Trade

DLTF operates FIX Trading Gateways which allow users to manage orders on their DLTF Account using FIX 4.4 messages.

Connection validation

In order to activate the fix protocol, you need to provide us with the public key of your certificate, which you will use every time you connect to the FIX server. Example of certificate generation:

$ openssl genrsa -out example.key 2048

$ openssl req -new -x509 -sha256 -key example.key -out example.crt -days 3650

In result you will have 2 files: example.key and example.crt. example.key must be used for encrypt TLS connection to FIX server. example.crt must be provided to DLTF for connection validation.

Environments

DLTF operates both Production and Test environments which can be connected to using FIX using the following connection parameters.

DLTF Digital Service	IP/DNS	Port	DLTF CompId	Client CompId
Test	fix.stage.dltm.quanttradingfactory.com	5000	STAGE_DLTF	<check details in client FIX settings>

Messages sizes

Inbound message size limit

The DLTF FIX Trading Gateways have a maximum inbound message limit of 8192 bytes. If a message is received which exceeds this size, the client will be logged off.

Outbound message size

The DLTF FIX Trading Gateway will never publish messages greater than 8192 bytes.

Recovery

FIX Session Recovery

The DLTF FIX Trading Gateways allow a client to recover the most recent 512 messages for a session using standard FIX message resend behaviour.

In the event of the DLTF FIX Gateway requesting a message re-send, the resent messages will be ignored to avoid out of date orders being placed into the market.

In some scenarios FIX session recovery is insufficient. Some examples would be:

• More than 512 messages are queued for a particular session. In this case only the most recent 512 messages will be available for replay using FIX session recovery.
• The DLTF FIX Trading Gateway that the session was running on fails. DLTF FIX Gateways do not support session failover. On reconnecting after a gateway failure, a client will be connected to a different gateway which will not have messages available for resending.
• Access is required to historic data which is no longer available in the current FIX Sesssion due to a sequence number reset.

In these scenarios it will be necessary to use Application Recovery as described below. It may be simpler to ignore FIX session recovery entirely and always use Application Recovery as it will work in all failure scenarios. If this option is chosen then tag 141 (ResetSeqNumFlag) should always be set to "Y" on the client Logon message.

Application Recovery

DLTF FIX Trading Gateways accept two messages to enable a client to reliably recover after a disconnection. These are:

Message Type	Description
Order Status Request	Allows a client to query the status of an Order.
Trade Capture Report Request	Allows a client to request historic trades.

Using these messages it is possible for a client to determine what trades occured on their Account during a disconnection and the current status of orders that were working at the time of the disconnection.

These messages may also be used to request historic data.

The sections on these two messages provide a detailed description on their usage.

Session Resetting

To reset a FIX Session the client must login with the tag 141 (ResetSeqNumFlag) set to 'Y'.

Cancel on Disconnect

DLTF supports cancel on disconnect on it's FIX Trading Gateways. This is controllable on a per Order basis using the Tag 18 (ExecInst) on the New Order Single (MsgType="D"). By default, orders placed via the FIX Trading Gateways will be cancelled on an explicit logout or an unexpected disconnection from the FIX Trading Gateway. To allow an order to continue working on the DLTF Order Book after the session is disconnected, the client must set Tag 18 (ExecInst) to "H" (Reinstate on System Failure).

Note that cancel on disconnect cannot be specified when a user is configured to trade on multiple accounts. In this case the user must always set Tag 18 (ExecInst) to "H" (Reinstate on System Failure).

Orders placed via the web channel (either the DLTF web trading user interface) will not be cancelled when a FIX Trading session logs out or is disconnected.

Compatibility

DLTF aims to maximise compatibility by using standard FIX messages, tags and usage conventions wherever possible.

Periodically, DLTF updates it's FIX specifications in response to changes to the core trading application. Usually these changes are to support additional features and wherever possible this will be achieved through the use of additional messages, tags in existing messages or tag values in existing tags. In order to minimise the impact of these sort of changes, DLTF recommends that the client application accepts messages with unrecognised tags and ignores those tags which it cannot interpret.

DLTF will always endeavor to contact clients prior to changing the FIX API particularly in the case where a change is breaking (i.e. not additive in nature).

Messages

Supported Messages

DLTF supports the following FIX message types.

