Bolsa de Valores de Lima Proyecto Millennium. Millennium SOR BVL. Market Data FIX 4.4 Interface Specification. Interface Requirement Specification

Transcription

1 Bolsa de Valores de Lima Proyecto Millennium Millennium SOR BVL Market Data FIX 4.4 Interface Specification Interface Requirement Specification Version 1.08 Page 1 of 31

2 1 DOCUMENT CONTROL 1.1 Table of Contents 1 DOCUMENT CONTROL Table of Contents Document Information Revision History Open Issues Circulation References Definitions, Acronyms and Abbreviations INTRODUCTION SOR FIX Market Data Interface References FIX MESSAGING Variations from the FIX Protocol Duplicate and Resend Message Handling Possible Duplicates Possible Resends CONNECTIVITY Comp and IP Address FIX Sessions Establishing a FIX Session Maintaining a FIX Session Terminating a FIX Session Re-Establishing a FIX Session Validating Unknown Tags Hours of Operation Encryption SUPPORTED MESSAGE TYPES Administrative Messages Application Messages (Client-Initiated) Application Messages (Server-Initiated) Unsupported Message Types MESSAGE HEADERS AND TRAILERS Message Headers Message Trailers ADMINISTRATIVE MESSAGES Heartbeat Logon Test Request Resend Request Reject Sequence Reset Logout MARKET DATA FIELD DEFINITIONS APPLICATION MESSAGES (CLIENT-INITIATED) Market Data Request Security List Request Page 2 of 31

3 9.3 Security Status Request APPLICATION MESSAGES (SERVER-INITIATED) Market Data Snapshot/Full Refresh Market Data Incremental Refresh Market Data Request Reject Security List Security Status News Business Message Reject DATA DICTIONARY MARKET DATA ENTRY TYPE MAPPINGS Page 3 of 31

4 1.2 Document Information 1.3 Revision History 1.4 Open Issues 1.5 Circulation 1.6 References 1.7 Definitions, Acronyms and Abbreviations Page 4 of 31

5 2 INTRODUCTION 2.1 SOR Millennium SOR is a Smart Order Router providing Best Execution compliant solutions. It provides Best Execution policies that will provide the best possible result for client orders. It also provides firms to receive market data from connected market venues. This specification provides the means of interfacing to this powerful tool and how communication should be done between the client and SOR. 2.2 FIX Market Data Interface SOR includes a FIX interface which allows firms to electronically receive market data from venues using the SOR market data management system. The interface is based on FIX References Throughout this document the term client refers to the firm receiving market data or and the term server refers to SOR FIX interface. The term FIX protocol refers to the FIX 4.4 standard published by the FIX protocol organization ( 3 FIX MESSAGING NOTE: In order to preserve backward compatibility with the existing BVL FIX 4.4 gateway; For all incoming messages - Millennium SOR will ignore ALL fields which are NOT required AND NOT required by the functionality provided by SOR. For all outgoing messages - Millennium SOR will NOT send out ANY fields that are NOT required AND NOT required by the functionality provided by SOR - Millennium SOR will echo back ALL fields which are required BUT NOT required by the functionality provided by SOR 3.1 Variations from the FIX Protocol None 3.2 Duplicate and Resend Message Handling Possible Duplicates The server handles possible duplicates according to the FIX protocol. The client and server will use the PossDupFlag (43) field to indicate whether a message was previously transmitted with the same MsgSeqNum (34) Possible Resends The server does not handle possible resends and ignores the value in the PossResend (97) field. Page 5 of 31

6 4 CONNECTIVITY 4.1 Comp and IP Address The IP address and Comp of each client must be registered with SOR through the relevant brokerage before FIX communications can begin. A single client may have multiple connections to the server (i.e. multiple FIX sessions, each with its own Comp). SOR will provide each registered client a primary IP address and port and secondary IP address and port which should be used to connect to the server. Clients should use the primary IP address and port whenever possible. The secondary IP address and port should only be used when the primary is unavailable. 4.2 FIX Sessions Establishing a FIX Session FIX sessions between the client and server will be maintained as specified in the FIX protocol. Each client will use the IP address and port provided by SOR to connect to the server. The client will initiate a FIX session by sending the Logon message. The client will identify itself using the field SenderComp (49). The server will validate the Comps and IP address of the client. Once the client is authenticated, the server will respond with a Logon message. The client must wait for this Logon message before sending additional messages. If a logon attempt fails authentication, the server will break the TCP connection with the client after sending a logout message. But server will not send any logout message if the request is rejected due to following reason, Logon with invalid IP or Comp. If during a logon of a Comp, the server receives a second connection attempt while a valid FIX session is already underway for that same Comp Maintaining a FIX Session The client and server will use the Heartbeat message to exercise the communication line during periods of inactivity and to verify that the interfaces at each end are available. If the server detects inactivity for a period longer than three heartbeat intervals (30 * 3 seconds) specified in the client s Logon message, it will send a Test Request message. If inactivity continues for another interval of three heartbeat intervals (30 * 3 seconds), the server will send a Logout message and break the TCP connection with the client. The client is expected to employ similar logic if inactivity is detected on part of the server. The client or server may use the Sequence Reset message in Gap Fill mode if it wishes to increase the expected incoming sequence number of the other party. The server may use the Sequence Reset message in Sequence Reset mode if it wishes to initialize (i.e. reset to 1) the expected incoming sequence number of the client. The client may not use the Sequence Reset message in Sequence Reset mode. If such a message is sent by the client it will be ignored by the server. The client should contact the Service Desk if it requires the expected incoming sequence number of the server to be initialized Terminating a FIX Session The client is expected to terminate each FIX session at the end of each trading day before the server shuts down. The client is able to terminate a session by sending the Logout message. Page 6 of 31

