FIX Order Routing Protocol

Transcription

1 Product Management FIX Order Routing Protocol Issue 3.6 For use with FIX software version 4.2 Issue date: May 2009 Print date: November 19, 2009 Produced by: International Securities Exchange, Inc. 60 Broad Street, New York NY

2 01 May 2008 The International Securities Exchange (ISE) has patents and pending patents on the functionality of its trading platform. The information contained in this document is proprietary and confidential, and may not be disclosed to any person or entity except authorized employees and agents of the recipient organization who have a need to know such information. The information contained in this document is current as of the publication date, and is subject to change without notice. The ISE will not accept responsibility for damages, direct or indirect, caused by any error or omission in this document. The ISE globe logo and "International Securities Exchange" are registered trademarks of the International Securities Exchange, Inc International Securities Exchange, Inc. All Rights Reserved. 2 FIX Order Routing Protocol

3 01 March 2008 Table of contents About this document... 7 Intended audience... 7 Acronyms... 7 Related documents... 8 Summary of changes... 9 Chapter 1. Connecting to ISE Options FIX The ISE is an execution point on the following Networks: IPSec connectivity to Test & Prod environments IP addresses for ISE Options FIX environments Chapter 2. FIX protocol Standard header Standard trailer Rejection of Stale Orders ISE Exchange Codes Chapter 3. Order handling Trading sessions for FIX orders in Production FIX Development system availability business days Supported orders Specifying non-default clearing information Understanding the Symbol and MaturityMonthYear fields Sending a Block order using New Order Single Attributable Order Simple Facilitation Order using New Order Single Sending Cabinet orders Understanding Account Type / CustomerOrFirm(204) Order Preferencing Directed Orders Reserve Orders Chapter 4. Order functions New Order Single Order Cancel/Replace Request Order Cancel Request Order Status Request Chapter 5. Execution reports Standard Execution Report Order Cancel Reject Order Reject Nothing Done Chapter 6. Drop Copy Trade Report Chapter 7. Administrative messages Resend Request News Chapter 8. Post-trade allocation Allocation message Allocation ACK message Chapter 9. ISE Crossing Orders Cross Order Handling Rules Execution Reporting for cross orders FIX Order Routing Protocol 3

4 01 May ISE Special Order Classification in CrossType(549) Solicitation Order Facilitation Order Price Improvement Mechanism (PIM) FIX 4.3 New Order Cross Message Chapter 10. Multi-Leg Order handling Trading Multi-Leg Securities Combination Order Types Multi-Leg Security Trading Message Flow Buy-Write and Delta Neutral Orders New Order Multi-Leg Order Cancel/Replace Request Order Cancel Request Order Status Request Complex Facilitation Orders (CFO s) Complex Customer Match Orders (CCMO s) Chapter 11. New Order Cross Multi-Leg Order Handling Rules Execution Reporting Supported Order Classification Supported Account Categories New Order Cross Multi-Leg Appendices Appendix A. Industry terms not used by ISE Appendix B. ISE rejection messages Appendix C. ISE Order Types & Permissible Originating / Counterparties Appendix D. Examples of FIX application messages Appendix E. Example of News messages Appendix F. Example of Execution Report Order Reject Appendix G. Examples of FIX Drop Copy Execution Reports Appendix H. Day One production strategy Appendix I. Test script sample FIX Order Routing Protocol

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6 Confidential May 2008 Tables Table 1. ISE header fields for FIX messages Table 2. ISE trailer fields for FIX messages Table 3. ISE trading sessions for FIX orders Table 4. Orders supported by ISE Table 5. Tags for non-default clearing information Table 6. Text value on Drop Copy Trade Report Table 7. Symbol and MaturityMonthYear field descriptions Table 8. Fields that support Block orders Table 9. Fields that support CAB orders Table 10. New Order Single message format Table 11. Cancel/replace requests supported by ISE Table 12. Order Cancel/Replace Request message format Table 13. Order Cancel Request message format Table 14. Order Status Request message format Table 15. Standard Execution Report message format Table 16. Order Cancel Reject message format Table 17. Order Reject message format Table 18. Nothing Done message format Table 19. Drop Copy Trade Report message format Table 20. Resend Request message format Table 21. News message format Table 22. Industry terms that are not used by ISE Table 23. ISE rejection messages Table 24. Day One production tests Table 25. Key ISE contacts FIX Order Routing Protocol

7 About this document The International Securities Exchange (ISE) is a U.S. registered exchange that combines electronic trading with auction market principles. ISE is a member of the Options Price Reporting Authority (OPRA) and is an owner of the Options Clearing Corporation (OCC). ISE sends its quotes and trades to OPRA, and the OCC clears the trades. The Financial Information Exchange (FIX) protocol is an open message standard that supports the real-time electronic exchange of securities transactions. FIX can be structured to match the business requirements of each firm. This document, Product Management FIX Order Routing Protocol: Supports FIX version 4.1 and 4.2 with FIX 4.3 extensions Describes only those application messages that are needed to connect to ISE and industry participants If an application message in Financial Information Exchange Protocol version 4.2 is not included in this document, the message is ignored by ISE. Provides examples of FIX application messages Intended audience This document should be used by: ISE Electronic Access Members (EAM) Service Bureaus Clearing Firms Acronyms Acronym Description Acronym Description AON All Or None order FIX Financial Information Exchange API Application Programming Interface FOK Fill Or Kill order BBO Best Bid and Offer IOC Immediate Or Cancel order CAB Cabinet order ISE International Securities Exchange CMM Competitive Market Maker IORS ISE Order Routing System CMTA Clearing Member Transfer Agreement OCC Options Clearing Corporation OLA Options Linkage Authority EAM Electronic Access Member OPRA Options Price Reporting Authority FARMM Far away Market Maker PIM Price Improvement Mechanism GTC Good Til Cancelled PMM Primary Market Maker FIX Order Routing Protocol 7

