This API is a clean-start development, allowing MarketFactory and it's Customers to move to a new integration model, as outlined below.
TODO
- Venue "AlwaysOn" Flag
- API - Sticky subscriptions
Technology Changes
Organisational
- The close coupling between Client API and server backend is FINALLY broken.
- Message and field naming conventions - migrated to usage of FIX terminology.
Config Service
- Non-essential. FH cache locally and can then start/run even if service is down.
- Will allow run-time modification of config, pushed to FH.
Session Handling
- Sequence Numbering - Consistent handling per venue.
- Sequenced messages to be persisted only until delivery. Single resend only.
- Message gaps resolved on Logon.
- Uniform support of TestRequest/Heartbeat message exchange.
Venue Capabilities
- Accurately reported via MarketDefinition messages on Logon.
- Venue User Events now handled independently of global or per-instrument trading status changes.
- Session transparency - all Venue connectivity initiated by the client via UserRequest.
Market Data
- Batching : MF abstraction layer implementing a batched model of market data dissemination has been deprecated in favour of utilising a flag in the MarketDataIncrementalRefresh message indicating whether the update represents the last in the time-slice, or not.
- No longer used for dissemination of Bank Quotes (as is the case in Classic) - so mkt data components are now deprecated.
Instrument Identification
- The MF Market ID is now deprecated.
- Provision of Symbol, Product Type and Tenor/Value Date are now passed explicitly and individually throughout the trading lifecycle.
- SecurityDefinition message now delivers details of the Fwd Pts precision for given FX currency pair/venue. No longer does it return separate precision details for each product type/tenor.
- SecurityDefinition message now contains clear human friendly representation of Symbol, to assist usage of non-ISO ccy pairs (eg crypto) and Futures codes.
Order State
Full Order details now echoed back in ExecutionReports, as opposed to the minimum set of fill details, including:
- OrdType
- TimeInForce
Order Fill status now maintained on a per-leg basis: LegOrderQty*, LegLastQty, LegCumQty*, LegLeavesQty. * - Newly added.
Rejections
All rejection text details provided by venues will now be mapped through to the Text field of the corresponding SBE message. No more "NOTAPPLICABLE". Also to be fixed in 3.14.
Acknowledgements
TODO
In new API we can Ack any type of ExecRept - not just fills (cf TradeCaptureAckMessage). To consider: Venues all handle this differently, no Acks, vs Acks of fills only, vs Acks of both Fills & Rekjections, vs Nacks of these also. Need to decide what to do here from a normalisation perspective. Do we guarantee a single, standard message flow, and 'fill-in' for venues where such messages are not supported, or leave things loose - in which case Customers will need to know the venue capabilities....
Business Changes
Organisational
- Maker/Taker-agnostic: The Venue always dictates the supported message flow, the API does not make any assumptions about counterparty roles, eliminating the need for separate Maker and Taker Whisperer APIs/builds/installations.
Market Data
- Explicit identification of "Pre-Open" status (to assist allowing for backwardated prices)
- LotSize
Product Types
All FX product types supported:
- FX Spot
- FX Forward
- FX Non-Deliverable Forward - Fixing date and reference now supported.
- FX Swap
- FX Non-Deliverable Swap
- FX Block
- Future (Note this is still supported via deprecated MF Market ID mechanisms, to be addressed in later release)
Full Regulatory field pass-through - all explicitly supported at Body, Leg and Allocation levels, for all message types through the trade lifecycle. Market Mid Price, LEIs, flags, regulatory trade IDs etc for:
- SEF
- EMIR
- MiFID II
Counterparties
- Counterparty Firm/LEI/Trader details now provided via Parties block.
Quotation Trading Models
Full support for ESP and RFQ/RFS models:
- Pre-trade allocations.
- Order messages linked with QuoteReqID to assist supportability.
- Indicative/Tradeable QuoteType (aka Quote condition) now supported, to allow Maker ESP/RFS quote withdrawal.
Orders
Additional Time In Force support:
- GTD (Good 'til Date) - timestamp of desired order expiry (within current trading day).
- GFT (Good For Time) - number of seconds before order expiry
Additional Order types:
- Iceberg
- Pegged
- Discretion
- Trailing Stop (to double check).
Cancel/replace now allows for provision of MinQty and StopPx.
REMOVED
SLM API - Whilst the SLM remains a Whisperer component, SLM API support is now deprecated in favour of our clients using Reflector, or at least using the same notification interface as used by Reflector (WHSPRR-1676):
- TradeLimitDataMessage
- LockUserMessage
- LockResponseMessage
Historic Tick Streamer
<?xml version="1.0" encoding="UTF-8" standalone="yes"?>
<!--
*
* Copyright (C) 2018 MarketFactory, Inc. All rights reserved.
* Use in source and binary forms, with or without modification, is permitted provided that the following conditions are met:
* 1. You may only use this software for internal evaluation and testing purposes and may not use the software for engaging
* in live trades, unless and until you have entered into a separate agreement with MarketFactory governing the use of
* MarketFactory software in a production environment.
* 2. You may not distribute the software (in either source or binary forms) to third parties.
* 3. All copies of source code must retain the above copyright notice, this list of conditions and the following disclaimer.
* THIS SOFTWARE IS PROVIDED BY MARKETFACTORY AND ITS LICENSORS "AS IS" AND ANY EXPRESS OR IMPLIED WARRANTIES, INCLUDING,
* BUT NOT LIMITED TO, THE IMPLIED WARRANTIES OF MERCHANTABILITY AND FITNESS FOR A PARTICULAR PURPOSE ARE DISCLAIMED. IN
* NO EVENT SHALL MARKETFACTORY OR ITS LICENSORS BE LIABLE FOR ANY DIRECT, INDIRECT, INCIDENTAL, SPECIAL, EXEMPLARY, OR
* CONSEQUENTIAL DAMAGES (INCLUDING, BUT NOT LIMITED TO, PROCUREMENT OF SUBSTITUTE GOODS OR SERVICES; LOSS OF USE, DATA,
* OR PROFITS; OR BUSINESS INTERRUPTION) HOWEVER CAUSED AND ON ANY THEORY OF LIABILITY, WHETHER IN CONTRACT, STRICT
* LIABILITY, OR TORT (INCLUDING NEGLIGENCE OR OTHERWISE) ARISING IN ANY WAY OUT OF THE USE OF THIS SOFTWARE, EVEN IF
* ADVISED OF THE POSSIBILITY OF SUCH DAMAGE.
*
-->
<sbe:messageSchema xmlns:sbe="http://fixprotocol.io/2016/sbe"
package="mfsbe4"
id="5"
version="20180225"
semanticVersion="MF-FIX5.0SP2"
description="Schema for marketdata and trading messages. Based on FIX50SP2. The protocol is designed to run over TCP."
byteOrder="littleEndian">
<!-- NOTE
It is the Venue that dictates the message flow, not the API Client - thus, this Schema is Maker/Taker agnostic.
Session startup behaviour is standardised across Taker, Maker and CLOB Venue types as follows:
MFAPI Client first establishes connection to Whisperer with Logon & LogonResponse, then connects to Venue with UserRequest(UserRequestType=LogOnUser) & UserNotification(UserStatus=LoggedIn)
All MFAPI Client pricing/trading requests sent before this will be rejected by Whisperer.
-->
<!-- NOTE
This Schema utilises the following custom tags:
20000 -
20001 -
20002 -
20003 -
20004 BigPriceIncrement
20006 NoModels
20013 -
20014 -
20016 -
20018 NoProducts
20019 TradingModel
20020 -
20022 -
20024 VenueName
20025 -
20045 -
20046 -
20047 -
20050 AllocRegulatoryFields
20051 AllocRegulatoryKey
20052 AllocRegulatoryValue
20053 BodyRegulatoryFields
20054 BodyRegulatoryKey
20055 BodyRegulatoryValue
20056 CurrentSeqNum
20057 MDFlags
20058 FixingReference
20059 FwdPriceIncrement
20060 LegAllocCalculatedCcyQty
20061 LegCumQty
20062 LegLeavesQty
20063 LegRegulatoryFields
20064 LegRegulatoryKey
20065 LegRegulatoryValue
20066 LotSize
20067 SessionType
20068 LastSecurity
20069 NumCompetitors
20070 -
20071 -
20072 PassthruElements
20073 PassthruFields
20074 PassthruKey
20075 PassthruValue
20076 RegulatoryBodies
20077 -
20078 -
20079 -
20080 OrderAttributes
A couple of commands to help maintain this list:
egrep '2[0-9]{4}' *.xml
egrep 'id="(2[0-9]{4}|TODO)"' mfproto-3.15.xml | awk 'BEGIN { FS="\"" } {print $4, $2 }' | sort -u
-->
<!-- NOTE
Messages are in two categories: Sequenced and Unsequenced. Sequenced messages relate to trading state changes, and may or may not be persisted/resent.
All MF Sequence Numbering is responsibility of individual FHs.
Seq Nums reset weekly.
The table below specifies what messages are to be persisted/resent vs gap fills.
NOTE: Persisted = - is Unsequenced, Y/N/? is Sequenced.
Message Tx Rx Persisted
======= == == =========
Logon Client(Both) FH -
LogonResponse FH Client(Both) -
Logout Client(Both) FH -
LogoutResponse FH Client(Both) -
SequenceResetGapFill Client(Both) FH -
FH Client(Both) -
API Server Client(Both) -
Heartbeat Client(Both) FH -
FH Client(Both) -
TestRequest Client(Both) FH -
FH Client(Both) -
SecurityDefinitionRequest Client(Both) FH -
SecurityDefinition FH Client(Both) -
SecurityStatus FH Client(TAKER) -
MarketDefinitionRequest Client(Both) FH -
MarketDefinition FH Client(Both) -
UserRequest Client(Both) FH -
UserNotification FH Client(Both) -
Email FH Client(Both) Y
MarketDataRequest Client(Both) FH -
MarketDataRequestReject FH Client(Both) -
MarketDataIncrementalRefresh FH Client(Both) -
QuoteRequest Client(TAKER) FH ?
FH Client(MAKER) Y
QuoteRequestReject Client(MAKER) FH ?
FH Client(TAKER) Y
Quote Client(MAKER) FH -
FH Client(TAKER) -
MassQuote Client(MAKER) FH -
FH Client(TAKER) -
QuoteResponse Client(MAKER) FH ?
FH Client(TAKER) Y
Client(TAKER) FH ?
FH Client(MAKER) Y
NewOrderMultileg Client(Both) FH ?
FH Client(MAKER) Y
OrderCancelReplaceRequest Client(Both) FH ?
OrderCancelRequest Client(Both) FH ?
OrderCancelReject FH Client(Both) Y
OrderTimeout FH Client(Both) Y
ExecutionReport Client(MAKER) FH Y <<<<<<< Requirement on Client to be tested in onboarding.
FH Client(TAKER) Y
ExecutionAck Client(TAKER) FH ?
FH Client(MAKER) Y
-->
<!-- NOTE
The table below defines the mapping from the 3.13/3.14 Classic MFAPI to the 4.0 SBE MFAPI
Lcn ClassicName Comment SBEName
=== =========== ======= =======
API AcceptOrderMessage 3.14/Maker See OrderDoneMessage ExecutionReport(OrdStatus=PartiallyFilled/Filled)
API BatchesCompletedMessage - DEPRECATED (Now flagged in MarketDataIncrementalRefresh)
API BatchRegisterMessage - DEPRECATED
API BatchUnregisterMessage - DEPRECATED
API CancelAllOrderMessage - DEPRECATED (Disconnect should do this)
API CancelOrderMessage - OrderCancelRequest
API CancelQuoteMessage 3.14/Maker QuoteResponse (for termination), Quote/MassQuote (for withdrawal)
API ClientConnectMessage - Logon
API ClientDisconnectMessage - Logout
API ComplexOrderMessage - DEPRECATED (Agg feed order message, but not used)
API ConfigMessage - SecurityDefinitionRequest, SecurityDefinition, MarketDefinitionRequest, MarketDefinition
API ConnectResponseMessage - LogonResponse, LogoutResponse
API DateRolloverMessage - SecurityStatus
API DropCopyMessage - ExecutionReport(OrdStatus=Calculated) For Partial & Full Fills ONLY.
API EventReportMessage - UserNotification, SecurityStatus
API HeartbeatMessage - Heartbeat
API ImHereMessage - Heartbeat (in response to TestRequest)
API InsertLogMessage - DEPRECATED
API LastSequenceIDMessage - DEPRECATED (Now use standard FIX sequence number logic)
API LockResponseMessage AdminUsers DEPRECATED (Reflector)
API LockUserMessage AdminUsers DEPRECATED (Reflector)
API MassQuoteAckMessage 3.14/Maker DEPRECATED (Will force disconnect)
API MassQuoteMessage 3.14/Maker MassQuote
API MktDataMessage - MarketDataIncrementalRefresh
API ModifyOrderMessage - OrderCancelReplaceRequest
API NewOrderMessage 3.14/Maker See SubmitOrderMessage NewOrderMultileg
API OrderCanceledMessage - ExecutionReport(OrdStatus=Canceled)
API OrderCancelRejectedMessage - OrderCancelReject
API OrderDoneMessage See TradeCaptureMessage ExecutionReport(OrdStatus=Filled)
API OrderReceivedMessage See AcceptOrderMessage ExecutionReport(OrdStatus=MFPendingNew)
API OrderRejectedMessage See RejectOrderMessage ExecutionReport(OrdStatus=Rejected)
API OrderSubmittedMessage - ExecutionReport(OrdStatus=New) NOTE: Sent after order has been sent to venue. PendingNew, really. TODO Revisit this.
