It is the Venue that dictates the message flow, not the Client - thus, the Whisperer Enterprise 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) 2019 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="18029"
semanticVersion="MF-FIX5.0SP2"
description="Schema for marketdata and trading messages. Based on FIX50SP2. The protocol is designed to run over TCP."
byteOrder="littleEndian">
<!-- NOTES:
For usage details, please refer to https://confluence.marketfactory.com/x/SwWhAQ
The schema version is the schema modification date, expressed as days since Epoch (i.e. is of type LocalMktDate).
version: echo $(($(date +%s)/86400))
date: echo $(date -d @$((version*86400)) +%F)
This Schema utilises the following custom tags:
20006 HopNetworkTime
20007 HopArrivalTime
20008 HasExtendedPriceFields
20009 HasNDFFields
20010 HasLegNDFFields
20011 NoFixingRefs
20012 Venuename
20013 MDFlags
20014 FixingReference
20015 LegAllocCalculatedCcyQty
20016 LegCumQty
20017 LegLeavesQty
20018 LotSize
20019 SessionType
20020 -
20021 RegulatoryBodies
20030 NoBodyPassthruFields
20031 BodyPassthruKey
20032 BodyPassthruValue
20040 NoBodyRegulatoryFields
20041 BodyRegulatoryKey
20042 BodyRegulatoryValue
20050 NoLegPassthruFields
20051 LegPassthruKey
20052 LegPassthruValue
20060 NoLegRegulatoryFields
20061 LegRegulatoryKey
20062 LegRegulatoryValue
20070 NoAllocPassthruFields
20071 AllocPassthruKey
20072 AllocPassthruValue
20080 NoAllocRegulatoryFields
20081 AllocRegulatoryKey
20082 AllocRegulatoryValue
20090 NoEntryPassthruFields
20091 EntryPassthruKey
20092 EntryPassthruValue
A command to help maintain this list:
egrep 'id="(2[0-9]{4}|TODO)"' mfsbe4.xml | awk 'BEGIN { FS="\"" } {print $4, $2 }' | sort -u
-->
<types>
<!-- SBE defined types -->
<composite name="messageHeader" description="The SBE header that is part of each message.">
<type name="messageStart" primitiveType="uint16" description="Two-byte indicator of start of message to assist resynchronisation for protocol analysers. Constant value 17997, equivalent to 'MF'."/>
<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="Number of nanoseconds since epoch 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>
<composite name="conditionalGroupSizeEncoding" semanticType="NumInGroup" description="Conditionally populated group dimensions.">
<type name="blockLength" primitiveType="uint8"/>
<type name="numInGroup" primitiveType="uint8" minValue="0" maxValue="1"/>
</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" semanticType="int" description="Nullable, signed 8-bit integer."/>
<type name="uInt32NULL" presence="optional" nullValue="4294967295" primitiveType="uint32" semanticType="int" description="Nullable, unsigned 32-bit integer."/>
<type name="uInt16NULL" presence="optional" nullValue="65535" primitiveType="uint16" semanticType="int" description="Nullable, unsigned 16-bit integer."/>
<type name="uInt8NULL" presence="optional" nullValue="255" primitiveType="uint8" semanticType="int" description="Nullable, unsigned 8-bit integer."/>
<type name="HeartBtInt" primitiveType="uint16" semanticType="int" minValue="1" maxValue="300" description="Heartbeat interval (seconds), specified by Client in Logon."/>
<type name="SeqNum" presence="optional" nullValue="0" primitiveType="uint32" semanticType="SeqNum" description="Sequence number for detection of missed messages."/>
<type name="RequestID" presence="optional" nullValue="4294967295" primitiveType="uint32" semanticType="int" description="Unique (within curent trading week) identifier to reliably link request and response messages."/> <!--NOTE: FIX defines this tag as a string. -->
<type name="NumOfCompetitors" presence="optional" nullValue="-128" primitiveType="int8" minValue="-1" semanticType="int" description="0=Not in competition; -1=In competition (number of competitors unknown), n=In competition (Number of competitors); NULL=unknown."/>
<!-- Date and Time types -->
<type name="LocalMktDate" presence="optional" nullValue="0" primitiveType="uint16" semanticType="LocalMktDate" description="Local calendar date at the market location (i.e. TK/LN/NY), as days since epoch."/>
<type name="UTCTimestamp" presence="optional" nullValue="0" primitiveType="uint64" semanticType="UTCTimestamp" description="Number of nanoseconds since epoch."/>
<type name="ValidUntilTime" presence="optional" nullValue="18446744073709551615" primitiveType="uint64" semanticType="UTCTimestamp" description="Number of nanoseconds since epoch. Default value ensures that quotes that do not have explicit TTLs are guaranteed to be valid until replaced."/>
<!-- String types -->
<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>
<type name="Currency" primitiveType="char" length="3" semanticType="Currency" description="Currency code supported by MarketFactory. Usually the ISO 4217 Currency code value."/>
<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="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 ~`_!*,-:=[]/#<>"/>
<!-- Price and Qty types -->
<composite name="DecimalQtyNULL" semanticType="Qty" description="A number representing quantity. May be negative (e.g. Allocation direction).">
<type name="mantissa" presence="optional" nullValue="-9223372036854775808" primitiveType="int64" description="The significant digits of the quantity value with an optional NULL value."/>
<type name="exponent" presence="optional" nullValue="0" primitiveType="int8" description="The scale of the decimal number as a power of 10."/>
</composite>
<composite name="PriceNULL" semanticType="Price" description="A number representing price. May be negative (e.g. Forward Points).">
<type name="mantissa" presence="optional" nullValue="-9223372036854775808" primitiveType="int64" description="The significant digits of the price value with an optional NULL value."/>
<type name="exponent" presence="optional" nullValue="0" primitiveType="int8" description="The scale of the decimal number as a power of 10."/>
</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, or if IsSnapshot=TRUE.">0</choice>
<choice name="IsSnapshot" description="TRUE if this Venue Market Data message represents a snapshot of the full Book. FALSE otherwise.">1</choice>
</set>
<enum name="SessionType" encodingType="uint8">
<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 possible duration is one 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>
<validValue name="NDB" description="FX Non-Deliverable Block">6</validValue>
<!-- Non-FX -->
<validValue name="FUT" description="Future">7</validValue>
<validValue name="IMM" description="Money Market (Cash)">8</validValue>
<validValue name="OPT" description="FX Option">9</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 1..49 -->
<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="D3" description="Three days after Spot">6</validValue>
<validValue name="D4" description="Four days after Spot">7</validValue>
<validValue name="W1" description="One Week after Spot">8</validValue>
<validValue name="W2" description="Two Weeks after Spot">9</validValue>
<validValue name="W3" description="Three Weeks after Spot">10</validValue>
<validValue name="M1" description="One Month after Spot">11</validValue>
<validValue name="M2" description="Two Months after Spot">12</validValue>
<validValue name="M3" description="Three Months after Spot">13</validValue>
<validValue name="M4" description="Four Months after Spot">14</validValue>
<validValue name="M5" description="Five Months after Spot">15</validValue>
<validValue name="M6" description="Six Months after Spot">16</validValue>
<validValue name="M7" description="Seven Months after Spot">17</validValue>
<validValue name="M8" description="Eight Months after Spot">18</validValue>
<validValue name="M9" description="Nine Months after Spot">19</validValue>
<validValue name="M10" description="Ten Months after Spot">20</validValue>
<validValue name="M11" description="Eleven Months after Spot">21</validValue>
<validValue name="Y1" description="One Year after Spot">22</validValue>
<validValue name="M15" description="Fifteen Months after Spot">23</validValue>
<validValue name="M18" description="Eighteen Months after Spot">24</validValue>
<validValue name="M21" description="Twenty-one Months after Spot">25</validValue>
<validValue name="Y2" description="Two Years after Spot">26</validValue>
<validValue name="Y3" description="Three Years after Spot">27</validValue>
<validValue name="Y4" description="Four Years after Spot">28</validValue>
<validValue name="Y5" description="Five Years after Spot">29</validValue>