Type	Name	Description
0	Heartbeat	Message sent during quite intervals on the connection to ensure that connection is still alive.
1	TestRequest	Message used to request a HeartBeat from the counterparty to allow round trip testing of the connection.
2	ResendRequest	Message used to request a replay of messages from the counter party.
3	Reject	Sent in response to a message which is structurally invalid (i.e. invalid or missing tag or ill-formed tag-value).
4	SequenceReset	SequenceReset.
5	Logout	Message used to terminate a FIX connection. Can be sent by the client or the DLTF FIX Gateway.
8	ExecutionReport	Messsage sent by the DLTF FIX Gateway which reports the change in status of a client's Order
9	OrderCancelReject	Message sent by the DLTF FIX Gateway when an OrderCancelRequest message cannot be successfully processed.
A	Logon	Message used to establish a connection between a client and the DLTF FIX Gateway.
D	NewOrderSingle	Message sent by the client to place a new order with DLTF.
F	OrderCancelRequest	Message sent by the client to cancel an existing order which is working on an DLTF order book.
H	OrderStatusRequest	Message sent by the client to request the state of an order.
AD	TradeCaptureReportRequest	Message sent by the client in order to request historic trades.
AE	TradeCaptureReport	Message sent by DLTF to report an historic trade.
AQ	TradeCaptureReportRequestAck	Message sent by DLTF in response to a Trade Capture Report Request message to confirm the success or failure of the request.

Standard Message Components

StandardHeader

Tag	Tag Name	Description	Required	Data Type
8	BeginString	The FIX version number identifier. Always 'FIX.4.4'	Y	String
9	BodyLength	Length of the FIX Message.	Y	Length
35	MsgType	The type of the message.	Y	String
49	SenderCompID	Identifier for the sender of the message.	Y	String
56	TargetCompID	Identifier for the receiver of the message.	Y	String
34	MsgSeqNum	The unique sequence number for the message within current FIX session.	Y	SeqNum
43	PossDupFlag	Always required for retransmitted messages, whether prompted by the sending system or as the result of a resend request. Set to 'Y' if this is a resent message.	N	Boolean
97	PossResend	Never used by DLTF.	N	Boolean
52	SendingTime	Time message was sent.	Y	UTCTimestamp
122	OrigSendingTime	Timestamp when message was originally sent. Required for message resent as a result of a ResendRequest.	N	UTCTimestamp

StandardTrailer

Tag	Tag Name	Description	Required	Data Type
10	CheckSum	Checksum for message contents.	Y	String

Instrument

Tag	Tag Name	Description	Required	Data Type
48	SecurityID	Must contain the DLTF orderbook id. (temporary not supported)	N	String
22	SecurityIDSource	Must contain the value '8' (Exchange Symbol) (temporary not supported)	N	String
55	Symbol	Ticker symbol with / as delimeter (example: BTC/EUR)	Y	String

OrderQtyData

Tag	Tag Name	Description	Required	Data Type
38	OrderQty	The number of contracts that an order is for.	Y	Qty

MiscFeesGrp

Tag	Tag Name	Description	Required	Data Type
136	NoMiscFees	Number of Fee fields provided in fees range. Must be 1.	Y	NumInGroup
137	MiscFeeAmt	Trade fee value.	Y	Qty
138	MiscFeeCurr	Trade fee currency.	Y	String
139	MiscFeeType	Indicates type of fee. Must be 8 (MARKUP)	Y	char
891	MiscFeeBasis	Defines the unit for a fee. Must be 0 (ABSOLUTE)	Y	int

TrdCapDtGrp

Tag	Tag Name	Description	Required	Data Type
580	NoDates	Number of Date fields provided in date range. Must be 2.	Y	NumInGroup
60	TransactTime	Start (First entry in repeating group)or end (Second entry in repeating group) timestamp of the period for which trades should be retrieved expressed in UTC.	Y	UTCTimestamp

TrdCapRptSideGrp

Tag	Tag Name	Description	Required	Data Type
552	NoSides	Number of Side repeating group instances. Valid values: 1 Contains information about the client Order which traded.	Y	NumInGroup
54	Side	Side of the order. Valid values: 1 = Buy 2 = Sell	Y	char
37	OrderID	Unique identifier for Order as assigned by DLTF. Unique over all time and orderbooks	Y	String
11	ClOrdID	The client supplied identifier for the order.	N	String
1	Account	The DLTF Account Id on which the trade occurred	N	String

Message Descriptions

Heartbeat

Message sent during quite intervals on the connection to ensure that connection is still alive.