API OrderTimeoutMessage 3.14/Maker OrderTimeout
API QuoteRequestMessage 3.14/Maker QuoteRequest
API RejectOrderMessage 3.14/Maker See OrderRejectedMessage ExecutionReport(OrdStatus=Rejected)
API RejectQuoteRequestMessage 3.14/Maker QuoteRequestReject
API ReplayDoneMessage - DEPRECATED (Now use standard FIX sequence number logic, along with PossDupFlag in resent ExecutionReports.)
API ReplayMessage - DEPRECATED (Both sides now expect gaps to be filled automatically).
API RequestSnapshotMessage - DEPRECATED (Incremental starts with effective snapshot)
API RiskResponseMessage - DEPRECATED (Reflector)
API RuThereMessage - TestRequest
API SubmitOrderMessage See NewOrderMessage NewOrderMultileg
API SubscribeMessage - UserRequest(UserRequestType=LogOnUser), MarketDataRequest(SubscriptionRequestType=SnapshotAndUpdates)
API SubscriptionEventMessage - MarketDataRequestReject
API TaskInitializationMessage - DEPRECATED
API TestMessage - DEPRECATED
API TradeCaptureAckMessage 3.14/Maker ExecutionAck (ExecAckStatus=Accepted/Rejected)
API TradeCaptureMessage See OrderDoneMessage ExecutionReport(OrdStatus=PartiallyFilled/Filled)
API TradeLimitDataMessage AdminUsers DEPRECATED (Reflector)
API UnsubscribeAllMessage - DEPRECATED (Disconnect should do this)
API UnsubscribeMessage - MarketDataRequest(SubscriptionRequestType=DisablePreviousSnapshot), UserRequest(UserRequestType=LogOffUser)
API VersionMessage - DEPRECATED(in favour of messageHeader)
- - - SequenceResetGapFill
- - - Email
INT CallbackMessage - -
INT HeartbeatTimerMessage - -
INT InternalClientInfoMessage - -
INT MDActivityCheckMessage - -
INT MemBusConnectMessage - -
INT MemBusDisconnectMessage - -
INT MemBusHeartbeatMessage - -
INT RequestMessage - -
INT SecurityInfoMessage - -
INT StatTimeoutMessage - -
INT SubscriptionTimeoutMessage - -
INT SubscriptionTimerMessage - -
INT TimerMessage - -
LOG ExchangeMessage - -
LOG LogMessage - -
LOG PadMessage - -
LOG StatCounterMessage - -
LOG ProtocolDefinitionMessage - -
-->
<!-- TODO presence optionality should be defined for the field, or the type?
Any value in defining groups for common fields sharing the same condition (e.g. NDF-specific fields not in group, but Regulatory fields are)?
Clear, consistent policy required. -->
<!--TODO - revisit QuoteReq and Quote IDs - do these need to be 64 byte strings? Can we convert to uint32 as per mkt data? Certainly the quote ID an be an incrementing integer... -->
<types>
<!-- SBE defined types -->
<composite name="messageHeader" description="The SBE header that is part of each message.">
<type name="messageLength" primitiveType="uint16" description="Length of the whole message. May span multiple packets."/>
<type name="blockLength" primitiveType="uint16" description="The length of the message root block before repeating groups or variable data commences."/>
<type name="templateId" primitiveType="uint16" description="The identifier for the template type of the message that is to follow."/>
<type name="schemaId" primitiveType="uint16" description="The identifier for the schema that defines the message."/>
<type name="version" primitiveType="uint16" description="The version of the schema allowing for extension."/>
<type name="sendingTime" primitiveType="uint64" description="UTCTimestamp when the message was sent."/> <!-- http://fiximate.fixtrading.org/latestEP/en/FIX.5.0SP2_EP240/tag52.html -->
</composite>
<composite name="varDataEncoding" description="Definition for a variable length string."> <!-- NOTE: This schema does not use variable length data elements, included only for completeness. -->
<type name="length" primitiveType="uint8" maxValue="1300" description="Length of string."/>
<type name="varData" primitiveType="uint8" length="0" characterEncoding="UTF-8" description="Array of UTF-8 characters."/>
</composite>
<composite name="groupSizeEncoding" semanticType="NumInGroup" description="Repeating group dimensions.">
<type name="blockLength" primitiveType="uint8" description="Length of element."/>
<type name="numInGroup" primitiveType="uint8" description="Number of items in repeating group."/>
</composite>
<!-- Primitive types -->
<type name="Int32NULL" presence="optional" nullValue="-2147483648" primitiveType="int32" semanticType="int" description="Nullable, signed 32-bit integer."/>
<type name="Int8NULL" presence="optional" nullValue="-128" primitiveType="int8" description="Nullable, signed 8-bit integer."/>
<type name="uInt32NULL" presence="optional" nullValue="4294967295" primitiveType="uint32" description="Nullable, unsigned 32-bit integer."/>
<type name="uInt8NULL" presence="optional" nullValue="255" primitiveType="uint8" description="Nullable, unsigned 8-bit integer."/>
<type name="LocalMktDate" presence="optional" nullValue="65535" primitiveType="uint16" semanticType="LocalMktDate" description="Local calendar date in days since epoch."/> <!-- TODO what is the local timezone?! I would prefer this- infact ALL - dates and times to be UTC-->
<type name="SeqNum" primitiveType="uint32" semanticType="SeqNum" description="Sequence number for detecting missed messages."/>
<type name="OrderID" presence="optional" nullValue="18446744073709551615" primitiveType="uint64" description="Numeric ID assigned by MF for a given Order."/>
<type name="RequestID" presence="optional" nullValue="4294967295" primitiveType="uint32" semanticType="int" description="Unique (within curent session) identifier to reliably link request and response messages."/>
<type name="UTCTimestamp" primitiveType="uint64" semanticType="UTCTimestamp" description="Number of nanoseconds since epoch."/>
<!-- String types -->
<type name="Text" primitiveType="char" length="64" semanticType="String" description="Free format text string."/>
<type name="Symbol" primitiveType="char" length="32" semanticType="String" description="Identifier for a security."/>
<type name="Username" primitiveType="char" length="64" semanticType="String" description="Id given to user for logging on."/>
<type name="Password" primitiveType="char" length="32" semanticType="String" description="Password used to logon."/>
<type name="Currency" primitiveType="char" length="3" semanticType="Currency" description="Currency code supported by MarketFactory. Usually the ISO 4217 Currency code value."/>
<type name="PassthruKey" primitiveType="char" length="32" semanticType="String" description="Passthru Element name. e.g. Name of FIX tag."/>
<type name="PassthruValue" primitiveType="char" length="64" semanticType="String" description="Passthru Element value."/>
<type name="RegulatoryValue" primitiveType="char" length="64" semanticType="String" description="Body/Leg/Allocation Regulatory field value."/>
<type name="IDString" primitiveType="char" length="64" semanticType="String" description="Fixed length string type for IDs assigned by Venues. All valid ASCII from decimal 32 to decimal 126 allowed, excluding ~`_!*,-:=[]"/> <!-- Char exclusion list based on EBS ClOrdID constraint. -->
<type name="PartyString" primitiveType="char" length="64" semanticType="String" description="Fixed length string type for IDs assigned by Venues."/>
<type name="FixingReference" primitiveType="char" length="64" semanticType="String" description="Fixed length string type for IDs assigned by Venues. Refer to [REF TODO] for Venue-specific fixing reference strings."/>
<!-- Price and Qty types -->
<composite name="DecimalQtyNULL" semanticType="Qty" description="A number representing quantity.">
<type name="mantissa" presence="optional" nullValue="-9223372036854775807" primitiveType="int64" description="The significant digits of the quantity value with an optional NULL value."/>
<type name="exponent" presence="constant" primitiveType="int8" description="The scale of the decimal number as a power of 10.">-5</type>
</composite>
<composite name="PriceNULL" semanticType="Price" description="Price NULL">
<type name="mantissa" presence="optional" nullValue="18446744073709551615" primitiveType="uint64" description="The significant digits of the price value with an optional NULL value."/>
<type name="exponent" presence="constant" primitiveType="int8" description="The scale of the decimal number as a power of 10.">-9</type>
</composite>
<!-- Enumerations and sets -->
<set name="TradingFlags" encodingType="uint64" semanticType="Boolean"> <!-- Implemented as a set to avoid any problems with null values -->
<choice name="PossDupFlag" description="TRUE if message has been resent in response to an identified sequence number gap.">0</choice>
</set>
<set name="SecurityDefinitionFlags" encodingType="uint64" semanticType="Boolean"> <!-- Implemented as a set to avoid any problems with null values -->
<choice name="LastSecurity" description="TRUE if this is the last SecurityDefinition message to be published.">0</choice>
</set>
<set name="MDFlags" encodingType="uint64" semanticType="Boolean"> <!-- Implemented as a set to avoid any problems with null values -->
<choice name="LastInTimeSlice" description="FALSE if this Venue does not implement Market Data time-slicing, or if there are further Incremental messages to follow in the current time-slice. TRUE if this is the last Incremental in the current time-slice.">0</choice>
</set>
<enum name="SessionType" encodingType="uint64" semanticType="Boolean"> <!-- Implemented as a set to avoid any problems with null values -->
<validValue name="Pricing" description="MFAPI Client establishes a MarketData session with the Venue, CLOB or ESP MassQuotes.">0</validValue>
<validValue name="Orders" description="MFAPI Client establishes a Trading session with the Venue, CLOB or ESP Orders.">1</validValue>
<validValue name="RFS" description="MFAPI Client establishes a RFS quotation negotiation session with the Venue.">2</validValue>
<validValue name="DropCopy" description="MFAPI Client establishes a STP session with the Venue.">3</validValue>
</enum>
<enum name="OrdType" encodingType="char" semanticType="char">
<!-- TODO Review coverage, naming: PreviouslyQuoted/Market/Market-Limit/Limit/Limit-TakeProfit/Limit-Iceberg/Stop-Loss/Stop-Limit/Stop-Trailing/Pegged/Fixing/Mid etc -->
<validValue name="Market" description="Standard Market order. An instruction to deal immediately at the best possible price (the current rate quotation).">1</validValue>
<validValue name="Limit" description="Standard Limit order. An instruction to deal if a market moves to a MORE favourable level.">2</validValue>
<!-- TakeProfit/Limit-sell -->
<validValue name="StopLoss" description="Standard Stop Loss order. An instruction to deal if a market moves to a LESS favourable level.">3</validValue>
<!-- Stop-sell Order executed at a predetermined price in order to limit potential losses should the market move against an investor's position. The order rate must be lower than the current bid rate. -->
<validValue name="StopLimit" description="Standard Stop Limit order. Executes an exposure reducing limit order when market exceeds order's price.">4</validValue>
<!-- A Stop order with a specified worst price at which the order can be filled. A Limit is additionally specified, to ensure execution only within a specified range of bid or offer prices.-->
<validValue name="PreviouslyQuoted" description="An order to hit an individual quote. To hit multiple quotes, aka sweeping, the user must submit individual orders from best to worst price.">D</validValue>
<validValue name="MarketWithLeftOverAsLimit" description="Trading only, not used in published Market Data. Order that starts as a Market order and executes any leaves quantity as a limit order.">K</validValue>
<validValue name="TrailingStop" description="The Stop Price follows the market by a specified offset.">w</validValue>
<validValue name="VwapSweep" description="An order that can hit/lift one or multiple quotes by submitting an order with the desired amount and the Volume Weighted Average Price (VWAP) of the total amount.">y</validValue><!-- TODO - Consider VWAP support in more detail. -->
<!-- TBD treat pegged orders as a specific order type? -->
<!-- Iceberg vs MoreQuantity in Reuters MAPI -->
</enum>
<enum name="TimeInForce" encodingType="char" semanticType="char">
<validValue name="DAY" description="Day - The Order expires automatically on close of the trading day, if it is still unfilled.">0</validValue>
<validValue name="GTC" description="Good 'til Canceled - The Order remains active until it is either executed or cancelled. NOTE: Maximum duration is the trading week, but is equivalent to DAY for most Venues that reset daily.">1</validValue>
<validValue name="IOC" description="Immediate Or Cancel - The Order must be executed immediately, at least in part (Partial fills are allowed), otherwise the Order is cancelled. AKA 'Fill and Kill'">3</validValue>
<validValue name="FOK" description="Fill Or Kill - The Order must be executed immediately, in full (no Partial fills), otherwise the Order is cancelled. AKA 'All Or None'.">4</validValue>
<validValue name="GTD" description="Good 'til Date - The Order expires at the specified time (current business day).">6</validValue>
<validValue name="GFT" description="Good For Time - The Order expires after the specified duration.">A</validValue>
</enum>
<enum name="Side" description="Side" encodingType="char">
<validValue name="Buy">1</validValue>
<validValue name="Sell">2</validValue>
<validValue name="TwoWay">7</validValue>
</enum>
<enum name="SecurityType" encodingType="char">
<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>
