Application Messages By MsgType

Name Description
(6) Indication of Interest

Indication of interest (6) messages are used to market merchandise which the broker is buying or selling in either a proprietary or agency capacity. The indications can be time bound with a specific expiration value. Indications are distributed with the understanding that other firms may react to the message first and that the merchandise may no longer be available due to prior trade.

(7) Advertisement

Advertisement (7) messages are used to announce completed transactions. The Advertisement (7) message can be transmitted in various transaction types; NEW, CANCEL and REPLACE. All message types other than NEW modify the state of a previously transmitted advertisement identified in AdvRefID (3) .

(8) Execution Report

The Execution Report (8) message is used to:

  1. confirm the receipt of an order
  2. confirm changes to an existing order (i.e. accept cancel and replace requests)
  3. relay order status information
  4. relay fill information on working orders
  5. relay fill information on tradeable or restricted tradeable quotes
  6. reject orders
  7. report post-trade fees calculations associated with a trade
(9) Order Cancel Reject

The Order Cancel Reject (9) message is issued by the broker upon receipt of a Cancel Request (F) or Order Cancel/Replace Request (G) message which cannot be honored. Requests to change price or decrease quantity are executed only when an outstanding quantity exists. Filled orders cannot be changed (i.e quantity reduced or price change. However, the broker/sellside may support increasing the order quantity on a currently filled order).

(AA) Derivative Security List

The Derivative Security List (AA) message is used to return a list of securities that matches the criteria specified in a Derivative Security List Request (z) .

(AB) New Order - Multileg

The New Order - Multileg (AB) is provided to submit orders for securities that are made up of multiple securities, known as legs.

(AC) Multileg Order Cancel/Replace Request

Used to modify a multileg order previously submitted using the New Order - Multileg (AB) message. See Order Cancel/Replace Request (G) for details concerning message usage.

(AD) Trade Capture Report Request

The Trade Capture Report Request (AD) can be used to:

(AE) Trade Capture Report

The Trade Capture Report (AE) message can be:

  • Used to report trades between counterparties.
  • Used to report trades to a trade matching system
  • Can be sent unsolicited between counterparties.
  • Sent as a reply to a Trade Capture Report Request (AD) .
  • Can be used to report unmatched and matched trades.
(AF) Order Mass Status Request

The Order Mass Status Request (AF) message requests the status for orders matching criteria specified within the request.

(AG) Quote Request Reject

The Quote Request Reject (AG) message is used to reject Quote Request (R) messages for all quoting models.

(AH) RFQ Request

In tradeable and restricted tradeable quoting markets - Quote Requests are issued by counterparties interested in ascertaining the market for an instrument. Quote Requests are then distributed by the market to liquidity providers who make markets in the instrument. The RFQ Request (AH) is used by liquidity providers to indicate to the market for which instruments they are interested in receiving Quote Requests. It can be used to register interest in receiving quote requests for a single instrument or for multiple instruments

(AI) Quote Status Report

The Quote Status Report (AI) message is used:

(AJ) Quote Response

The Quote Response (AJ) message is used to respond to a Indication of Interest (6) message or Quote (S) message. It is also used to counter a Quote or end a negotiation dialog.

(AK) Confirmation

The Confirmation (AK) messages are used to provide individual trade level confirmations from the sell side to the buy side. In versions of FIX prior to version 4.4, this role was performed by the allocation message. Unlike the allocation message, the confirmation message operates at an allocation account (trade) level rather than block level, allowing for the affirmation or rejection of individual confirmations.

(AL) Position Maintenance Request

(AM) Position Maintenance Report

(AN) Request for Positions

(AO) Request for Positions Ack

(AP) Position Report

(AQ) Trade Capture Report Request Ack

The Trade Capture Request Ack (AQ) message is used to:

  • Provide an acknowledgement to a Trade Capture Report Request (AD) in the case where the Trade Capture Report Request (AD) is used to specify a subscription or delivery of reports via an out-of-band ResponseTransmissionMethod.
  • Provide an acknowledgement to a Trade Capture Report Request (AD) in the case when the return of the Trade Capture Reports matching that request will be delayed or delivered asynchronously. This is useful in distributed trading system environments.
  • Indicate that no trades were found that matched the selection criteria specified on the Trade Capture Report Request (AD)
  • The Trade Capture Request was invalid for some business reason, such as request is not authorized, invalid or unknown instrument, party, trading session, etc.

