was successful as well as the expected heartbeat interval.">
<field name="NextExpectedMsgSeqNum" id="789" type="SeqNum" description="Provided by MF to support MFAPI Client message gap checks. If equal to the next-to-be-assigned MFAPI Client sequence then the client should proceed with the session as normal. If lower, then the client should immediately (re)send persisted messages or GapFills, in order. On completion, it may then proceed with the session as normal. If higher, then the client should respond with a Logout message to abort the session."/>
</sbe:message>
<sbe:message name="Logout" id="3" semanticType="5" description="A request to stop the session.">
<data name="Text" id="58" type="VarText" description="Text string detailing the logout reason."/>
</sbe:message>
<sbe:message name="LogoutResponse" id="4" semanticType="5" description="An acknowledgement that the session has been terminated.">
</sbe:message>
<sbe:message name="SequenceResetGapFill" id="5" semanticType="4" description="Used to explicitly skip blocks of unpersisted messages during a replay, if a sequence gap is detected.">
<field name="NewSeqNo" id="36" type="SeqNum"/>
</sbe:message>
<sbe:message name="Heartbeat" id="6" semanticType="0" description="This is sent from each side of the connection periodically.">
<field name="OrigSendingTime" id="122" type="UTCTimestamp" presence="optional" description="sendingTime as populated in the TestRequest."/>
<field name="Username" id="533" type="Username" presence="optional" description="Echoed by MF, to assist session diagnostics. MF-created and assigned MFAPI user."/>
<field name="Venuename" id="20024" type="Venuename" presence="optional" description="Echoed by MF, to assist session diagnostics. MF-defined Venue name."/>
<field name="SessionType" id="20067" type="SessionType" presence="optional" description="Echoed by MF, to assist session diagnostics. Indicates desired session type for user, bilaterally agreed with MF."/>
</sbe:message>
<sbe:message name="TestRequest" id="7" semanticType="1" description="Sent by either side in order to generate a Heartbeat response. May also be used to determine approximate application round-trip times.">
</sbe:message>
<!--
*
* Venue Status Messages
*
-->
<sbe:message name="UserRequest" id="105" semanticType="BE" description="MFAPI Client initiates connection/disconnection to/from Venue. NOTE:Each MFAPI CLient Username will be associated (n-n) with a specific Venue credential. Mapping bilaterally agreed between MF and Customer.">
<field name="UserRequestType" id="924" type="UserRequestType"/>
</sbe:message>
<sbe:message name="UserNotification" id="106" semanticType="CB" description="Venue notification of Client events.">
<field name="UserStatus" id="924" type="UserStatus"/>
<data name="Text" id="58" type="VarText" description="Explanation of status, if any."/>
</sbe:message>
<sbe:message name="ErrorReport" id="107" semanticType="U2" description="Warns MFAPI Client of erroneous events.">
<!-- Session -->
<field name="PossDupFlag" id="43" type="TradingFlags" description="Indicates if this ErrorReport may have already been processed (it is being resent)."/>
<field name="OrigSendingTime" id="122" type="UTCTimestamp" description="Conditionally populated if PossDupFlag=TRUE. The sendingTime of the original message."/>
<field name="Subject" id="147" type="Subject" description="Class of Warning."/><!-- Venue-side eg Reject, BusinessMessageReject; Client-side - makes wrong API call for Venue type etc -->
<group name="NoHops" id="627" dimensionType="groupSizeEncoding" description="Conditionally populated by MF if ErrorReport triggered by Venue. Provides details of originating Venue message to MFAPI Client.">
<field name="HopRefID" id="630" type="SeqNum" description="Sequence number of originating Venue/MFAPI message."/>
<field name="HopSendingTime" id="629" type="UTCTimestamp" description="Time (Venue/Client clock) that the Venue/Client message was sent."/>
<field name="HopArrivalTime" id="20008" type="UTCTimestamp" description="Time (MF clock) that the message was received by MF."/>
</group>
<data name="Text" id="58" type="VarText" description="Additional detail required in order to address the Warning. E.g. Venue FIX message."/>
</sbe:message>
<!--
*
* Pricing Messages - Market Data (Order Matching) and Quotation (ESP, RFQ, RFS)
*
-->
<!-- MarketData Messages -->
<sbe:message name="MarketDataRequest" id="201" semanticType="V" description="A request to create, cancel, or otherwise manipulate a subscription for a single security from a specific Venue."> <!-- NOTE: No support for client provision of desired rungs for Full Amount trading. This is currently done in http://my.mf:8080/#/profile_exchange_instruments -->
<!-- Identification -->
<field name="MDReqID" id="262" type="RequestID" description="Unique ID specified by the subscriber."/> <!--NOTE: FIX defines this tag as a string. -->
<!-- State -->
<field name="SubscriptionRequestType" id="263" type="SubscriptionRequestType"/>
<!-- Instrument -->
<field name="Symbol" id="55" type="Symbol" description="Symbol of requested Instrument."/>
<field name="SecurityType" id="167" type="SecurityType" description="1-legged (SPT, FWD, NDF, FUT) product types only. NOTE: This message is NOT to be used for 2-legged (SWP, NDS), BLK, IMM or OPT Security Types."/>
<field name="SettlType" id="63" type="TenorType" description="Specifies a standard Tenor for settlement."/>
<field name="SettlDate" id="64" type="LocalMktDate" presence="optional" description="Conditionally required if SettlType=BKN. Specifies the broken date for settlement. E.g. Fixed-date NDF on EBS."/>
<field name="MaturityDate" id="541" type="LocalMktDate" presence="optional" description="Conditionally required if SecurityType=NDF. Specifies the Fixing Date."/>
<field name="FixingReference" id="20058" type="FixingReference" description="Conditionally required if SecurityType=NDF. Fixing Reference. Refer to [REF TODO] for Venue-specific fixing reference strings."/>
<field name="MarketDepth" id="264" type="uint8" description="0=Full Book, 1=Top of Book, n=Number of Levels."/>
</sbe:message>
<sbe:message name="MarketDataRequestReject" id="202" semanticType="Y" description="A rejection of a request for market data.">
<!-- Identification -->
<field name="MDReqID" id="262" type="RequestID" description="Unique ID specified by the subscriber."/> <!--NOTE: FIX defines this tag as a string. -->
<group name="NoHops" id="627" dimensionType="groupSizeEncoding" description="Populated by MF only. Provides details of originating Venue message to MFAPI Client.">
<field name="HopRefID" id="630" type="SeqNum" description="Sequence number of originating Venue message."/>
<field name="HopSendingTime" id="629" type="UTCTimestamp" description="Time (Venue clock) that the Venue message was sent."/>
<field name="HopArrivalTime" id="20008" type="UTCTimestamp" description="Time (MF clock) that the Venue message was received by MF."/>
</group>
<data name="Text" id="58" type="VarText" description="Text string detailing the rejection."/>
</sbe:message>
<sbe:message name="SecurityStatus" id="203" semanticType="f" description="Sent by MF in response to a MarketDataRequest and should be processed before the first MarketDataIncrementalRefresh. Can also arrive asynchronously if the state of a security changes - e.g. Date Roll">
<!-- Instrument -->
<field name="Symbol" id="55" type="Symbol" description="Symbol of requested Instrument."/>
<field name="SecurityType" id="167" type="SecurityType" description="1-legged (SPT, FWD, NDF, FUT), 2-legged (SWP, NDS). NOTE: This message is NOT to be used for BLK, IMM or OPT Security Types."/>
<!-- TODO Tenor(s), sources of dates, purpose of message -->
<field name="SettlType" id="63" type="TenorType" description="Specifies a standard Tenor for settlement."/>
<field name="SettlDate" id="64" type="LocalMktDate" presence="optional" description="Settlement date of security."/> <!-- TODO where does this information come from? -->