<validValue name="SWP" description="FX Swap">3</validValue>
<validValue name="NDS" description="FX Non-Deliverable Swap">4</validValue>
<validValue name="BLK" description="FX Block">5</validValue>
<validValue name="FUT" description="Future">6</validValue>
<validValue name="IMM" description="Money Market (Cash)">7</validValue>
<validValue name="OPT" description="FX Option">8</validValue>
</enum>
<enum name="TenorType" encodingType="uint8" description="Defines the standard Tenors supported by MarketFactory.">
<validValue name="BKN" description="Broken Date">0</validValue>
<!-- Standard rolling Tenors -->
<validValue name="TOD" description="Today">1</validValue>
<validValue name="TOM" description="Tomorrow">2</validValue>
<validValue name="SPT" description="Spot">3</validValue>
<validValue name="D1" description="One day after Spot">4</validValue>
<validValue name="D2" description="Two days after Spot">5</validValue>
<validValue name="W1" description="One Week">6</validValue>
<validValue name="W2" description="Two Weeks">7</validValue>
<validValue name="W3" description="Three Weeks">8</validValue>
<validValue name="M1" description="One Month">9</validValue>
<validValue name="M2" description="Two Months">10</validValue>
<validValue name="M3" description="Three Months">11</validValue>
<validValue name="M4" description="Four Months">12</validValue>
<validValue name="M5" description="Five Months">13</validValue>
<validValue name="M6" description="Six Months">14</validValue>
<validValue name="M7" description="Seven Months">15</validValue>
<validValue name="M8" description="Eight Months">16</validValue>
<validValue name="M9" description="Nine Months">17</validValue>
<validValue name="M10" description="Ten Months">18</validValue>
<validValue name="M11" description="Eleven Months">19</validValue>
<validValue name="Y1" description="One Year">20</validValue>
<validValue name="M15" description="Fifteen Months">21</validValue>
<validValue name="M18" description="Eighteen Months">22</validValue>
<validValue name="Y2" description="Two Years">23</validValue>
<validValue name="Y3" description="Three Years">24</validValue>
<validValue name="Y4" description="Four Years">25</validValue>
<validValue name="Y5" description="Five Years">26</validValue>
<!-- Fixed dates -->
<validValue name="JAN" description="January Futures Expiration Date">27</validValue>
<validValue name="FEB" description="FebruaryFutures Expiration Date">28</validValue>
<validValue name="MAR" description="March Futures Expiration/IMM Date">29</validValue>
<validValue name="APR" description="April Futures Expiration Date">30</validValue>
<validValue name="MAY" description="May Futures Expiration Date">31</validValue>
<validValue name="JUN" description="June Futures Expiration/IMM Date">32</validValue>
<validValue name="JUL" description="July Futures Expiration Date">33</validValue>
<validValue name="AUG" description="August Futures Expiration Date">34</validValue>
<validValue name="SEP" description="September Futures Expiration/IMM Date">35</validValue>
<validValue name="OCT" description="October Futures Expiration Date">36</validValue>
<validValue name="NOV" description="November Futures Expiration Date">37</validValue>
<validValue name="DEC" description="December Futures Expiration/IMM Date">38</validValue>
<validValue name="M0E" description="Last working day of current Month">39</validValue><!-- required for R5FX -->
<validValue name="M1E" description="Last working day of next Month">40</validValue><!-- required for R5FX -->
<validValue name="SYM" description="Settlement date defined by Symbol.">41</validValue><!-- E.g. Futures -->
</enum>
<set name="QuoteType" encodingType="uint64" semanticType="Boolean"> <!-- Implemented as a set to avoid any problems with null values -->
<choice name="BidIsTradeable" description="FALSE if the Quoted Bid price is Indicative.">0</choice>
<choice name="OfferIsTradeable" description="FALSE if the Quoted Offer price is Indicative">1</choice>
</set>
<enum name="BodyRegulatoryKey" encodingType="uint8" description="Details of conditionally populated Regulatory fields.">
<!-- SEF 0..19 -->
<validValue name="SEFTakerIsUSPerson" description="A legal term referring to any U.S. person or legal entity anywhere in the world that should be taxed under U.S. law.">0</validValue>
<validValue name="SEFDataRepository" description="Repository for the reporting of SEF trades.">1</validValue> <!-- PartyRole 102 -->
<validValue name="SEFReportingEntity" description="Identifies the trading counterparty with the responsibility to report the transaction to a Data Repository after execution.">2</validValue>
<validValue name="SEFIsLargeTrade" description="Indicates whether or not part of a large trade.">3</validValue>
<validValue name="SEFRequiredTransaction" description="Indicates whether or not a required transaction (rather than permitted).">4</validValue>
<validValue name="SEFClearingExempted" description="Indicates whether or not this trade is exempted from clearing.">5</validValue>
<validValue name="SEFClearer" description="Conditionally populated if SEFClearingExempted=N. Clearing House (DCO) to be used for the clearing of SEF trades.">6</validValue>
<!-- EMIR 20..39 -->
<validValue name="EMIRDoNotUse" description="Intentionally blank.">20</validValue>
<!-- MiFID 40..59 -->
<validValue name="MiFIDExecutingUnit" description="Maker branch/business unit under which this trade will be booked.">40</validValue> <!-- PartyRole 59 -->
<validValue name="MiFIDRegulatedMarket" description="4 character Market Identifier Code (MIC) of the Multilateral Trading Facility (MTF).">41</validValue> <!-- PartyRole 65 -->
<validValue name="MiFIDExecutingDecisionMaker" description="Shortcode representing Executing Decision Maker of Taker.">42</validValue>
<validValue name="MiFIDInvestmentDecisionMaker" description="Shortcode representing Investment Decision Maker of Taker.">43</validValue>
<validValue name="MiFIDIlliquidInstrumentWaver" description="Pre-Trade Illiquid Instrument waiver indicator.">44</validValue>
<validValue name="MiFIDSizeSpecificWaver" description="Pre-Trade Size-specific (trade of substantial size etc.) waiver indicator.">45</validValue>
<validValue name="MiFIDLiquidityProvisionFlag" description="Indicates that the Order is part of a liquidity provision activity.">46</validValue>
<validValue name="MiFIDAlgorithmicOrderFlag" description="Indicates that the Order was generated by algorithmic trading.">47</validValue>
<validValue name="MiFIDPackageTradeFlag" description="Indicates that the Order is considered a Package/aggregated transaction for reporting purposes.">48</validValue> <!-- Swaps, Blocks, Batches in scope -->
<validValue name="MiFIDPackageID" description="Conditionally populated if MiFIDPackageTradeFlag=Y. Identifier assigned to a collection of trades so they may be analysed as a single unit.">49</validValue>
<validValue name="MiFIDSystematicInternaliserFlag" description="Used to indicate whether the specified party is a Systematic Internaliser for this Order.">50</validValue>
</enum>
<enum name="LegRegulatoryKey" encodingType="uint8" description="Details of conditionally populated Regulatory fields.">
<!-- SEF 0..19 -->
<validValue name="LegSEFUSIPrefix" description="10 character Unique Swap Identifier Prefix for this Leg, usually a hash of the code issueing authority’s LEI. The Maker may choose to generate their own IDs, in whhich case this value will differ from the that provided in the Order.">0</validValue>
<validValue name="LegSEFUSI" description="32 character Unique Swap Identifier (USI) for this Leg. The Maker may choose to generate their own IDs, in whhich case the ExecutionReport value will differ from the that provided in the Order.">1</validValue>
<!--- TODO UPI Prefix/Value -->
<!-- EMIR 20..39 -->
<validValue name="LegEMIRUTIPrefix" description="10 character Unique Trade Identifier (UTI) Prefix for this Leg, usually a hash of the code issueing authority’s LEI.">20</validValue>
<validValue name="LegEMIRUTI" description="42 character Unique Trade Identifier (UTI) for this Leg.">21</validValue>
<!-- MiFID 40..59 -->
<validValue name="LegMiFIDISIN" description="12 character International Securities Identification Number http://www.anna-web.org/home/derivatives-service-bureau/.">40</validValue>
<validValue name="LegMiFIDTVTIC" description="52 character Trading Venue Transaction Identification Code (TVTIC) for this Leg.">41</validValue>
<validValue name="LegMiFIDConversionFlag" description="Indicates that the Leg is an FX conversion trade and related to a transaction which would be exempt from margining and reporting. Tenor must be less than T+5 - i.e. TOD, TOM, SPT, D1 or D2.">42</validValue>
</enum>
<enum name="AllocRegulatoryKey" encodingType="uint8" description="Details of conditionally populated Regulatory fields.">
<!-- SEF 0..19 -->
<validValue name="AllocSEFUSIPrefix" description="10 character Unique Swap Identifier Prefix for this Allocation, usually a hash of the code issueing authority’s LEI.">0</validValue>
<validValue name="AllocSEFUSI" description="32 character Unique Swap Identifier (USI) for this Allocation.">1</validValue>
<!-- EMIR 20..39 -->
<validValue name="AllocEMIRUTIPrefix" description="10 character Unique Trade Identifier (UTI) Prefix for this Allocation, usually a hash of the code issueing authority’s LEI.">20</validValue>
<validValue name="AllocEMIRUTI" description="42 character Unique Trade Identifier (UTI) for this Allocation.">21</validValue>
<!-- MiFID 40..59 -->
<validValue name="AllocMiFIDTVTIC" description="52 character Trading Venue Transaction Identification Code (TVTIC) for this Allocation">40</validValue>
</enum>
<set name="RegulatoryBodies" encodingType="uint64" description="Allows definition of which Regulatory Fields the Order will include.">
<choice name="SEF" description="Dodd-Frank Swap Execution Facility.">0</choice>
<choice name="EMIR" description="European Market Infrastructure Regulation.">1</choice>
<choice name="MiFID" description="Markets in Financial Instruments Directive.">2</choice>
</set>
<enum name="PartyRole" encodingType="uint8" description="Details of conditionally populated counterparty identification fields.">
<validValue name="ExecutingFirm" description="Maker Firm responsible for filling/rejecting this Order.">1</validValue>
<validValue name="ExecutingTrader" description="Maker Trader responsible for filling/rejecting this Order - may be human or autotrader.">12</validValue>
<validValue name="ExecutingFirmLEI" description="Conditionally populated if RegulatoryBodies=SEF/EMIR/MiFID. A Legal Entity Identifier defined by ISO 17442 to identify the Maker Firm.">253</validValue> <!-- http://fiximate.fixtrading.org/latestEP/en/FIX.5.0SP2_EP240/tag803.html=84 -->
<validValue name="OrderOriginationFirm" description="Taker Firm responsible for submission of this Order.">13</validValue>
<validValue name="OrderOriginationTrader" description="Taker Trader responsible for submission of this Order - may be human or autotrader.">11</validValue>
<validValue name="OrderOriginationFirmLEI" description="Conditionally populated if RegulatoryBodies=SEF/EMIR/MiFID. A Legal Entity Identifier defined by ISO 17442 to identify the Taker Firm.">254</validValue> <!-- http://fiximate.fixtrading.org/latestEP/en/FIX.5.0SP2_EP240/tag803.html=84 -->
</enum>
<set name="OrderAttributes" encodingType="uint64" description="Distinguishing features of a particular Venues Order Model.">
<choice name="SupportedByMF" description="Set if the MFAPI supports this Venue Order Model.">0</choice>
<choice name="hasTimeSlicing" description="Set if the Venue supports time-slicing of Market Data. Currently only on EBS feeds.">1</choice>
<choice name="hasLastLook" description="Set if the Venue allows the Maker final right-of-refusal on the Order.">2</choice>
<choice name="hasPegged" description="Set if Pegged Orders are supported">3</choice>
<choice name="hasIceberg" description="Set if Iceberg Orders are supported">4</choice>
<choice name="hasFixing" description="Set if Fixing Orders are supported">5</choice>
<!-- TODO MoreQuantity -->
<!-- TODO hasPriceImprovement -->
<choice name="allowsModify" description="Set if OrderCancelReplaceRequests are supported">6</choice>
<choice name="allowsCancel" description="Set if OrderCancelRequests are supported">7</choice>
<choice name="usesQuoteID" description="Set if OrdType=PreviouslyQuoted and the Venue mandates the use of identifiers for each quote.">8</choice>
<choice name="usesPrice" description="Set if OrdType != Market. If OrdType=PreviouslyQuoted then represents the Spot price, otherwise represents the Order Limit price.">9</choice>
<choice name="usesStopPx" description="Set if this Order is a Stop-type order.">10</choice>
<choice name="usesMaxShow" description="Set if this Order supports Icebergs. defines Iceberg tip-size.">11</choice><!-- TODO Or MoreQuantity (Reuters MAPI) -->
<choice name="usesDiscretionOffsetValue" description="Set if this Order supports provision of Discretion instructions - defines the worst price the trader will accept.">12</choice>
<choice name="usesPegOffsetValue" description="Set if this Order supports provision of Pegging instructions - defines the absolute value of market offset.">13</choice>
<choice name="usesExpireTime" description="Set if TimeInForce=GTD - defines the Order cancellation timestamp.">14</choice>