7 The server will respond with a Logout message to confirm the termination. The client will then break the TCP connection with the server. Under exceptional circumstances the server may initiate the termination of a session Re-Establishing a FIX Session If a FIX session is terminated during the trading day it may be re-established via an exchange of Logon messages. Once the session is re-established, the message sequence numbers will continue from the last message successfully transmitted prior to the termination unless the client or server is unable to continue from the last known state in which case the sequence numbers are expected to be reset. In such a case client may use the ResetSeqNumFlag (141) tag in Logon message to rest the sequence numbers upon reconnecting Validating Unknown Tags The FIX 4.4 gateway will ignore all tags received which are not part of this specification. 4.3 Hours of Operation The server will be available from <Start Time> to <End Time> each trading day. The server will reset its inbound and outbound message sequences numbers to one at the end of each day. Once SOR trading day ends at <End Time> all users logged in the server will be force-logged out and thereon no logins will be accepted. Note: Any login attempts by the client will be rejected using a Logout message if received outside trading hours (i.e. hours outside <Start Time> to <End Time>). The start and end times may be subject to change at anytime due to operational changes. 4.4 Encryption The server does not support encryption of messages between client and server. Page 7 of 31

8 5 SUPPORTED MESSAGE TYPES The following tables list all administrative and application message types supported by the server. Any message not included in these tables will be rejected via a Business Reject message. 5.1 Administrative Messages All administrative messages may be initiated by either the client or the server. Message MsgType Usage Heartbeat 0 Allows the client and server to exercise the communication line during periods of inactivity and verify that the interfaces at each end are available. Logon A Allows the client and server to establish a FIX session. Test Request 1 Allows the client or server to request for a response from the other party if inactivity is detected. Resend Request 2 Allows for the recovery of messages lost during a malfunction of the communications layers. Reject 3 Used to reject a message that does not comply with the session level of the FIX protocol. Sequence Reset 4 Allows the client or server to increase the expected incoming sequence number on the other party. The message also allows the server to initialize the expected incoming sequence number on the client. Logout 5 Allows the client and server to terminate a FIX session. 5.2 Application Messages (Client-Initiated) Message MsgType Usage Market Request Security List Request Data Security Status Request V x e Allows the client to request market data. Allows the client to request instrument list. Allow the client to request the status of a security. 5.3 Application Messages (Server-Initiated) Message MsgType Usage Market Data Snapshot /Full Refresh Market Data Incremental Market Data Request Reject W X Y Sends in response to a Market Data Request. Allow the client to receive incremental market data updates. Sends if system cannot fulfill the market data request. Page 8 of 31

9 Message MsgType Usage Security List y Allow the client to receive the list of securities that matches the criteria specified in the security list request. Security Status f Used to report changes in the status of a security. News B Used to publish news information from the exchange. Business Message Reject j Indicates that a message could not be processed. 5.4 Unsupported Message Types Only the Message Types defined in this document will be processed the system. If any message which is not defined is received, it will be rejected via a Business Reject message. Page 9 of 31

10 6 MESSAGE HEADERS AND TRAILERS 6.1 Message Headers Given below is the header section common for Client and Server-initiated messages. 8 BeginString Y Should contain string FIX BodyLength Y Must be the 2 nd field in the message 35 MsgType Y Must be the 3 rd field in the message 34 MsgSeqNum Y Message Sequence Number 43 PossDupFlag N Required for retransmitted messages specially for messages sent as a reply for Resend Requests 49 SenderComp Y Initiator of the message 50 SenderSub N It may be use by the client for it to tag the incoming messages. 52 SendingTime Y The time the message was sent. (always expressed in UTC) 56 TargetComp Y Intended recipient of the message 57 TargetSub N Value sent within the SenderSub (50) is echoed back 97 PossResend N Required when message may be duplicate of another message sent under a different sequence number. 115 OnBehalfOfComp Y For messages sent by Exchange = Client s Brokerage firm (if any); For messages received by Exchange = Client s Trading partner (if any). 128 DeliverToComp Y For messages sent by Exchange = Client s trading partner (if any); 6.2 Message Trailers For messages received by Exchange = Client s Brokerage firm (if any). Given below is the Trailer section common for Client and Server-initiated messages. 10 CheckSum Y Always unencrypted and always last field in the message 7 ADMINISTRATIVE MESSAGES 7.1 Heartbeat 35 MsgType Y 0 = Heartbeat Page 10 of 31