<field name="TradeDate" id="75" type="LocalMktDate" description="Trade Session Date of security."/>
<field name="SecurityTradingStatus" id="326" type="SecurityTradingStatus" description="Identifies the trading status applicable to the instrument or Security Group"/>
<group name="NoHops" id="627" dimensionType="groupSizeEncoding" description="Populated by MF only. Provides details of originating Venue message to MFAPI Client.">
<field name="HopRefID" id="630" type="SeqNum" description="Sequence number of originating Venue message."/>
<field name="HopSendingTime" id="629" type="UTCTimestamp" description="Time (Venue clock) that the Venue message was sent."/>
<field name="HopArrivalTime" id="20008" type="UTCTimestamp" description="Time (MF clock) that the Venue message was received by MF."/>
</group>
<data name="Text" id="58" type="VarText" description="Explanation of status state."/>
</sbe:message>
<sbe:message name="MarketDataIncrementalRefresh" id="204" semanticType="X" description="Contains any combination of new, changed, or deleted Market Data Entries, for any combination of instruments, with any combination of trades, quotes and Laddered/VWAP prices, etc. All of these types of Market Data Entries can be changed and deleted.">
<!-- Identification -->
<field name="MDReqID" id="262" type="RequestID" description="Unique ID specified by the subscriber."/> <!--NOTE: FIX defines this tag as a string. -->
<field name="MDBookType" id="1021" type="MDBookType" description="Instructs Taker as to how the book should be interpreted."/>
<field name="MDFlags" id="20057" type="MDFlags" description="Indicates whether or not this incremental is the last of the time-slice."/>
<!-- FIX defines the following fields as part of the repeating group, but for our needs these are all static. -->
<!-- Instrument -->
<field name="Symbol" id="55" type="Symbol" description="Symbol of requested Instrument."/>
<field name="SecurityType" id="167" type="SecurityType" description="1-legged (SPT, FWD, NDF, FUT) product types only. NOTE: This message is NOT to be used for 2-legged (SWP, NDS), BLK, IMM or OPT Security Types."/>
<field name="SettlType" id="63" type="TenorType" description="Specifies a standard Tenor for settlement."/>
<field name="SettlDate" id="64" type="LocalMktDate" description="Specifies the date for settlement."/>
<field name="MaturityDate" id="541" type="LocalMktDate" presence="optional" description="Conditionally required if Requested SecurityType=NDF. Specifies the Fixing Date."/>
<field name="FixingReference" id="20058" type="FixingReference" description="Conditionally required if Requested SecurityType=NDF. Fixing Reference. Refer to [REF 360T RFS Maker, JPM Taker] for Venue-specific fixing reference strings."/>
<!-- TODO state conditional population constraints for Mid-Price -->
<!-- Agg feed components need to be supported? -->
<group name="NoMDEntries" id="268" dimensionType="groupSizeEncoding" description="On entry for each individual change in the market data message.">
<field name="MDUpdateAction" id="279" type="MDUpdateAction" description="The type of update action to be applied to this market data entry."/>
<field name="MDEntryType" id="269" type="MDEntryType" presence="optional" description="Conditionally populated if MDUpdateAction=New. Defines the nature of this market data entry."/>
<field name="MDSubBookType" id="1173" type="MDSubBookType" description="Indicates location of CLOB Matching Engine."/>
<field name="MDEntryID" id="278" type="IDString" description="Unique identifier of this market data entry, referenced throughout MDUpdateAction lifecycle."/>
<field name="QuoteCondition" id="276" type="QuoteType" description="Indicates status of this MDEntry."/>
<field name="MDEntryPx" id="270" type="PriceNULL" description="All-in Price. MDEntryPx=MDEntrySpotRate+MDEntryForwardPoints"/>
<field name="MDEntrySpotRate" id="1026" type="PriceNULL" description="Spot Price."/>
<field name="MDEntryForwardPoints" id="1027" type="PriceNULL" description="Fwd Pts."/>
<field name="MDEntrySize" id="271" type="DecimalQtyNULL" description="Size for quoted price. Expressed in units of CCY1."/>
<field name="LotSize" id="20066" type="DecimalQtyNULL" description="Minimum Order size increment."/> <!-- E.g. for Hotspot -->
<group name="NoOfSecSizes" id="1177" dimensionType="groupSizeEncoding" description="Number of Orders at this level.">
<field name="MDSecSize" id="1179" type="DecimalQtyNULL" description="Size of individual Order at this level. SUM(MDSecSize)=MDEntrySize."/>
<field name="MinQty" id="110" type="DecimalQtyNULL" description="Minimum quantity available to execute for this individual Order."/> <!-- Custom use of this tag. -->
</group>
<group name="NoPassthruFields" id="20073" dimensionType="groupSizeEncoding" description="To be used only to transport custom/non-normalisable Venue-specific attributes.">
<field name="PassthruKey" id="20074" type="PassthruKey" description="Venue-specific name of this element (e.g. Fix tag name)."/> <!-- E.g. EBS Ultra MarketRegion -->
<field name="PassthruValue" id="20075" type="PassthruValue" description="Arbitrary value to be assigned to this element."/>
</group>
</group>
<group name="NoHops" id="627" dimensionType="groupSizeEncoding" description="Populated by MF only. Provides details of originating Venue message to MFAPI Client.">
<field name="HopRefID" id="630" type="SeqNum" description="Sequence number of originating Venue message."/>
<field name="HopSendingTime" id="629" type="UTCTimestamp" description="Time (Venue clock) that the Venue message was sent."/>
<field name="HopArrivalTime" id="20008" type="UTCTimestamp" description="Time (MF clock) that the Venue message was received by MF."/>
</group>
</sbe:message>
<!-- Quotation Messages -->
<sbe:message name="QuoteRequest" id="205" semanticType="R" description="Issued by Taker to request a short-lived RFS subscription. A QuoteResponse may be used to terminate the request.">
<!-- Session -->
<field name="TransactTime" id="60" type="UTCTimestamp" description="Time when the QuoteRequest was generated."/><!-- Custom use of this tag. -->
<field name="PossDupFlag" id="43" type="TradingFlags" description="Indicates if this QuoteRequest may have already been processed (it is being resent)."/>
<field name="OrigSendingTime" id="122" type="UTCTimestamp" description="Conditionally populated if PossDupFlag=TRUE. The sendingTime of the original message."/>
<!-- Identification -->
<field name="QuoteReqID" id="131" type="IDString" description="Unique ID specified by the subscriber."/>
<field name="NegotiationMethod" id="2115" type="NegotiationMethod" description="RFS/RFQ - Quote messages sent in response. ESP - MassQuote messages sent in response. Order - not applicable."/>
<!-- Instrument -->
<field name="Symbol" id="55" type="Symbol" description="Symbol of requested Instrument."/>
<field name="SecurityType" id="167" type="SecurityType" description="Specifies the product type for the requested instrument. 1-legged (SPT, FWD, NDF), 2-legged (SWP, NDS) and n-legged (BLK) order types. NOTE: This message is NOT to be used for FUT, IMM or OPT Security Types."/>
<field name="SecurityGroup" id="1151" type="IDString" presence="optional" description="Conditionally populated if NegotiationMethod=ESP and VenueType=Taker. The name of the requested stream category. Bilaterally agreed between ECN and Maker."/>
<field name="NumCompetitors" id="20069" type="Int8NULL" description="0=Not in competition; -1=In competition (number of competitors unknown), n=In competition (Number of competitors); NULL=unknown."/>
<!-- Regulatory -->
<field name="RegulatoryBodies" id="20076" type="RegulatoryBodies" description="Bitmap field of 3 Boolean type Regulation elegibility flags"/>
<group name="NoBodyRegulatoryFields" id="20053" dimensionType="groupSizeEncoding" description="Conditionally populated if RegulatoryBodies=SEF/EMIR/MiFID(MTF)">
<field name="BodyRegulatoryKey" id="20054" type="BodyRegulatoryKey" description="Name of Regulatory field."/>