Tag	Tag Name	Description	Required	Data Type
StandardHeader			Y	MsgType= 0
112	TestReqID	Required when the heartbeat is the result of a Test Request message.	N	String
StandardTrailer			Y

TestRequest

Message used to request a HeartBeat from the counterparty to allow round testing trip of the connection.

Tag	Tag Name	Description	Required	Data Type
StandardHeader			Y	MsgType= 1
112	TestReqID	Identifier included in Test Request message to be returned in resulting Heartbeat	Y	String
StandardTrailer			Y

ResendRequest

Message used to request a replay of messages from the counter party.

Tag	Tag Name	Description	Required	Data Type
StandardHeader			Y	MsgType= 2
7	BeginSeqNo	Message sequence number of first message in range to be resent	Y	SeqNum
16	EndSeqNo	Message sequence number of last message in range to be resent. If request is for a single message BeginSeqNo (7) = EndSeqNo. If request is for all messages subsequent to a particular message, EndSeqNo = “0” (representing infinity).	Y	SeqNum
StandardTrailer			Y

Reject

Sent in response to a message which is structurally invalid (i.e. invalid or missing tag or ill-formed tag-value).

Tag	Tag Name	Description	Required	Data Type
StandardHeader			Y	MsgType= 3
45	RefSeqNum	MsgSeqNum of rejected message	Y	SeqNum
371	RefTagID	The tag number of the FIX field being referenced.	N	int
372	RefMsgType	The MsgType of the FIX message being referenced.	N	String
373	SessionRejectReason	Code to identify reason for a session-level Reject message.	N	int
58	Text	Where possible, message to explain reason for rejection	N	String
StandardTrailer			Y

SequenceReset

SequenceReset

Tag	Tag Name	Description	Required	Data Type
StandardHeader			Y	MsgType= 4
123	GapFillFlag	Indicates that the Sequence Reset message is replacing administrative or application messages which will not be resent. Valid values: Y = Gap Fill message, MsgSeqNum field valid N = Sequence Reset, ignore MsgSeqNum	N	Boolean
36	NewSeqNo	New sequence number	Y	SeqNum
StandardTrailer			Y

Logout

Message used to terminate a FIX connection. Can be sent by the client or the DLTF FIX Gateway.

Tag	Tag Name	Description	Required	Data Type
StandardHeader			Y	MsgType= 5
58	Text	If DLTF logs out a client this may contain a text description for the reason for the logout.	N	String
StandardTrailer			Y

ExecutionReport

Messsage sent by the DLTF FIX Gateway which reports the change in status of a client's Order

Tag	Tag Name	Description	Required	Data Type
StandardHeader			Y	MsgType= 8
37	OrderID	The unique identifier allocated by DLTF for the order whose execution is being reported.	Y	String
11	ClOrdID	The client supplied identifier for the order whose execution is being reported.	N	String
41	OrigClOrdID	Conditionally required for response to an electronic Cancel or Cancel request (ExecType=PendingCancel or Canceled). ClOrdID of the previous accepted order (NOT the initial order of the day) when canceling or replacing an order.	N	String
790	OrdStatusReqID	Required if responding to and if provided on the Order Status Request message. Echo back the value provided by the requester.	N	String
17	ExecID	The unique identifier allocated by DLTF Broker to the ExecutionReport message.	Y	String
150	ExecType	Describes the type of execution being reported by this ExecutionReport message.	Y	char
39	OrdStatus	Describes the current state of a chain of orders.	Y	char
103	OrdRejReason	For use with ExecType = 8 (Rejected). Contains the reason for the rejection.	N	int
1	Account	Contains the DLTF Account Id for the account on which the order was placed.	N	String
Instrument			Y
54	Side	Side of the order. Valid values: 1 = Buy 2 = Sell	Y	char
OrderQtyData			Y
40	OrdType	Order type. DLTF Supported values: 1 = Market 2 = Limit	N	char
44	Price	Present if specified on the order	N	Price
59	TimeInForce	Specifies how long the order remains in effect. Valid values: 1 = Good Till Cancel (GTC)	N	char
32	LastQty	Quantity of contracts bought/sold on this fill. Will be present if ExecType = Trade.	N	Qty
31	LastPx	Price of this (last) fill.	N	Price
151	LeavesQty	Quantity open for further execution.	Y	Qty
14	CumQty	Currently executed quantity for chain of orders.	Y	Qty
6	AvgPx	Average fill price for the chain of orders. Rounded down to the nearest price increment.	Y	Price
60	TransactTime	Time the transaction represented by this ExecutionReport occurred	N	UTCTimestamp
58	Text	Free format text string (Note: this field does not have a specified maximum length)	N	String
1101	CustomTag	Represent best bid price of orderbook on moment of trade execution (will be represented on ExecutionReport with ExecType = F (Trade)	N	String
1102	CustomTag	Represent best ask price of orderbook on moment of trade execution (will be represented on ExecutionReport with ExecType = F (Trade)	N	String
1103	CustomTag	Represent average value between best bid and best ask prices on moment of trade execution (will be represented on ExecutionReport with ExecType = F (Trade)	N	String
1104	CustomTag	Represent value of cumulative order fees on moment of trade execution (will be represented on ExecutionReport with ExecType = F (Trade)	N	String
MiscFeesGrp			Y
StandardTrailer			Y