8 01 May 2008 Related documents This document should be read in conjunction with: Document Description Location Financial Information Exchange Protocol v4.2 ISE Rules FIX Protocol Internet site OCC Options News Network ISE Internet site Describes the industry standard for broker institution communication. Refer to Chapter 7 for the EAM trading practices. Provides a central repository for FIX documents. Provides a directory of option symbols with a search facility. Provides exchange information for members FIX Order Routing Protocol

9 Summary of changes Issue Date Change 3.6 May 2009 Attributable Orders Support of up to 6 decimal places on Stock Leg Trades 3.5 October 2008 New Order Cross Multi-Leg Order Type Update Cancel/Replace Request with tag StockLegGiveUp(9076) Add support for spread order preferencing 3.4 May 2008 Integrated FIX Spreads 5 legs on a spread Add Reserve Order fields to Cancel / Replace message removed the CPO (Customer Participation Order ) 3.3 March 2008 Reserve Orders Rejection of Stale Orders SendingTime(52) & TransactionTime(60) must be GMT rather than local time LastMkt(30) values added on Execution Reports for Stock Legs of Buy-writes Adding support for MaturityDay(205) Sep 2007 Cancel On Disconnect feature available Removed reference to Sell Short Exempt - no longer supported Minor updates & corrections Jun 2007 Add support for new Client Categories in CustomerOrFirm(204) Sep 2006 Remove support for IgnoreAwayMarket(9205) Add support for Firm / Broker Dealer CustomerOrFirm(204) = 2 Simple Facilitation using New Order Single IPSEC Connectivity into Production environment now available Feb 2006 IPSEC Connectivity into Development environment now available Native support for Market Day and Market GTC orders Adjust Trading session times for 16:00 close effective Monday 13 Feb Oct 2005 Directed Orders approved Added the PIM (Price Improvement Mechanism) Added the CPO (Customer Participation Order ) Added the ISE Crossing Orders using FIX 4.3 New Order Cross Jul 2005 Removed references to automatic cancellation of non-customer orders which improve the BBO for < 10 contracts Section Entering a give-up value Removed reference to give-up validation tables Removed references to Facilitation Orders, which are now supported using the FIX 4.3 New Order Cross message Added support for Directed and Preferenced Orders FIX Order Routing Protocol 9

10 01 May FIX Order Routing Protocol

11 Chapter 1. Connecting to ISE Options FIX The ISE FIX Order Routing System (IORS) is designed to provide order entry, order management and trade reporting functions for EAMs (Electronic Access Members). IORS supports Spread Trading, Buy-Writes, and Post Trade Allocations. IORS does not support quoting and does not provide any market data. Access to the ISE FIX development environment is free of charge. There are no production session charges for service bureaus. New order routing connections must pass ISE Software Quality Management (SQM) certification testing before they are permitted into the production marketplace. ISE Member firms and Service Bureaus may use their existing ISE Options network connectivity for IORS The ISE is an execution point on the following Networks: RCN Business Solutions / Con Ed Communications Verizon Radianz Savvis SFTI / Sector TNS Yipes 1.3. IPSec connectivity to Test & Prod environments The ISE offers a site-to-site Cisco-based internet IPSec VPN solution to allow access to our Test & Production systems. The ISE does not charge for this service IP addresses for ISE Options FIX environments System Public IP Address Radianz NAT Address type Development Virtual IP Production Virtual IP FIX Order Routing Protocol 11

12 01 May 2008 Chapter 2. FIX protocol The Financial Information Exchange (FIX) message protocol supports a variety of business functions. Member systems use the ISE-modified FIX interface to send order requests to ISE and receive trade executions from ISE, as shown in Figure 1. Member system Sends order requests Member FIX engine ISE FIX engine CLICK Central Exchange System ISE electronic marketplace Sends execution reports Figure 1. Using the FIX interface to connect to ISE The protocol is defined at two levels: 1. Session Delivers data such as logon, message exchange and logout. 2. Application Defines business data such as normal message exchanges. Each message contains required, optional and conditionally required fields. The fields that are required are based on the presence or value of other fields. Fields within a message can be defined in any sequence. The exceptions are: Four header and trailer fields: BeginString BodyLength MsgType CheckSum Fields within repeated data groups General message format of standard header The header is followed by the body and the standard trailer. 12 FIX Order Routing Protocol

13 2.1. Standard header A standard header precedes each message. The header identifies the: Message type Length Destination Sequence number Point of origin and time The header fields that are required by ISE are provided in Table 1. Note: The fields that are not included in the table are ignored by ISE. Table 1. ISE header fields for FIX messages Tag Field name Required Description 8 BeginString Y Always set to FIX 4.n, where n is the FIX version that you are using. This must be the first field in the message. The version of the incoming FIX message, such as v4.1, is validated against the configured FIX version. If the versions differ, a FIX logout message is sent to the user and the FIX session is terminated. Errors are normally detected during the FIX logon. Error messages contain the received and expected versions of FIX, for example: #~ field 58 [ver [4.1] expect [4.2]; refuse session] 9 BodyLength Y Must be the second field in the message. 35 MsgType Y Must be the third field in the message. Refer to each message section for the MsgType value. 49 SenderCompID Y Three-character code assigned by ISE. 56 TargetCompID Y Always set to ISE. 34 MsgSeqNum Y 43 PossDupFlag N Conditional field. This field is required for resend messages. 52 SendingTime Y Must be GMT 122 OrigSendingTime N Conditional field. This field is required for resend messages. If the data is not available, set the field to the same value as SendingTime. FIX Order Routing Protocol 13