<field name="BodyRegulatoryValue" id="20055" type="RegulatoryValue" description="Value of Regulatory field."/>
</group>
<!-- Counterparties -->
<group name="NoPartyIDs" id="453" dimensionType="groupSizeEncoding" description="Order Origination/Execution counterparty details.">
<field name="PartyRole" id="452" type="PartyRole" description="Name of Party field."/>
<field name="PartyID" id="448" type="PartyString" description="Value of Party field."/>
</group>
<group name="NoLegs" id="555" dimensionType="groupSizeEncoding" description="One Leg per value date. At least one Leg must be specified.">
<field name="LegSecurityType" id="609" type="SecurityType" description="Specifies the product type for this leg. Valid values: SPT, FWD, NDF."/>
<field name="LegSide" id="624" type="Side" description="Side is from perspective of Taker and LegCurrency" />
<field name="LegCurrency" id="556" type="Currency" description="Dealt currency. Specifies the denomination of the quantity fields in this Leg."/>
<field name="LegOrderQty" id="685" type="DecimalQtyNULL" description="Required. Order quantity."/>
<field name="LegSettlType" id="587" type="TenorType" description="Specifies a standard Tenor for settlement."/>
<field name="LegSettlDate" id="588" type="LocalMktDate" presence="optional" description="Conditionally required if SettlType=BKN. Specifies the broken date for settlement."/>
<!-- NDF/NDS -->
<field name="LegMaturityDate" id="611" type="LocalMktDate" description="Conditionally required if LegSecurityType=NDF. Fixing Date for this Leg of NDF/NDS."/>
<field name="LegSettlCurrency" id="675" type="Currency" description="Conditionally required if LegSecurityType=NDF. Specifies the fixing currency of this Leg of NDF/NDS."/>
<field name="FixingReference" id="20058" type="FixingReference" description="Conditionally required if LegSecurityType=NDF. Fixing Reference for this Leg of NDF/NDS. Refer to [REF 360T RFS Maker, JPM Taker] for Venue-specific fixing reference strings."/>
<!-- Regulatory -->
<group name="NoLegRegulatoryFields" id="20063" dimensionType="groupSizeEncoding" description="Conditionally populated if RegulatoryBodies=SEF/EMIR/MiFID(MTF)">
<field name="LegRegulatoryKey" id="20064" type="LegRegulatoryKey" description="Name of Regulatory field."/>
<field name="LegRegulatoryValue" id="20065" type="RegulatoryValue" description="Value of Regulatory field."/>
</group>
<group name="NoLegAllocs" id="670" dimensionType="groupSizeEncoding" description="At least one Allocation must be specified per Leg.">
<field name="LegAllocAccount" id="671" type="PartyString" description="Account mnemonic."/>
<field name="LegAllocQty" id="671" type="DecimalQtyNULL" description="Quantity to be allocated to Account. Specified in terms of LegCurrency and LegSide (negative quantities allocate to the opposite side)."/>
<!-- Regulatory -->
<group name="NoAllocRegulatoryFields" id="20050" dimensionType="groupSizeEncoding" description="Conditionally populated if RegulatoryBodies=SEF/EMIR/MiFID(MTF)">
<field name="AllocRegulatoryKey" id="20051" type="LegRegulatoryKey" description="Name of Regulatory field."/>
<field name="AllocRegulatoryValue" id="20052" type="RegulatoryValue" description="Value of Regulatory field."/>
</group>
</group>
<group name="NoPassthruFields" id="20073" dimensionType="groupSizeEncoding" description="To be used only to transport custom/non-normalisable Venue-specific attributes.">
<field name="PassthruKey" id="20074" type="PassthruKey" description="Venue-specific name of this element (e.g. Fix tag name)."/>
<field name="PassthruValue" id="20075" type="PassthruValue" description="Arbitrary value to be assigned to this element."/>
</group>
</group>
<group name="NoHops" id="627" dimensionType="groupSizeEncoding" description="Populated by MF only. Provides details of originating Venue message to MFAPI Client.">
<field name="HopRefID" id="630" type="SeqNum" description="Sequence number of originating Venue message."/>
<field name="HopSendingTime" id="629" type="UTCTimestamp" description="Time (Venue clock) that the Venue message was sent."/>
<field name="HopArrivalTime" id="20008" type="UTCTimestamp" description="Time (MF clock) that the Venue message was received by MF."/>
</group>
<data name="Text" id="58" type="VarText" description="Text string - Extra information about the request, provided by the Taker."/>
</sbe:message>
<sbe:message name="QuoteRequestReject" id="206" semanticType="AG" description="Issued by Maker to deny the corresponding QuoteRequest.">
<!-- Session -->
<field name="TransactTime" id="60" type="UTCTimestamp" description="Time when the QuoteRequestReject was generated."/>
<field name="PossDupFlag" id="43" type="TradingFlags" description="Indicates if this QuoteRequestReject may have already been processed (it is being resent)."/>
<field name="OrigSendingTime" id="122" type="UTCTimestamp" description="Conditionally populated if PossDupFlag=TRUE. The sendingTime of the original message."/>
<!-- Identification -->
<field name="QuoteReqID" id="131" type="IDString" description="Unique ID specified by the subscriber."/>
<group name="NoHops" id="627" dimensionType="groupSizeEncoding" description="Populated by MF only. Provides details of originating Venue message to MFAPI Client.">
<field name="HopRefID" id="630" type="SeqNum" description="Sequence number of originating Venue message."/>
<field name="HopSendingTime" id="629" type="UTCTimestamp" description="Time (Venue clock) that the Venue message was sent."/>
<field name="HopArrivalTime" id="20008" type="UTCTimestamp" description="Time (MF clock) that the Venue message was received by MF."/>
</group>
<data name="Text" id="58" type="VarText" description="Text string - Extra information about the rejection, provided by the Maker."/>
</sbe:message>
<sbe:message name="Quote" id="207" semanticType="S" description="Issued by Maker to publish a price in response to a corresponding QuoteRequest. A new quote replaces the previous, and may be marked Indicative (i.e. non-tradeable).">
<!-- Session -->
<field name="TransactTime" id="60" type="UTCTimestamp" description="Time when the Quote was generated."/>
<!-- Identification -->
<field name="QuoteReqID" id="131" type="IDString" description="Unique ID specified by the Taker."/>
<field name="QuoteID" id="117" type="IDString" description="Unique ID of this Quote specified by the Maker."/>
<!-- State -->
<field name="QuoteType" id="537" type="QuoteType" description="Indicative/Tradeable price. Can be specified independantly for Bid and Offer."/>
<field name="ValidUntilTime" id="62" type="UTCTimestamp" description="Conditionally populated if originating QuoteRequest NegotiationMethod=RFQ. The time at which the single-shot Quote will expire."/>
<!-- Instrument -->
<field name="Symbol" id="55" type="Symbol" description="Symbol of requested Instrument."/>
<field name="SecurityType" id="167" type="SecurityType" description="Specifies the product type for the requested instrument. 1-legged (SPT, FWD, NDF), 2-legged (SWP, NDS) and n-legged (BLK) order types. NOTE: This message is NOT to be used for FUT, IMM or OPT Security Types."/>
<field name="BidSpotRate" id="188" type="PriceNULL" description="Conditionally populated if SecurityType=SWP/BLK, or SecurityType=SPT/FWD/NDF and Side≡Sell(Base)/TwoWay. The quoted Bid Spot rate relating to this quote."/>
<field name="MidPx" id="631" type="PriceNULL" description="Mid-Market spot rate."/><!-- Regulatory -->
<field name="OfferSpotRate" id="190" type="PriceNULL" description="Conditionally populated if SecurityType=SWP/BLK, or SecurityType=SPT/FWD/NDF and Side≡Buy(Base)/TwoWay. The quoted Offer Spot rate relating to this quote."/>
<!-- Regulatory -->
<field name="RegulatoryBodies" id="20076" type="RegulatoryBodies" description="Bitmap field of 3 Boolean type Regulation elegibility flags"/>
<group name="NoBodyRegulatoryFields" id="20053" dimensionType="groupSizeEncoding" description="Conditionally populated if RegulatoryBodies=SEF/EMIR/MiFID(MTF)">