11 112 TestReq N Required if heartbeat is a response to a Test Request. The value in this field should echo the TestReq (112) received in the Test Request. 7.2 Logon 35 MsgType Y A = Logon 98 EncryptMethod Y The method of encryption. Must be HeartBtInt Y Indicates the heartbeat interval in seconds. 141 ResetSeqNumFlag N Indicates both sides of a FIX session should reset sequence numbers. 7.3 Test Request 35 MsgType Y 1 = Test Request 112 TestReq N Identifier for the request. 7.4 Resend Request 35 MsgType Y 2 = Resend Request 7 BeginSeqNo Y Sequence number of first message in range to be resent 16 EndSeqNo Y Sequence number of last message in range to be resent If request is for a single message BeginSeqNo = EndSeqNo. The value zero (0) may be used to denote the last sequence number transmitted by the receiving party. 7.5 Reject Page 11 of 31

12 35 MsgType Y 3 = Reject 45 RefSeqNum Y MsgSeqNum (34) of the rejected message. 371 RefTag N The tag number of the FIX field being referenced. 372 RefMsgType N The MsgType of the FIX message being referenced. 373 SessionReject Reason Y A code specifying the reason for the reject. Please refer to Section 9.0 for a list of valid values. 7.6 Sequence Reset 35 MsgType Y 4 = Sequence Reset 36 NewSeqNo Y Sequence number of the next message to be transmitted. 123 GapFillFlag N The mode in which the message is being used. Absence of this field is interpreted as Gap Fill (Y). 7.7 Logout 35 MsgType Y 5 = Logout 58 Text N The reason for the Logout. Page 12 of 31

13 8 MARKET DATA FIELD DEFINITIONS The following market data entry types are to be supported by the SOR: Market Data Entry Type Description Comments 0 Bid The full book on the bid side for the security. The book is market by price based, i.e. two or more individual orders will appear as the same book entry, if it contains the same price. 1 Offer The full book on the sell side for the security. The book is market by price based, i.e. two or more individual orders will appear as the same book entry, if it contains the same price. 2 Trade Completed trades for the security (Price, Quantity, Trade ) 3 Index Value Values for the Stock Indexes. 4 Opening The opening price of the security (first trade). 5 Closing Instead of actual Closing Price SOR will disseminate Secondary Last Trade Price of security to preserve backward compatibility. 7 Trading High (*) The secondary highest price traded for the security in the trading session. 8 Trading Low (*) The secondary lowest price traded for the security in the trading session. 9 Trading VWAP Volume-Weighted Average Price, the ratio of the value traded to total volume traded over the trading session. SOR will disseminate the value sent by exchanges. A Imbalance The price variation respect to the closing price (Percentage change from Previous Close) during a trading session. B Trade valume The total volume traded for that security in the trading session.sor will disseminate the value sent by exchanges. D Trade Ammount The trading amount (Price * Quantity).SOR will disseminate the value sent by exchanges. b CBLimitDown Price band lower value sent by the exchanges. c CBLimitUp Price band upper value sent by the exchanges. d Indicative price Price at the end of an auction e Reference Price Securities current reference price used for circuit breakers. f Quote Price Ex dividend price send by exchanges. k Previous time Price, Date. hour of the last trade of previous session Page 13 of 31

14 Market Data Entry Type Description Comments l Ex dividend Ex dividend price sent by exchanges.. 9 APPLICATION MESSAGES (CLIENT-INITIATED). 9.1 Market Data Request A Market Data Request is a general request for market data on a specific security. A successful Market Data Request returns one Market Data Full Snapshot message containing one or more Market Data Entries. It is then followed by incremental updates (Market Data Incremental Refresh messages). 35 MsgType Y V = Market Data Request 262 MDReq Y Must be unique per trading session. 263 SubscriptionRequestType Y Indicates what type of response is expected. Refer Data Dictionary for more information. 264 MarketDepth Y Depth of market for Book Snapshot. Refer Data Dictionary for more information. 265 MDUpdateType N Specifies the type of Market Data update. 266 AggregatedBook N Specifies whether or not book entries should be aggregated. Note: Millennium SOR will ignore the value sends in AggregatedBook (266) tag and will always disseminate the aggregated order book. 267 NoMDEntryTypes Y Number of MDEntryType fields requested. 269 MDEntryType Y Types of Market Data Entries that the firm requesting 146 NoRelatedSym Y Number of instruments requested. Page 14 of 31