<choice name="usesExposureDuration" description="Set if TimeInForce=GFT. Number of seconds after which the Order will be cancelled.">15</choice>
<!-- TODO: AggregatedBook -->
<!--TODO PriceDelta / DisplayQty/MaxShow / ReplenishDelay / PegType (Bid/Offer/Mid) / TrailBy -->
<!-- TODO usesPassthru - what messages, what Venue fields are passed ? -->
</set>
<enum name="MDUpdateAction" encodingType="char" semanticType="char" description="A market data update action.">
<validValue name="New">0</validValue>
<validValue name="Change">1</validValue>
<validValue name="Delete">2</validValue>
</enum>
<enum name="MDEntryType" encodingType="char" description="A market data entry type.">
<validValue name="Bid" description="Entry contains bid details.">0</validValue>
<validValue name="Offer" description="Entry contains offer details.">1</validValue>
<validValue name="Trade" description="Entry contains Venue trade details.">2</validValue>
<validValue name="MidPrice" description="Required for Regulatory reporting.">H</validValue>
<validValue name="EmptyBook" description="Sent to indicate the book should be cleared.">J</validValue>
<validValue name="WorstTradeGiven" description="The worst price that was sold on EBS during a timeslice.">w</validValue>
<validValue name="WorstTradePaid" description="The worst price that was bought on EBS during a timeslice.">x</validValue>
<validValue name="TradeGiven" description="Indicates trade where the Offer was aggressed.">y</validValue>
<validValue name="TradePaid" description="Indicates trade where the Bid was aggressed.">z</validValue>
</enum>
<enum name="MDBookType" encodingType="uint8" description="Defines the type of a market data update group.">
<validValue name="TopOfBook" description="Book containing just the top-of-book information.">1</validValue>
<validValue name="PriceDepth" description="Book containing the standard per level price and depth information.">2</validValue>
<validValue name="OrderDepth" description="Book containing the count of orders at each price level.">3</validValue>
<validValue name="AmountView" description="The worst PRICE for which you would have to trade in order to get at least the regular amount (it's a minimum, not a precise value). The size field should be set to the same fixed constraint amount every time (fixed by the exchange for each market). This corresponds to an EBS Regular Price and to a Reuters Aggregate Price. This entry is credit screened (once again, we treat EBS Live's amount constraint as if it were credit-screened).">100</validValue>
<validValue name="SpreadView" description="A price constraint, that is, the sum total amount that is available from the top of the book through a fixed number of price levels away from that price. Essentially, this provides an amount variable for a fixed price. Because the price changes constantly, the fixed price range is usually specified as a price difference from the top-of-book. We compute provide that price in this entry. This corresponds to EBS's Outside Amount. Sometimes this entry is capped. This entry is credit-screened.">101</validValue>
<validValue name="ExchangeBest" description="Used for Reuters. The best price on the Venue, regardless of whether it is credit screened.">102</validValue> <!-- Exchange best use to be just per side, now it is actually a separate book since Reuters supports multiple levels. -->
<!-- TODO - explicit identification of Aggregated books... To discuss - Maybe this is a function of the VenueName? -->
<!-- TODO EBS Direct - FullAmount View -->
<!-- TODO EBS Ai MarketSegmentID - “Fixing” “FixingOffset” “SwapOffset” “Standard” -->
</enum>
<enum name="MDSubBookType" encodingType="uint8" semanticType="int" description="Defines regional location of liquidity.">
<validValue name="Global" description="Aggregated information for all regions is provided in a single feed.">0</validValue>
<validValue name="Tokyo" description="Orders originating from Tokyo.">1</validValue>
<validValue name="London" description="Orders originating from London.">2</validValue>
<validValue name="NewYork" description="Orders originating from New York.">3</validValue>
</enum>
<enum name="SubscriptionRequestType" encodingType="char" semanticType="char" description="Market data subscription request type."> <!--MSW changed -->
<validValue name="SnapshotAndUpdates" description="Subscription for all market data updates.">1</validValue>
<validValue name="DisablePreviousSnapshot" description="Unsubscribe for all market data updates.">2</validValue>
</enum>
<enum name="SecurityRequestType" encodingType="uint8" description="Market data security request type.">
<validValue name="AllSecurities" description="Request for all securities.">8</validValue>
</enum>
<enum name="UserRequestType" encodingType="uint8" description="Venue action requested by MFAPI Client.">
<validValue name="LogOnUser" description="Request to establish connectivity with Venue.">1</validValue>
<validValue name="LogOffUser" description="Request to cease connectivity with Venue.">2</validValue>
</enum>
<enum name="UserStatus" encodingType="uint8" description="Venue notification of MFAPI Client status.">
<validValue name="LoggedIn" description="User connected with Venue.">1</validValue>
<validValue name="NotLoggedIn" 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="EBS specific credit status.">252</validValue>
<validValue name="CreditExhausted" description="EBS specific credit status.">253</validValue>
<validValue name="CreditAvailable" description="EBS specific 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="MDReqRejReason" encodingType="char" description="Reason for rejection of a Market data subscription request.">
<validValue name="UnknownSymbol" description="Rejected due to unknown security symbol.">0</validValue>
<validValue name="Other" description="Rejected for other reason. Catch-all.">Z</validValue>
</enum>
<enum name="MatchStatus" encodingType="char" semanticType="char" description="Status of an Order-matching fill.">
<validValue name="Done">0</validValue>
<validValue name="Pending">1</validValue>
<validValue name="Error">2</validValue>
</enum>
<enum name="OrdStatus" encodingType="char" semanticType="char" description="Order status.">
<validValue name="New">0</validValue>
<validValue name="PartiallyFilled">1</validValue>
<validValue name="Filled">2</validValue>
<validValue name="Canceled">4</validValue>
<validValue name="PendingCancel">6</validValue>
<validValue name="Rejected">8</validValue>
<validValue name="PendingNew">A</validValue>
<validValue name="Calculated" description="For Drop-copy/STP notifications.">B</validValue>
<validValue name="Expired">C</validValue>
<validValue name="PendingReplace">E</validValue>
<validValue name="MFPendingNew">W</validValue>
<validValue name="MFPendingCancel">X</validValue>
<validValue name="MFPendingReplace">Y</validValue>
<validValue name="Error" description="Used for Reuters/EBS when a trade fails validation. Also used when an order goes into a bad state. Both situations require manual intervention.">Z</validValue>
</enum>
<enum name="ExecType" encodingType="char" semanticType="char" description="Execution Type.">
<validValue name="New">0</validValue>
<validValue name="Canceled">4</validValue>
<validValue name="Rejected">8</validValue>
<validValue name="Replaced">5</validValue>
<validValue name="PendingCancel">6</validValue>
<validValue name="PendingNew">A</validValue>
<validValue name="Calculated" description="For Drop-copy/STP notifications.">B</validValue>
<validValue name="Expired">C</validValue>
<validValue name="PendingReplace">E</validValue>
<validValue name="Trade">F</validValue>
<validValue name="CanceledLastLook" description="Fastmatch returns an indication that the Cancel reason is that the order was rejected because of a Last Look.">U</validValue>
<validValue name="PendingMatch" description="Used for Reuters and EBS when there is an execution that is awaiting validation.">V</validValue>
<validValue name="MFPendingNew">W</validValue>
<validValue name="MFPendingCancel">X</validValue>
<validValue name="MFPendingReplace">Y</validValue>
<validValue name="Error" description="Used for Reuters/EBS when a trade fails validation. Also used when an order goes into a bad state. Both situations require manual intervention.">Z</validValue>
</enum>
<enum name="ExecAckStatus" encodingType="char" semanticType="char" description="Confirms or denys Maker ExecutionReport.">
<validValue name="Accepted">1</validValue>
<validValue name="Rejected">2</validValue>
</enum>
<enum name="CxlRejReason" encodingType="uint8" semanticType="int" description="Cancel Request Rejection Reason.">
<validValue name="TooLateToCancel">0</validValue>
<validValue name="UnknownOrder">1</validValue>
<validValue name="DuplicateClOrdIDReceived">6</validValue>
<validValue name="Other">99</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 Quote or Stream via Quote.">101</validValue>
<validValue name="Order" description="Instruction to Venue.">102</validValue>
</enum>
<enum name="QuoteRequestRejectReason" encodingType="uint8" description="Reason for rejection of QuoteRequest.">
<validValue name="UnknownSymbol" description="Rejected due to unknown security symbol.">1</validValue>
<validValue name="Other" description="Rejected for other reason. Catch-all.">99</validValue>
</enum>
<enum name="QuoteRespType" encodingType="uint8" description="Reason for termination of QuoteRequest.">
<validValue name="Pass" description="RFS Stream terminated by Taker.">6</validValue>
<validValue name="TimedOut" description="RFS Stream duration ended without Order. Maker and ECN have individual time-outs.">8</validValue>
</enum>
<enum name="VenueType" encodingType="char" semanticType="char" description="Categorization for the various venues offered through Whisperer."> <!-- customization of http://fiximate.fixtrading.org/latestEP/en/FIX.5.0SP2_EP240/tag1430.html -->
<validValue name="Maker" description="Liquidity Provider, MFAPI Client must act as Taker.">M</validValue>
<validValue name="Taker" description="Liquidity Consumer, MFAPI Client must act as Maker.">T</validValue>
<validValue name="CLOB" description="Order-Matching, MFAPI Client may consumer or provide liquidity as desired.">C</validValue>
</enum>
<enum name="Subject" encodingType="uint16" description="Categorization of the various Venue-side events that require Warning notification.">
<validValue name="RejectSentByMF" description="A Session-level Reject message was sent to the Venue by MF.">0</validValue>
<validValue name="RejectReceivedByMF" 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>
</enum>
</types>
<!--
*
* Session-Level Messages
*
-->
<!-- Application Session -->
<sbe:message name="Logon" id="1" semanticType="A" description="Used to logon to a Market Data or Trading session.">
<field name="HeartBtInt" id="108" type="uint8" description ="Frequency with which the client wishes to validate connection health."/>
<field name="NextExpectedMsgSeqNum" id="789" type="SeqNum" description="Provided by MFAPI Client to support MF message gap checks. If equal to the next-to-be-assigned MF sequence then Whisperer will respond with a LogonResponse message and then proceed with the session as normal. If lower, then Whisperer will respond with a LogonResponse message and immediately (re)send persisted messages or GapFills, in order. On completion, it will proceed with the session as normal. If higher, then Whisperer will respond with a Logout message to abort the session."/>
<field name="Username" id="533" type="Username" description="MF-created and assigned MFAPI user."/>
<field name="Password" id="554" type="Password" description="MF-created password for user."/>
<field name="VenueName" id="20024" type="Text" description="MF-defined Venue name."/>
<field name="SessionType" id="20067" type="SessionType" description="Indicates desired session type for user, bilaterally agreed with MF."/>
</sbe:message>
<sbe:message name="LogonResponse" id="2" semanticType="A" description="An acknowledgement from the server that the Logon was successful as well as the expected heartbeat interval.">
<field name="NextExpectedMsgSeqNum" id="789" type="SeqNum" description="Provided by MF to support MFAPI Client message gap checks. If equal to the next-to-be-assigned MFAPI Client sequence then the client should proceed with the session as normal. If lower, then the client should immediately (re)send persisted messages or GapFills, in order. On completion, it may then proceed with the session as normal. If higher, then the client should respond with a Logout message to abort the session."/>
</sbe:message>
<sbe:message name="Logout" id="3" semanticType="5" description="A request to stop the session.">
<field name="Text" id="58" type="Text" description="Free format text string. May include reason for logout."/>
</sbe:message>
<sbe:message name="LogoutResponse" id="4" semanticType="5" description="An acknowledgement that the session has been terminated.">
</sbe:message>
<sbe:message name="SequenceResetGapFill" id="5" semanticType="4" description="Used to explicitly skip blocks of unpersisted messages during a replay, if a sequence gap is detected.">
<field name="NewSeqNo" id="36" type="SeqNum"/>
</sbe:message>
<sbe:message name="Heartbeat" id="6" semanticType="0" description="This is sent from each side of the connection periodically.">
<field name="OrigSendingTime" id="122" type="UTCTimestamp" presence="optional" description="SendingTime as populated in the TestRequest."/>