<field name="BodyRegulatoryKey" id="20054" type="BodyRegulatoryKey" description="Name of Regulatory field."/>
<field name="BodyRegulatoryValue" id="20055" type="RegulatoryValue" description="Value of Regulatory field."/>
</group>
<!-- Counterparties -->
<group name="NoPartyIDs" id="453" dimensionType="groupSizeEncoding" description="Order Origination/Execution counterparty details.">
<field name="PartyRole" id="452" type="PartyRole" description="Name of Party field."/>
<field name="PartyID" id="448" type="PartyString" description="Value of Party field."/>
</group>
<group name="NoLegs" id="555" dimensionType="groupSizeEncoding" description="One Leg per value date. At least one Leg must be specified.">
<field name="LegSecurityType" id="609" type="SecurityType" description="Specifies the product type for this leg. Valid values: SPT, FWD, NDF."/>
<field name="LegSide" id="624" type="Side" description="Side is from perspective of LegCurrency" />
<field name="LegSettlType" id="587" type="TenorType" description="Specifies a standard Tenor for settlement."/>
<field name="LegSettlDate" id="588" type="LocalMktDate" presence="optional" description="Conditionally required if SettlType=BKN. Specifies the broken date for settlement."/>
<field name="LegMaturityDate" id="611" type="LocalMktDate" description="Conditionally required if LegSecurityType=NDF. Fixing Date for this Leg of NDF/NDS."/>
<field name="LegSettlCurrency" id="675" type="Currency" description="Conditionally required if LegSecurityType=NDF. Specifies the fixing currency of this Leg of NDF/NDS."/> <!-- Custom use of this tag. -->
<field name="FixingReference" id="20058" type="FixingReference" description="Conditionally required if LegSecurityType=NDF. Fixing Reference for this Leg of NDF/NDS. Refer to [REF 360T RFS Maker, JPM Taker] for Venue-specific fixing reference strings."/>
<field name="LegCurrency" id="556" type="Currency" description="Dealt currency. Specifies the denomination of the quantity fields in this Leg."/>
<field name="LegOrderQty" id="685" type="DecimalQtyNULL" description="Required. Order quantity."/>
<field name="LegBidPx" id="681" type="PriceNULL" description="Conditionally populated if LegSide≡Sell(Base)/TwoWay. All-in Bid rate."/>
<field name="LegMidPx" id="2346" type="PriceNULL" description="Mid-Market All-in Price of this Leg."/><!-- Regulatory -->
<field name="LegOfferPx" id="684" type="PriceNULL" description="Conditionally populated if LegSide≡Buy(Base)/TwoWay. All-in Offer rate."/>
<field name="LegBidForwardPoints" id="1067" type="PriceNULL" description="Conditionally populated if LegSide≡Sell(Base)/TwoWay. The Bid FX forward points for this Leg. Value can be negative. Expressed in decimal form, LegBidForwardPoints=LegBidPx – BidSpotRate."/>
<field name="LegOfferForwardPoints" id="1068" type="PriceNULL" description="Conditionally populated if LegSide≡Buy(Base)/TwoWay. The Offer FX forward points for this Leg. Value can be negative. Expressed in decimal form LegOfferForwardPoints=LegOfferPx – OfferSpotRate."/>
<group name="NoPassthruFields" id="20073" dimensionType="groupSizeEncoding" description="To be used only to transport custom/non-normalisable Venue-specific attributes.">
<field name="PassthruKey" id="20074" type="PassthruKey" description="Venue-specific name of this element (e.g. Fix tag name)."/>
<field name="PassthruValue" id="20075" type="PassthruValue" description="Arbitrary value to be assigned to this element."/>
</group>
</group>
<group name="NoHops" id="627" dimensionType="groupSizeEncoding" description="Populated by MF only. Provides details of originating Venue message to MFAPI Client.">
<field name="HopRefID" id="630" type="SeqNum" description="Sequence number of originating Venue message."/>
<field name="HopSendingTime" id="629" type="UTCTimestamp" description="Time (Venue clock) that the Venue message was sent."/>
<field name="HopArrivalTime" id="20008" type="UTCTimestamp" description="Time (MF clock) that the Venue message was received by MF."/>
</group>
</sbe:message>
<sbe:message name="MassQuote" id="208" semanticType="i" description="Used by Maker for publication of ESP price ladders by stream category.">
<!-- Session -->
<field name="TransactTime" id="60" type="UTCTimestamp" description="Time when the MarketData was generated."/> <!-- Promoted from QuoteEntry -->
<!-- Identification -->
<field name="QuoteReqID" id="131" type="IDString" description="Unique ID specified by the Taker."/>
<!-- Regulatory -->
<field name="RegulatoryBodies" id="20076" type="RegulatoryBodies" description="Bitmap field of 3 Boolean type Regulation elegibility flags"/>
<group name="NoBodyRegulatoryFields" id="20053" dimensionType="groupSizeEncoding" description="Conditionally populated if RegulatoryBodies=SEF/EMIR/MiFID(MTF)">
<field name="BodyRegulatoryKey" id="20054" type="BodyRegulatoryKey" description="Name of Regulatory field."/>
<field name="BodyRegulatoryValue" id="20055" type="RegulatoryValue" description="Value of Regulatory field."/>
</group>
<!-- Counterparties -->
<group name="NoPartyIDs" id="453" dimensionType="groupSizeEncoding" description="Order Origination/Execution counterparty details.">
<field name="PartyRole" id="452" type="PartyRole" description="Name of Party field."/>
<field name="PartyID" id="448" type="PartyString" description="Value of Party field."/>
</group>
<group name="NoQuoteSets" id="296" dimensionType="groupSizeEncoding" description="One QuoteSet per Leg of stream category QuoteRequest.">
<!-- Instrument -->
<field name="QuoteSetID" id="302" type="uint32" description="Unique ID representing Leg number. E.g. SWP Near=1, Far=2"/>
<field name="Symbol" id="55" type="Symbol" description="Symbol of requested Instrument."/> <!-- MSW promoted from QuoteEntry -->
<field name="SecurityType" id="167" type="SecurityType" description="Specifies the product type for the requested instrument. 1-legged (SPT, FWD, NDF) and 2-legged (SWP, NDS) order types. NOTE: This message is NOT to be used for FUT, BLK, IMM or OPT Security Types."/> <!-- MSW promoted from QuoteEntry -->
<field name="SecurityGroup" id="1151" type="IDString" presence="optional" description="Conditionally populated if NegotiationMethod=ESP and VenueType=Taker. The name of the requested stream category. Bilaterally agreed between ECN and Maker."/> <!-- MSW promoted from QuoteEntry -->
<field name="FixingReference" id="20058" type="FixingReference" presence="optional" description="Conditionally required if Requested SecurityType=NDF/NDS. Fixing Reference. Refer to [REF TODO] for Venue-specific fixing reference strings."/>
<group name="NoQuoteEntries" id="295" dimensionType="groupSizeEncoding" description="One QuoteEntry per ladder rung/Leg.">
<field name="QuoteEntryID" id="299" type="IDString" description="Unique ID of this Quote specified by the Maker."/>
<!-- State -->
<field name="QuoteType" id="537" type="QuoteType" description="Indicative/Tradeable price. Can be specified independantly for Bid and Offer."/>
<field name="SettlType" id="63" type="TenorType" description="Specifies a standard Tenor for settlement of this Leg."/> <!-- Custom use of this tag.-->
<field name="SettlDate" id="64" type="LocalMktDate" presence="optional" description="Specifies the calendar date for settlement of this Leg."/>
<!-- NDF/NDS -->
<field name="MaturityDate" id="541" type="LocalMktDate" presence="optional" description="Conditionally required if SecurityType=NDF/NDS. Specifies the Fixing Date for this Leg."/>
<field name="SettlCurrency" id="120" type="Currency" description="Conditionally required if SecurityType=NDF. Specifies the fixing currency of this Leg of NDF/NDS."/> <!-- Custom use of this tag. -->
<field name="FixingReference" id="20058" type="FixingReference" description="Conditionally required if SecurityType=NDF. Fixing Reference for this Leg of NDF/NDS. Refer to [REF 360T RFS Maker, JPM Taker] for Venue-specific fixing reference strings."/>
<field name="Currency" id="15" type="Currency" description="Specifies the denomination of the quantity fields in this Rung."/>