<validValue name="Y6" description="Six Years after Spot">30</validValue>
<validValue name="Y7" description="Seven Years after Spot">31</validValue>
<validValue name="Y8" description="Eight Years after Spot">32</validValue>
<validValue name="Y9" description="Nine Years after Spot">33</validValue>
<validValue name="Y10" description="Ten Years after Spot">34</validValue>
<validValue name="Y15" description="Fifteen Years after Spot">35</validValue>
<validValue name="Y20" description="Twenty Years after Spot">36</validValue>
<validValue name="Y25" description="Twenty-five Years after Spot">37</validValue>
<validValue name="Y30" description="Thirty Years after Spot">38</validValue>
<!-- Single-legged Swaps 50..59 -->
<validValue name="ON" description="Overnight - TOD/TOM Single-legged Swap">50</validValue>
<validValue name="TN" description="Tom-Next - TOM/SPT Single-legged Swap">51</validValue>
<validValue name="SN" description="Spot-Next - SPT/D1 Single-legged Swap">52</validValue>
<!-- Fixed dates 60..99-->
<!-- IMM Dates are the four quarterly dates of each year used as the maturity date for most futures and options contracts. Typically the third Wednesday of March, June, September and December -->
<validValue name="IMMF" description="January Futures Expiration Date">60</validValue>
<validValue name="IMMG" description="February Futures Expiration Date">61</validValue>
<validValue name="IMMH" description="March Futures Expiration/IMM1 Date">62</validValue>
<validValue name="IMMJ" description="April Futures Expiration Date">63</validValue>
<validValue name="IMMK" description="May Futures Expiration Date">64</validValue>
<validValue name="IMMM" description="June Futures Expiration/IMM2 Date">65</validValue>
<validValue name="IMMN" description="July Futures Expiration Date">66</validValue>
<validValue name="IMMQ" description="August Futures Expiration Date">67</validValue>
<validValue name="IMMU" description="September Futures Expiration/IMM3 Date">68</validValue>
<validValue name="IMMV" description="October Futures Expiration Date">69</validValue>
<validValue name="IMMX" description="November Futures Expiration Date">70</validValue>
<validValue name="IMMZ" description="December Futures Expiration/IMM4 Date">71</validValue>
<!-- The first spot value date after the last business day of the chosen month e.g. CNX RFS NDFs -->
<validValue name="JAN" description="The first spot value date after the last business day of January">72</validValue>
<validValue name="FEB" description="The first spot value date after the last business day of February">73</validValue>
<validValue name="MAR" description="The first spot value date after the last business day of March">74</validValue>
<validValue name="APR" description="The first spot value date after the last business day of April">75</validValue>
<validValue name="MAY" description="The first spot value date after the last business day of May">76</validValue>
<validValue name="JUN" description="The first spot value date after the last business day of June">77</validValue>
<validValue name="JUL" description="The first spot value date after the last business day of July">78</validValue>
<validValue name="AUG" description="The first spot value date after the last business day of August">79</validValue>
<validValue name="SEP" description="The first spot value date after the last business day of September">80</validValue>
<validValue name="OCT" description="The first spot value date after the last business day of October">81</validValue>
<validValue name="NOV" description="The first spot value date after the last business day of November">82</validValue>
<validValue name="DEC" description="The first spot value date after the last business day of December">83</validValue>
<!-- The last business day of the chosen month e.g. CNX RFS NDFs -->
<validValue name="EOMF" description="The last business day of January">84</validValue>
<validValue name="EOMG" description="The last business day of February">85</validValue>
<validValue name="EOMH" description="The last business day of March">86</validValue>
<validValue name="EOMJ" description="The last business day of April">87</validValue>
<validValue name="EOMK" description="The last business day of May">88</validValue>
<validValue name="EOMM" description="The last business day of June">89</validValue>
<validValue name="EOMN" description="The last business day of July">90</validValue>
<validValue name="EOMQ" description="The last business day of August">91</validValue>
<validValue name="EOMU" description="The last business day of September">92</validValue>
<validValue name="EOMV" description="The last business day of October">93</validValue>
<validValue name="EOMX" description="The last business day of November">94</validValue>
<validValue name="EOMZ" description="The last business day of December">95</validValue>
<!-- Other rolling Tenors - e.g. R5FX -->
<validValue name="D1M1" description="Tomorrow One Month - the M1 Tenor for tomorrow’s trade date.">100</validValue>
<validValue name="M0E" description="Last working day of current Month">101</validValue>
<validValue name="M1E" description="Last working day of next Month">102</validValue>
<!-- E.g. Futures -->
<validValue name="SYM" description="Settlement date defined by Symbol - e.g. CME Futures code.">250</validValue>
</enum>
<set name="QuoteType" encodingType="uint8" 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="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>
<validValue name="SEFFinancialEntityDefinition" description="'SD' (Swap Dealer), 'MSP' (Major Swap Participant), or 'ECP' (Eligible Contract Participant).">7</validValue>
<validValue name="SEFCustomerTypeIndicator" description="1/2/3/4: https://www.investopedia.com/terms/c/cti.asp">8</validValue>
<validValue name="SEFIsBlock" description="Y/N: Indicates whether or not the trade is classified as a Block for SEF purposes?">9</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="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="MiFIDILargeInScaleWaiver" description="Y/N: Pre-Trade Block Size waiver indicator.">41</validValue>
<validValue name="MiFIDIlliquidInstrumentWaiver" description="Y/N: Pre-Trade Illiquid Instrument waiver indicator.">44</validValue>
<validValue name="MiFIDSizeSpecificWaiver" 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="MiFIDSystematicInternaliser" description="Segment MIC code (as per ISO 10383) of message sender, indicating it is a Systematic Internaliser.">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>
<validValue name="MiFIDTradingCapacity" description="DEAL: Firm Deals on own account; MTCH: Firm trades in a matched principal capacity; AOTC: Any other trading capacity (e.g. Agency).">52</validValue>
<validValue name="MiFIDNonPriceFormingTrade" description="Y/N: Transactions where the exchange of financial instruments is determined by factors other than the current market valuation of the financial instrument as listed under Article 13.">53</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 which 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="Y/N: Indicates whether or not 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="AllocMiFIDISIN" 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="AllocMiFIDTVTIC" description="52 character Trading Venue Transaction Identification Code (TVTIC) for this Allocation">41</validValue>
<validValue name="AllocMiFIDConversionFlag" description="Y/N: Indicates whether or not the Allocation 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>
<validValue name="AllocMiFIDNonPriceFormingTrade" description="Y/N: Transactions where the exchange of financial instruments is determined by factors other than the current market valuation of the financial instrument as listed under Article 13.">43</validValue>
</enum>
<set name="RegulatoryBodies" encodingType="uint64" semanticType="MultipleStringValue" 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_EP247/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_EP247/tag803.html=84 -->
<validValue name="ContraFirm" description="Optionally populated if OrderOriginatonFirm is Trading on Behalf of a third party.">17</validValue> <!-- e.g. 360T TEX -->
<validValue name="ContraTrader" description="Optionally populated if OrderOriginatonFirm is Trading on Behalf of a third party.">37</validValue> <!-- e.g. 360T TEX -->