OrderCancelReject

Message sent by the DLTF FIX Gateway when an OrderCancelRequest message cannot be successfully processed.

Tag	Tag Name	Description	Required	Data Type
StandardHeader			Y	MsgType= 9
37	OrderID	The OrderId of the Order which failed to be cancelled. If CxlRejReason=”Unknown order” this will be “NONE”.	Y	String
11	ClOrdID	The client supplied identifier for the cancel request.	Y	String
41	OrigClOrdID	ClOrdID which could not be canceled. ClOrdID of the previous accepted order (NOT the initial order of the day) when canceling or replacing an order.	Y	String
39	OrdStatus	OrdStatus value after this cancel reject is applied. If (102) = "Unknown Order", specify Rejected.	Y	char
1	Account	The DLTF Account Id on which the Cancel was attempted.	N	String
434	CxlRejResponseTo	Identifies the type of request that a Cancel Reject is in response to. DLTF Supported values: 1 = Order Cancel Request (F)	Y	char
102	CxlRejReason	Code to identify reason for cancel rejection. Valid values: 1 = Unknown order 2 = Broker / Exchange Option	N	int
58	Text	Free format text string (Note: this field does not have a specified maximum length)	N	String
StandardTrailer			Y

Logon

The Logon message must be the first message Client sends after establishing a TCP connection on the port agreed upon with DLTF. Client must wait for a Logon from DLTF before sending other messages and beginning gap fill operations.

Password is represented as ed25519 signature of [payload].

Payload is composed of the following fields:

MsgSeqNum SENDERCOMPID TARGETCOMPID API_KEY NONCE

The nonce is integer (recommend to use nanoseconds timestamp), always increasing value.

Example:

payload := fmt.Sprintf("%d%s%s%s%d", seqNum, sender, target, pubKeyHex, time.Now().UnixNano()) signatureRaw := ed25519.Sign(privateKey, []byte(payload)) signatureHex := hex.EncodeToString(signatureRaw)

Tag	Tag Name	Description	Required	Data Type
StandardHeader			Y	MsgType= A
98	EncryptMethod	Always '0' - None	Y	int
108	HeartBtInt	The maximum time to wait before a Heartbeat message is sent in the absence of other activity on the connection. The same value is used by both parties.	Y	int
141	ResetSeqNumFlag	Indicates both sides of a FIX session should reset sequence numbers	N	Boolean
553	Username	API Token public key in HEX format. This is required on the login message sent by the client	Y	String
554	Password	Signature in HEX format. This is required on the login message sent by the client	Y	String
5025	Nonce	Time in ms since epoch as string. (This will be used in password generation and check)	Y	String
StandardTrailer			Y

NewOrderSingle

Message sent by the client to place a new order with DLTF.

Tag	Tag Name	Description	Required	Data Type
StandardHeader			Y	MsgType= D
11	ClOrdID	The client supplied identifier for the order.	Y	String
100	ExDestination	Execution destination as defined by DLTF when order is entered.	Y	Exchange
Instrument			Y
1	Account	The DLTF Account ID on which to place the new order. If not specified then the user's default account will be used.	N	String
54	Side	Side of the order. Valid values: 1 = Buy 2 = Sell	Y	char
18	ExecInst	Instructions for order handling on exchange trading floor. If more than one instruction is applicable to an order, this field can contain multiple instructions separated by space. Valid values: H = Reinstate on System Failure (Do not cancel on disconnect) Q = Cancel on System Failure (Cancel on disconnect)	N	MultipleStringValue
60	TransactTime	Time this rder request was initiated/released by the trader, trading system, or intermediary. Ignored by DLTF.	Y	UTCTimestamp
OrderQtyData			Y
40	OrdType	Order type.DLTF Supported values: 1 = Market 2 = Limit	Y	char
44	Price	Required for Limit OrdTypes.	N	Price
StandardTrailer			Y

OrderCancelRequest

Message sent by the client to cancel an existing order which is working on an DLTF order book.