<field name="BidSize" id="134" type="DecimalQtyNULL" description="Bid quantity in this Rung."/>
<field name="OfferSize" id="135" type="DecimalQtyNULL" description="Offer quantity in this Rung."/>
<field name="BidPx" id="132" type="PriceNULL" description="All-in Bid rate for this Rung."/>
<field name="MidPx" id="631" type="PriceNULL" description="All-in Mid-Market rate for this Rung. "/><!-- Regulatory -->
<field name="OfferPx" id="133" type="PriceNULL" description="All-in Offer rate for this Rung."/>
<field name="BidSpotRate" id="188" type="PriceNULL" description="Conditionally populated if SecurityType=SPT/FWD/NDF/SWP/NDS. The quoted Bid Spot rate relating to this Rung."/>
<field name="OfferSpotRate" id="190" type="PriceNULL" description="Conditionally populated if SecurityType=SPT/FWD/NDF/SWP/NDS. The quoted Offer Spot rate relating to this Rung."/>
<field name="BidForwardPoints" id="189" type="PriceNULL" description="The Bid FX forward points for this Rung. Value can be negative. Expressed in decimal form, BidForwardPoints=BidPx-BidSpotRate."/>
<field name="OfferForwardPoints" id="191" type="PriceNULL" description="The Offer FX forward points for this Rung. Value can be negative. Expressed in decimal form OfferForwardPoints=OfferPx-OfferSpotRate."/>
<group name="NoPassthruFields" id="20073" dimensionType="groupSizeEncoding" description="To be used only to transport custom/non-normalisable Venue-specific attributes.">
<field name="PassthruKey" id="20074" type="PassthruKey" description="Venue-specific name of this element (e.g. Fix tag name)."/>
<field name="PassthruValue" id="20075" type="PassthruValue" description="Arbitrary value to be assigned to this element."/>
</group>
</group>
</group>
<group name="NoHops" id="627" dimensionType="groupSizeEncoding" description="Populated by MF only. Provides details of originating Venue message to MFAPI Client.">
<field name="HopRefID" id="630" type="SeqNum" description="Sequence number of originating Venue message."/>
<field name="HopSendingTime" id="629" type="UTCTimestamp" description="Time (Venue clock) that the Venue message was sent."/>
<field name="HopArrivalTime" id="20008" type="UTCTimestamp" description="Time (MF clock) that the Venue message was received by MF."/>
</group>
</sbe:message>
<sbe:message name="QuoteResponse" id="209" semanticType="AJ" description="Issued by Taker, Maker or ECN to terminate the corresponding QuoteRequest.">
<!-- Session -->
<field name="TransactTime" id="60" type="UTCTimestamp" description="Time when the QuoteResponse was generated."/>
<field name="PossDupFlag" id="43" type="TradingFlags" description="Indicates if this QuoteResponse may have already been processed (it is being resent)."/>
<field name="OrigSendingTime" id="122" type="UTCTimestamp" description="Conditionally populated if PossDupFlag=TRUE. The sendingTime of the original message."/>
<!-- Identification -->
<field name="QuoteReqID" id="131" type="IDString" description="Unique ID specified by the subscriber."/>
<field name="QuoteRespType" id="694" type="QuoteRespType" description="Reason for termination of QuoteRequest."/>
<!-- Counterparties -->
<group name="NoPartyIDs" id="453" dimensionType="groupSizeEncoding" description="Order Origination/Execution counterparty details.">
<field name="PartyRole" id="452" type="PartyRole" description="Name of Party field."/>
<field name="PartyID" id="448" type="PartyString" description="Value of Party field."/>
</group>
<group name="NoHops" id="627" dimensionType="groupSizeEncoding" description="Populated by MF only. Provides details of originating Venue message to MFAPI Client.">
<field name="HopRefID" id="630" type="SeqNum" description="Sequence number of originating Venue message."/>
<field name="HopSendingTime" id="629" type="UTCTimestamp" description="Time (Venue clock) that the Venue message was sent."/>
<field name="HopArrivalTime" id="20008" type="UTCTimestamp" description="Time (MF clock) that the Venue message was received by MF."/>
</group>
</sbe:message>
<!--
*
* Trading Messages - Orders (RFQ, RFS, ESP, Order Matching) and Executions.
*
-->
<sbe:message name="NewOrderMultileg" id="301" semanticType="AB" description="Issued by Taker to submit an FX Order (either in response to a CLOB MarketData stream, or against a published ESP/RFS Quote). To be used for 1-legged (SPT, FWD, NDF, FUT), 2-legged (SWP, NDS) and n-legged (BLK) order types.">
<!-- Session -->
<field name="TransactTime" id="60" type="UTCTimestamp" description="Time when the Order was generated."/>
<field name="PossDupFlag" id="43" type="TradingFlags" description="Indicates if this Order may have already been processed (it is being resent)."/>
<field name="OrigSendingTime" id="122" type="UTCTimestamp" description="Conditionally populated if PossDupFlag=TRUE. The sendingTime of the original message."/>
<!-- Identification -->
<field name="OrderRequestID" id="2422" type="IDString" presence="optional" description="Conditionally populated if OrdType=PreviouslyQuoted. Contains QuoteReqID to aid support."/> <!--NOTE: FIX defines this tag as an int. -->
<field name="QuoteID" id="117" type="IDString" presence="optional" description="Conditionally populated if OrdType=PreviouslyQuoted. Contains QuoteEntryID or QuoteID. NOTE: Some ESP venues do not utilise QuoteIDs, in which case will be populated with 'N/A'."/>
<field name="ClOrdID" id="11" type="IDString" description="The Taker-assigned Order Identifier. If created by MFAPI Client, then must be unique for trading week."/>
<!-- State -->
<field name="OrdType" id="40" type="OrdType"/>
<field name="TimeInForce" id="59" type="TimeInForce"/>
<!-- Instrument -->
<field name="Symbol" id="55" type="Symbol" description="Symbol of requested Instrument."/>
<field name="SecurityType" id="167" type="SecurityType" description="Specifies the product type for the traded instrument. 1-legged (SPT, FWD, NDF, FUT), 2-legged (SWP, NDS) and n-legged (BLK) order types. NOTE: This message is NOT to be used for IMM or OPT Security Types."/>
<field name="SecurityGroup" id="1151" type="IDString" presence="optional" description="Conditionally populated if NegotiationMethod=ESP and VenueType=Taker. The name of the requested stream category. Bilaterally agreed between ECN and Maker."/>
<!-- Instructions -->
<field name="Price" id="44" type="PriceNULL" description="Conditionally populated if OrdType!=Market. If OrdType=PreviouslyQuoted then represents the Spot price: LegPrice - Price=Leg Fwd Pts (TODO - Fwd Pts not currently populated). Othwerwise represents the Order Limit price."/> <!-- TODO - discuss/clarify eg For Fixing/FixingOffset orders will convey the points to be added to a fix rate. -->
<field name="MinQty" id="110" type="DecimalQtyNULL" description="Minimum quantity to execute, used to prevent partial fills under the defined quantity. If the Order quantity drops below this value due to a fill, the Order will be cancelled."/>
<field name="StopPx" id="99" type="PriceNULL" description="Stop price. Only required if this order is a Stop-type order."/>
<field name="MaxShow" id="210" type="DecimalQtyNULL" description="If supported by Venue and specified, defines Iceberg tip-size. Otherwise, will default to OrderQty."/><!-- TODO Or MoreQuantity -->
<field name="DiscretionOffsetValue" id="389" type="PriceNULL" description="If supported by Venue, added to Price to define the worst price the trader will accept."/>
<field name="PegOffsetValue" id="211" type="PriceNULL" description="If supported by Venue, defines the absolute value of market offset."/>
<field name="ExpireTime" id="126" type="UTCTimestamp" presence="optional" description="Conditionally populated if TimeInForce=GTD. Timestamp when the Order will be cancelled (will be rounded to the nearest second)."/>
<field name="ExposureDuration" id="1629" type="uInt32NULL" description="Conditionally populated if TimeInForce=GFT. Number of seconds after which the Order will be cancelled."/>
<!-- TODO EBS Ai - MarketSegmentID - “Fixing” “FixingOffset” “SwapOffset” “Standard” MDBookType??