<field name="CurrentSeqNum" id="20056" type="SeqNum" description="This is the last sequence number sent by originator. On detection of a sequence number gap, the recipient should immediately Logout and then Logon in order to resolve the dropped message(s)."/>
<field name="Username" id="533" type="Username" presence="optional" description="Echoed by MF, to assist session diagnostics. MF-created and assigned MFAPI user."/>
<field name="VenueName" id="20024" type="Text" presence="optional" description="Echoed by MF, to assist session diagnostics. MF-defined Venue name."/>
<field name="SessionType" id="20067" type="SessionType" presence="optional" description="Echoed by MF, to assist session diagnostics. Indicates desired session type for user, bilaterally agreed with MF."/>
</sbe:message>
<sbe:message name="TestRequest" id="7" semanticType="1" description="Sent by either side in order to generate a Heartbeat response. May also be used to determine approximate application round-trip times.">
</sbe:message>
<!--
*
* Venue Status Messages
*
-->
<!-- Configuration information -->
<sbe:message name="SecurityDefinitionRequest" id="101" semanticType="a" description="A request for a list of a Venue's securities and their attributes.">
<field name="SecurityRequestType" id="321" type="SecurityRequestType"/>
</sbe:message>
<sbe:message name="SecurityDefinition" id="102" semanticType="d" description="Describes the attributes of a given security.">
<field name="LastSecurity" id="20068" type="SecurityDefinitionFlags" semanticType="Boolean" description="TRUE if this is the last SecurityDefinition message to be published."/>
<field name="Symbol" id="55" type="Symbol" description="The market convention representation of the instrument, e.g. 'EUR/USD', 'HEG9'"/>
<field name="Text" id="58" type="Text" description="Human-friendly description of Symbol, e.g.'Euro|United States Dollar', 'Lean Hog Futures|February|2019'"/>
<field name="MinPriceIncrement" id="969" type="PriceNULL" description="The minimum Spot price movement, tick size."/>
<field name="BigPriceIncrement" id="20004" type="PriceNULL" description="Pip position"/>
<field name="FwdPriceIncrement" id="20059" type="PriceNULL" description="The minimum Fwd price movement, Fwd Pts (and non-Spot All-in) precision. Not populated when SecurityType=FUT."/>
</sbe:message>
<sbe:message name="MarketDefinitionRequest" id="103" semanticType="BT" description="Request for a definition of the Venue.">
<field name="SubscriptionRequestType" id="263" type="SubscriptionRequestType"/>
</sbe:message>
<sbe:message name="MarketDefinition" id="104" semanticType="BU" description="Contains attributes of the given Venue.">
<field name="MarketID" id="1301" type="Text" description="General name of the Market/Value. 'EBS-Ai' for example."/>
<field name="VenueName" id="20024" type="Text" description="MF-defined market/Venue name. Used to identify a special, specific MF configuration/connection to a market/Venue. EBS-Ai-metals for example."/>
<field name="VenueType" id="1430" type="VenueType" description="Maker, Taker, or CLOB"/>
<group name="NoModels" id="20006" description="A list of the trading models supported by the Venue." dimensionType="groupSizeEncoding">
<field name="TradingModel" id="20019" type="NegotiationMethod" description="ESP, RFS, or Orders."/><!-- TODO MarketData? -->
<group name="NoProducts" id="20018" description="A list of the product types supported by the Venue for this Trading Model." dimensionType="groupSizeEncoding">
<field name="SecurityType" id="167" type="SecurityType" description="Venue-supported product type for this TradingModel."/>
<group name="NoOrdTypeRules" id="1237" description="A list of the order types supported by the Venue for this Trading Model and Product." dimensionType="groupSizeEncoding">
<field name="OrdType" id="40" type="OrdType"/>
<field name="TimeInForce" id="59" type="TimeInForce"/>
<field name="OrderAttributes" id="20080" type="OrderAttributes" description="Bitmap field of n Boolean type flags, indicating the supported flavours of this OrdType, and associated NewOrderMultileg fields."/>
</group>
</group>
</group>
</sbe:message>
<sbe:message name="UserRequest" id="105" semanticType="BE" description="MFAPI Client initiates connection/disconnection to/from Venue. NOTE:Each MFAPI CLient Username will be associated (n-n) with a specific Venue credential. Mapping bilaterally agreed between MF and Customer.">
<field name="UserRequestType" id="924" type="UserRequestType"/>
</sbe:message>
<sbe:message name="UserNotification" id="106" semanticType="CB" description="Venue notification of Client events.">
<field name="UserStatus" id="924" type="UserStatus"/>
<field name="Text" id="58" type="Text" description="Explanation of status state, if any."/>
</sbe:message>
<sbe:message name="Email" id="107" semanticType="C" description="Warns MFAPI Client of erroneous Venue-side events.">
<!-- Session -->
<field name="MsgSeqNum" id="34" type="SeqNum"/>
<field name="PossDupFlag" id="43" type="TradingFlags" description="Indicates if this Order may have already been processed (it is being resent)."/>
<field name="Subject" id="147" type="Subject" description="Class of Warning."/>
<group name="NoLinesOfText" id="33" description="A list of text strings." dimensionType="groupSizeEncoding">
<field name="Text" id="58" type="Text" description="Additional detail required in order to address the Warning. E.g. Venue FIX message."/>
</group>
</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 -->
<!-- Session -->
<field name="TransactTime" id="60" type="UTCTimestamp" description="Time when the MarketDataRequest was generated."/>
<field name="TimeArrival" id="20008" type="UTCTimestamp" description="Time when the MarketDataRequest was received by MF."/>
<!-- Identification -->
<field name="MDReqID" id="262" type="RequestID" description="Unique ID specified by the subscriber."/> <!--NOTE: FIX defines this tag as a string. -->
<!-- State -->
<field name="SubscriptionRequestType" id="263" type="SubscriptionRequestType"/>
<!-- Instrument -->
<field name="Symbol" id="55" type="Symbol" description="Symbol of requested Instrument."/>
<field name="SecurityType" id="167" type="SecurityType" description="1-legged (SPT, FWD, NDF, FUT) product types only. NOTE: This message is NOT to be used for 2-legged (SWP, NDS), BLK, IMM or OPT Security Types."/>
<field name="SettlType" id="63" type="TenorType" description="Specifies a standard Tenor for settlement."/>
<field name="SettlDate" id="64" type="LocalMktDate" presence="optional" description="Conditionally required if SettlType=BKN. Specifies the broken date for settlement. E.g. Fixed-date NDF on EBS."/>
<field name="MaturityDate" id="541" type="LocalMktDate" presence="optional" description="Conditionally required if SecurityType=NDF. Specifies the Fixing Date."/>
<field name="FixingReference" id="20058" type="FixingReference" description="Conditionally required if SecurityType=NDF. Fixing Reference. Refer to [REF TODO] for Venue-specific fixing reference strings."/>
<field name="MarketDepth" id="264" type="uint8" description="0=Full Book, 1=Top of Book, n=Number of Levels."/>
</sbe:message>
<sbe:message name="MarketDataRequestReject" id="202" semanticType="Y" description="A rejection of a request for market data.">
<!-- Session -->
<field name="TransactTime" id="60" type="UTCTimestamp" description="Time when the MarketDataRequestReject was generated."/>
<field name="TimeArrival" id="20008" type="UTCTimestamp" description="Time when the MarketDataRequestReject was received by MF."/>
<!-- 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="MDReqRejReason" id="281" type="MDReqRejReason"/>
<field name="Text" id="58" type="Text" description="Text string of format [MFAPI|VENUE]:[Text] - Extra information about the rejection, provided either by the MFAPI or by the Venue."/>
</sbe:message>
<sbe:message name="SecurityStatus" id="203" semanticType="f" description="Sent by MF in response to a MarketDataRequest and should be processed before the first MarketDataIncrementalRefresh. Can also arrive asynchronously if the state of a security changes - e.g. Date Roll">
<!-- Instrument -->
<field name="Symbol" id="55" type="Symbol" description="Symbol of requested Instrument."/>
<field name="SecurityType" id="167" type="SecurityType" description="1-legged (SPT, FWD, NDF, FUT), 2-legged (SWP, NDS). NOTE: This message is NOT to be used for BLK, IMM or OPT Security Types."/>
<!-- TODO Tenor(s), sources of dates, purpose of message -->
<field name="SettlType" id="63" type="TenorType" description="Specifies a standard Tenor for settlement."/>
<field name="SettlDate" id="64" type="LocalMktDate" presence="optional" description="Settlement date of security."/> <!-- TODO where does this information come from? -->
<field name="TradeDate" id="75" type="LocalMktDate" description="Trade Session Date of security."/>
<field name="SecurityTradingStatus" id="326" type="SecurityTradingStatus" description="Identifies the trading status applicable to the instrument or Security Group"/>
<field name="Text" id="58" type="Text" 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.">
<!-- Session -->
<field name="HopRefID" id="630" type="SeqNum" description="Used to correlate this entry with the Venue message. Will be NULL if message is generated by MF (snapshot, enhanced data, etc.)."/>
<field name="TransactTime" id="60" type="UTCTimestamp" description="Time when the MarketData was generated."/>
<field name="TimeArrival" id="20008" type="UTCTimestamp" description="Time when the MarketData was received by MF."/>
<!-- Identification -->
<field name="MDReqID" id="262" type="RequestID" description="Unique ID specified by the subscriber."/> <!--NOTE: FIX defines this tag as a string. -->
<field name="MDBookType" id="1021" type="MDBookType" description="Instructs Taker as to how the book should be interpreted."/>
<field name="MDFlags" id="20057" type="MDFlags" description="Indicates whether or not this incremental is the last of the time-slice."/>
<!-- FIX defines the following fields as part of the repeating group, but for our needs these are all static. -->
<!-- Instrument -->
<field name="Symbol" id="55" type="Symbol" description="Symbol of requested Instrument."/>
<field name="SecurityType" id="167" type="SecurityType" description="1-legged (SPT, FWD, NDF, FUT) product types only. NOTE: This message is NOT to be used for 2-legged (SWP, NDS), BLK, IMM or OPT Security Types."/>
<field name="SettlType" id="63" type="TenorType" description="Specifies a standard Tenor for settlement."/>
<field name="SettlDate" id="64" type="LocalMktDate" description="Specifies the date for settlement."/>
<field name="MaturityDate" id="541" type="LocalMktDate" presence="optional" description="Conditionally required if Requested SecurityType=NDF. Specifies the Fixing Date."/>
<field name="FixingReference" id="20058" type="FixingReference" description="Conditionally required if Requested SecurityType=NDF. Fixing Reference. Refer to [REF 360T RFS Maker, JPM Taker] for Venue-specific fixing reference strings."/>
<!-- TODO state conditional population constraints for Mid-Price -->
<!-- Agg feed components need to be supported? -->
<group name="NoMDEntries" id="268" dimensionType="groupSizeEncoding" description="On entry for each individual change in the market data message.">
<field name="MDUpdateAction" id="279" type="MDUpdateAction" description="The type of update action to be applied to this market data entry."/>
<field name="MDEntryType" id="269" type="MDEntryType" presence="optional" description="Conditionally populated if MDUpdateAction=New. Defines the nature of this market data entry."/>
<field name="MDSubBookType" id="1173" type="MDSubBookType" description="Indicates location of CLOB Matching Engine."/>
<field name="MDEntryID" id="278" type="IDString" description="Unique identifier of this market data entry, referenced throughout MDUpdateAction lifecycle."/>
<field name="QuoteCondition" id="276" type="QuoteType" description="Indicates status of this MDEntry."/>
<field name="MDEntryPx" id="270" type="PriceNULL" description="All-in Price. MDEntryPx=MDEntrySpotRate+MDEntryForwardPoints"/>
<field name="MDEntrySpotRate" id="1026" type="PriceNULL" description="Spot Price."/>
<field name="MDEntryForwardPoints" id="1027" type="PriceNULL" description="Fwd Pts."/>
<field name="MDEntrySize" id="271" type="DecimalQtyNULL" description="Size for quoted price. Expressed in units of CCY1."/>
<field name="LotSize" id="20066" type="DecimalQtyNULL" description="Minimum Order size increment."/> <!-- E.g. for Hotspot -->
<group name="NoOfSecSizes" id="1177" dimensionType="groupSizeEncoding" description="Number of Orders at this level.">
<field name="MDSecSize" id="1179" type="DecimalQtyNULL" description="Size of individual Order at this level. SUM(MDSecSize)=MDEntrySize."/>
<field name="MinQty" id="110" type="DecimalQtyNULL" description="Minimum quantity available to execute for this individual Order."/> <!-- Custom use of this tag. -->
</group>
<group name="PassthruElements" id="20072" dimensionType="groupSizeEncoding" description="To be used only to transport custom/non-normalisable Venue-specific attributes.">
<field name="PassthruKey" id="20074" type="PassthruKey" description="Venue-specific name of this element (e.g. Fix tag name)."/> <!-- E.g. EBS Ultra MarketRegion -->
<field name="PassthruValue" id="20075" type="PassthruValue" description="Arbitrary value to be assigned to this element."/>