(AR) Trade Capture Report Ack

The Trade Capture Report Ack (AR) message can be:

  • Used to acknowledge trade capture reports received from a counterparty
  • Used to reject a trade capture report received from a counterparty
(AS) Allocation Report

Sent from sell-side to buy-side, sell-side to 3rd-party or 3rd-party to buy-side, the Allocation Report (Claim) (AS) provides account breakdown of an order or set of orders plus any additional follow-up front-office information developed post-trade during the trade allocation, matching and calculation phase. In versions of FIX prior to version 4.4, this functionality was provided through the Allocation Instruction (J) message. Depending on the needs of the market and the timing of "confirmed" status, the role of Allocation Report (AS) can be taken over in whole or in part by the Confirmation (AK) message.

(AT) Allocation Report Ack

The Allocation Report Ack (AT) message is used to acknowledge the receipt and status of an Allocation Report (AS) message.

(AU) Confirmation Ack

The Confirmation Ack (aka Affirmation) (AU) message is used to respond to a Confirmation (AK) message.

(AV) Settlement Instruction Request

The Settlement Instruction Request (AV) message is used to request standing settlement instructions from another party. This could be:

  • A buyside firm requesting standing instructions from a sellside firm.
  • A sellside firm requesting standing instructions from a buyside firm.
  • A sellside or buyside firm requesting standing instructions from a third party central static data database.
  • A third party central static data database requesting standing instructions from a sellside or buyside firm.

(AW) Assignment Report

Assignment Reports are sent from a clearing house to counterparties, such as a clearing firm as a result of the assignment process Communication Scenarios.

(AX) Collateral Request

An initiator that requires collateral from a respondent sends a Collateral Request (AX) . The initiator can be either counterparty to a trade in a two party model or an intermediary such as an ATS or clearinghouse in a three party model. A Collateral Assignment (AY) is expected as a response to a request for collateral.

(AY) Collateral Assignment

Used to assign collateral to cover a trading position. This message can be sent unsolicited or in reply to a Collateral Request (AX) message.

(AZ) Collateral Response

Used to respond to a Collateral Assignment (AY) message.

(B) News

The news (B) message is a general free format message between the broker and institution. The message contains flags to identify the news item's urgency and to allow sorting by subject company (symbol). The News (B) message can be originated at either the broker or institution side.

(BA) Collateral Report

Used to inquire for collateral status.

(BB) Collateral Inquiry

Used to report collateral status when responding to a Collateral Inquiry (BB) message.

(BC) Network (Counterparty System) Status Request

This message is send either immediately after logging on to inform a network (counterparty system) of the type of updates required or to at any other time in the FIX conversation to change the nature of the types of status updates required. It can also be used with a NetworkRequestType (935) of Snapshot to request a one-off report of the status of a network (or counterparty) system. Finally this message can also be used to cancel a request to receive updates into the status of the counterparties on a network by sending a Network Status Request (BC) message with a NetworkRequestType (935) of StopSubscribing.

(BD) Network (Counterparty System) Status Response

This message is sent in response to a Network (Counterparty System) Status Request (BC) message.

(BE) User Request

This message is used to initiate a user action, logon, logout or password change. It can also be used to request a report on a user's status.

(BF) User Response

This message is used to respond to a User Request (BE) message, it reports the status of the user after the completion of any action requested in the User Request (BE) message.

(BG) Collateral Inquiry Ack

Used to respond to a Collateral Inquiry (BB) in the following situations:

(BH) Confirmation Request

The Confirmation Request (BH) message is used to request a Confirmation (AK) message.

(C) Email

The Email (C) message is similar to the format and purpose of to the News (B) message, however, it is intended for private use between two parties.

(D) New Order - Single

The New Order (D) message type is used by institutions wishing to electronically submit securities and forex orders to a broker for execution.

(E) New Order - List

The New Order - List (E) Message can be used in one of two ways depending on which market conventions are being followed.

(F) Order Cancel Request

The Order Cancel Request (F) message requests the cancelation of all of the remaining quantity of an existing order. Note that the Order Cancel/Replace Request (G) should be used to partially cancel (reduce) an order.

(G) Order Cancel/Replace Request

The Order Cancel/Replace Request (G) is used to change the parameters of an existing order.

(H) Order Status Request

The Order Status Request (H) message is used by the institution to generate an order status message back from the broker.