<validValue name="ContraFirmLEI" description="Optionally populated if OrderOriginatonFirm is Trading on Behalf of a third party. A Legal Entity Identifier defined by ISO 17442 to identify the third party Firm.">252</validValue> <!-- e.g. 360T TEX --> <!-- http://fiximate.fixtrading.org/latestEP/en/FIX.5.0SP2_EP247/tag803.html=84 -->
<validValue name="ExecutionVenue" description="Conditionally populated if RegulatoryBodies=SEF/EMIR/MiFID. May be an LEI or MIC of the Swap Execution Facility (SEF), Multilateral Trading Facility (MTF), Organized Trading Facility (OTF) or Regulated Market (RM).">73</validValue>
<validValue name="PrimeBroker" description="The counterparty Prime Broker.">79</validValue>
<validValue name="ReportingEntity" description="Conditionally populated if RegulatoryBodies=SEF/EMIR/MiFID. May be an LEI or MIC, or 'ExecutingFirm', 'OrderOriginationFirm', 'ExecutionVenue', 'Unknown'.">116</validValue>
</enum>
<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 credit-screened bid details.">0</validValue>
<validValue name="BestBid" description="Entry contains un-screened bid details.">u</validValue>
<validValue name="Offer" description="Entry contains credit-screened offer details.">1</validValue>
<validValue name="BestOffer" description="Entry contains un-screened offer details.">v</validValue>
<validValue name="Trade" description="Entry contains Venue trade details.">2</validValue>
<validValue name="TradePaid" description="Indicates trade where the Bid was aggressed.">y</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.">z</validValue>
<validValue name="WorstTradeGiven" description="The worst price that was sold on EBS during a timeslice.">w</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="TradeVolume" description="Aggregate volume during specified period.">B</validValue>
</enum>
<enum name="MDBookType" encodingType="uint8" description="Defines the type of a market data update group.">
<validValue name="PriceDepth" description="Book entries are ordered by price. Associated amounts are aggregated order quantities at that price level.">2</validValue>
<validValue name="OrderDepth" description="Book entries are ordered by price then amount. Each entry represents an individual order.">3</validValue>
<validValue name="Spread" description="Book entries are ordered by configured price deltas from ToB. Associated amounts are aggregate order quantities available between ToB and that level.">101</validValue>
<validValue name="Amount" description="Book entries are ordered by configured amounts. Associated prices are the corresponding multiple-trade VWAP from ToB.">102</validValue>
<validValue name="FullAmount" description="Book entries are ordered by configured amounts. Associated prices are single-trade.">103</validValue>
<validValue name="TradeTicker" description="Paid/Given feed.">105</validValue>
<validValue name="NOW_WAMR" description="Currenex_NOW Weighted Average Mid-Rate with bid/offer quotes banded into confidence percentiles.">106</validValue>
<validValue name="NOW_Mid" description="Currenex_NOW Mid-match activity notification feed.">107</validValue>
</enum>
<enum name="MDSubBookType" description="TBD" encodingType="uint8" semanticType="int">
<!-- CME -->
<validValue name="CMEImpliedLiquidty" description="CME Implied Liquidity.">0</validValue>
<!-- EBS Market Region -->
<validValue name="EBSGlobal" description="EBS Ultra Global Feed.">1</validValue>
<validValue name="EBSTokyo" description="EBS Ultra Multi-Region Feed: Order submitted in Tokyo.">2</validValue>
<validValue name="EBSLondon" description="EBS Ultra Multi-Region Feed: Order submitted in London.">3</validValue>
<validValue name="EBSNewYork" description="EBS Ultra Multi-Region Feed: Order submitted in New York.">4</validValue>
</enum>
<enum name="SubscriptionRequestType" encodingType="char" semanticType="char" description="Market data subscription request type.">
<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="LoggedOff" 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> <!-- E.g. MAPI CTA sent when credit below 25%, Refer to UserNotification Text for TCID:USD remaining -->
<validValue name="CreditExhausted" description="Credit status.">253</validValue> <!-- E.g. MAPI CTA sent when credit at 0%, Refer to UserNotification Text for additional detail -->
<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="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="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="Replaced">5</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="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="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="ESP/RFS Stream rejected or terminated by Taker or Maker.">6</validValue>
<validValue name="TimedOut" description="RFS Stream duration ended without Order. Maker and ECN have individual time-outs.">8</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 sent 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>
<validValue name="VenueLogonError" description="Venue connection or logon attempt failed. Informational.">6</validValue>
<validValue name="VenueSeqNumError" description="Venue sequence number gap (either inbound or outbound). Informational.">7</validValue>
<validValue name="VenueMessageUnexpected" description="An unsupported Venue message was received. This will only occur in erroneous circumstances.">8</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="HeartBtInt" description ="Heartbeat-generation timeout - the interval with which the client wishes to validate connection health. If zero then no regular heartbeat messages will be generated."/>
<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="553" 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="20012" type="Venuename" description="MF-defined Venue name. This will include its georgraphical location, e.g. 'Currenex_NOW NY'"/>
<field name="SessionType" id="20019" 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.">
<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="Username" id="553" type="Username" presence="optional" description="Echoed by MF, to assist session diagnostics. MF-created and assigned MFAPI user."/>
<field name="Venuename" id="20012" type="Venuename" presence="optional" description="Echoed by MF, to assist session diagnostics. MF-defined Venue name."/>
<field name="SessionType" id="20019" type="SessionType" presence="optional" description="Echoed by MF, to assist session diagnostics. Indicates desired session type for user, bilaterally agreed with MF."/>
<data name="TestReqID" id="112" type="VarText" description="Conditionally populated if the Heartbeat is sent in response to a TestRequest. Free-form text string as populated in the TestRequest. e.g. UTC/Epoch Timestamp."/>
</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.">
<data name="TestReqID" id="112" type="VarText" description="Free-form text string to be returned in resulting Heartbeat. e.g. UTC/Epoch Timestamp."/>
</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"/>
<data name="Text" id="58" type="VarText" description="Explanation of user request, e.g. reason for Venue logout."/>
</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="TradingFlags" 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 TradingFlags.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="HopNetworkTime" id="20006" type="UTCTimestamp" description="Time (MF clock) that the Venue message was received by the MF Hardware."/>
<field name="HopArrivalTime" id="20007" type="UTCTimestamp" description="Time (MF clock) that the Venue message was received by the MF Application."/>
</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."/>
<!-- State -->
<field name="SubscriptionRequestType" id="263" type="SubscriptionRequestType"/>
<field name="MarketDepth" id="264" type="uint8" description="0=Full Book, 1=Top of Book, n=Number of Levels."/>
<field name="MDBookType" id="1021" type="MDBookType" description="Specifies the type of book to be requested."/> <!-- 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). NOTE: This message is NOT to be used for BLK, IMM or OPT Security Types."/>
<field name="SecurityGroup" id="1151" type="IDString" description="Conditionally required if the Venue multiple offers multiple liquidity pools for the same security. E.g. EBS Standard/Fixing/FixingOffset/SwapOffset."/>
<group name="NoLegs" id="555" dimensionType="groupSizeEncoding" description="One Leg per value date. At least one Leg must be specified.">
<field name="LegSettlType" id="587" type="TenorType" description="Specifies a standard Tenor for settlement."/> <!-- Custom use of this tag. -->