DisplayQty, DisplayMethod, IcebergHigh RandomTime - for Iceberg Orders
TODO support PriceImprovement?
-->
<!-- Regulatory -->
<field name="RegulatoryBodies" id="20076" type="RegulatoryBodies" description="Bitmap field of 3 Boolean type Regulation elegibility flags"/>
<group name="NoBodyRegulatoryFields" id="20053" dimensionType="groupSizeEncoding" description="Conditionally populated if RegulatoryBodies=SEF/EMIR/MiFID(MTF)">
<field name="BodyRegulatoryKey" id="20054" type="BodyRegulatoryKey" description="Name of Regulatory field."/>
<field name="BodyRegulatoryValue" id="20055" type="RegulatoryValue" description="Value of Regulatory field."/>
</group>
<!-- Counterparties -->
<group name="NoPartyIDs" id="453" dimensionType="groupSizeEncoding" description="Order Origination/Execution counterparty details.">
<field name="PartyRole" id="452" type="PartyRole" description="Name of Party field."/>
<field name="PartyID" id="448" type="PartyString" description="Value of Party field."/>
</group>
<group name="NoLegs" id="555" dimensionType="groupSizeEncoding" description="One Leg per value date. At least one Leg must be specified.">
<field name="LegSecurityType" id="609" type="SecurityType" description="Specifies the product type for this leg. Valid values: SPT, FWD, NDF."/>
<field name="LegSide" id="624" type="Side" description="Side is from perspective of LegCurrency" />
<field name="LegCurrency" id="556" type="Currency" description="Dealt currency. Specifies the denomination of the quantity fields in this Leg."/>
<field name="LegPrice" id="566" type="PriceNULL" description="All-in Order limit price. LegPrice-Price=LegFwdPts (not currently populated). Not required on all order types (for example, Market order)."/>
<field name="LegOrderQty" id="685" type="DecimalQtyNULL" description="Required. Order quantity."/>
<field name="LegSettlType" id="587" type="TenorType" description="Specifies a standard Tenor for settlement."/>
<field name="LegSettlDate" id="588" type="LocalMktDate" presence="optional" description="Conditionally required if SettlType=BKN. Specifies the broken date for settlement."/>
<!-- NDF/NDS -->
<field name="LegMaturityDate" id="611" type="LocalMktDate" description="Conditionally required if LegSecurityType=NDF. Fixing Date for this leg of NDF/NDS."/>
<field name="LegSettlCurrency" id="675" type="Currency" description="Conditionally required if LegSecurityType=NDF. Specifies the fixing currency for NDF/NDSs."/>
<field name="FixingReference" id="20058" type="FixingReference" description="Conditionally required if LegSecurityType=NDF. Fixing Reference, should be the same as in the original Quote Request. Refer to [REF TODO] for Venue-specific fixing reference strings."/>
<!-- Regulatory -->
<group name="NoLegRegulatoryFields" id="20063" dimensionType="groupSizeEncoding" description="Conditionally populated if RegulatoryBodies=SEF/EMIR/MiFID(MTF)">
<field name="LegRegulatoryKey" id="20064" type="LegRegulatoryKey" description="Name of Regulatory field."/>
<field name="LegRegulatoryValue" id="20065" type="RegulatoryValue" description="Value of Regulatory field."/>
</group>
<group name="NoLegAllocs" id="670" dimensionType="groupSizeEncoding" description="At least one Allocation must be specified per Leg.">
<field name="LegAllocAccount" id="671" type="PartyString" description="Account mnemonic."/>
<field name="LegAllocQty" id="671" type="DecimalQtyNULL" description="Quantity to be allocated to Account. Specified in terms of LegCurrency and LegSide (negative quantities allocate to the opposite side)."/>
<!-- Regulatory -->
<group name="NoAllocRegulatoryFields" id="20050" dimensionType="groupSizeEncoding" description="Conditionally populated if RegulatoryBodies=SEF/EMIR/MiFID(MTF)">
<field name="AllocRegulatoryKey" id="20051" type="LegRegulatoryKey" description="Name of Regulatory field."/>
<field name="AllocRegulatoryValue" id="20052" type="RegulatoryValue" description="Value of Regulatory field."/>
</group>
</group>
<group name="NoPassthruFields" id="20073" dimensionType="groupSizeEncoding" description="To be used only to transport custom/non-normalisable Venue-specific attributes.">
<field name="PassthruKey" id="20074" type="PassthruKey" description="Venue-specific name of this element (e.g. Fix tag name)."/>
<field name="PassthruValue" id="20075" type="PassthruValue" description="Arbitrary value to be assigned to this element."/>
</group>
</group>
<group name="NoHops" id="627" dimensionType="groupSizeEncoding" description="Populated by MF only. Provides details of originating Venue message to MFAPI Client.">
<field name="HopRefID" id="630" type="SeqNum" description="Sequence number of originating Venue message."/>
<field name="HopSendingTime" id="629" type="UTCTimestamp" description="Time (Venue clock) that the Venue message was sent."/>
<field name="HopArrivalTime" id="20008" type="UTCTimestamp" description="Time (MF clock) that the Venue message was received by MF."/>
</group>
<data name="Text" id="58" type="VarText" description="Text string - Extra information about the Order, provided by the Taker."/>
</sbe:message>
<sbe:message name="OrderCancelReplaceRequest" id="302" semanticType="G" description="Modify an outstanding order.">
<!-- Session -->
<field name="TransactTime" id="60" type="UTCTimestamp" description="Time when the OrderCancelReplaceRequest was generated."/>
<field name="PossDupFlag" id="43" type="TradingFlags" description="Indicates if this OrderCancelReplaceRequest may have already been processed (it is being resent)."/>
<field name="OrigSendingTime" id="122" type="UTCTimestamp" description="Conditionally populated if PossDupFlag=TRUE. The sendingTime of the original message."/>
<!-- Identification -->
<field name="ClOrdID" id="11" type="IDString" description="The Taker-assigned Order Identifier of *this* OrderCancelReplaceRequest. If created by MFAPI Client, then must be unique for trading week."/>
<field name="OrigClOrdID" id="41" type="IDString" description="ClOrdID of the Order to be replaced."/>
<field name="OrderID" id="37" type="IDString" description="The Maker/ECN-assigned Order ID."/>
<!-- State -->
<field name="OrdType" id="40" type="OrdType"/>
<field name="TimeInForce" id="59" type="TimeInForce" description="The original order time in force."/>
<!-- Instrument -->
<field name="Symbol" id="55" type="Symbol" description="Symbol of requested Instrument."/>
<!-- Instructions -->
<field name="Price" id="44" type="PriceNULL" description="The NEW order price, if changing, or the original price if not. "/>
<field name="MinQty" id="110" type="DecimalQtyNULL" description="The NEW minimum quantity to execute, if changing, or the original (possibly NULL) value if not."/>
<field name="StopPx" id="99" type="PriceNULL" description="The NEW stop price, if changing, or the original stop price if not. Only required if this order is a Stop-type order."/>
<field name="MaxShow" id="210" type="DecimalQtyNULL" description="Where available, sets the NEW maximum amount to show. If available, but not supplied, MaxShow specified by a previous NewOrderMultileg or OrderCancelReplaceRequest is assumed."/>
<field name="Side" id="54" type="Side" description="The original order side."/>
<field name="OrderQty" id="38" type="DecimalQtyNULL" description="The NEW order quantity, if changing, or the original order quantity if not."/>
</sbe:message>
<sbe:message name="OrderCancelRequest" id="303" semanticType="F" description="Cancel an outstanding order.">
<!-- Session -->
<field name="TransactTime" id="60" type="UTCTimestamp" description="Time when the OrderCancelRequest was generated."/>
<field name="PossDupFlag" id="43" type="TradingFlags" description="Indicates if this OrderCancelRequest may have already been processed (it is being resent)."/>
<field name="OrigSendingTime" id="122" type="UTCTimestamp" description="Conditionally populated if PossDupFlag=TRUE. The sendingTime of the original message."/>
<!-- Identification -->