14 01 May Standard trailer A standard trailer terminates each message. There is only one trailer field that is required by ISE, as shown in Table 2. Note: The fields that are not included in the table are ignored by ISE. Table 2. ISE trailer fields for FIX messages Tag Field name Required Comments 10 CheckSum Y Three-digit character. Refer to Financial Information Exchange (FIX) Protocol version 4.2 for information on FIX message format and delivery Rejection of Stale Orders Stale message checking is done on New Order Single and Order Cancel / Replace Request messages. No checking is done on straight Order Cancel Request messages. TransactionTime(60) is a required field on the New Order Single, Order Cancel Request and Order Cancel Replace Request messages. TransactionTime(60) must be present or orders will be rejected. The default stale time interval is 15 seconds behind or ahead of the ISE system clock. The ISE can bypass stale message checking for firms not currently sending the required FIX tag TransactionTime(60) of for firms sending SendingTime(52) and/or TransactionTime(60) in local time rather than GMT ISE Exchange Codes The ISE Exchange (Reuters) Code is Y The ISE Market Identification Code (MIC) is XISX. 14 FIX Order Routing Protocol

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16 01 May 2008 Chapter 3. Order handling Application messages are used to electronically transmit and receive business data. ISE supports these FIX functions: News (type B) New Order Single (type D) Order Cancel/Replace Request (type G) Order Cancel Request (type F) Order Status Request (type H) Refer to Chapter 4 for the message format specifications Trading sessions for FIX orders in Production The sessions and times for regular day trading at ISE are listed in Table 3. Table 3. ISE trading sessions for FIX orders Time (EST) Session FIX status Activity 06:00 09:29 Pre-open Available You can send orders with: An order type of Market or Limit A time-in-force of Day, IOC, FOK or GTC A client category of Customer, Firm or CUST BD You cannot send orders with: An order type of CAB or Facilitation A client category of CUST MM 09:30 15:59 Open Available The market is open and executes marketable orders. 16:00 17:59 Post-open Available The market is closed. You can receive order status, cancel orders and adjust trades. You cannot send new orders and cancel/replace orders. These actions will be rejected. ISE Market Control can adjust trades during the Post-Open. 18:00 06:59 Closed Unavailable The server is unavailable and does not accept messages FIX Development system availability business days Time (EST) FIX status Comment 02:00 09:30 Available Static prices, No support 09:30 16:00 Available Select underlyings are quoted, support available 16:00 23:00 Available Static prices, No support 23:00 02:00 Unavailable / Down System is down for End-of-Day processing 16 FIX Order Routing Protocol

17 3.3. Supported orders The orders that are supported by ISE are summarized in Table 4. Table 4. Orders supported by ISE Attribute ISE supports these values Notes Order type Market (MKT) Limit Limit Or Better Cabinet (CAB) Stop (Market) Stop Limit Time-In-Force Immediate Or Cancel (IOC) Fill Or Kill (FOK) DAY Good-Til-Cancelled (GTC) Execution Instruction ISE special order types ISE special order types Complex Orders Complex Crossing Orders ISE handles Limit Or Better orders as Limit orders. DAY orders expire at the end of the trading day unless they are executed, canceled, or deleted before that time. If the Time-In-Force value is not provided, the field parameter defaults to DAY. All Or None (AON) ISE supports AON DAY and AON GTC Block Facilitation (limited basis) Solicitation Facilitation PIM (Price Improvement Mechanism) Option Spreads up to 5 legs Buy-Writes & Delta Neutral Supported using the New Order Single Supported using the FIX 4.3 New Order Cross Supported using the FIX 4.3 New Order Multi-Leg Supported using the FIX 4.3 New Order Multi-Leg 3.4. Specifying non-default clearing information Important: CMTA and give-up values can be specified on the same order. Do not specify your default clearing firm as CMTA or GiveUp. Table 5. Tags for non-default clearing information Field Description Use ClearingFirm (tag 439) ExecBroker (tag 76) ClearingAccount (tag 440) Text (tag 58) EAMs enter non-default clearing information when they want a trade to be cleared by a different clearing firm. Provides sub-account information for Far Away Market Maker (FARMM) orders. EAMs can use the Optional Data field to include identifying information about an order. Sends information to the Central Exchange System and OCC. Sends the information to OCC. Sends information(first 15 characters) to OCC in the OCC 410 Matched Trade Record. FIX Order Routing Protocol 17