</group>
</group>
</sbe:message>
<sbe:message name="QuoteRequest" id="205" semanticType="R" description="Issued by Taker to request a short-lived RFS subscription. A QuoteResponse may be used to terminate the request.">
<!-- Session -->
<field name="MsgSeqNum" id="34" type="SeqNum"/>
<field name="PossDupFlag" id="43" type="TradingFlags" description="Indicates if this QuoteRequest may have already been processed (it is being resent)."/>
<field name="TransactTime" id="60" type="UTCTimestamp" description="Time when the QuoteRequest was generated."/>
<field name="OrigSendingTime" id="122" type="UTCTimestamp" description="Conditionally populated if PossDupFlag=TRUE. The SendingTime of the original message."/>
<field name="TimeArrival" id="20008" type="UTCTimestamp" description="Time when the QuoteRequest was received by MF."/>
<!-- Identification -->
<field name="QuoteReqID" id="131" type="IDString" description="Unique ID specified by the subscriber."/>
<field name="NegotiationMethod" id="2115" type="NegotiationMethod" description="RFS - Quote messages sent in response. ESP - MassQuote messages sent in response. Order - not applicable."/>
<!-- Instrument -->
<field name="Symbol" id="55" type="Symbol" description="Symbol of requested Instrument."/>
<field name="SecurityType" id="167" type="SecurityType" description="Specifies the product type for the requested instrument. 1-legged (SPT, FWD, NDF), 2-legged (SWP, NDS) and n-legged (BLK) order types. NOTE: This message is NOT to be used for FUT, IMM or OPT Security Types."/>
<field name="SecurityGroup" id="1151" type="IDString" presence="optional" description="Conditionally populated if NegotiationMethod=ESP and VenueType=Taker. The name of the requested stream category. Bilaterally agreed between ECN and Maker."/>
<field name="NumCompetitors" id="20069" type="Int8NULL" description="0=Not in competition; n=Number of competitors; NULL=unknown."/>
<!-- Regulatory -->
<field name="RegulatoryBodies" id="20076" type="RegulatoryBodies" description="Bitmap field of 3 Boolean type Regulation elegibility flags"/>
<group name="BodyRegulatoryFields" id="20053" dimensionType="groupSizeEncoding" description="Conditionally populated if RegulatoryBodies=SEF/EMIR/MiFID(MTF)">
<field name="BodyRegulatoryKey" id="20054" type="BodyRegulatoryKey" description="Name of Regulatory field."/>
<field name="BodyRegulatoryValue" id="20055" type="RegulatoryValue" description="Value of Regulatory field."/>
</group>
<!-- Counterparties -->
<group name="NoPartyIDs" id="453" dimensionType="groupSizeEncoding" description="Order Origination/Execution counterparty details.">
<field name="PartyRole" id="452" type="PartyRole" description="Name of Party field."/>
<field name="PartyID" id="448" type="PartyString" description="Value of Party field."/>
</group>
<group name="NoLegs" id="555" dimensionType="groupSizeEncoding" description="One Leg per value date. At least one Leg must be specified.">
<field name="LegSecurityType" id="609" type="SecurityType" description="Specifies the product type for this leg. Valid values: SPT, FWD, NDF."/>
<field name="LegSide" id="624" type="Side"/>
<field name="LegCurrency" id="556" type="Currency" description="Specifies the denomination of the quantity fields in this Leg."/>
<field name="LegOrderQty" id="685" type="DecimalQtyNULL" description="Required. Order quantity."/>
<field name="LegSettlType" id="587" type="TenorType" description="Specifies a standard Tenor for settlement."/>
<field name="LegSettlDate" id="588" type="LocalMktDate" presence="optional" description="Conditionally required if SettlType=BKN. Specifies the broken date for settlement."/>
<!-- NDF/NDS -->
<field name="LegMaturityDate" id="611" type="LocalMktDate" description="Conditionally required if LegSecurityType=NDF. Fixing Date for this Leg of NDF/NDS."/>
<field name="LegSettlCurrency" id="675" type="Currency" description="Conditionally required if LegSecurityType=NDF. Specifies the fixing currency of this Leg of NDF/NDS."/>
<field name="FixingReference" id="20058" type="FixingReference" description="Conditionally required if LegSecurityType=NDF. Fixing Reference for this Leg of NDF/NDS. Refer to [REF 360T RFS Maker, JPM Taker] for Venue-specific fixing reference strings."/>
<!-- Regulatory -->
<group name="LegRegulatoryFields" id="20063" dimensionType="groupSizeEncoding" description="Conditionally populated if RegulatoryBodies=SEF/EMIR/MiFID(MTF)">
<field name="LegRegulatoryKey" id="20064" type="LegRegulatoryKey" description="Name of Regulatory field."/>
<field name="LegRegulatoryValue" id="20065" type="RegulatoryValue" description="Value of Regulatory field."/>
</group>
<group name="NoLegAllocs" id="670" dimensionType="groupSizeEncoding" description="At least one Allocation must be specified per Leg.">
<field name="LegAllocAccount" id="671" type="PartyString" description="Account mnemonic."/>
<field name="LegAllocQty" id="671" type="DecimalQtyNULL" description="Quantity to be allocated to Account. Specified in terms of LegCurrency and LegSide (negative quantities allocate to the opposite side)."/>
<!-- Regulatory -->
<group name="AllocRegulatoryFields" id="20050" dimensionType="groupSizeEncoding" description="Conditionally populated if RegulatoryBodies=SEF/EMIR/MiFID(MTF)">
<field name="AllocRegulatoryKey" id="20051" type="LegRegulatoryKey" description="Name of Regulatory field."/>
<field name="AllocRegulatoryValue" id="20052" type="RegulatoryValue" description="Value of Regulatory field."/>
</group>
</group>
<group name="PassthruFields" id="20073" dimensionType="groupSizeEncoding" description="To be used only to transport custom/non-normalisable Venue-specific attributes.">
<field name="PassthruKey" id="20074" type="PassthruKey" description="Venue-specific name of this element (e.g. Fix tag name)."/>
<field name="PassthruValue" id="20075" type="PassthruValue" description="Arbitrary value to be assigned to this element."/>
</group>
</group>
</sbe:message>
<sbe:message name="QuoteRequestReject" id="206" semanticType="AG" description="Issued by Maker to deny the corresponding QuoteRequest.">
<!-- Session -->
<field name="MsgSeqNum" id="34" type="SeqNum"/>
<field name="PossDupFlag" id="43" type="TradingFlags" description="Indicates if this QuoteRequestReject may have already been processed (it is being resent)."/>
<field name="TransactTime" id="60" type="UTCTimestamp" description="Time when the QuoteRequestReject was generated."/>
<field name="OrigSendingTime" id="122" type="UTCTimestamp" description="Conditionally populated if PossDupFlag=TRUE. The SendingTime of the original message."/>
<field name="TimeArrival" id="20008" type="UTCTimestamp" description="Time when the QuoteRequestReject was received by MF."/>
<!-- Identification -->
<field name="QuoteReqID" id="131" type="IDString" description="Unique ID specified by the subscriber."/>
<field name="QuoteRequestRejectReason" id="658" type="QuoteRequestRejectReason"/>
<field name="Text" id="58" type="Text" description="Text string of format [MFAPI|VENUE]:[Text] - Extra information about the rejection, provided either by the MFAPI or by the Venue."/>
</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."/>
<field name="TimeArrival" id="20008" type="UTCTimestamp" description="Time when the Quote was received by MF."/>
<!-- Identification -->
<field name="QuoteReqID" id="131" type="IDString" description="Unique ID specified by the Taker."/>
<field name="QuoteID" id="117" type="IDString" description="Unique ID of this Quote specified by the Maker."/>
<!-- State -->
<field name="QuoteType" id="537" type="QuoteType" description="Indicative/Tradeable price. Can be specified independantly for Bid and Offer."/>
<!-- 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=Buy/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=Sell/TwoWay. The quoted Offer Spot rate relating to this quote."/>
<!-- Counterparties -->
<group name="NoPartyIDs" id="453" dimensionType="groupSizeEncoding" description="Order Origination/Execution counterparty details.">
<field name="PartyRole" id="452" type="PartyRole" description="Name of Party field."/>
<field name="PartyID" id="448" type="PartyString" description="Value of Party field."/>
</group>
<group name="NoLegs" id="555" dimensionType="groupSizeEncoding" description="One Leg per value date. At least one Leg must be specified.">
<field name="LegSecurityType" id="609" type="SecurityType" description="Specifies the product type for this leg. Valid values: SPT, FWD, NDF."/>
<field name="LegSide" id="624" type="Side"/>
<field name="LegSettlType" id="587" type="TenorType" description="Specifies a standard Tenor for settlement."/>
<field name="LegSettlDate" id="588" type="LocalMktDate" presence="optional" description="Conditionally required if SettlType=BKN. Specifies the broken date for settlement."/>
<field name="LegMaturityDate" id="611" type="LocalMktDate" description="Conditionally required if LegSecurityType=NDF. Fixing Date for this Leg of NDF/NDS."/>
<field name="LegSettlCurrency" id="675" type="Currency" description="Conditionally required if LegSecurityType=NDF. Specifies the fixing currency of this Leg of NDF/NDS."/> <!-- Custom use of this tag. -->
<field name="FixingReference" id="20058" type="FixingReference" description="Conditionally required if LegSecurityType=NDF. Fixing Reference for this Leg of NDF/NDS. Refer to [REF 360T RFS Maker, JPM Taker] for Venue-specific fixing reference strings."/>
<field name="LegCurrency" id="556" type="Currency" description="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=Buy/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=Sell/TwoWay. All-in Offer rate."/>
<field name="LegBidForwardPoints" id="1067" type="PriceNULL" description="Conditionally populated if LegSide=Buy/TwoWay. The Bid FX forward points for this Leg. Value can be negative. Expressed in decimal form, LegBidForwardPoints=LegBidPx – BidSpotRate."/>
<field name="LegOfferForwardPoints" id="1068" type="PriceNULL" description="Conditionally populated if LegSide=Sell/TwoWay. The Offer FX forward points for this Leg. Value can be negative. Expressed in decimal form LegOfferForwardPoints=LegOfferPx – OfferSpotRate."/>
<group name="PassthruElements" id="20072" dimensionType="groupSizeEncoding" description="To be used only to transport custom/non-normalisable Venue-specific attributes.">
<field name="PassthruKey" id="20074" type="PassthruKey" description="Venue-specific name of this element (e.g. Fix tag name)."/>
<field name="PassthruValue" id="20075" type="PassthruValue" description="Arbitrary value to be assigned to this element."/>
</group>
</group>
</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 -->
<field name="TimeArrival" id="20008" type="UTCTimestamp" description="Time when the MarketData was received by MF."/>
<!-- 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."/>
<!-- Counterparties -->
<group name="NoPartyIDs" id="453" dimensionType="groupSizeEncoding" description="Order Origination/Execution counterparty details.">
<field name="PartyRole" id="452" type="PartyRole" description="Name of Party field."/>
<field name="PartyID" id="448" type="PartyString" description="Value of Party field."/>
</group>
<group name="NoQuoteSets" id="296" dimensionType="groupSizeEncoding" description="Always one QuoteSet per stream category QuoteRequest.">
<!-- Instrument -->
<field name="QuoteSetID" id="302" type="uint32" description="Unique ID specified by the subscriber."/>
<field name="Symbol" id="55" type="Symbol" description="Symbol of requested Instrument."/> <!-- MSW promoted from QuoteEntry -->
<field name="SecurityType" id="167" type="SecurityType" description="Specifies the product type for the requested instrument. 1-legged (SPT, FWD, NDF) and 2-legged (SWP, NDS) order types. NOTE: This message is NOT to be used for FUT, BLK, IMM or OPT Security Types."/> <!-- MSW promoted from QuoteEntry -->
<field name="SecurityGroup" id="1151" type="IDString" presence="optional" description="Conditionally populated if NegotiationMethod=ESP and VenueType=Taker. The name of the requested stream category. Bilaterally agreed between ECN and Maker."/> <!-- MSW promoted from QuoteEntry -->
<field name="FixingReference" id="20058" type="FixingReference" presence="optional" description="Conditionally required if Requested SecurityType=NDF/NDS. Fixing Reference. Refer to [REF TODO] for Venue-specific fixing reference strings."/>
<group name="NoQuoteEntries" id="295" dimensionType="groupSizeEncoding" description="One QuoteEntry per ladder rung and Leg.">
<field name="QuoteEntryID" id="299" type="IDString" description="TODO"/> <!-- TODO could mandate Rn-Ln for Swaps or perhaps better to add a leg ID as well?-->
<!-- State -->
<field name="QuoteType" id="537" type="QuoteType" description="Indicative/Tradeable price. Can be specified independantly for Bid and Offer."/>
<field name="SettlType" id="63" type="TenorType" description="Specifies a standard Tenor for settlement of this Leg."/> <!-- Custom use of this tag.-->
<field name="SettlDate" id="64" type="LocalMktDate" presence="optional" description="Specifies the calendar date for settlement of this Leg."/>
<!-- NDF/NDS -->
<field name="MaturityDate" id="541" type="LocalMktDate" presence="optional" description="Conditionally required if SecurityType=NDF/NDS. Specifies the Fixing Date for this Leg."/>