Tag	Tag Name	Description	Required	Data Type
StandardHeader			Y	MsgType= F
41	OrigClOrdID	ClOrdID of the previous non-rejected order (NOT the initial order of the day) when canceling or replacing an order.	Y	String
1	Account	The DLTF Account ID on which to attempt to cancel the order. If not specified then the user's default account will be used.	N	String
11	ClOrdID	The client supplied identifier for the order.	Y	String
Instrument			Y
54	Side	Side of the order.Valid values: 1 = Buy 2 = Sell	N	char
60	TransactTime	Time this order request was initiated/released by the trader or trading system.	Y	UTCTimestamp
OrderQtyData			Y
StandardTrailer			Y

OrderStatusRequest

Message sent by the client to request the state of an order. Note that orders that were rejected for whatever reason will be reported as an unknown order.

Tag	Tag Name	Description	Required	Data Type
StandardHeader			Y	MsgType= H
11	ClOrdID	The ClOrdID of the order whose status is being requested.	Y	String
1	Account	The DLTF Account ID on which the order whose state is being requested was placed. If not specified then the user's default account will be used.	N	String
790	OrdStatusReqID	Optional, can be used to uniquely identify a specific Order Status Request message. Echoed back on Execution Report if provided. restricted to a maximum of 16 hexadecimal characters with no leading 0 characters (essentially this is a 64bit number).	N	String
Instrument			Y
54	Side	Side of the order. Valid values: 1 = Buy 2 = Sell	Y	char
StandardTrailer			Y

TradeCaptureReportRequest

The Trade Capture Report Request message is used by the client to request historic trades. In order to request historic trades the client provides the period of time for which trades are being requested. The period is specified using a start and end time. The gateway will response in one of the following ways: Scenario|Response An invalid request is made such as the start time is after the end time|The gateway sends a Trade Capture Report Request Ack message with the following tags set:

• Tag 749 (TradeRequestResult): 99 (Other)
• Tag 750 (TradeRequestStatus): 2 (Rejected)
• Tag 58 (Text): contains an error message.

There are no trades in the requested period.|The gateway sends a Trade Capture Report Request Ack message with the following tags set:

• Tag 748 (TotNumTradeReports): set to 0. Note that this is the only scenario in which this tag will be present in the Trade Capture Report Request Ack.
• Tag 749 (TradeRequestResult): 0 (Successful)
• Tag 750 (TradeRequestStatus): 0 (Accepted)

There are trades in the requested period.|The gateway sends a Trade Capture Report Request Ack message with the following tags set:

• Tag 749 (TradeRequestResult): 0 (Successful)
• Tag 750 (TradeRequestStatus): 0 (Accepted)

followed by a Trade Capture Report message for each Trade in the requested period. The last Trade Capture Report will have tag 912 (LastRptRequested) will be set to "Y".

Tag	Tag Name	Description	Required	Data Type
StandardHeader			Y	MsgType= AD
568	TradeRequestID	Trade Capture Report Request ID. Must be unique string while a request is active.	Y	String
569	TradeRequestType	Type of Trade Capture Report. DLTF supported values: 1 = Matched trades matching Criteria provided on request	Y	int
263	SubscriptionRequestType	Used to subscribe / unsubscribe for trade capture reports.DLTF supported values: 0 = Snapshot	N	char
1	Account	The DLTF Account Id whose trades to request.	N	String
TrdCapDtGrp			Y
StandardTrailer			Y

TradeCaptureReport

Tag	Tag Name	Description	Required	Data Type
StandardHeader			Y	MsgType= AE
568	TradeRequestID	Trade Capture Report Request ID as provided in the Trade Capture Report Request.	N	String
912	LastRptRequested	Indicates if this is the last report in the response to a Trade Capture Report Request Y = Last message N = Not last message	N	Boolean
17	ExecID	Execution ID (Trade Identifier) as assigned by the DLTF Broker as reported on the original Execution Report (MsgType=8) message.	N	String
Instrument			Y
32	LastQty	Trade quantity.	Y	Qty
31	LastPx	Trade price.	Y	Price
75	TradeDate	Trade date on which the trade occurred.	Y	LocalMktDate
60	TransactTime	Time the transaction represented by this Trade Capture Report occurred to millisecond resolution	Y	UTCTimestamp
TrdCapRptSideGrp			Y
StandardTrailer			Y