18 01 May Entering a CMTA code To specify a CMTA value, you need to use ClearingFirm (tag 439). Notes: OCC must be advised that a CMTA agreement will be used by your firm at ISE If OCC is not aware of your CMTA agreement, your firm s trades will clear through your default account. The ClearingFirm (tag 439) is copied onto an execution Do not use these fields to insert trade identification codes. A copy of these trades is sent to the specified CMTA member. If a CMTA code was specified in the original order, a Cancel/Replace request must also specify the CMTA code, or the CMTA information will not be carried over Entering a Give-Up value To specify a give-up value, you need to use ExecBroker (tag 76). Members use the GiveUp field when they want to clear a specific trade through their customer s clearing account. If your firm enters a give-up clearing firm on an order and that order is executed, the give-up clearing firm receives the Drop Copy Trade Report. Your default clearing firm does not receive the Drop Copy Trade Report. Note: If a give-up value was specified on the original order, a Cancel/Replace request must also specify the give-up value. Otherwise, the give-up value will not be carried over Understanding the ClearingAccount field CustomerOrFirm (tag 204) = 5 identifies Customer/Market Maker orders in FIX Sub-account must be specified on FARMM orders in ClearingAccount (tag 440) The ClearingAccount (tag 440) is copied onto an execution If the sub-account is missing, invalid or not registered at the OCC, the trade will clear as Customer. Sub-account is an UPPERCASE alphanumeric value. Note: The ISE FIX engine will pass the first four characters of ClearingAccount (tag 440), including imbedded spaces, on to the ISE Central Exchange system for processing and will report the full four characters to OCC in the OCC 410 Matched Trade record. For example, a sub-account similar to XD B would be passed on intact. 18 FIX Order Routing Protocol

19 Using the SenderSubId field to route orders It is possible to route orders to ISE on behalf of multiple EAMs over one FIX connection using the SenderSubId field (tag 50). This feature is useful for service bureaus, which are not ISE members, but can route orders on behalf of ISE members. For a service bureau to route an order, the: 1. ISE assigns a SenderSubId value to the service bureau. The value is based on the three-letter ISE acronym for the EAM. 2. Service bureau opens one connection to the ISE FIX engine. 3. FIX engine uses the SenderSubId value to log on to the ISE central trading system as the EAM. For example: Service bureau sets tag 50 to ABC to send orders as EAM ABCAE, which are cleared by Firm 123 Service bureau sets tag 50 to XYZ to send orders as EAM XYZAE, which are cleared by Firm Using the Text field to send optional data to OCC The Text (tag 58) value is passed to OCC in the Optional Data field of the OCC 410 Matched Trade Record. Firms can use tag 58 to pass identifying information about an order to OCC, via the ISE Central Exchange System. Please note that only the first 15 characters is passed to OCC and returned back. If tag 58 is not supplied, the ClOrdId value is inserted into the Optional Data field on the clearing trade report. Use this logic to determine the value of the Optional Data field that is sent to OCC: IF TEXT (tag 58) was supplied, then the first 15 characters of Text is placed in the order and in the Optional Data field ELSE the first 15 characters of ClOrdId (tag 11) will be in this field Note: If a Text (tag 58) value was specified on the original order, a Cancel/Replace request must also specify the Text value. Otherwise, tag 58 will not be carried over Understanding the Text field on the Drop Copy Trade Report FIX Order Routing Protocol 19

20 01 May 2008 The Drop Copy Trade Report is sent to ISE members after their trades are executed at ISE. The sources of these orders and how they use the Text field (tag 58) are described in Table 6. Note: Firms that use the Drop Copy feature might receive trades that originated from all three sources. Table 6. Text value on Drop Copy Trade Report Order source FIX PrecISE OM Open Interface (API) Text field contains The first 15 characters of free text if it was supplied on the original order. Otherwise, ClOrdId is used. INFO field on order entry window Free text if it was supplied on the original order. No value if it is a quote Understanding the Symbol and MaturityMonthYear fields The Symbol and MaturityMonthYear fields are described in Table 7. Table 7. Symbol and MaturityMonthYear field descriptions Field Description Notes Symbol (tag 55) MaturityMonth Year (tag 200) Contains the OCC option symbol for a series, and specifies the implicit expiration year. The OCC symbol: Does not provide the underlying symbol Does not provide the OPRA code Does not specify the expiration month (refer to the MaturityMonthYear field) Provides the expiration month and year in the yyyymm format. For example: The four-character stock symbol for Yahoo! is YHOO. However, the: Three-character near-term option symbol is YHQ Three-character wrap option symbol is YHZ Three-character 2004 option symbol is LYH You must provide the full string. The yyyy value in tag 200 is validated against the yyyy value that is implicit in the OCC symbol within tag 55. If there is a discrepancy, the order will be rejected. 20 FIX Order Routing Protocol

21 3.6. Sending a Block order using New Order Single An EAM can use this mechanism to obtain liquidity from market participants. Table 8. Fields that support Block orders Field Description Type Value 9202 SpecialOrdType char B Block Order 9203 ExposureFlag Multiple Value String one or more space delimited values of : E = Expose All "H" = Hide All ( Default Behavior ) "Q" = Quantity T" = TIF (Time-In-Force aka Validity Time) "I" = Instruction (Buy/Sell) "P" = Premium (Limit Price) B = Broker Percentage C = Customer ID(Attributable Order) E and H are mutually exclusive Neither E nor H may be used with Q, T, I, P, B or C Any invalid value will be rejected The order entry rules are: The Block order must be for a minimum number of contracts. The Block Order Minimum Size is an exchange configurable parameter, which is currently set to 50 contracts. The order must specify a limit price The order must have a Time-In-Force (TIF) or validity time of FOK Block orders cannot be altered. A Block order can be canceled at any time before the Block Order Response Time expires. The Block Order Response Time is an exchange configurable parameter, which is currently set to 1 second. Block orders can be marked as ISO using Tag 18 with a value of f. An ISE Block Order is an order for 50 contracts or greater that, when entered, enables potential contra-sides to view certain terms of the order that the entry firm would like revealed (buy/sell, size, price, etc.). The order broadcast is sent to market makers and other "interested parties" who are then able to respond. The idea is to replicate behavior on the floors for larger (50 or greater) orders in seeking liquidity. The specific ISE rule is number 716, which is located under the Regulatory tab at FIX Order Routing Protocol 21