<field name="LegSettlDate" id="588" type="LocalMktDate" presence="optional" description="Conditionally required if SettlType=BKN. Specifies the broken date for settlement."/> <!-- Custom use of this tag. -->
<group name="HasLegNDFFields" id="20010" dimensionType="conditionalGroupSizeEncoding" description="Conditionally required if SecurityType=NDF/NDS.">
<field name="LegMaturityDate" id="611" type="LocalMktDate" description="Fixing Date for this Leg of NDF/NDS."/>
<field name="LegSettlCurrency" id="675" type="Currency" description="Specifies the fixing currency of this Leg of NDF/NDS."/> <!-- Custom use of this tag. -->
<group name="NoFixingRefs" id="20011" dimensionType="groupSizeEncoding" description="Optionally populated. First instance is treated as the primary Fixing source, the second is treated as the secondary (used for NDF crosses).">
<data name="FixingReference" id="20014" type="VarText" description="Venue-specific NDF Fixing Reference."/>
</group>
</group>
</group>
</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."/>
<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, where applicable."/>
<field name="HopSendingTime" id="629" type="UTCTimestamp" description="Time (Venue clock) that the Venue message was sent."/>
<field name="HopNetworkTime" id="20006" type="UTCTimestamp" description="Time (MF clock) that the Venue message was received by the MF Hardware."/>
<field name="HopArrivalTime" id="20007" type="UTCTimestamp" description="Time (MF clock) that the Venue message was received by the MF Application."/>
</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."/>
<field name="SecurityGroup" id="1151" type="IDString" description="Conditionally required if the Venue multiple offers multiple liquidity pools for the same security. E.g. EBS Standard/Fixing/FixingOffset/SwapOffset."/>
<field name="TradeDate" id="75" type="LocalMktDate" description="Trade Session Date of security, as provided by the Venue."/>
<field name="SecurityTradingStatus" id="326" type="SecurityTradingStatus" description="Identifies the trading status applicable to the instrument or Security Group"/>
<field name="MinQty" id="110" type="DecimalQtyNULL" description="Minimum Order size allowed by the Venue."/> <!-- Custom use of this tag. -->
<!-- TODO: MAX QTY, LOT SIZE -->
<group name="NoLegs" id="555" dimensionType="groupSizeEncoding" description="One Leg per value date. At least one Leg must be specified.">
<field name="LegSettlType" id="587" type="TenorType" description="Specifies a standard Tenor for settlement."/> <!-- Custom use of this tag. -->
<field name="LegSettlDate" id="588" type="LocalMktDate" presence="optional" description="Conditionally required if SettlType=BKN. Specifies the broken date for settlement."/> <!-- Custom use of this tag. -->
<group name="HasLegNDFFields" id="20010" dimensionType="conditionalGroupSizeEncoding" description="Conditionally required if SecurityType=NDF/NDS.">
<field name="LegMaturityDate" id="611" type="LocalMktDate" description="Fixing Date for this Leg of NDF/NDS/NDB."/>
<field name="LegSettlCurrency" id="675" type="Currency" description="Specifies the fixing currency of this Leg of NDF/NDS/NDB."/> <!-- Custom use of this tag. -->
<group name="NoFixingRefs" id="20011" dimensionType="groupSizeEncoding" description="Optionally populated. First instance is treated as the primary Fixing source, the second is treated as the secondary (used for NDF crosses).">
<data name="FixingReference" id="20014" type="VarText" description="Venue-specific NDF Fixing Reference."/>
</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, where applicable."/>
<field name="HopSendingTime" id="629" type="UTCTimestamp" description="Time (Venue clock) that the Venue message was sent."/>
<field name="HopNetworkTime" id="20006" type="UTCTimestamp" description="Time (MF clock) that the Venue message was received by the MF Hardware."/>
<field name="HopArrivalTime" id="20007" type="UTCTimestamp" description="Time (MF clock) that the Venue message was received by the MF Application."/>
</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="20013" type="MDFlags" description="Additional state information relating to this Market Data message."/>
<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="MDSubBookType" id="1173" type="MDSubBookType" presence="optional" description="Identifies component of aggregated books. E.g. Implied Liquidity (Eurex, CME etc), Region (EBS)."/>
<field name="MDEntryType" id="269" type="MDEntryType" presence="optional" description="Defines the nature of this market data entry."/>
<field name="MDEntryID" id="278" type="IDString" description="Unique identifier of this market data entry, referenced throughout MDUpdateAction lifecycle."/>
<field name="MDEntryTime" id="273" type="UTCTimestamp" description="Venue TransactTime for this market data entry."/>
<field name="MDEntryPx" id="270" type="PriceNULL" description="All-in Price. MDEntryPx=MDEntrySpotRate+MDEntryForwardPoints*10^PipPosition"/>
<field name="MDEntrySize" id="271" type="DecimalQtyNULL" description="Size for quoted price. Expressed in units of CCY1."/>
<field name="NumberOfOrders" id="346" type="uInt16NULL" description="Conditionally populated if MDBookType=PriceDepth/Spread/Amount and provided by Venue. Used in aggregated books to indicate the number of individual orders for this MDEntry, if known."/>
<group name="HasExtendedPriceFields" id="20008" dimensionType="conditionalGroupSizeEncoding" description="Conditionally populated when provided by Venue.">
<field name="MDEntrySpotRate" id="1026" type="PriceNULL" description="Spot Price."/>
<field name="MDEntryForwardPoints" id="1027" type="PriceNULL" description="Forward Points, expressed in pips (not arithmetic)."/>
</group>
<group name="NoOfSecSizes" id="1177" dimensionType="groupSizeEncoding" description="Conditionally populated if MDBookType=PriceDepth. Number of Orders at this level. NoOfSecSizes=NumberOfOrders, or zero if unknown.">
<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. -->
<field name="LotSize" id="20018" type="DecimalQtyNULL" description="Minimum Order size increment."/> <!-- E.g. for Hotspot, LMAX -->
</group>
<group name="NoEntryPassthruFields" id="20090" dimensionType="groupSizeEncoding" description="To be used only to transport custom/non-normalisable Venue-specific attributes.">
<data name="EntryPassthruKey" id="20091" type="VarText" description="Venue-specific name of this element (e.g. Fix tag name)."/> <!-- E.g. EBS Ultra MarketRegion -->
<data name="EntryPassthruValue" id="20092" type="VarText" description="Arbitrary value to be assigned to this element."/>
</group>
</group>
<group name="NoBodyPassthruFields" id="20030" dimensionType="groupSizeEncoding" description="To be used only to transport custom/non-normalisable Venue-specific attributes.">
<data name="BodyPassthruKey" id="20031" type="VarText" description="Venue-specific name of this element (e.g. Fix tag name)."/> <!-- E.g. EBS Ultra MarketRegion -->
<data name="BodyPassthruValue" id="20032" type="VarText" description="Arbitrary value to be assigned to this element."/>
</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, where applicable."/>
<field name="HopSendingTime" id="629" type="UTCTimestamp" description="Time (Venue clock) that the Venue message was sent."/>
<field name="HopNetworkTime" id="20006" type="UTCTimestamp" description="Time (MF clock) that the Venue message was received by the MF Hardware."/>
<field name="HopArrivalTime" id="20007" type="UTCTimestamp" description="Time (MF clock) that the Venue message was received by the MF Application."/>
</group>
</sbe:message>
<!-- Quotation Messages -->
<sbe:message name="QuoteRequest" id="205" semanticType="R" description="Issued by Taker to make ESP/RFS/RFQ subscriptions. A QuoteResponse may be used to terminate the request.">
<!-- Session -->
<field name="TradingFlags" 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 TradingFlags.PossDupFlag=TRUE. The sendingTime of the original message."/>
<field name="TransactTime" id="60" type="UTCTimestamp" description="Time when the QuoteRequest was generated."/><!-- Custom use of this tag. -->
<!-- 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="NumOfCompetitors" id="1913" type="NumOfCompetitors" 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="20021" type="RegulatoryBodies" description="Bitmap field of 3 Boolean type Regulation elegibility flags"/>