(J) Allocation Instruction

The Allocation Instruction (J) message provides the ability to specify how an order or set of orders should be subdivided amongst one or more accounts. In versions of FIX prior to version 4.4, this same message was known as the Allocation message. Note in versions of FIX prior to version 4.4, the allocation message was also used to communicate fee and expense details from the Sellside to the Buyside. This role has now been removed from the Allocation Instruction (J) and is now performed by the new (to version 4.4) Allocation Report (AS) and Confirmation (AK) messages.,The Allocation Report (AS) message should be used for the Sell-side Initiated Allocation role as defined in previous versions of the protocol.

(K) List Cancel Request

The List Cancel Request (K) message type is used by institutions wishing to cancel previously submitted lists either before or during execution.

(L) List Execute

The List Execute (L) message type is used by institutions to instruct the broker to begin execution of a previously submitted list. This message may or may not be used, as it may be mirroring a phone conversation.

(M) List Status Request

The List Status Request (M) message type is used by institutions to instruct the broker to generate status messages for a list.

(N) List Status

The List Status (N) message is issued as the response to a List Status Request (M) message sent in an unsolicited fashion by the sell-side. It indicates the current state of the orders within the list as they exists at the broker's site. This message may also be used to respond to the List Cancel Request (K) .

(P) Allocation Instruction Ack

In versions of FIX prior to version 4.4, this message was known as the Allocation ACK message.

(Q) Don't Know Trade

The Don't Know Trade (DK) (Q) message notifies a trading partner that an electronically received execution has been rejected. This message can be thought of as an execution reject message.

(R) Quote Request

In some markets it is the practice to request quotes from brokers prior to placement of an order. The Quote Request (R) message is used for this purpose. This message is commonly referred to as an Request For Quote (RFQ) (AH) .

(S) Quote

The Quote (S) message is used as the response to a Quote Request (R) or a Quote Response (AJ) message in both indicative, tradeable, and restricted tradeable quoting markets.

(T) Settlement Instructions

The Settlement Instructions (T) message provides the broker's, the institution's, or the intermediary's instructions for trade settlement. This message has been designed so that it can be sent from the broker to the institution, from the institution to the broker, or from either to an independent "standing instructions" database or matching system or, for CIV, from an intermediary to a fund manager.

(V) Market Data Request

Some systems allow the transmission of real-time quote, order, trade, trade volume, open interest, and/or other price information on a subscription basis. A Market Data Request (V) is a general request for market data on specific securities or forex quotes.

(W) Market Data - Snapshot/Full Refresh

The Market Data messages are used as the response to a Market Data Request (V) message. In all cases, one Market Data message refers only to one Market Data Request (V) . It can be used to transmit a 2-sided book of orders or list of quotes, a list of trades, index values, opening, closing, settlement, high, low, or VWAP prices, the trade volume or open interest for a security, or any combination of these.

(X) Market Data - Incremental Refresh

The second Market Data message format is used for incremental updates. Market Data Entries may have an MDEntryID (278) unique among all currently active Market Data Entries so they can be referenced for the purposes of deleting and changing them later. When changing a Market Data Entry, it may keep the same MDEntryID (278) , in which case only MDEntryID (278) would be populated, or the MDEntryID (278) may change, in which case MDEntryID (278) will contain the new ID, and MDEntryRefID (280) will contain the ID of the Market Data Entry being changed. An MDEntryID (278) can be reused within a day only if it has first been deleted.

(Y) Market Data Request Reject

The Market Data Request Reject (Y) is used when the broker cannot honor the Market Data Request (V) , due to business or technical reasons. Brokers may choose to limit various parameters, such as the size of requests, whether just the top of book or the entire book may be displayed, and whether Full or Incremental updates must be used.

(Z) Quote Cancel

The Quote Cancel (Z) message is used by an originator of quotes to cancel quotes.

(a) Quote Status Request

The Quote Status Request (a) message is used for the following purposes in markets that employ tradeable or restricted tradeable quotes:

  • For the issuer of a quote in a market to query the status of that quote (using the QuoteID (117) to specify the target quote).
  • To subscribe and unsubscribe for Quote Status Report (AI) messages for one or more securities.
(b) Mass Quote Acknowledgement

Mass Quote Acknowledgement (b) is used as the application level response to a Mass Quote (i) message. The Mass Quote Acknowledgement (b) contains a field for reporting the reason in the event that the entire quote is rejected ( QuoteRejectReason (300) ). The Mass Quote Acknowledgement (b) also contains a field for each quote that is used in the event that the quote entry is rejected ( QuoteEntryRejectReason (368) ). The ability to reject an individual quote entry is important so that the majority of quotes can be successfully applied to the market instead of having to reject the entire Mass Quote (i) for a minority of rejected quotes.

