Term
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Definition
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Term
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Definition
| AvgPrice - avg price of all fills on this order |
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Term
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Definition
| begin string - always 1st field in message |
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Term
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Definition
| body lenghth - message lenth in bytes, always 2nd field in message |
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Term
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Definition
| CheckSum - 3 bytes, Always last field in message |
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Term
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Definition
| ClOrdID - unique for FIX Session and within 24 hour period therefore it is advisable to prefix with date i.e. YYYYMMDD. Maximum length 30 |
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Term
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Definition
| CumQty - total # of shares filled |
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Term
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Definition
| ExecID - unique identifier of the fill |
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Term
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Definition
| HandlInst - instructions for order handling on Broker trading floor |
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Term
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Definition
| LastMkt - market execution for last fill |
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Term
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Definition
| LastPx - last price of this (last) fill |
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Term
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Definition
| LastShares - # of shares bought/sold on this (last) fill |
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Term
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Definition
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Term
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Definition
| MsgType - type of message, always 3rd field in message |
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Term
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Definition
| OrderID - Assigned by sell-side. Uniqueness must be guaranteed within a single trading day. |
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Term
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Definition
| OrderQty - # of shares ordered |
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Term
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Definition
| OrderStatus - status of the order - new, filled, cancelled, etc |
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Term
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Definition
OrdType
1 = market
2 = limit
3 = stop |
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Term
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Definition
| OrigClOrdID - Client Order ID of the previous order, not the initial order of the day |
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Term
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Definition
| PossDupFlag - we reject any orders sent with value of =Y. |
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Term
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Definition
| Price - price per share or contract |
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Term
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Definition
| SecurityID - CUSIP or alternate security identifier |
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Term
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Definition
| SenderCompID - identifies firm sending message |
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Term
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Definition
| SenderSubID - identifies specific message originator (desk, trader, etc) |
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Term
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Definition
| SendingTime - GMT time stamp |
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Term
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Definition
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Term
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Definition
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Term
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Definition
| TargetCompID - identifies sending firm |
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Term
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Definition
| TargetSubID - identifies specific individual or unit intended to receive message |
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Term
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Definition
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Term
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Definition
| time in force - specifies how long the order remains in the market |
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Term
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Definition
| TransactTime - time of order creation/execution in GMT |
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Term
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Definition
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Term
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Definition
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Term
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Definition
| MaxFloor - max # of shares to be shown on the exchange floor at any given time |
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Term
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Definition
| OnBehalfOfCompID - identifies firm originating message if the message was delivered by a third party |
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Term
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Definition
| OnBehalfOfSubID - Assigned value used to identify firm originating message if the message was delivered by a third party |
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Term
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Definition
| DeliverToCompID - identifies firm targeted to receive the message if the message is delivered by a third party |
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Term
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Definition
| DeliverToSubID - Assigned value used to identify specific message recipient (i.e. trader) if the message is delivered by a third party |
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Term
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Definition
| ResetSeqNumFlag - Indicates that the both sides of the FIX session should reset sequence numbers. |
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Term
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Definition
| ExecType - Describes the specific ExecutionRpt (i.e. Pending Cancel) while OrdStatus (tag 39) will always identify the current order status |
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Term
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Definition
| LeavesQty - # shares open for further execution |
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Term
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Definition
| SecurityType - FUT or OPT |
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Term
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Definition
| MaturityMonthYear - used for standardized futures and options |
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Term
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Definition
PutOrCall
0 = Putt
1 = Call |
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Term
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Definition
| StrikePrice - strike price for an option |
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Term
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Definition
| MaturityDay - used in conjunction with MaturityMonthYear |
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Term
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Definition
| SecurityExchange - market used to identify security |
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Term
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Definition
| LastMsgSeqNumProcessed - The last MsgSeqNum value received by the FIX engine and processed by downstream application, such as trading engine or order routing system. Can be specified on every message sent. Useful for detecting a backlog with a counterparty. |
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Term
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Definition
| ClientID (No longer used as of FIX 4.3) |
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Term
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Definition
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Term
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Definition
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Term
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Definition
| IDSource - if provided, should match origional value |
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Term
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Definition
| OpenClose - Opening or Closing Transaction |
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Term
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Definition
| ExDestination - Execution destination as defined by institution when order is entered |
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Term
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Definition
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Term
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Definition
| ClientID - is email address in MIG |
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Term
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Definition
| ExpireTime - required on GTC orders only, where supported |
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Term
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Definition
| SenderLocationID - Assigned value used to identify specific message originator's location |
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Term
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Definition
| CustomerOrFirm - Used for options when delivering the order to an execution system/exchange to specify if the order is for a customer or the firm placing the order itself. |
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Term
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Definition
| ContractMultiplier - Specifies the ratio or multiply factor to convert from contracts to shares (e.g. 1.0, 100, 1000, etc). |
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Term
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Definition
| AHFT Flag - Only used on HKFE to indicate if order should participate in T+1 session |
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Term
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Definition
| ComplianceID - Only used for KOSPI Options on Eurex to send KRX membership code |
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