<group name="NoBodyRegulatoryFields" id="20040" dimensionType="groupSizeEncoding" description="Conditionally populated if RegulatoryBodies=SEF/EMIR/MiFID(MTF)">
<field name="BodyRegulatoryKey" id="20041" type="BodyRegulatoryKey" description="Name of Regulatory field."/>
<data name="BodyRegulatoryValue" id="20042" type="VarText" 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."/>
<data name="PartyID" id="448" type="VarText" 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="Conditionally required if NegotiationMethod=RFS/RFQ. 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."/>
<group name="HasLegNDFFields" id="20010" dimensionType="conditionalGroupSizeEncoding" description="Conditionally required if LegSecurityType=NDF.">
<field name="LegMaturityDate" id="611" type="LocalMktDate" description="Fixing Date for this Leg of NDF/NDS/NDB."/>
<field name="LegSettlCurrency" id="675" type="Currency" description="Specifies the fixing currency of this Leg of NDF/NDS/NDB."/> <!-- Custom use of this tag. -->
<group name="NoFixingRefs" id="20011" dimensionType="groupSizeEncoding" description="Optionally populated. First instance is treated as the primary Fixing source, the second is treated as the secondary (used for NDF crosses).">
<data name="FixingReference" id="20014" type="VarText" description="Venue-specific NDF Fixing Reference."/>
</group>
</group>
<!-- Regulatory -->
<group name="NoLegRegulatoryFields" id="20060" dimensionType="groupSizeEncoding" description="Conditionally populated if RegulatoryBodies=SEF/EMIR/MiFID(MTF)">
<field name="LegRegulatoryKey" id="20061" type="LegRegulatoryKey" description="Name of Regulatory field."/>
<data name="LegRegulatoryValue" id="20062" type="VarText" description="Value of Regulatory field."/>
</group>
<group name="NoLegAllocs" id="670" dimensionType="groupSizeEncoding" description="Conditionally required if NegotiationMethod=RFS/RFQ - at least one Allocation must be specified per Leg.">
<field name="LegAllocAccount" id="671" type="IDString" description="Account mnemonic."/>
<field name="LegIndividualAllocID" id="672" type="IDString" description="Unique reference for this allocation."/>
<field name="LegAllocQty" id="673" 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="20080" dimensionType="groupSizeEncoding" description="Conditionally populated if RegulatoryBodies=SEF/EMIR/MiFID(MTF)">
<field name="AllocRegulatoryKey" id="20081" type="AllocRegulatoryKey" description="Name of Regulatory field."/>
<data name="AllocRegulatoryValue" id="20082" type="VarText" description="Value of Regulatory field."/>
</group>
<group name="NoAllocPassthruFields" id="20070" dimensionType="groupSizeEncoding" description="To be used only to transport custom/non-normalisable Venue-specific attributes.">
<data name="AllocPassthruKey" id="20071" type="VarText" description="Venue-specific name of this element (e.g. Fix tag name)."/>
<data name="AllocPassthruValue" id="20072" type="VarText" description="Arbitrary value to be assigned to this element."/>
</group>
</group>
<group name="NoLegPassthruFields" id="20050" dimensionType="groupSizeEncoding" description="To be used only to transport custom/non-normalisable Venue-specific attributes.">
<data name="LegPassthruKey" id="20051" type="VarText" description="Venue-specific name of this element (e.g. Fix tag name)."/>
<data name="LegPassthruValue" id="20052" type="VarText" description="Arbitrary value to be assigned to this element."/>
</group>
</group>
<group name="NoBodyPassthruFields" id="20030" dimensionType="groupSizeEncoding" description="To be used only to transport custom/non-normalisable Venue-specific attributes.">
<data name="BodyPassthruKey" id="20031" type="VarText" description="Venue-specific name of this element (e.g. Fix tag name)."/>
<data name="BodyPassthruValue" id="20032" type="VarText" description="Arbitrary value to be assigned to this element."/>
</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, where applicable."/>
<field name="HopSendingTime" id="629" type="UTCTimestamp" description="Time (Venue clock) that the Venue message was sent."/>
<field name="HopNetworkTime" id="20006" type="UTCTimestamp" description="Time (MF clock) that the Venue message was received by the MF Hardware."/>
<field name="HopArrivalTime" id="20007" type="UTCTimestamp" description="Time (MF clock) that the Venue message was received by the MF Application."/>
</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="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. When SecurityType=BLK/NDB, BidIsTradeable==OfferIsTradeable. Otherwise is specified independantly for Bid and Offer. When SecurityType=SWP/NDS refers to the Far Leg side."/>
<field name="ValidUntilTime" id="62" type="ValidUntilTime" 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="20021" type="RegulatoryBodies" description="Bitmap field of 3 Boolean type Regulation elegibility flags"/>
<group name="NoBodyRegulatoryFields" id="20040" dimensionType="groupSizeEncoding" description="Conditionally populated if RegulatoryBodies=SEF/EMIR/MiFID(MTF)">
<field name="BodyRegulatoryKey" id="20041" type="BodyRegulatoryKey" description="Name of Regulatory field."/>
<data name="BodyRegulatoryValue" id="20042" type="VarText" 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."/>
<data name="PartyID" id="448" type="VarText" 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="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)/Buy(Terms)/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)/Sell(Terms)/TwoWay. All-in Offer rate."/>
<field name="LegBidForwardPoints" id="1067" type="PriceNULL" description="Conditionally populated if LegSide≡Sell(Base)/Buy(Terms)/TwoWay. The Bid FX forward points for this Leg. Value can be negative. Expressed in pips (not arithmetic), LegBidForwardPoints=(LegBidPx – BidSpotRate)/10^PipPosition."/>
<field name="LegOfferForwardPoints" id="1068" type="PriceNULL" description="Conditionally populated if LegSide≡Buy(Base)/Sell(Terms)/TwoWay. The Offer FX forward points for this Leg. Value can be negative. Expressed in pips (not arithmetic), LegOfferForwardPoints=(LegOfferPx – OfferSpotRate)/10^PipPosition."/>
<group name="HasLegNDFFields" id="20010" dimensionType="conditionalGroupSizeEncoding" description="Conditionally required if LegSecurityType=NDF.">
<field name="LegMaturityDate" id="611" type="LocalMktDate" description="Fixing Date for this Leg of NDF/NDS/NDB."/>
<field name="LegSettlCurrency" id="675" type="Currency" description="Specifies the fixing currency of this Leg of NDF/NDS/NDB."/> <!-- Custom use of this tag. -->
<group name="NoFixingRefs" id="20011" dimensionType="groupSizeEncoding" description="Optionally populated. First instance is treated as the primary Fixing source, the second is treated as the secondary (used for NDF crosses).">
<data name="FixingReference" id="20014" type="VarText" description="Venue-specific NDF Fixing Reference."/>
</group>
</group>
<group name="NoLegPassthruFields" id="20050" dimensionType="groupSizeEncoding" description="To be used only to transport custom/non-normalisable Venue-specific attributes.">
<data name="LegPassthruKey" id="20051" type="VarText" description="Venue-specific name of this element (e.g. Fix tag name)."/>
<data name="LegPassthruValue" id="20052" type="VarText" description="Arbitrary value to be assigned to this element."/>
</group>
</group>
<group name="NoBodyPassthruFields" id="20030" dimensionType="groupSizeEncoding" description="To be used only to transport custom/non-normalisable Venue-specific attributes.">
<data name="BodyPassthruKey" id="20031" type="VarText" description="Venue-specific name of this element (e.g. Fix tag name)."/>
<data name="BodyPassthruValue" id="20032" type="VarText" description="Arbitrary value to be assigned to this element."/>
</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, where applicable."/>
<field name="HopSendingTime" id="629" type="UTCTimestamp" description="Time (Venue clock) that the Venue message was sent."/>
<field name="HopNetworkTime" id="20006" type="UTCTimestamp" description="Time (MF clock) that the Venue message was received by the MF Hardware."/>
<field name="HopArrivalTime" id="20007" type="UTCTimestamp" description="Time (MF clock) that the Venue message was received by the MF Application."/>
</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."/>
<field name="QuoteID" id="117" type="IDString" description="Unique ID of this Quote specified by the Maker."/>
<!-- Regulatory -->