TradeCaptureReportRequestAck

Tag	Tag Name	Description	Required	Data Type
StandardHeader			Y	MsgType= AQ
568	TradeRequestID	Trade Capture Report Request ID as provided in the Trade Capture Report Request.	Y	String
569	TradeRequestType	Type of Trade Capture Report. DLTF supported values: 1 = Matched trades matching Criteria provided on request	Y	int
263	SubscriptionRequestType	Used to subscribe / unsubscribe for trade capture reports.DLTF supported values: 0 = Snapshot	N	char
748	TotNumTradeReports	Total number of trade reports returned. Will only be set when no trades were found for the requested criteria when it's value will be 0.	N	int
749	TradeRequestResult	Result of Trade Request. DLTF Supported values: 0 = Successful (Default) 99 = Other	Y	int
750	TradeRequestStatus	Status of Trade Request. DLTF Supported values: 0 = Accepted 2 = Rejected	Y	int
58	Text	Contains error message when Trade Capture Report Request is rejected.	N	String
StandardTrailer			Y

Tags

Tag	Tag Name	Type	Description
1	Account	String	The DLTF Account ID. If not specified then the user's default account will be used.
6	AvgPx	Price	Calculated average price of all fills on this order.
7	BeginSeqNo	SeqNum	Message sequence number of first message in range to be resent
8	BeginString	String	Identifies beginning of new message and protocol version. ALWAYS FIRST FIELD IN MESSAGE. (Always unencrypted). Valid values: FIX.4.4
9	BodyLength	Length	Message length, in bytes, forward to the CheckSum field. ALWAYS SECOND FIELD IN MESSAGE. (Always unencrypted)
10	CheckSum	String	Three byte, simple checksum (see Volume 2: “Checksum Calculation” for description). ALWAYS LAST FIELD IN MESSAGE; i.e. serves, with the trailing <SOH>, as the end-of-message delimiter. Always defined as three characters. (Always unencrypted)
11	ClOrdID	String	The client supplied identifier for the order. Must be unique for all currently working order. If a new order is received with the same ClOrdId as a currently working order then the new order will be rejected.
14	CumQty	Qty	Total quantity (e.g. number of shares) filled.
16	EndSeqNo	SeqNum	Message sequence number of last message in range to be resent. If request is for a single message BeginSeqNo (7) = EndSeqNo. If request is for all messages subsequent to a particular message, EndSeqNo = “0” (representing infinity).
17	ExecID	String	Unique identifier of execution message as assigned by DLTF. Unique over all time.
18	ExecInst	MultipleStringValue	Instructions for order handling on exchange trading floor. If more than one instruction is applicable to an order, this field can contain multiple instructions separated by space. Valid values: H = Reinstate on System Failure (Do not cancel on disconnect) Q = Cancel on System Failure (Cancel on disconnect)
22	SecurityIDSource	String	Identifies class or source of the SecurityID (48) value. Required if SecurityID is specified. DLTF Supported values are: 8 = Exchange Symbol
31	LastPx	Price	Price of this (last) fill.
32	LastQty	Qty	Quantity of contracts bought/sold on this fill.
34	MsgSeqNum	SeqNum	Integer message sequence number.
35	MsgType	String	Defines message type ALWAYS THIRD FIELD IN MESSAGE. (Always unencrypted) Valid values: *** Note the use of lower case letters *** 0 = Heartbeat 1 = Test Request 2 = Resend Request 3 = Reject 4 = Sequence Reset 5 = Logout 8 = Execution Report 9 = Order Cancel Reject A = Logon D = Order – Single F = Order Cancel Request
36	NewSeqNo	SeqNum	New sequence number
37	OrderID	String	Unique identifier for Order as assigned by DLTF. Unique over all time and orderbooks
38	OrderQty	Qty	Quantity of contracts ordered.
39	OrdStatus	char	Identifies current status of order. DLTF supported values: 0 = New 1 = Partially filled 2 = Filled 4 = Canceled 8 = Rejected
40	OrdType	char	Order type. DLTF Supported values: 1 = Market 2 = Limit
41	OrigClOrdID	String	ClOrdID of the previous order. Used to identify the previous order in cancel requests.
43	PossDupFlag	Boolean	Indicates possible retransmission of message with this sequence number. Valid values: Y = Possible duplicate N = Original transmission
44	Price	Price	Price per unit of quantity
45	RefSeqNum	SeqNum	Reference message sequence number
48	SecurityID	String	DLTF Security identifier. Requires SecurityIDSource=8.
49	SenderCompID	String	Assigned value used to identify firm sending message.
52	SendingTime	UTCTimestamp	Time of message transmission (always expressed in UTC (Universal Time Coordinated, also known as “GMT”)
54	Side	char	Side of the order. Valid values: 1 = Buy 2 = Sell
55	Symbol	String	Ticker symbol
56	TargetCompID	String	Assigned value used to identify receiving firm.
58	Text	String	Free format text string (Note: this field does not have a specified maximum length)
59	TimeInForce	char	Specifies how long the order remains in effect. Valid values: 1 = Good Till Cancel (GTC)
60	TransactTime	UTCTimestamp	Time of execution/order creation (expressed in UTC (Universal Time Coordinated, also known as “GMT”)
64	SettlDate	LocalMktDate	Specific date of trade settlement (SettlementDate) in YYYYMMDD format.
75	TradeDate	LocalMktDate	Indicates date of trade referenced in this message in YYYYMMDD format. Absence of this field indicates current day (expressed in local time at place of trade).
89	Signature	data	Electronic signature
93	SignatureLength	Length	Number of bytes in signature field.
95	RawDataLength	Length	Number of bytes in raw data field.
96	RawData	data	Unformatted raw data, can include bitmaps, word processor documents, etc.
97	PossResend	Boolean	Indicates that message may contain information that has been sent under another sequence number.Valid Values: Y=Possible resend N=Original transmission DLTF will never populate this tag with any value other than 'N' on messages sent by DLTF. DLTF will ignore this tag on any messages received by DLTF and the treat the message as having been sent with PossResend='N'.