<field name="SettlCurrency" id="120" type="Currency" description="Conditionally required if SecurityType=NDF. Specifies the fixing currency of this Leg of NDF/NDS."/> <!-- Custom use of this tag. -->
<field name="FixingReference" id="20058" type="FixingReference" description="Conditionally required if SecurityType=NDF. Fixing Reference for this Leg of NDF/NDS. Refer to [REF 360T RFS Maker, JPM Taker] for Venue-specific fixing reference strings."/>
<field name="Currency" id="15" type="Currency" description="Specifies the denomination of the quantity fields in this Rung."/>
<field name="BidSize" id="134" type="DecimalQtyNULL" description="Bid quantity in this Rung."/>
<field name="OfferSize" id="135" type="DecimalQtyNULL" description="Offer quantity in this Rung."/>
<field name="BidPx" id="132" type="PriceNULL" description="All-in Bid rate for this Rung."/>
<field name="MidPx" id="631" type="PriceNULL" description="All-in Mid-Market rate for this Rung. "/><!-- Regulatory -->
<field name="OfferPx" id="133" type="PriceNULL" description="All-in Offer rate for this Rung."/>
<field name="BidSpotRate" id="188" type="PriceNULL" description="Conditionally populated if SecurityType=SPT/FWD/NDF/SWP/NDS. The quoted Bid Spot rate relating to this Rung."/>
<field name="OfferSpotRate" id="190" type="PriceNULL" description="Conditionally populated if SecurityType=SPT/FWD/NDF/SWP/NDS. The quoted Offer Spot rate relating to this Rung."/>
<field name="BidForwardPoints" id="189" type="PriceNULL" description="The Bid FX forward points for this Rung. Value can be negative. Expressed in decimal form, BidForwardPoints=BidPx-BidSpotRate."/>
<field name="OfferForwardPoints" id="191" type="PriceNULL" description="The Offer FX forward points for this Rung. Value can be negative. Expressed in decimal form OfferForwardPoints=OfferPx-OfferSpotRate."/>
<group name="PassthruElements" id="20072" dimensionType="groupSizeEncoding" description="To be used only to transport custom/non-normalisable Venue-specific attributes.">
<field name="PassthruKey" id="20074" type="PassthruKey" description="Venue-specific name of this element (e.g. Fix tag name)."/>
<field name="PassthruValue" id="20075" type="PassthruValue" description="Arbitrary value to be assigned to this element."/>
</group>
</group>
</group>
</sbe:message>
<sbe:message name="QuoteResponse" id="209" semanticType="AJ" description="Issued by Taker, Maker or ECN to terminate the corresponding QuoteRequest.">
<!-- Session -->
<field name="MsgSeqNum" id="34" type="SeqNum"/>
<field name="PossDupFlag" id="43" type="TradingFlags" description="Indicates if this QuoteResponse may have already been processed (it is being resent)."/>
<field name="TransactTime" id="60" type="UTCTimestamp" description="Time when the QuoteResponse was generated."/>
<field name="OrigSendingTime" id="122" type="UTCTimestamp" description="Conditionally populated if PossDupFlag=TRUE. The SendingTime of the original message."/>
<field name="TimeArrival" id="20008" type="UTCTimestamp" description="Time when the QuoteResponse was received by MF."/>
<!-- Identification -->
<field name="QuoteReqID" id="131" type="IDString" description="Unique ID specified by the subscriber."/>
<field name="QuoteRespType" id="694" type="QuoteRespType" description="Reason for termination of QuoteRequest."/>
<!-- Counterparties -->
<group name="NoPartyIDs" id="453" dimensionType="groupSizeEncoding" description="Order Origination/Execution counterparty details.">
<field name="PartyRole" id="452" type="PartyRole" description="Name of Party field."/>
<field name="PartyID" id="448" type="PartyString" description="Value of Party field."/>
</group>
</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="MsgSeqNum" id="34" type="SeqNum"/>
<field name="PossDupFlag" id="43" type="TradingFlags" description="Indicates if this Order may have already been processed (it is being resent)."/>
<field name="TransactTime" id="60" type="UTCTimestamp" description="Time when the Order was generated."/>
<field name="OrigSendingTime" id="122" type="UTCTimestamp" description="Conditionally populated if PossDupFlag=TRUE. The SendingTime of the original message."/>
<field name="TimeArrival" id="20008" type="UTCTimestamp" description="Time when the Order was received by MF."/>
<!-- Identification -->
<field name="OrderRequestID" id="2422" type="IDString" presence="optional" description="Conditionally populated if OrdType=PreviouslyQuoted. Contains QuoteReqID to aid support."/> <!--NOTE: FIX defines this tag as an int. -->
<field name="QuoteID" id="117" type="IDString" presence="optional" description="Conditionally populated if OrdType=PreviouslyQuoted. Contains MDEntryID or QuoteID. NOTE: Some ESP venues do not utilise QuoteIDs, in which case will be populated with 'N/A'."/>
<field name="ClOrdID" id="11" type="IDString" description="The Taker-assigned Order Identifier. If created by MFAPI Client, then must be unique for trading week."/>
<!-- State -->
<field name="OrdType" id="40" type="OrdType"/>
<field name="TimeInForce" id="59" type="TimeInForce"/>
<!-- Instrument -->
<field name="Symbol" id="55" type="Symbol" description="Symbol of requested Instrument."/>
<field name="SecurityType" id="167" type="SecurityType" description="Specifies the product type for the traded instrument. 1-legged (SPT, FWD, NDF), 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."/>
<!-- Instructions -->
<field name="Price" id="44" type="PriceNULL" description="Conditionally populated if OrdType!=Market. If OrdType=PreviouslyQuoted then represents the Spot price: LegPrice - Price=Leg Fwd Pts (TODO - Fwd Pts not currently populated). Othwerwise represents the Order Limit price."/> <!-- TODO - discuss/clarify eg For Fixing/FixingOffset orders will convey the points to be added to a fix rate. -->
<field name="MinQty" id="110" type="DecimalQtyNULL" description="Minimum quantity to execute, used to prevent partial fills under the defined quantity. If the Order quantity drops below this value due to a fill, the Order will be cancelled."/>
<field name="StopPx" id="99" type="PriceNULL" description="Stop price. Only required if this order is a Stop-type order."/>
<field name="MaxShow" id="210" type="DecimalQtyNULL" description="If supported by Venue and specified, defines Iceberg tip-size. Otherwise, will default to OrderQty."/><!-- TODO Or MoreQuantity -->
<field name="DiscretionOffsetValue" id="389" type="PriceNULL" description="If supported by Venue, added to Price to define the worst price the trader will accept."/>
<field name="PegOffsetValue" id="211" type="PriceNULL" description="If supported by Venue, defines the absolute value of market offset."/>
<field name="ExpireTime" id="126" type="UTCTimestamp" presence="optional" description="Conditionally populated if TimeInForce=GTD. Timestamp when the Order will be cancelled (will be rounded to the nearest second)."/>
<field name="ExposureDuration" id="1629" type="uInt32NULL" description="Conditionally populated if TimeInForce=GFT. Number of seconds after which the Order will be cancelled."/>
<!-- TODO EBS Ai - MarketSegmentID - “Fixing” “FixingOffset” “SwapOffset” “Standard” MDBookType??
DisplayQty, DisplayMethod, IcebergHigh RandomTime - for Iceberg Orders
TODO support PriceImprovement?
-->
<!-- Regulatory -->
<field name="RegulatoryBodies" id="20076" type="RegulatoryBodies" description="Bitmap field of 3 Boolean type Regulation elegibility flags"/>
<group name="BodyRegulatoryFields" id="20053" dimensionType="groupSizeEncoding" description="Conditionally populated if RegulatoryBodies=SEF/EMIR/MiFID(MTF)">
<field name="BodyRegulatoryKey" id="20054" type="BodyRegulatoryKey" description="Name of Regulatory field."/>
<field name="BodyRegulatoryValue" id="20055" type="RegulatoryValue" description="Value of Regulatory field."/>
</group>
<!-- Counterparties -->
<group name="NoPartyIDs" id="453" dimensionType="groupSizeEncoding" description="Order Origination/Execution counterparty details.">
<field name="PartyRole" id="452" type="PartyRole" description="Name of Party field."/>
<field name="PartyID" id="448" type="PartyString" description="Value of Party field."/>
</group>
<group name="NoLegs" id="555" dimensionType="groupSizeEncoding" description="One Leg per value date. At least one Leg must be specified.">
<field name="LegSecurityType" id="609" type="SecurityType" description="Specifies the product type for this leg. Valid values: SPT, FWD, NDF."/>
<field name="LegSide" id="624" type="Side"/>
<field name="LegCurrency" id="556" type="Currency" description="Specifies the denomination of the quantity fields in this Leg."/>
<field name="LegPrice" id="566" type="PriceNULL" description="All-in Order limit price. LegPrice-Price=LegFwdPts (not currently populated). Not required on all order types (for example, Market order)."/>
<field name="LegOrderQty" id="685" type="DecimalQtyNULL" description="Required. Order quantity."/>
<field name="LegSettlType" id="587" type="TenorType" description="Specifies a standard Tenor for settlement."/>
<field name="LegSettlDate" id="588" type="LocalMktDate" presence="optional" description="Conditionally required if SettlType=BKN. Specifies the broken date for settlement."/>
<!-- NDF/NDS -->
<field name="LegMaturityDate" id="611" type="LocalMktDate" description="Conditionally required if LegSecurityType=NDF. Fixing Date for this leg of NDF/NDS."/>
<field name="LegSettlCurrency" id="675" type="Currency" description="Conditionally required if LegSecurityType=NDF. Specifies the fixing currency for NDF/NDSs."/>
<field name="FixingReference" id="20058" type="FixingReference" description="Conditionally required if LegSecurityType=NDF. Fixing Reference, should be the same as in the original Quote Request. Refer to [REF TODO] for Venue-specific fixing reference strings."/>
<!-- Regulatory -->
<group name="LegRegulatoryFields" id="20063" dimensionType="groupSizeEncoding" description="Conditionally populated if RegulatoryBodies=SEF/EMIR/MiFID(MTF)">
<field name="LegRegulatoryKey" id="20064" type="LegRegulatoryKey" description="Name of Regulatory field."/>
<field name="LegRegulatoryValue" id="20065" type="RegulatoryValue" description="Value of Regulatory field."/>
</group>
<group name="NoLegAllocs" id="670" dimensionType="groupSizeEncoding" description="At least one Allocation must be specified per Leg.">
<field name="LegAllocAccount" id="671" type="PartyString" description="Account mnemonic."/>
<field name="LegAllocQty" id="671" type="DecimalQtyNULL" description="Quantity to be allocated to Account. Specified in terms of LegCurrency and LegSide (negative quantities allocate to the opposite side)."/>
<!-- Regulatory -->
<group name="AllocRegulatoryFields" id="20050" dimensionType="groupSizeEncoding" description="Conditionally populated if RegulatoryBodies=SEF/EMIR/MiFID(MTF)">
<field name="AllocRegulatoryKey" id="20051" type="LegRegulatoryKey" description="Name of Regulatory field."/>
<field name="AllocRegulatoryValue" id="20052" type="RegulatoryValue" description="Value of Regulatory field."/>
</group>
</group>
<group name="PassthruFields" id="20073" dimensionType="groupSizeEncoding" description="To be used only to transport custom/non-normalisable Venue-specific attributes.">
<field name="PassthruKey" id="20074" type="PassthruKey" description="Venue-specific name of this element (e.g. Fix tag name)."/>
<field name="PassthruValue" id="20075" type="PassthruValue" description="Arbitrary value to be assigned to this element."/>
</group>
</group>
</sbe:message>
<sbe:message name="OrderCancelReplaceRequest" id="302" semanticType="G" description="Modify an outstanding order.">
<!-- Session -->
<field name="MsgSeqNum" id="34" type="SeqNum"/>
<field name="PossDupFlag" id="43" type="TradingFlags" description="Indicates if this OrderCancelReplaceRequest may have already been processed (it is being resent)."/>
<field name="TransactTime" id="60" type="UTCTimestamp" description="Time when the OrderCancelReplaceRequest was generated."/>
<field name="OrigSendingTime" id="122" type="UTCTimestamp" description="Conditionally populated if PossDupFlag=TRUE. The SendingTime of the original message."/>
<field name="TimeArrival" id="20008" type="UTCTimestamp" description="Time when the OrderCancelReplaceRequest was received by MF."/>
<!-- 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="OrderID" description="The MF-assigned Identifier of the Order to be replaced. Optional, but should really be populated in order to avoid the need for additonal internal lookups."/>
<!-- 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="MsgSeqNum" id="34" type="SeqNum"/>
<field name="PossDupFlag" id="43" type="TradingFlags" description="Indicates if this OrderCancelRequest may have already been processed (it is being resent)."/>
<field name="TransactTime" id="60" type="UTCTimestamp" description="Time when the OrderCancelRequest was generated."/>
<field name="OrigSendingTime" id="122" type="UTCTimestamp" description="Conditionally populated if PossDupFlag=TRUE. The SendingTime of the original message."/>
<field name="TimeArrival" id="20008" type="UTCTimestamp" description="Time when the OrderCancelRequest was received by MF."/>
<!-- 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="OrderID" description="The MF-assigned Identifier of the Order to be cancelled. Optional, but should really be populated in order to avoid the need for additonal internal lookups."/>
<!-- 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="MsgSeqNum" id="34" type="SeqNum"/>