<field name="RegulatoryBodies" id="20021" type="RegulatoryBodies" description="Bitmap field of 3 Boolean type Regulation elegibility flags"/>
<group name="NoBodyRegulatoryFields" id="20040" dimensionType="groupSizeEncoding" description="Conditionally populated if RegulatoryBodies=SEF/EMIR/MiFID(MTF)">
<field name="BodyRegulatoryKey" id="20041" type="BodyRegulatoryKey" description="Name of Regulatory field."/>
<data name="BodyRegulatoryValue" id="20042" type="VarText" 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."/>
<data name="PartyID" id="448" type="VarText" 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."/> <!-- Promoted from NoQuoteEntries -->
<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."/> <!-- Promoted from NoQuoteEntries -->
<field name="SecurityGroup" id="1151" type="IDString" presence="optional" description="Conditionally populated if originating QuoteRequest NegotiationMethod=ESP and VenueType=Taker. The name of the requested stream category. Bilaterally agreed between ECN and Maker."/> <!-- Promoted from NoQuoteEntries -->
<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."/> <!-- Promoted from NoQuoteEntries -->
<group name="HasNDFFields" id="20009" dimensionType="conditionalGroupSizeEncoding" description="Conditionally required if SecurityType=NDF/NDS.">
<field name="MaturityDate" id="541" type="LocalMktDate" presence="optional" description="Specifies the Fixing Date for this Leg of NDF/NDS."/> <!-- Promoted from NoQuoteEntries -->
<field name="SettlCurrency" id="120" type="Currency" description="Specifies the fixing currency of this Leg of NDF/NDS."/> <!-- Custom use of this tag. -->
<group name="NoFixingRefs" id="20011" dimensionType="groupSizeEncoding" description="Optionally populated. First instance is treated as the primary Fixing source, the second is treated as the secondary (used for NDF crosses).">
<data name="FixingReference" id="20014" type="VarText" description="Venue-specific NDF Fixing Reference."/>
</group>
</group>
<group name="NoQuoteEntries" id="295" dimensionType="groupSizeEncoding" description="One QuoteEntry per ladder rung, per Leg.">
<field name="QuoteEntryID" id="299" type="IDString" description="Unique ID of this Quote Rung specified by the Maker."/>
<field name="ValidUntilTime" id="62" type="ValidUntilTime" description="Optionally populated by Maker. The time at which the Quote will expire."/>
<!-- State -->
<field name="QuoteType" id="537" type="QuoteType" description="Indicative/Tradeable price. Can be specified independantly for Bid and Offer."/>
<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."/>
<group name="HasExtendedPriceFields" id="20008" dimensionType="conditionalGroupSizeEncoding" description="When VenueType=Taker should always be 1. When VenueType=Maker will be 1 when full price details are provided by Venue, 0 otherwise.">
<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 pips (not arithmetic), LegBidForwardPoints=(LegBidPx – BidSpotRate)/10^PipPosition."/>
<field name="OfferForwardPoints" id="191" type="PriceNULL" description="The Offer FX forward points for this Rung. Value can be negative. Expressed in pips (not arithmetic), LegOfferForwardPoints=(LegOfferPx – OfferSpotRate)/10^PipPosition."/>
</group>
<group name="NoEntryPassthruFields" id="20090" dimensionType="groupSizeEncoding" description="To be used only to transport custom/non-normalisable Venue-specific attributes.">
<data name="EntryPassthruKey" id="20091" type="VarText" description="Venue-specific name of this element (e.g. Fix tag name)."/> <!-- E.g. EBS Ultra MarketRegion -->
<data name="EntryPassthruValue" id="20092" type="VarText" description="Arbitrary value to be assigned to this element."/>
</group>
</group>
</group>
<group name="NoBodyPassthruFields" id="20030" dimensionType="groupSizeEncoding" description="To be used only to transport custom/non-normalisable Venue-specific attributes.">
<data name="BodyPassthruKey" id="20031" type="VarText" description="Venue-specific name of this element (e.g. Fix tag name)."/>
<data name="BodyPassthruValue" id="20032" type="VarText" description="Arbitrary value to be assigned to this element."/>
</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, where applicable."/>
<field name="HopSendingTime" id="629" type="UTCTimestamp" description="Time (Venue clock) that the Venue message was sent."/>
<field name="HopNetworkTime" id="20006" type="UTCTimestamp" description="Time (MF clock) that the Venue message was received by the MF Hardware."/>
<field name="HopArrivalTime" id="20007" type="UTCTimestamp" description="Time (MF clock) that the Venue message was received by the MF Application."/>
</group>
</sbe:message>
<sbe:message name="QuoteCancel" id="210" semanticType="Z" description="Used by Maker to withdraw the previously published Quote or MassQuote.">
<!-- Session -->
<field name="TransactTime" id="60" type="UTCTimestamp" description="Time when the withdrawal event 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 Quote or MassQuote to be withdrawn, specified by the Maker."/>
</sbe:message>
<sbe:message name="QuoteResponse" id="209" semanticType="AJ" description="Issued by Maker to reject a new QuoteRequest, or by Taker, Maker or ECN to terminate an active QuoteRequest.">
<!-- Session -->
<field name="TradingFlags" 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 TradingFlags.PossDupFlag=TRUE. The sendingTime of the original message."/>
<field name="TransactTime" id="60" type="UTCTimestamp" description="Time when the QuoteResponse was generated."/>
<!-- 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."/>
<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, where applicable."/>
<field name="HopSendingTime" id="629" type="UTCTimestamp" description="Time (Venue clock) that the Venue message was sent."/>
<field name="HopNetworkTime" id="20006" type="UTCTimestamp" description="Time (MF clock) that the Venue message was received by the MF Hardware."/>
<field name="HopArrivalTime" id="20007" type="UTCTimestamp" description="Time (MF clock) that the Venue message was received by the MF Application."/>
</group>
<data name="Text" id="58" type="VarText" description="Text string - Extra information about the termination."/>
</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="TradingFlags" 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 TradingFlags.PossDupFlag=TRUE. The sendingTime of the original message."/>
<field name="TransactTime" id="60" type="UTCTimestamp" description="Time when the Order was generated."/>
<!-- 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 tag as an int. -->
<field name="QuoteID" id="117" type="IDString" presence="optional" description="Conditionally populated if OrdType=PreviouslyQuoted. Contains QuoteEntryID (of MassQuote) or QuoteID (of Quote). 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, NDB) 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 originating QuoteRequest 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/VWAPSweep 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="20021" type="RegulatoryBodies" description="Bitmap field of 3 Boolean type Regulation elegibility flags"/>
<group name="NoBodyRegulatoryFields" id="20040" dimensionType="groupSizeEncoding" description="Conditionally populated if RegulatoryBodies=SEF/EMIR/MiFID(MTF)">
<field name="BodyRegulatoryKey" id="20041" type="BodyRegulatoryKey" description="Name of Regulatory field."/>
<data name="BodyRegulatoryValue" id="20042" type="VarText" 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."/>
<data name="PartyID" id="448" type="VarText" 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="Conditionally populated if OrdType!=Market. All-in Order limit price. LegPrice-Price=LegFwdPts (not currently populated)."/>
<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."/>
<group name="HasLegNDFFields" id="20010" dimensionType="conditionalGroupSizeEncoding" description="Conditionally required if LegSecurityType=NDF.">
<field name="LegMaturityDate" id="611" type="LocalMktDate" description="Fixing Date for this Leg of NDF/NDS/NDB."/>
<field name="LegSettlCurrency" id="675" type="Currency" description="Specifies the fixing currency of this Leg of NDF/NDS/NDB."/> <!-- Custom use of this tag. -->
<group name="NoFixingRefs" id="20011" dimensionType="groupSizeEncoding" description="Optionally populated. First instance is treated as the primary Fixing source, the second is treated as the secondary (used for NDF crosses).">