98	EncryptMethod	int	Method of encryption. Valid values: 0 = None / other DLTF does not support encryption at the FIX layer. All messages are sent over an SSL encrypted connection. Supported values:
100	ExDestination	Exchange	Execution destination as defined by DLTF when order is entered.
102	CxlRejReason	int	Code to identify reason for cancel rejection. Valid values: 1 = Unknown order 2 = Broker / Exchange Option
103	OrdRejReason	int	Code to identify reason for order rejection. Valid values: 0 = Broker / Exchange option 1 = Unknown symbol 2 = Exchange closed 3 = Order exceeds limit 4 = Too late to enter 5 = Unknown Order 6 = Duplicate Order (e.g. duplicate ClOrdID ()) 7 = Duplicate of a verbally communicated order 8 = Stale Order 9 = Trade Along required 10 = Invalid nvestor ID 11 = Unsupported order characteristic 12 = Surveillence Option 13 = Incorrect quantity 14 = Incorrect allocated quantity 15 = Unknown account(s) 99 = Other Note: Values 3, 4, and 5 will be used when rejecting an order due to pre-allocation information errors.
108	HeartBtInt	int	Heartbeat interval (seconds)
112	TestReqID	String	Identifier included in Test Request message to be returned in resulting Heartbeat
122	OrigSendingTime	UTCTimestamp	Original time of message transmission (always expressed in UTC (Universal Time Coordinated, also known as “GMT”) when transmitting orders as the result of a resend request.
123	GapFillFlag	Boolean	Indicates that the Sequence Reset message is replacing administrative or application messages which will not be resent.Valid values: Y = Gap Fill message, MsgSeqNum field valid N = Sequence Reset, ignore MsgSeqNum
141	ResetSeqNumFlag	Boolean	Indicates that the both sides of the FIX session should reset sequence numbers.Valid values: Y = Yes, reset sequence numbers N = No
146	NoRelatedSym	NumInGroup	Specifies the number of repeating symbols specified.
150	ExecType	char	Describes the specific ExecutionRpt (i.e. Pending Cancel) while OrdStatus (39) will always identify the current order status (i.e. Partially Filled) Valid values: 0 = New 4 = Canceled 8 = Rejected F = Trade (partial fill or fill) I = Order Status
151	LeavesQty	Qty	Quantity open for further execution. If the OrdStatus (39) is Canceled or Rejected (in which case the order is no longer active) then LeavesQty could be 0, otherwise LeavesQty = OrderQty (38) – CumQty (4).
263	SubscriptionRequestType	char	Subscription Request Type DLTF supported values: 0 = Snapshot
354	EncodedTextLen	Length	Unused by DLTF. Byte length of encoded (non-ASCII characters) EncodedText (355) field.
355	EncodedText	data	Unused by DLTF. Encoded (non-ASCII characters) representation of the Text (58) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the Text field.
371	RefTagID	int	The tag number of the FIX field being referenced.
372	RefMsgType	String	The MsgType (35) of the FIX message being referenced.
373	SessionRejectReason	int	Code to identify reason for a session-level Reject message. Valid values: 0 = Invalid tag number 1 = Required tag missing 2 = Tag not defined for this message type 3 = Undefined Tag 4 = Tag specified without a value 5 = Value is incorrect (out of range) for this tag 6 = Incorrect data format for value 7 = Decryption problem 8 = Signature problem 9 = CompID problem 10 = SendingTime accuracy problem 11 = Invalid MsgType 12 = XML Validation error 13 = Tag appears more than once 14 = Tag specified out of required order 15 = Repeating group fields out of order 16 = Incorrect NumInGroup count for repeating group 17 = Non “data” value includes field delimiter (SOH character) 99 = Other
383	MaxMessageSize	Length	Maximum number of bytes supported for a single message.
384	NoMsgTypes	NumInGroup	Number of MsgTypes (35) in repeating group.
385	MsgDirection	char	Specifies the direction of the messsage. Valid values: S = Send R = Receive
434	CxlRejResponseTo	char	Identifies the type of request that a Cancel Reject is in response to.DLTF Supported values: 1 = Order Cancel Request (F)
464	TestMessageIndicator	Boolean	Not supported by DLTF.
552	NoSides	NumInGroup	Number of Side repeating group instances. Valid values: 1 = one side 2 = both sides
553	Username	String	DLTF username. This is required on the login message sent by the client
554	Password	String	DLTF Password or passphrase. This is required on the login message sent by the client
568	TradeRequestID	String	Trade Capture Report Request ID. Must be unique string while a request is active
569	TradeRequestType	int	Type of Trade Capture Report. DLTF supported values: 1 = Matched trades matching Criteria provided on request
580	NoDates	NumInGroup	Number of Date fields provided in date range
748	TotNumTradeReports	int	Total number of trade reports returned. Will only be set when no trades were found for the requested criteria when it's value will be 0.
749	TradeRequestResult	int	Result of Trade Request DLTF Supported values: 0 = Successful (Default) 99 = Other
750	TradeRequestStatus	int	Status of Trade Request.DLTF Supported values: 0 = Accepted 2 = Rejected
789	NextExpectedMsgSeqNum	SeqNum	Not supported by DLTF.
790	OrdStatusReqID	String	Can be used to uniquely identify a specific Order Status Request message.
912	LastRptRequested	Boolean	Indicates whether this message is that last report message in response to a request, such as Order Mass Status Request. Y = Last message N = Not last message
1101	Custom tag: top of orderbook bid price	String	Represent best bid price of orderbook on moment of trade execution
1102	Custom tag: top of orderbook ask price	String	Represent best ask price of orderbook on moment of trade execution
1103	Custom tag: avg value between 1101 and 1102	String	Represent average value between best bid and best ask prices on moment of trade execution
1104	Custom tag: total order fees	String	Represent value of cumulative order fees on moment of trade execution