(c) Security Definition Request

The Security Definition Request (c) message is used for the following:

  1. Request a specific Security to be traded with the second party. The request security can be defined as a multileg security made up of one or more instrument legs.
(d) Security Definition

The Security Definition (d) message is used for the following:

  1. Accept the security defined in a Security Definition (d) message.
  2. Accept the security defined in a Security Definition (d) message with changes to the definition and/or identity of the security.
  3. Reject the security requested in a Security Definition (d) message
(e) Security Status Request

The Security Status Request (e) message provides for the ability to request the status of a security. One or more Security Status (f) messages are returned as a result of a Security Status Request (e) message.

(f) Security Status

The Security Status (f) message provides for the ability to report changes in status to a security. The Security Status (f) message contains fields to indicate trading status, corporate actions, financial status of the company. The Security Status (f) message is used by one trading entity (for instance an exchange) to report changes in the state of a security.

(g) Trading Session Status Request

The Trading Session Status Request (g) is used to request information on the status of a market. With the move to multiple sessions occurring for a given trading party (morning and evening sessions for instance) there is a need to be able to provide information on what product is trading on what market.

(h) Trading Session Status

The Trading Session Status (h) provides information on the status of a market. With the move to multiple sessions occurring for a given trading party (morning and evening sessions for instance) there is a need to be able to provide information on what product is trading on what market.

(i) Mass Quote

The Mass Quote (i) message can contain quotes for multiple securities to support applications that allow for the mass quoting of an option series. Two levels of repeating groups have been provided to minimize the amount of data required to submit a set of quotes for a class of options (e.g. all option series for IBM).

(j) Business Message Reject

The Business Message Reject (j) message can reject an application-level message which fulfills session-level rules and cannot be rejected via any other means. Note if the message fails a session-level rule (e.g. body length is incorrect), a session-level Reject (3) message should be issued.

(k) Bid Request

The Bid Request (k) message can be used in one of two ways depending on which market conventions are being followed.

(l) Bid Response

The Bid Response (l) message can be used in one of two ways depending on which market conventions are being followed.

(m) List Strike Price

The Strike Price (m) message is used to exchange strike price information for principal trades. It can also be used to exchange reference prices for agency trades.

(n) XML message

The XML message (e.g. non-FIX MsgType) (n) is used to transmitting XML content which is not defined with a FIX MsgType. XML content is enclosed in a traditional "Tag=Value" FIX standard header via the standard header's XmlDataLen and XmlData fields and followed by the "Tag=Value" FIX standard trailer.

(o) Registration Instructions

The Registration Instructions (o) message type may be used by institutions or retail intermediaries wishing to electronically submit registration information to a broker or fund manager (for CIV) for an order or for an allocation.

(p) Registration Instructions Response

The Registration Instructions Response (p) message type may be used by broker or fund manager (for CIV) in response to a Registration Instructions (o) message submitted by an institution or retail intermediary for an order or for an allocation.

(q) Order Mass Cancel Request

The Order Mass Cancel Request (q) message requests the cancelation of all of the remaining quantity of a group of orders matching criteria specified within the request. NOTE: This message can only be used to cancel order messages (reduce the full quantity).

(r) Order Mass Cancel Report

The Order Mass Cancel Report (r) is used to acknowledge an Order Mass Cancel Request (q) . Note that each affected order that is canceled is acknowledged with a separate Execution Report (8) or Order Cancel Reject (9) message.

(s) New Order - Cross

Used to submit a cross order into a market. The cross order contains two order sides (a buy and a sell). The cross order is identified by its CrossID (548) .

(t) Cross Order Cancel/Replace Request

Used to modify a cross order previously submitted using the New Order - Cross (s) message. See Order Cancel/Replace Request (G) for details concerning message usage.

(u) Cross Order Cancel Request

Used to fully cancel the remaining open quantity of a cross order.

(v) Security Type Request

The Security Type Request (v) message is used to return a list of security types available from a counterparty or market.

(w) Security Types

The Security Types (w) message is used to return a list of security types available from a counterparty or market.

(x) Security List Request

The Security List Request (x) message is used to return a list of securities from the counterparty that match criteria provided on the request

(y) Security List

The Security List (y) message is used to return a list of securities that matches the criteria specified in a Security List Request (x) .

(z) Derivative Security List Request

The Derivative Security List Request (z) message is used to return a list of securities from the counterparty that match criteria provided on the request