<field name="PossDupFlag" id="43" type="TradingFlags" description="Indicates if this OrderCancelReject may have already been processed (it is being resent)."/>
<field name="TransactTime" id="60" type="UTCTimestamp" description="Time when the OrderCancelReject was generated."/>
<field name="OrigSendingTime" id="122" type="UTCTimestamp" description="Conditionally populated if PossDupFlag=TRUE. The SendingTime of the original message."/>
<field name="TimeArrival" id="20008" type="UTCTimestamp" description="Time when the OrderCancelReject was received by MF."/>
<!-- 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="OrderID" description="The MF-assigned Identifier of the Order that was to be replaced or cancelled. Optional, but should really be populated in order to avoid the need for additonal internal lookups."/>
<field name="SecondaryOrderID" id="198" type="IDString" description="The Venue-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."/>
<field name="CxlRejReason" id="102" type="CxlRejReason"/>
<field name="Text" id="58" type="Text" description="Text string of format [MFAPI|VENUE]:[Text] - Extra information about the rejection, provided either by the MFAPI or by the Venue."/>
</sbe:message>
<sbe:message name="OrderTimeout" id="305" semanticType="U1" description="Sent by Venue to flag an Order for which no ExecutionReport was received within the Venue-defined time window.">
<!-- Session -->
<field name="MsgSeqNum" id="34" type="SeqNum"/>
<field name="PossDupFlag" id="43" type="TradingFlags" description="Indicates if this OrderTimeout may have already been processed (it is being resent)."/>
<field name="TransactTime" id="60" type="UTCTimestamp" description="Time when the OrderTimeout was generated."/>
<field name="OrigSendingTime" id="122" type="UTCTimestamp" description="Conditionally populated if PossDupFlag=TRUE. The SendingTime of the original message."/>
<field name="TimeArrival" id="20008" type="UTCTimestamp" description="Time when the OrderTimeout was received by MF."/>
<!-- Identification -->
<field name="ClOrdID" id="11" type="IDString" description="The ClOrdID of the timed-out Order."/>
<field name="OrderID" id="37" type="OrderID" description="The MF-assigned Identifier of the timed-out Order."/>
<field name="SecondaryOrderID" id="198" type="IDString" description="The Venue-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."/>
<field name="Text" id="58" type="Text" description="Text string of format [MFAPI|VENUE]:[Text] - Extra information about the timeout, provided either by the MFAPI or by the Venue."/>
</sbe:message>
<sbe:message name="ExecutionReport" id="306" semanticType="8" description="Maker/ECN responses for order actions and events.">
<!-- Session -->
<field name="MsgSeqNum" id="34" type="SeqNum"/>
<field name="PossDupFlag" id="43" type="TradingFlags" description="Indicates if this ExecutionReport may have already been processed (it is being resent)."/>
<field name="TransactTime" id="60" type="UTCTimestamp" description="Time when the ExecutionReport was generated."/>
<field name="OrigSendingTime" id="122" type="UTCTimestamp" description="Conditionally populated if PossDupFlag=TRUE. The SendingTime of the original message."/>
<field name="TimeArrival" id="20008" type="UTCTimestamp" description="Time when the ExecutionReport was received by MF."/>
<!-- Identification -->
<field name="OrderRequestID" id="2422" type="IDString" presence="optional" description="Conditionally populated if OrdType=PreviouslyQuoted. Used to associate Order with earlier Market Data (ESP) or Quote (RFS) messages, to aid support."/> <!--NOTE: FIX defines this tage as an int. -->
<field name="ClOrdID" id="11" type="IDString" description="The current ClOrdID of the Order. Can differ from the originally submitted value on the NewOrderMultileg if, for example, modifications have been made."/>
<field name="OrigClOrdID" id="41" type="IDString" description="The ClOrdID of the original value submitted on the NewOrderMultileg."/>
<field name="OrderID" id="37" type="OrderID" description="The MF-assigned Identifier of the Order."/>
<field name="SecondaryOrderID" id="198" type="IDString" description="The Maker/ECN-assigned Order ID."/>
<field name="ExecID" id="17" type="IDString" description="Unique identifier for this ExecutionReport."/>
<field name="ExecRefID" id="19" type="IDString" description="Conditionally populated when VenueType=CLOB and MatchStatus != Pending. Used to link back to the ExecutionReport of the Pending Match."/>
<!-- State -->
<field name="OrdType" id="40" type="OrdType"/>
<field name="TimeInForce" id="59" type="TimeInForce"/>
<field name="OrdStatus" id="39" type="OrdStatus" description="Defines the current state of the Order."/>
<field name="ExecType" id="150" type="ExecType"/>
<field name="MatchStatus" id="573" type="MatchStatus" description="Conditionally populated when VenueType=CLOB. The status of this Fill with respect to Order matching or comparison."/> <!-- Custom use of this tag. -->
<!-- Instrument -->
<field name="Symbol" id="55" type="Symbol" description="Symbol of requested Instrument."/>
<field name="SecurityType" id="167" type="SecurityType" description="1-legged (SPT, FWD, NDF), 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="TradeDate" id="75" type="LocalMktDate" description="Indicates date of trading day (expressed in local time at place of trade)."/>
<field name="LastSpotRate" id="194" type="PriceNULL" description="Conditionally required if SecurityType!=FUT AND ExecType=Trade. Spot Price on this (last) fill. LastSpotRate=LegLastPrice-LegLastForwardPoints."/>
<field name="MidPx" id="631" type="PriceNULL" description="Conditionally required if SecurityType!=FUT AND ExecType=Trade. Mid-Market Spot Price on this (last) fill."/><!-- Regulatory -->
<field name="Text" id="58" type="Text" description="Text string of format [MFAPI|VENUE]:[Text] - Extra information about the execution, provided either by the MFAPI or by the Venue."/>
<!-- Regulatory -->
<field name="RegulatoryBodies" id="20076" type="RegulatoryBodies" description="Bitmap field of 3 Boolean type Regulation elegibility flags"/>
<group name="BodyRegulatoryFields" id="20053" dimensionType="groupSizeEncoding" description="Conditionally populated if RegulatoryBodies=SEF/EMIR/MiFID(MTF)">
<field name="BodyRegulatoryKey" id="20054" type="BodyRegulatoryKey" description="Name of Regulatory field."/>
<field name="BodyRegulatoryValue" id="20055" type="RegulatoryValue" description="Value of Regulatory field."/>
</group>
<!-- Counterparties -->
<group name="NoPartyIDs" id="453" dimensionType="groupSizeEncoding" description="Order Origination/Execution counterparty details.">
<field name="PartyRole" id="452" type="PartyRole" description="Name of Party field."/>
<field name="PartyID" id="448" type="PartyString" description="Value of Party field."/>
</group>
<group name="NoLegs" id="555" dimensionType="groupSizeEncoding" description="One Leg per value date. At least one Leg must be specified.">
<field name="LegSide" id="624" type="Side"/>
<field name="LegCurrency" id="556" type="Currency" description="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 SecurityType!=FUT AND ExecType=Trade. Mid-Market All-in Price of Leg for this (last) fill."/><!-- Regulatory -->
<field name="LegLastPrice" id="637" type="PriceNULL" description="All-in Price of Leg for this last fill, if any. LegLastPrice=LastSpotRate + LegLastForwardPoints."/>
<field name="LegLastForwardPoints" id="1073" type="PriceNULL" description="Conditionally required if SecurityType!=FUT. FX forward points of Leg. May be a negative value. Zero if LegSettlType=SPT. LegLastForwardPoints=LegLastPrice-LastSpotRate."/>
<field name="LegOrderQty" id="685" type="DecimalQtyNULL" description="Required. Order quantity."/>
<field name="LegLastQty" id="1418" type="DecimalQtyNULL" description="Specifies the dealt amount for this Leg, if any."/>
<field name="LegCalculatedCcyLastQty" id="1074" type="DecimalQtyNULL" description="Conditionally required if SecurityType!=FUT. Specifies the contra amount for this (last) fill and Leg, if any. If LegCurrency is LHS then=LegLastQty*LegLastPx; if LegCurrency is RHS then=LegLastQty/LegLastPx (rounded arithmetically)."/>
<field name="LegCumQty" id="20061" type="DecimalQtyNULL" description="Total quantity filled on this Leg of the Order."/>
<field name="LegLeavesQty" id="20062" type="DecimalQtyNULL" description="Quantity remaining to execute on this Leg of the Order."/>
<field name="LegSettlType" id="587" type="TenorType" description="Specifies a standard Tenor for settlement."/>
<field name="LegSettlDate" id="588" type="LocalMktDate" presence="optional" description="Conditionally required if SettlType=BKN. Specifies the broken date for settlement."/>
<!-- NDF/NDS -->
<field name="LegMaturityDate" id="611" type="LocalMktDate" description="Conditionally required if SecurityType=NDF/NDS. Fixing Date."/>
<field name="LegSettlCurrency" id="675" type="Currency" description="Conditionally required if SecurityType=NDF/NDS. Specifies the fixing currency for NDF/NDSs."/>
<field name="FixingReference" id="20058" type="FixingReference" description="Conditionally required if SecurityType=NDF/NDS. Fixing Reference, should be the same as in the original QuoteRequest. Refer to [REF 360T RFS Maker, JPM Taker] for Venue-specific fixing reference strings."/>
<!-- Regulatory -->
<group name="LegRegulatoryFields" id="20063" dimensionType="groupSizeEncoding" description="Conditionally populated if RegulatoryBodies=SEF/EMIR/MiFID(MTF)">
<field name="LegRegulatoryKey" id="20064" type="LegRegulatoryKey" description="Name of Regulatory field."/>
<field name="LegRegulatoryValue" id="20065" type="RegulatoryValue" description="Value of Regulatory field."/>
</group>
<group name="NoLegAllocs" id="670" dimensionType="groupSizeEncoding" description="At least one Allocation must be specified per Leg.">
<field name="LegAllocAccount" id="671" type="PartyString" description="Account mnemonic."/>
<field name="LegAllocQty" id="671" type="DecimalQtyNULL" description="Quantity to be allocated to Account. Specified in terms of LegCurrency and LegSide (negative quantities allocate to the opposite side)."/>
<field name="LegAllocCalculatedCcyQty" id="20060" type="DecimalQtyNULL" description="Conditionally required if SecurityType!=FUT. Quantity to be allocated to Account, expressed in contra currency. Allocation direction expressed arithmetically ABS(SUM (LegAllocCalculatedCcyQty))=LegCalculatedCcyLastQty (but may be subject to accumulated rounding errors). If LegCurrency is LHS then=-LegAllocQty * LegLastPx; if LegCurrency is RHS then=-LegAllocQty / LegLastPx (rounded arithmetically)."/>
<!-- Regulatory -->
<group name="AllocRegulatoryFields" id="20050" dimensionType="groupSizeEncoding" description="Conditionally populated if RegulatoryBodies=SEF/EMIR/MiFID(MTF)">
<field name="AllocRegulatoryKey" id="20051" type="LegRegulatoryKey" description="Name of Regulatory field."/>
<field name="AllocRegulatoryValue" id="20052" type="RegulatoryValue" description="Value of Regulatory field."/>
</group>
</group>
<group name="PassthruFields" id="20073" dimensionType="groupSizeEncoding" description="To be used only to transport custom/non-normalisable Venue-specific attributes.">
<field name="PassthruKey" id="20074" type="PassthruKey" description="Venue-specific name of this element (e.g. Fix tag name)."/>
<field name="PassthruValue" id="20075" type="PassthruValue" description="Arbitrary value to be assigned to this element."/>
</group>
</group>
</sbe:message>
<sbe:message name="ExecutionAck" id="307" semanticType="BN" description="ECN response to Maker-sent ExecutionReport.">
<!-- Session -->
<field name="MsgSeqNum" id="34" type="SeqNum"/>
<field name="PossDupFlag" id="43" type="TradingFlags" description="Indicates if this ExecutionReport may have already been processed (it is being resent)."/>
<field name="TransactTime" id="60" type="UTCTimestamp" description="Time when the ExecutionReport was generated."/>
<field name="OrigSendingTime" id="122" type="UTCTimestamp" description="Conditionally populated if PossDupFlag=TRUE. The SendingTime of the original message."/>
<field name="TimeArrival" id="20008" type="UTCTimestamp" description="Time when the ExecutionReport was received by MF."/>
<!-- Identification -->
<field name="OrderRequestID" id="2422" type="IDString" presence="optional" description="Conditionally populated if OrdType=PreviouslyQuoted. Used to associate Order with earlier Market Data (ESP) or Quote (RFS) messages, to aid support."/> <!--NOTE: FIX defines this tage as an int. -->
<field name="ClOrdID" id="11" type="IDString" description="The current ClOrdID of the Order. Can differ from the originally submitted value on the NewOrderMultileg if, for example, edits have been made."/>
<field name="OrigClOrdID" id="41" type="IDString" description="The ClOrdID of the original NewOrderMultileg."/>
<field name="OrderID" id="37" type="OrderID" description="The MF assigned OrderID."/>
<field name="SecondaryOrderID" id="198" type="IDString" description="The OrderID assigned by the Maker/ECN."/>
<field name="ExecID" id="17" type="IDString" description="Unique identifier of the referenced ExecutionReport."/>
<!-- State -->
<field name="ExecAckStatus" id="1036" type="ExecAckStatus"/>
<!-- 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."/>
</sbe:message>
</sbe:messageSchema>
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