22 01 May Attributable Order An Attributable Order is an order that displays the sending firm s Member ID. The CMTA and/or Give Up will also be exposed, if originally populated on the order. Use of this functionality is strictly voluntary. The following order types support Attributable Order. New Order Single (Including Block Order, please see Section 3.6) New Order Cross (Facilitation, Solicitation, and PIM) New Order Multileg Please note that customer information is visible only during the initial exposure period. An Attributable Order cannot be altered to be non-attributable, and vice versa. Fields that support Attributable orders Field Description Type Value 9203 ExposureFlag Multi Value String C = Attributable Order 3.8. Simple Facilitation Order using New Order Single Facilitation orders allow an EAM to execute their own block size agency orders as principal. A Facilitation order can be canceled at any time before the Facilitation Order Response Time expires. The Facilitation Order Response Time is an exchange configurable parameter, which is currently set to 1 second. Facilitation orders cannot be altered. Field Description Type Value 9202 SpecialOrdType char F Facilitation Order C Customer Match Order 526 SecondaryClOrdId String ClOrdId for the contra side order 9204 BrokerPct Int Optional, Default value = 40 (%) Numeric Sending Cabinet orders EAMs enter Cabinet (CAB) orders to liquidate worthless options positions. CAB orders are routed to the PMM, who executes the order for a total value of $1.00 per trade. CAB orders may only be entered during Market Open state. The fields that support CAB orders are listed in Table 9. Table 9. Fields that support CAB orders Field Description Value 22 FIX Order Routing Protocol

23 40 OrdType 2 Limit 44 Price Zero (0) 54 Side 2 Sell 59 TimeInForce Valid values are: 0 Day 1 GTC 77 OpenClose C Close Understanding Account Type / CustomerOrFirm(204) OMX API - account_type_c CustomerOrFirm(204) ISE Priority Clears at OCC 1 Customer 0 Customer Cust Cust 2 Proprietary - Firm 1 Firm Non-cust Firm 14 Broker/Dealer - Firm 2 - Broker / Dealer Non-cust Firm 6 Broker/Dealer Cust 3 Customer Broker / Dealer Non-cust Cust 3 ISE Market Maker 4 - Market Maker Non-cust MM 4 Far Market Maker 5 Non-Member Market Maker Non-cust MM 10 Proprietary - Customer 7 - Proprietary - Customer Non-cust Cust 15 Customer Professional 8 Customer Professional Non-cust Cust FIX Order Routing Protocol 23

24 01 May Order Preferencing Order preferencing allows an Electronic Access Member (EAM) to specify a market maker to get a preferred allocation when executing against the book. If, upon entry, the preferenced order trades with the book AND if the preferred market maker is present at the ISE BBO, then that market maker will receive an enhanced share. Otherwise, it is treated as a regular order. Preferenced orders retain the same order characteristics and away-market rules as regular orders. If the preferred market maker is not quoting at the National BBO, then preferencing will have no effect. Single and Complex order types are currently eligible to be preferenced. Cabinet, Block, and Crossing order types are not eligible to be preferenced. A new 5 character data element, Tag 7901, ExecutingParticipantID, will be used to identify a preferenced order and the receiving market maker. Characters 1-3 designate the receiving party (ISE market maker s 3-letter acronym), and characters 4-5 are set to PR to indicate preferencing. One (1) new custom FIX tag has been defined for use in the New Order Single transaction: Tag # Tag Name Data Type Usage 7901 ExecutingParticipantID String Always 5 characters, no imbedded spaces Directed Orders An EAM may direct an order to a Market Maker which can PIM it at an improved price. PIM is the ISE s Price Improvement Mechanism. Tag 7901, ExecutingParticipantID, will be used to identify a Directed Order and the receiving market maker. Characters 1-3 designate the receiving party (ISE market maker s 3- letter acronym), and 4-5 are set to DO to indicate Directed Order Reserve Orders Members that hold large size orders and want to minimize market impact can utilize this new order type. A Reserve Order is a single-sided order containing two parts: Displayed Quantity Hidden Quantity The Displayed Quantity of the order will behave exactly like a regular order and would trade in accordance with ISE s standard allocation rules, i.e., time priority for customers and pro-rate for non-customers. The hidden quantity will trade only after all displayed quantity for all orders and quotes at that price level are traded out. Hidden Quantities for multiple orders at a price level will trade according to our standard allocation rules. The Displayed Quantity will be refreshed at the conclusion of the match against an incoming order. The Refresh Quantity can be static or random, and the Displayed Quantity can be refreshed after partial or full execution. DisplayRange Contains the quantity used to calculate the upper and lower boundaries of the random quantity to be displayed at refresh. The random display quantity is generated within the range 24 FIX Order Routing Protocol

25 ( MaxFloor minus DisplayRange ) to ( MaxFloor plus DisplayRange ). Example: MaxFloor = 200 and DisplayRange=30 In this case a random number between 170 and 230 will be generated each time the displayed quantity is refreshed FIX Implementation Presence of MaxFloor(111) on New Order Single indicates Reserve Order. Rule: Zero < MaxFloor(111) < OrderQty(38) If MaxFloor(111) = 0, then order is treated as non-reserve order. DisplayRange(8020) is an optional FIX tag indicating the Quantity to add to or subtract from Display Quantity to allow for a random display amount. Omit this tag if the Random Refresh function is not to be used on this order. Rule: Zero < DisplayRange(8020) < MaxFloor(111) Rule: DisplayRange(8020) <= OrderQty(38) - MaxFloor(111) DisplayWhen(1083) is an optional FIX tag indicating when the Display Quantity of a reserve order should be refreshed: Immediate - Immediately when traded, i.e., after each partial fill Exhaust - only when the Displayed Quantity has been fully filled If DisplayWhen(1083) is omitted, the default behavior is Exhaust FIX Order Routing Protocol 25