<field name="ClOrdID" id="11" type="IDString" description="The Taker-assigned Order Identifier of *this* OrderCancelRequest. If created by MFAPI Client, then must be unique for trading week."/>
<field name="OrigClOrdID" id="41" type="IDString" description="ClOrdID of the Order to be Cancelled."/>
<field name="OrderID" id="37" type="IDString" description="The Maker/ECN-assigned Order ID."/>
<!-- Instrument -->
<field name="Symbol" id="55" type="Symbol" description="Symbol of requested Instrument."/>
</sbe:message>
<sbe:message name="OrderCancelReject" id="304" semanticType="9" description="Sent by Maker to reject an OrderCancelReplaceRequest or OrderCancelRequest.">
<!-- Session -->
<field name="TransactTime" id="60" type="UTCTimestamp" description="Time when the OrderCancelReject was generated."/>
<field name="PossDupFlag" id="43" type="TradingFlags" description="Indicates if this OrderCancelReject may have already been processed (it is being resent)."/>
<field name="OrigSendingTime" id="122" type="UTCTimestamp" description="Conditionally populated if PossDupFlag=TRUE. The sendingTime of the original message."/>
<!-- Identification -->
<field name="ClOrdID" id="11" type="IDString" description="The ClOrdID of the OrderCancelReplaceRequest or OrderCancelRequest."/>
<field name="OrigClOrdID" id="41" type="IDString" description="The ClOrdID of the Order that was to be replaced or cancelled."/>
<field name="OrderID" id="37" type="IDString" description="The Maker/ECN-assigned Order ID."/>
<!-- State -->
<field name="OrdStatus" id="39" type="OrdStatus" description="Defines the current state of the Order."/>
<!-- Instrument -->
<field name="Symbol" id="55" type="Symbol" description="Symbol of requested Instrument."/>
<group name="NoHops" id="627" dimensionType="groupSizeEncoding" description="Populated by MF only. Provides details of originating Venue message to MFAPI Client.">
<field name="HopRefID" id="630" type="SeqNum" description="Sequence number of originating Venue message."/>
<field name="HopSendingTime" id="629" type="UTCTimestamp" description="Time (Venue clock) that the Venue message was sent."/>
<field name="HopArrivalTime" id="20008" type="UTCTimestamp" description="Time (MF clock) that the Venue message was received by MF."/>
</group>
<data name="Text" id="58" type="VarText" description="Text string detailing the rejection."/>
</sbe:message>
<sbe:message name="OrderTimeout" id="305" semanticType="U1" description="Sent by Taker to flag an Order for which no ExecutionReport was received within the Taker-defined time window.">
<!-- Session -->
<field name="TransactTime" id="60" type="UTCTimestamp" description="Time when the OrderTimeout was generated."/>
<field name="PossDupFlag" id="43" type="TradingFlags" description="Indicates if this OrderTimeout may have already been processed (it is being resent)."/>
<field name="OrigSendingTime" id="122" type="UTCTimestamp" description="Conditionally populated if PossDupFlag=TRUE. The sendingTime of the original message."/>
<!-- Identification -->
<field name="ClOrdID" id="11" type="IDString" description="The ClOrdID of the timed-out Order."/>
<field name="OrderID" id="37" type="IDString" description="The Maker/ECN-assigned Order ID."/>
<!-- State -->
<field name="OrdStatus" id="39" type="OrdStatus" description="Defines the current state of the Order."/>
<!-- Instrument -->
<field name="Symbol" id="55" type="Symbol" description="Symbol of requested Instrument."/>
<data name="Text" id="58" type="VarText" description="Text string - Extra information about the timeout, provided by the Taker."/>
</sbe:message>
<sbe:message name="ExecutionReport" id="306" semanticType="8" description="Maker/ECN responses for order actions and events.">
<!-- Session -->
<field name="TransactTime" id="60" type="UTCTimestamp" description="Time when the ExecutionReport was generated."/>
<field name="PossDupFlag" id="43" type="TradingFlags" description="Indicates if this ExecutionReport may have already been processed (it is being resent)."/>
<field name="OrigSendingTime" id="122" type="UTCTimestamp" description="Conditionally populated if PossDupFlag=TRUE. The sendingTime of the original message."/>
<!-- Identification -->
<field name="OrderRequestID" id="2422" type="IDString" presence="optional" description="Conditionally populated if OrdType=PreviouslyQuoted. Used to associate Order with earlier Market Data (ESP) or Quote (RFS) messages, to aid support."/> <!--NOTE: FIX defines this tage as an int. -->
<field name="ClOrdID" id="11" type="IDString" description="The current ClOrdID of the Order. Can differ from the originally submitted value on the NewOrderMultileg if, for example, modifications have been made."/>
<field name="OrigClOrdID" id="41" type="IDString" description="The ClOrdID of the original value submitted on the NewOrderMultileg."/>
<field name="OrderID" id="37" type="IDString" description="The Maker/ECN-assigned Order ID."/>
<field name="ExecID" id="17" type="IDString" description="Unique identifier for this ExecutionReport."/>
<field name="ExecRefID" id="19" type="IDString" description="Conditionally populated when VenueType=CLOB and MatchStatus != Pending. Used to link back to the ExecutionReport of the Pending Match."/>
<!-- State -->
<field name="OrdType" id="40" type="OrdType"/>
<field name="TimeInForce" id="59" type="TimeInForce"/>
<field name="OrdStatus" id="39" type="OrdStatus" description="Defines the current state of the Order."/>
<field name="ExecType" id="150" type="ExecType"/>
<field name="MatchStatus" id="573" type="MatchStatus" description="Conditionally populated when VenueType=CLOB. The status of this Fill with respect to Order matching or comparison."/> <!-- Custom use of this tag. -->
<!-- Instrument -->
<field name="Symbol" id="55" type="Symbol" description="Symbol of requested Instrument."/>
<field name="SecurityType" id="167" type="SecurityType" description="1-legged (SPT, FWD, NDF, FUT), 2-legged (SWP, NDS) and n-legged (BLK) order types.NOTE: This message is NOT to be used for IMM or OPT Security Types."/>
<field name="TradeDate" id="75" type="LocalMktDate" description="Indicates date of trading day (expressed in local time at place of trade)."/>
<field name="LastSpotRate" id="194" type="PriceNULL" description="Conditionally required if SecurityType!=FUT AND ExecType=Trade. Spot Price on this (last) fill. LastSpotRate=LegLastPrice-LegLastForwardPoints."/>
<field name="MidPx" id="631" type="PriceNULL" description="Conditionally required if ExecType=Calculated/Trade and SecurityType!=FUT. Mid-Market Spot Price on this (last) fill."/><!-- Regulatory -->
<!-- Regulatory -->
<field name="RegulatoryBodies" id="20076" type="RegulatoryBodies" description="Bitmap field of 3 Boolean type Regulation elegibility flags"/>
<group name="NoBodyRegulatoryFields" id="20053" dimensionType="groupSizeEncoding" description="Conditionally populated if RegulatoryBodies=SEF/EMIR/MiFID(MTF)">
<field name="BodyRegulatoryKey" id="20054" type="BodyRegulatoryKey" description="Name of Regulatory field."/>
<field name="BodyRegulatoryValue" id="20055" type="RegulatoryValue" description="Value of Regulatory field."/>
</group>
<!-- Counterparties -->
<group name="NoPartyIDs" id="453" dimensionType="groupSizeEncoding" description="Order Origination/Execution counterparty details.">
<field name="PartyRole" id="452" type="PartyRole" description="Name of Party field."/>
<field name="PartyID" id="448" type="PartyString" description="Value of Party field."/>
</group>
<group name="NoLegs" id="555" dimensionType="groupSizeEncoding" description="One Leg per value date. At least one Leg must be specified.">
<field name="LegSide" id="624" type="Side" description="Side is from perspective of LegCurrency" />
<field name="LegCurrency" id="556" type="Currency" description="Dealt currency. Specifies the denomination of the quantity fields in this Leg."/>
<field name="LegPrice" id="566" type="PriceNULL" description="All-in Order limit price of Leg. Not required on all Order types (for example, Market order)."/>