Data Types

Data Type	Description
Boolean	char field containing one of two values: 'Y' = True/Yes 'N' = False/No
char	Char value, can include any alphanumeric character or punctuation except the delimiter. All char fields are case sensitive (i.e. l != L).
data	Binary (non-ASCII) data.
int	Sequence of digits without commas or decimals and optional sign character (ASCII characters - and 0 - 9). The sign character utilizes one byte (i.e. positive int is 99999 while negative int is -99999). Note that int values may contain leading zeros (e.g. 00023 = 23).
Length	Representing the length in bytes. Value must be positive.
NumInGroup	Value that represents the number of repeating values in a group.
Price	Value representing a price. Note the number of decimal places may vary.
Qty	Value capable of storing either a whole number (no decimal places) of shares (securities denominated in whole units) or a decimal value containing decimal places for non-share quantity asset classes (securities denominated in fractional units).
SeqNum	Representing a message sequence number. Value must be positive.
String	Alpha-numeric free format strings; can include any character or punctuation except the delimiter. All char fields are case sensitive (i.e. dltf != DLTF).
UTCTimestamp	Representing Time/date combination represented in UTC (Universal Time Coordinated, also known as GMT ) only accepted in this format : YYYYMMDD-HH:MM:SS (whole seconds). For example 20120321-17:15:03.