26 01 May 2008 FIX Tags & Values Tag Tag Name Req d Usage Description 38 OrderQty Yes Total Quantity 111 MaxFloor Yes Display Quantity 8020 DisplayRange No 1083 DisplayWhen No Random Refresh Quantity Instruction to determine when the Displayed Quantity should be refreshed Total Quantity of the order (existing field) Quantity to display with each refresh ( Required for Reserve Orders only ) Quantity to add to or subtract from Display Quantity to allow for a new, random Display Quantity Omit this tag if the Random Refresh function is not to be used) 1 Immediate (after each fill ) 2 Exhaust (after entire Displayed Quantity is filled) If DisplayWhen(1083) is omitted, the default behavior is Exhaust Additional order entry rules: Permitted in all series states Must be type Limit (market orders are rejected) The time-validity must be Day or GTC The order may preference a market maker The order may not be directed New Order Multileg not supported in this release 26 FIX Order Routing Protocol

27 Chapter 4. Order functions This chapter describes the functions that are used to transmit order data New Order Single The New Order Single message is used to electronically submit options orders. The valid field values are defined in Table 10. An order will be rejected if it contains unsupported values. ISE does not support these values: Order type Market or Better Note: Cabinet orders cannot be sent during pre-opening rotation. FIX Order Routing Protocol 27

28 01 May 2008 Table 10. New Order Single message format Tag Field name Req d Comments Standard Header Y MsgType = D 11 CIOrdID Y Unique identifier of the order, which is assigned by the member. This value has a maximum of 37 characters. 18 ExecInst N G All Or None (AON) f Intermarket Sweep Order (ISO) 21 HandlInst Y Required by FIX protocol, but ignored by ISE. 38 OrderQty Y Number of contracts specified on the order. 40 OrdType Y Order type. The valid values are: 1 Market 2 Limit 3 Stop (Market) 4 Stop Limit 7 Limit or Better (handled as Limit) 44 Price N Required for limit OrdType. For limit orders, this value must be the limit price. For Cabinet orders, the price must be zero. 50 SenderSubId N Assigned value that identifies the message originator. 54 Side Y Order side. The valid values are: 1 Buy 2 Sell For Cabinet orders, the side must be 2 (sell). 55 Symbol Y OCC options symbol for a series. 58 Text N Additional information about the order. Only first 15 characters is passed onto OCC. 59 TimeInForce N Specifies how long the order remains in effect. If this field is blank, the value is interpreted as DAY. The valid values are: 0 Day 1 Good-Til-Canceled (GTC) 3 Immediate Or Cancel (IOC) 4 Fill Or Kill (FOK) 60 TransactTime Y Time of execution/order creation expressed in UTC (Universal Time Coordinated), also known as "GMT" The format is: yyyymmdd and hhmmss 76 ExecBroker N Provides give-up information. It must be a numeric value between OpenClose Y The valid values are: O Open C Close For FARMM orders, this value must be O (open). For Cabinet orders, this value must be C (close). 99 StopPx N Required for OrdType = Stop or Stop Limit. 111 MaxFloor Yes Display Quantity Reserve Order 28 FIX Order Routing Protocol

29 Tag Field name Req d Comments 167 Security Type Y Must be OPT for option. 200 MaturityMonthYear Y Expiration month and year in the yyyymm format. 201 PutOrCall Y Indicates whether an option is a put or call. The valid values are: 0 Put 1 Call 202 StrikePrice Y Strike price for an option. The valid values are: (the number of decimal places might vary and is not limited to four). 204 CustomerOrFirm Y The valid values are: 0 Customer 1 Firm 2 = Broker / Dealer 3 Customer Broker / Dealer 4 = Market Maker 5 Non-Member Market Maker 7 - Proprietary - Customer 8 Customer Professional (future release) 205 MaturityDay N Day of month used in conjunction with ( Future Implementation MaturityMonthYear(200) to fully specify the maturity ) date for options. valid values: 1 thru ClearingFirm N Provides CMTA information. It must be a numeric value between ClearingAccount N OCC sub-account. This is a required value for Customer MM orders. It must be an UPPERCASE alphanumeric value, with a maximum of five characters. A three-character value is generally used DisplayWhen No Instruction to determine when the Displayed Quantity should be refreshed 7901 ExecutingParticipantID N Always 5 characters, no imbedded spaces 8020 DisplayRange N Random Refresh Quantity for Reserve Order 9202 SpecialOrdType N Special order type value. The valid values are: B Block order F Facilitation Order 9203 ExposureFlag N One or more space delimited values for Block orders: E = Expose All "H" = Hide All ( Default Behavior ) "Q" = Quantity T" = TIF (Time-In-Force aka Validity Time) "I" = Instruction (Buy/Sell) "P" = Premium (Limit Price) B = Broker Percentage C = Customer ID(Attributable Order, can be used alone on other order types) FIX Order Routing Protocol 29

30 01 May 2008 Tag Field name Req d Comments E and H are mutually exclusive Neither E nor H may be used with Q, T, I, P, B or C You can use a single or combination value BrokerPct N Numeric value 0 40, with default value = 40 Facilitation orders only 9861 BranchSeqNbr N Additional information entered here will be passed on to OCC. 1 Account N Optional field. Standard Trailer Y 30 FIX Order Routing Protocol