<field name="LegMidPx" id="2346" type="PriceNULL" presence="optional" description="Conditionally required if ExecType=Calculated/Trade and SecurityType!=FUT. Mid-Market All-in Price of Leg for this (last) fill."/><!-- Regulatory -->
<field name="LegLastPrice" id="637" type="PriceNULL" description="Conditionally required if ExecType=Calculated/Trade and SecurityType!=FUT. All-in Price of Leg for this last fill. LegLastPrice=LastSpotRate + LegLastForwardPoints."/>
<field name="LegLastForwardPoints" id="1073" type="PriceNULL" description="Conditionally required if SecurityType!=FUT. FX forward points of Leg. May be a negative value. Zero if LegSettlType=SPT. LegLastForwardPoints=LegLastPrice-LastSpotRate."/>
<field name="LegOrderQty" id="685" type="DecimalQtyNULL" description="Required. Order quantity."/>
<field name="LegLastQty" id="1418" type="DecimalQtyNULL" description="Conditionally required if ExecType=Calculated/Trade and SecurityType!=FUT. Specifies the dealt amount for this Leg."/>
<field name="LegCalculatedCcyLastQty" id="1074" type="DecimalQtyNULL" description="Conditionally required if ExecType=Calculated/Trade and SecurityType!=FUT. Specifies the contra amount for this (last) fill and Leg. If LegCurrency is LHS then=LegLastQty*LegLastPx; if LegCurrency is RHS then=LegLastQty/LegLastPx (rounded arithmetically)."/>
<field name="LegCumQty" id="20061" type="DecimalQtyNULL" description="Total quantity filled on this Leg of the Order."/>
<field name="LegLeavesQty" id="20062" type="DecimalQtyNULL" description="Quantity remaining to execute on this Leg of the Order."/>
<field name="LegSettlType" id="587" type="TenorType" description="Specifies a standard Tenor for settlement."/>
<field name="LegSettlDate" id="588" type="LocalMktDate" presence="optional" description="Conditionally required if SettlType=BKN. Specifies the broken date for settlement."/>
<!-- NDF/NDS -->
<field name="LegMaturityDate" id="611" type="LocalMktDate" description="Conditionally required if SecurityType=NDF/NDS. Fixing Date."/>
<field name="LegSettlCurrency" id="675" type="Currency" description="Conditionally required if SecurityType=NDF/NDS. Specifies the fixing currency for NDF/NDSs."/>
<field name="FixingReference" id="20058" type="FixingReference" description="Conditionally required if SecurityType=NDF/NDS. Fixing Reference, should be the same as in the original QuoteRequest. Refer to [REF 360T RFS Maker, JPM Taker] for Venue-specific fixing reference strings."/>
<!-- Regulatory -->
<group name="NoLegRegulatoryFields" id="20063" dimensionType="groupSizeEncoding" description="Conditionally populated if RegulatoryBodies=SEF/EMIR/MiFID(MTF)">
<field name="LegRegulatoryKey" id="20064" type="LegRegulatoryKey" description="Name of Regulatory field."/>
<field name="LegRegulatoryValue" id="20065" type="RegulatoryValue" description="Value of Regulatory field."/>
</group>
<group name="NoLegAllocs" id="670" dimensionType="groupSizeEncoding" description="At least one Allocation must be specified per Leg.">
<field name="LegAllocAccount" id="671" type="PartyString" description="Account mnemonic."/>
<field name="LegAllocQty" id="671" type="DecimalQtyNULL" description="Quantity to be allocated to Account. Specified in terms of LegCurrency and LegSide (negative quantities allocate to the opposite side)."/>
<field name="LegAllocCalculatedCcyQty" id="20060" type="DecimalQtyNULL" description="Conditionally required if ExecType=Calculated/Trade and SecurityType!=FUT. Quantity to be allocated to Account, expressed in contra currency. Allocation direction expressed arithmetically ABS(SUM (LegAllocCalculatedCcyQty))=LegCalculatedCcyLastQty (but may be subject to accumulated rounding errors). If LegCurrency is LHS then=-LegAllocQty * LegLastPx; if LegCurrency is RHS then=-LegAllocQty / LegLastPx (rounded arithmetically)."/>
<!-- Regulatory -->
<group name="NoAllocRegulatoryFields" id="20050" dimensionType="groupSizeEncoding" description="Conditionally populated if RegulatoryBodies=SEF/EMIR/MiFID(MTF)">
<field name="AllocRegulatoryKey" id="20051" type="LegRegulatoryKey" description="Name of Regulatory field."/>
<field name="AllocRegulatoryValue" id="20052" type="RegulatoryValue" description="Value of Regulatory field."/>
</group>
</group>
<group name="NoPassthruFields" id="20073" dimensionType="groupSizeEncoding" description="To be used only to transport custom/non-normalisable Venue-specific attributes.">
<field name="PassthruKey" id="20074" type="PassthruKey" description="Venue-specific name of this element (e.g. Fix tag name)."/>
<field name="PassthruValue" id="20075" type="PassthruValue" description="Arbitrary value to be assigned to this element."/>
</group>
</group>
<group name="NoHops" id="627" dimensionType="groupSizeEncoding" description="Populated by MF only. Provides details of originating Venue message to MFAPI Client.">
<field name="HopRefID" id="630" type="SeqNum" description="Sequence number of originating Venue message."/>
<field name="HopSendingTime" id="629" type="UTCTimestamp" description="Time (Venue clock) that the Venue message was sent."/>
<field name="HopArrivalTime" id="20008" type="UTCTimestamp" description="Time (MF clock) that the Venue message was received by MF."/>
</group>
<data name="Text" id="58" type="VarText" description="Text string - Extra information about the execution, provided by the Maker."/>
</sbe:message>
<sbe:message name="ExecutionAck" id="307" semanticType="BN" description="Taker response to Maker-sent ExecutionReport.">
<!-- Session -->
<field name="TransactTime" id="60" type="UTCTimestamp" description="Time when the ExecutionReport was generated."/>
<field name="PossDupFlag" id="43" type="TradingFlags" description="Indicates if this ExecutionReport may have already been processed (it is being resent)."/>
<field name="OrigSendingTime" id="122" type="UTCTimestamp" description="Conditionally populated if PossDupFlag=TRUE. The sendingTime of the original message."/>
<!-- Identification -->
<field name="OrderRequestID" id="2422" type="IDString" presence="optional" description="Conditionally populated if OrdType=PreviouslyQuoted. Used to associate Order with earlier Market Data (ESP) or Quote (RFS) messages, to aid support."/> <!--NOTE: FIX defines this tage as an int. -->
<field name="ClOrdID" id="11" type="IDString" description="The current ClOrdID of the Order. Can differ from the originally submitted value on the NewOrderMultileg if, for example, edits have been made."/>
<field name="OrigClOrdID" id="41" type="IDString" description="The ClOrdID of the original NewOrderMultileg."/>
<field name="OrderID" id="37" type="IDString" description="The Maker/ECN-assigned Order ID."/>
<field name="ExecID" id="17" type="IDString" description="Unique identifier of the referenced ExecutionReport."/>
<!-- State -->
<field name="ExecAckStatus" id="1036" type="ExecAckStatus" description="Confirms or denys Maker ExecutionReport - whatever it's state."/>
<!-- Instrument -->
<field name="Symbol" id="55" type="Symbol" description="Symbol of requested Instrument."/>
<field name="SecurityType" id="167" type="SecurityType" description="1-legged (SPT, FWD, NDF), 2-legged (SWP, NDS) and n-legged (BLK) order types."/>
<group name="NoHops" id="627" dimensionType="groupSizeEncoding" description="Populated by MF only. Provides details of originating Venue message to MFAPI Client.">
<field name="HopRefID" id="630" type="SeqNum" description="Sequence number of originating Venue message."/>
<field name="HopSendingTime" id="629" type="UTCTimestamp" description="Time (Venue clock) that the Venue message was sent."/>
<field name="HopArrivalTime" id="20008" type="UTCTimestamp" description="Time (MF clock) that the Venue message was received by MF."/>
</group>
<data name="Text" id="58" type="VarText" description="Text string - Extra information about the execution, provided by the Taker."/>
</sbe:message>
</sbe:messageSchema>
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