<data name="FixingReference" id="20014" type="VarText" description="Venue-specific NDF Fixing Reference."/>
</group>
</group>
<!-- Regulatory -->
<group name="NoLegRegulatoryFields" id="20060" dimensionType="groupSizeEncoding" description="Conditionally populated if RegulatoryBodies=SEF/EMIR/MiFID(MTF)">
<field name="LegRegulatoryKey" id="20061" type="LegRegulatoryKey" description="Name of Regulatory field."/>
<data name="LegRegulatoryValue" id="20062" type="VarText" 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="IDString" description="Account mnemonic."/>
<field name="LegIndividualAllocID" id="672" type="IDString" description="Unique reference for this allocation."/>
<field name="LegAllocQty" id="673" 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="20080" dimensionType="groupSizeEncoding" description="Conditionally populated if RegulatoryBodies=SEF/EMIR/MiFID(MTF)">
<field name="AllocRegulatoryKey" id="20081" type="AllocRegulatoryKey" description="Name of Regulatory field."/>
<data name="AllocRegulatoryValue" id="20082" type="VarText" description="Value of Regulatory field."/>
</group>
<group name="NoAllocPassthruFields" id="20070" dimensionType="groupSizeEncoding" description="To be used only to transport custom/non-normalisable Venue-specific attributes.">
<data name="AllocPassthruKey" id="20071" type="VarText" description="Venue-specific name of this element (e.g. Fix tag name)."/>
<data name="AllocPassthruValue" id="20072" type="VarText" description="Arbitrary value to be assigned to this element."/>
</group>
</group>
<group name="NoLegPassthruFields" id="20050" dimensionType="groupSizeEncoding" description="To be used only to transport custom/non-normalisable Venue-specific attributes.">
<data name="LegPassthruKey" id="20051" type="VarText" description="Venue-specific name of this element (e.g. Fix tag name)."/>
<data name="LegPassthruValue" id="20052" type="VarText" description="Arbitrary value to be assigned to this element."/>
</group>
</group>
<group name="NoBodyPassthruFields" id="20030" dimensionType="groupSizeEncoding" description="To be used only to transport custom/non-normalisable Venue-specific attributes.">
<data name="BodyPassthruKey" id="20031" type="VarText" description="Venue-specific name of this element (e.g. Fix tag name)."/>
<data name="BodyPassthruValue" id="20032" type="VarText" description="Arbitrary value to be assigned to this element."/>
</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, where applicable."/>
<field name="HopSendingTime" id="629" type="UTCTimestamp" description="Time (Venue clock) that the Venue message was sent."/>
<field name="HopNetworkTime" id="20006" type="UTCTimestamp" description="Time (MF clock) that the Venue message was received by the MF Hardware."/>
<field name="HopArrivalTime" id="20007" type="UTCTimestamp" description="Time (MF clock) that the Venue message was received by the MF Application."/>
</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="TradingFlags" 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 TradingFlags.PossDupFlag=TRUE. The sendingTime of the original message."/>
<field name="TransactTime" id="60" type="UTCTimestamp" description="Time when the OrderCancelReplaceRequest was generated."/>
<!-- 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="TradingFlags" 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 TradingFlags.PossDupFlag=TRUE. The sendingTime of the original message."/>
<field name="TransactTime" id="60" type="UTCTimestamp" description="Time when the OrderCancelRequest was generated."/>
<!-- 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="TradingFlags" 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 TradingFlags.PossDupFlag=TRUE. The sendingTime of the original message."/>
<field name="TransactTime" id="60" type="UTCTimestamp" description="Time when the OrderCancelReject was generated."/>
<!-- 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, where applicable."/>
<field name="HopSendingTime" id="629" type="UTCTimestamp" description="Time (Venue clock) that the Venue message was sent."/>
<field name="HopNetworkTime" id="20006" type="UTCTimestamp" description="Time (MF clock) that the Venue message was received by the MF Hardware."/>
<field name="HopArrivalTime" id="20007" type="UTCTimestamp" description="Time (MF clock) that the Venue message was received by the MF Application."/>
</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="TradingFlags" 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 TradingFlags.PossDupFlag=TRUE. The sendingTime of the original message."/>
<field name="TransactTime" id="60" type="UTCTimestamp" description="Time when the OrderTimeout was generated."/>
<!-- 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."/>
<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, where applicable."/>
<field name="HopSendingTime" id="629" type="UTCTimestamp" description="Time (Venue clock) that the Venue message was sent."/>
<field name="HopNetworkTime" id="20006" type="UTCTimestamp" description="Time (MF clock) that the Venue message was received by the MF Hardware."/>
<field name="HopArrivalTime" id="20007" type="UTCTimestamp" description="Time (MF clock) that the Venue message was received by the MF Application."/>
</group>
<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="TradingFlags" 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 TradingFlags.PossDupFlag=TRUE. The sendingTime of the original message."/>
<field name="TransactTime" id="60" type="UTCTimestamp" description="Time when the ExecutionReport was generated."/>
<!-- Identification -->
<field name="OrderRequestID" id="2422" type="IDString" presence="optional" description="Must contain the value provided in the originating NewOrderMultileg. 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="Conditionally populated when VenueType=CLOB. 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 ExecType=Trade. Used to link back to a preceding ExecutionReport with ExecType=PendingMatch (if sent)."/>
<!-- 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"/>
<!-- 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="SecurityGroup" id="1151" type="IDString" presence="optional" description="Conditionally populated if originating QuoteRequest NegotiationMethod=ESP and VenueType=Taker. The name of the requested stream category. Bilaterally agreed between ECN and Maker."/>
<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 ExecType=Calculated/Trade and SecurityType!=FUT. Spot Price on this (last) fill. LastSpotRate=LegLastPx-(LegLastForwardPoints*10^PipPosition)."/>
<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="20021" type="RegulatoryBodies" description="Bitmap field of 3 Boolean type Regulation elegibility flags"/>
<group name="NoBodyRegulatoryFields" id="20040" dimensionType="groupSizeEncoding" description="Conditionally populated if RegulatoryBodies=SEF/EMIR/MiFID(MTF)">
<field name="BodyRegulatoryKey" id="20041" type="BodyRegulatoryKey" description="Name of Regulatory field."/>
<data name="BodyRegulatoryValue" id="20042" type="VarText" 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."/>
<data name="PartyID" id="448" type="VarText" 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 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="LegLastPx" id="637" type="PriceNULL" description="Conditionally required if ExecType=Calculated/Trade and SecurityType!=FUT. All-in Price of Leg for this last fill. LegLastPx=LastSpotRate+(LegLastForwardPoints*10^PipPosition)."/>
<field name="LegLastForwardPoints" id="1073" type="PriceNULL" description="Conditionally required if ExecType=Calculated/Trade and SecurityType!=FUT. FX forward points (pips, not arithmetic) of Leg. May be a negative value. Zero if LegSettlType=SPT. LegLastForwardPoints=(LegLastPx-LastSpotRate)/10^PipPosition."/>
<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, half-up)."/>
<field name="LegCumQty" id="20016" type="DecimalQtyNULL" description="Total quantity filled on this Leg of the Order."/>
<field name="LegLeavesQty" id="20017" 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."/>
<group name="HasLegNDFFields" id="20010" dimensionType="conditionalGroupSizeEncoding" description="Conditionally required if LegSecurityType=NDF.">
<field name="LegMaturityDate" id="611" type="LocalMktDate" description="Fixing Date for this Leg of NDF/NDS/NDB."/>
<field name="LegSettlCurrency" id="675" type="Currency" description="Specifies the fixing currency of this Leg of NDF/NDS/NDB."/> <!-- Custom use of this tag. -->