31 4.2. Order Cancel/Replace Request The Order Cancel/Replace Request message is an atomic transaction that is used to change the parameters of an existing order. The Open Quantity field on an order is checked before the Cancel/Request is completed. This request is used to change any valid attribute of an open order, for example: reduce or increase quantity OrderQty(38) change limit price Price(44) change OpenClose(77) change CMTA ClearingFirm(439) change OCC sub-account - ClearingAccount(440) This request may not be used to change the series or Side(54) An order loses its priority on the orderbook if the quantity is increased or the price is changed. For Multi-Leg Orders ( Spreads ) The price can be debit, credit or even. If you change the price, the entire multileg order is cancelled and a new order is sent with the changed price. Important: Do not use this message to cancel the remaining quantity of an outstanding order. If you need to cancel the quantity of an outstanding order, use the Order Cancel Request message. This message cannot be used to re-open a filled order by increasing the OrderQty value. Block orders can only be canceled. They cannot be canceled and replaced. The cancel/replace requests that are supported by ISE are listed in Table 11. Table 11. Cancel/replace requests supported by ISE Cancel/Replace action Limit to Market Price modification Day to GTC GTC to Day AON to non-aon (Day or GTC) Non-AON to AON (Day or GTC) Quantity decrease Quantity increase Priority on the orderbook Lost Lost Lost Maintained Lost Lost Maintained Lost The field values for the Cancel/Replace Request message are defined in Table 12. Table 12. Order Cancel/Replace Request message format FIX Order Routing Protocol 31

32 01 May 2008 Tag Field name Req d Comments Standard Header Y MsgType = G 11 CIOrdID Y Unique identifier of replacement order, which is assigned by institution. Note: If the replacement request is rejected, this identifier is used in the CIOrdID field of the Cancel Reject Message. 18 ExecInst N G All Or None (AON). f- Intermarket Sweep Order (ISO) This value must be specified if it was on the original order and needs to be carried over. AON to non-aon alter and vice versa are supported 21 HandlInst Y Required by FIX protocol, but ignored by ISE. 38 OrderQty Y OrderQty is required. Should be the total intended order quantity (including the amount already executed for this chain of orders). 40 OrdType Y Order type of the original order. 41 OrigCIOrdID Y CIOrdID of the order that needs to be changed. This is not the initial order of the day. 44 Price N Limit price of the original order. 54 Side Y Must match original order. The valid values are: 1 Buy 2 Sell 55 Symbol Y OCC option symbol for a series. Must match the original order. 58 Text N Additional information about the order. This value must be re-specified if it was on the original order and needs to be carried over. 59 TimeInForce N Absence of this field indicates DAY order. 60 TransactTime Y Time of execution/order creation expressed in UTC (Universal Time Coordinated), also known as "GMT" The format is: yyyymmdd and hhmmss 76 ExecBroker N Provides give-up information. This value must be specified if it was on the original order and needs to be carried over. 77 OpenClose Y The valid values are: O Open C Close 167 SecurityType Y Must match the original order. Must be OPT for option. Must be MLEG for Multi-Leg orders 555 NoLegs Y Must match the original order. Component block <InstrumentLeg> Y Must match the values and the delivery sequence of the original order. 200 MaturityMonthYear Y Must match the original order. Expiration month and year in the yyyymm format. 201 PutOrCall Y Must match the original order. The valid values are: 0 Put 1 Call 32 FIX Order Routing Protocol

33 Tag Field name Req d Comments 202 StrikePrice Y Must match the original order. The valid values are: (the number of decimal places might vary and is not limited to four). 204 CustomerOrFirm Y The valid values are: 0 Customer 1 Firm 3 Customer/Broker-Dealer 5 Customer/Market Maker 205 MaturityDay N Day of month used in conjunction with MaturityMonthYear(200) to fully specify the maturity date for options. valid values: 1 thru MaxFloor Yes Display Quantity Reserve Order 1083 DisplayWhen No Instruction to determine when the Displayed Quantity should be refreshed 8020 DisplayRange N Random Refresh Quantity for Reserve Order 439 ClearingFirm N Clearing Member Transfer Agreement. This value must be specified if it was on the original order and needs to be carried over. 440 ClearingAccount N Sub-account. This value must be specified if it was on the original order and needs to be carried over StockLegGiveUp N For Complex order with Stock Leg: Provides give-up information for Stock Leg only It must be a 5 character text string, ie MPIDX Contact bizdev@ise.com for allowable values This value must be specified if it was on the original order and needs to be carried over. Standard Trailer Y FIX Order Routing Protocol 33

34 01 May Order Cancel Request The Order Cancel Request message cancels the remaining quantity in an existing order. Note: The Order Cancel/Replace Request should be used to reduce the quantity on an order. The valid field values for the Order Cancel Request message are defined in Table 13. Table 13. Order Cancel Request message format Tag Field name Req d Comments Standard Header Y MsgType = F 11 CIOrdID Y Unique identifier of the cancel request, which is assigned by institution. 41 OrigCIOrdID Y CIOrdID of the order that needs to be canceled. This is not the initial order of the day. 38 OrderQty Y Number of open contracts that will be canceled. 54 Side Y Must match the original order. The valid values are: 1 Buy 2 Sell 55 Symbol Y Must match original order. OCC option symbol for a series. 60 TransactTime Y Time of execution/order creation expressed in UTC (Universal Time Coordinated), also known as "GMT" The format is: yyyymmdd and hhmmss 167 SecurityType Y Must be OPT for option. Must be MLEG for multi-leg order. 555 NoLegs N Multi-Leg orders only must match the original order. Component block <InstrumentLeg> N Multi-Leg orders only Must match the values and the delivery sequence of the original order. 200 MaturityMonthYear Y Must match the original order. Expiration month and year in the yyyymm format. 201 PutOrCall Y Must match the original order. This value indicates whether the option is a put or a call. The valid values are: 0 Put 1 Call 202 StrikePrice Y Must match the original order. The valid values are: (the number of decimal places might vary and is not limited to four). 205 MaturityDay N Day of month used in conjunction with MaturityMonthYear(200) to fully specify the maturity date for options. valid values: 1 thru 31 Standard Trailer Y 34 FIX Order Routing Protocol

35 4.4. Order Status Request The Order Status Request message generates an order status message, which is sent to the user. The valid field values for the Order Status Request message are defined in Table 14. Table 14. Order Status Request message format Tag Field name Req d Comments Standard Header Y MsgType = H 11 CIOrdID Y The ClOrdID of the order being requested. 54 Side Y Must match the original order. The valid values are: 1 Buy 2 Sell 55 Symbol Y OCC option symbol for a series. 167 SecurityType Y Must be OPT for option. 555 NoLegs N Multileg Orders only - Must match the original order. Component block <InstrumentLeg> N Multileg Orders only - Must match the original order. 200 MaturityMonthYear Y Must match the original order. Expiration month and year in the yyyymm format. 201 PutOrCall Y Must match the original order. This value indicates whether the option is a put or a call. The valid values are: 0 Put 1 Call 202 StrikePrice Y Must match the original order. The valid values are: (the number of decimal places might vary and is not limited to four). 205 MaturityDay N Day of month used in conjunction with MaturityMonthYear(200) to fully specify the maturity date for options. valid values: 1 thru 31 Standard Trailer Y FIX Order Routing Protocol 35

36 01 May FIX Order Routing Protocol

37 Chapter 5. Execution reports This chapter describes the reports that are sent to ISE members when their trades are executed at ISE or rejected by ISE. Execution reports do not replace the end-of-day confirmation Reports are only sent if the order was originally entered via the same FIX connection To change trades, ISE reverses the previous trade and replaces it with a new trade 5.1. Standard Execution Report Standard Execution Reports are sent to firms that use FIX Order Entry connections. Spread executions are reported as individual FIX Execution Reports per leg. The Standard Execution Report message: Confirms the receipt or rejection of an order Confirms the changes to an existing order Provides order status information Provides fill information on working orders Uses tag 378 = 5 to flag unsolicited cancels Tag 150 = D (restated) is sent when tag 378 = 5. Provides information on trade busts and adjustments Trade busts or adjustments are performed independently of the order. Busting a trade does not recreate an order or add the quantity to an open order. Trades are adjusted by sending a bust, followed by a new trade. Adjusting a trade does not affect the open quantity of an order. If an order exists in more than one state simultaneously, the FIX engine determines the value with the highest priority and reports that value in the OrdStatus field (tag 39). For example, before a cancel request is accepted, it is possible to return an OrdStatus=Pending Cancel and ExecType=Partially Filled/Filled on the execution report if the cancel request is submitted for an order that becomes filled or partially filled. Please Note: For a 2-legged spread, it is possible to receive one "Complete" Trade message (39=2) on the 1st leg, but, on the 2nd leg, received a Partial Trade message (39/150=1) and then another message for the Complete (39/150=2). In other words, it is possible to receive one trade message for one leg, and two trade messages for the other. With the R10 release of ISE s Central Exchange System, we will be able to differentiate between Attachment 2 & 9B on the Stock Legs of Buy-writes as Follows: LastMkt(30) Description Availability ACT NYFIX ACT / Attachment 2 31 March 2008 Y ISE Stock Exchange 19 May 2008 or later 13 NYFIX Millenium ATS / 9B 31 March 2008 FIX Order Routing Protocol 37

38 01 May 2008 Table 15. Standard Execution Report message format Tag Field name Req d Comments Standard Header Y MsgType = 8 1 Account N as specified on the order. 11 CIOrdID Y Unique identifier of the order. This value uses the ID from the original order. For New Order Cross Multileg, this tag will contain the value of ClOrdID for each side. 41 OrigCIOrdID N CIOrdID of the modified/canceled order. This is not the initial order of the day. 17 ExecID Y Unique identifier for each Execution Report message. 18 ExecInst N If specified on the order 19 ExecRefID N Required for Cancel messages, which are indicated by the ExecTransType value. This field contains the ExecID value of the trade that needs to be canceled. 20 ExecTransType Y Identifies the trade type. The valid values are: 0 New 1 Cancel 3 Status 30 LastMkt N Market that executed the order. ACT = NYFIX ACT / Attachment 2 Y = ISE Stock Exchange 13 = NYFIX Millenium ATS / 9B 31 LastPx Y Price of the last fill. This field is not required for ExecTransType = 3 (Status). The valid values are: Note that the number of decimal places might vary, e.g. Stock leg execution report may return up to 6 decimals while Options execution report will return only up to 4 decimals 32 LastShares Y Quantity of bought/sold contracts on the last fill. This field is not required for ExecTransType = 3 (Status). The valid values are: OrderID Y ISE internal reference code 40 OrdType Y Order type that is specified on the order. The valid values are: 1 Market 2 Limit 3 Stop (Market) 4 Stop Limit 7 Limit or Better (handled as Limit) 44 Price N Limit price, if specified on the order. 54 Side Y Side that is specified on the order. The valid values are: 38 FIX Order Routing Protocol