<group name="NoFixingRefs" id="20011" dimensionType="groupSizeEncoding" description="Optionally populated. First instance is treated as the primary Fixing source, the second is treated as the secondary (used for NDF crosses).">
<data name="FixingReference" id="20014" type="VarText" description="Venue-specific NDF Fixing Reference."/>
</group>
</group>
<!-- Regulatory -->
<group name="NoLegRegulatoryFields" id="20060" dimensionType="groupSizeEncoding" description="Conditionally populated if RegulatoryBodies=SEF/EMIR/MiFID(MTF)">
<field name="LegRegulatoryKey" id="20061" type="LegRegulatoryKey" description="Name of Regulatory field."/>
<data name="LegRegulatoryValue" id="20062" type="VarText" 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="IDString" description="Account mnemonic."/>
<field name="LegIndividualAllocID" id="672" type="IDString" description="Unique reference for this allocation."/>
<field name="LegAllocQty" id="673" 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="20015" 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, half-up)."/>
<!-- Regulatory -->
<group name="NoAllocRegulatoryFields" id="20080" dimensionType="groupSizeEncoding" description="Conditionally populated if RegulatoryBodies=SEF/EMIR/MiFID(MTF)">
<field name="AllocRegulatoryKey" id="20081" type="AllocRegulatoryKey" description="Name of Regulatory field."/>
<data name="AllocRegulatoryValue" id="20082" type="VarText" description="Value of Regulatory field."/>
</group>
<group name="NoAllocPassthruFields" id="20070" dimensionType="groupSizeEncoding" description="To be used only to transport custom/non-normalisable Venue-specific attributes.">
<data name="AllocPassthruKey" id="20071" type="VarText" description="Venue-specific name of this element (e.g. Fix tag name)."/>
<data name="AllocPassthruValue" id="20072" type="VarText" description="Arbitrary value to be assigned to this element."/>
</group>
</group>
<group name="NoLegPassthruFields" id="20050" dimensionType="groupSizeEncoding" description="To be used only to transport custom/non-normalisable Venue-specific attributes.">
<data name="LegPassthruKey" id="20051" type="VarText" description="Venue-specific name of this element (e.g. Fix tag name)."/>
<data name="LegPassthruValue" id="20052" type="VarText" description="Arbitrary value to be assigned to this element."/>
</group>
</group>
<group name="NoBodyPassthruFields" id="20030" dimensionType="groupSizeEncoding" description="To be used only to transport custom/non-normalisable Venue-specific attributes.">
<data name="BodyPassthruKey" id="20031" type="VarText" description="Venue-specific name of this element (e.g. Fix tag name)."/>
<data name="BodyPassthruValue" id="20032" type="VarText" description="Arbitrary value to be assigned to this element."/>
</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, where applicable."/>
<field name="HopSendingTime" id="629" type="UTCTimestamp" description="Time (Venue clock) that the Venue message was sent."/>
<field name="HopNetworkTime" id="20006" type="UTCTimestamp" description="Time (MF clock) that the Venue message was received by the MF Hardware."/>
<field name="HopArrivalTime" id="20007" type="UTCTimestamp" description="Time (MF clock) that the Venue message was received by the MF Application."/>
</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="TradingFlags" 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 TradingFlags.PossDupFlag=TRUE. The sendingTime of the original message."/>
<field name="TransactTime" id="60" type="UTCTimestamp" description="Time when the ExecutionReport was generated."/>
<!-- Identification -->
<field name="OrderRequestID" id="2422" type="IDString" presence="optional" description="Must contain the value provided in the originating NewOrderMultileg. 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="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."/>
<!-- Regulatory -->
<field name="RegulatoryBodies" id="20021" type="RegulatoryBodies" description="Bitmap field of 3 Boolean type Regulation elegibility flags"/>
<group name="NoBodyRegulatoryFields" id="20040" dimensionType="groupSizeEncoding" description="Conditionally populated if RegulatoryBodies=SEF/EMIR/MiFID(MTF)">
<field name="BodyRegulatoryKey" id="20041" type="BodyRegulatoryKey" description="Name of Regulatory field."/>
<data name="BodyRegulatoryValue" id="20042" type="VarText" description="Value of Regulatory field."/>
</group>
<!-- Counterparties -->
<group name="NoPartyIDs" id="453" dimensionType="groupSizeEncoding" description="Order Origination/Execution counterparty details."> <!-- Custom use of this repeating group. -->
<field name="PartyRole" id="452" type="PartyRole" description="Name of Party field."/>
<data name="PartyID" id="448" type="VarText" 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="LegLastPx" id="637" type="PriceNULL" description="Conditionally required if specified on the ExecutionReport. All-in Price of Leg for this last fill. LegLastPx=LastSpotRate+(LegLastForwardPoints*10^PipPosition)."/>
<field name="LegLastForwardPoints" id="1073" type="PriceNULL" description="Conditionally required if specified on the ExecutionReport. FX forward points (pips, not arithmetic) of Leg. May be a negative value. Zero if LegSettlType=SPT. LegLastForwardPoints=(LegLastPx-LastSpotRate)/10^PipPosition."/>
<field name="LegOrderQty" id="685" type="DecimalQtyNULL" description="Required. Order quantity."/>
<field name="LegLastQty" id="1418" type="DecimalQtyNULL" description="Conditionally required if specified on the ExecutionReport. Specifies the dealt amount for this Leg."/>
<field name="LegCumQty" id="20016" type="DecimalQtyNULL" description="Total quantity filled on this Leg of the Order."/>
<field name="LegLeavesQty" id="20017" 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."/>
<group name="HasLegNDFFields" id="20010" dimensionType="conditionalGroupSizeEncoding" description="Conditionally required if LegSecurityType=NDF.">
<field name="LegMaturityDate" id="611" type="LocalMktDate" description="Fixing Date for this Leg of NDF/NDS/NDB."/>
<field name="LegSettlCurrency" id="675" type="Currency" description="Specifies the fixing currency of this Leg of NDF/NDS/NDB."/> <!-- Custom use of this tag. -->
<group name="NoFixingRefs" id="20011" dimensionType="groupSizeEncoding" description="Optionally populated. First instance is treated as the primary Fixing source, the second is treated as the secondary (used for NDF crosses).">
<data name="FixingReference" id="20014" type="VarText" description="Venue-specific NDF Fixing Reference."/>
</group>
</group>
<!-- Regulatory -->
<group name="NoLegRegulatoryFields" id="20060" dimensionType="groupSizeEncoding" description="Conditionally populated if RegulatoryBodies=SEF/EMIR/MiFID(MTF)">
<field name="LegRegulatoryKey" id="20061" type="LegRegulatoryKey" description="Name of Regulatory field."/>
<data name="LegRegulatoryValue" id="20062" type="VarText" description="Value of Regulatory field."/>
</group>
<group name="NoLegPassthruFields" id="20050" dimensionType="groupSizeEncoding" description="To be used only to transport custom/non-normalisable Venue-specific attributes.">
<data name="LegPassthruKey" id="20051" type="VarText" description="Venue-specific name of this element (e.g. Fix tag name)."/>
<data name="LegPassthruValue" id="20052" type="VarText" description="Arbitrary value to be assigned to this element."/>
</group>
</group>
<group name="NoBodyPassthruFields" id="20030" dimensionType="groupSizeEncoding" description="To be used only to transport custom/non-normalisable Venue-specific attributes.">
<data name="BodyPassthruKey" id="20031" type="VarText" description="Venue-specific name of this element (e.g. Fix tag name)."/>
<data name="BodyPassthruValue" id="20032" type="VarText" description="Arbitrary value to be assigned to this element."/>
</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, where applicable."/>
<field name="HopSendingTime" id="629" type="UTCTimestamp" description="Time (Venue clock) that the Venue message was sent."/>
<field name="HopNetworkTime" id="20006" type="UTCTimestamp" description="Time (MF clock) that the Venue message was received by the MF Hardware."/>
<field name="HopArrivalTime" id="20007" type="UTCTimestamp" description="Time (MF clock) that the Venue message was received by the MF Application."/>
</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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