15 55 Symbol Y The security/issue symbol. If the value is INDEXES system will respond for all indices in the system. If the value is equal to Index name system will respond ONLY for the specified Index similar to any other Symbol. 207 SecurityExchange Y Indicates the security exchange of the instrument. Note: For MDEntryType = 3, if users subscribe with instrument symbol = INDEXES system will respond with Index values for all indices available in the system for the subscribed market. For MDEntryType = 3, if users subscribe with instrument symbol = <Index Name> system will respond with the Index value for the specified index. 9.2 Security List Request The Security List Request message is used by institutions that connect to SOR to retrieve a list of securities that are available for trading in that connection according to specified criteria. In response SOR will responds with a Security List message, which contains information about the instruments traded such as Security s and relevant trading information. In case the request fails, SOR response will be the Security List message with the SecurityRequestResult field indicating the reason of the rejection. Cancellation of the subscription may be done by setting the field SubscriptionRequestType to 2 (unsubscribe). 35 MsgType Y x = Security List Request 320 SecurityReq Y of the Security List Request. SOR will not validate this for uniqueness. 559 SecurityListRequestType Y Identifies the type/criteria of Security List Request 9.3 Security Status Request The Security Status Request message provides the ability to request the status of a security. Its response is a Security Status message, which contains information about the status of the subscribed instrument. Cancellation of the subscription can be done by setting the field SubscriptionRequestType to 2 (unsubscribe). Page 15 of 31

16 35 MsgType Y e = Security Status Request 324 SecurityStatusReq N Must be unique, or the of previous Security Status Request to unsubscribe if SubscriptionRequestType = Symbol Y The security/issue symbol. 207 SecurityExchange Y Indicates the security exchange of the instrument 263 SubscriptionRequestType Y Indicates what type of response is expected. Page 16 of 31

17 10 APPLICATION MESSAGES (SERVER-INITIATED) 10.1 Market Data Snapshot/Full Refresh The Market Data Snapshot/Full Refresh messages are sent in response to a Market Data Request message. The message refers to only one Market Data Request. It will contain the appropriate MDReq tag value to correlate the request with the response. 35 MsgType Y W = Market Data Snapshot/Full Refresh 55 Symbol Y The security/issue symbol. 207 SecurityExchange Y Indicates the security exchange of the instrument 262 MDReq N Required if this message is in response to a Market Data Request. Echoed back from the Market Data Request message. 268 NoMDEntries Y Number of entries following. 269 MDEntryType Y Types of Market Data Entries that the firm requesting Please refer Data Dictionary section for valid values. Notice: 1) For values b, c, d, e, f, l, Price will be populated in tag ) For value k, Date will be populated in tag 272 and price in tag MDEntryPx N Used if the entry has price related data. 271 MDEntrySize N Quantity or volume represented by the Market Data Entry. Conditionally required for : 0=Bid 1=Offer 2=Trade B=Trade volume 272 MDEntryDate N Date of Market Data Entry Previous Close Date when MDEntryType = k Page 17 of 31

18 288 MDEntryBuyer N In a trade, the buyer broker code (sponsor). SOR will send the value received from the market. 289 MDEntrySeller N In a trade, the seller broker code (sponsor). SOR will send the values received from the markets. 346 NumberOfOrders N Used for aggregated requests. SOR will send the value received from the market. 290 MDEntryPositionNo N Conditionally required when MDEntryType=0, 1, e or f (Bid, Offer, Aggregate bid or Aggregate offer). Display position of a bid or offer, numbered from most competitive to least competitive, per market side, beginning with PriceDelta N Conditionally required depending on the MDEntry. Used in Imbalance Trade N Used as unique identifier for the trades. 278 MDEntry N entry identifier. 280 MDEntryRef N A sequence based upon the subscription identifier. Used for detecting message loss Market Data Incremental Refresh After a successful subscription for Market Data messages and the Market Data Snapshot/Full Refresh has been issued, further updates will be communicated to the subscriber via the Market Data Incremental Refresh message. These messages will be sent until the client institution cancels the subscription with a Market Data Request with SubscriptionRequestType=2. Market Data Entries have an MDEntry unique among all currently active Market Data Entries so they can be referenced for the purposes of deleting and changing them later, or for auditing. When changing a Market Data Entry, it may keep the same MDEntry, in which case only MDEntry would be populated, or the MDEntry may change, in which case MDEntry will contain the new and MDEntryRef will contain the of the Market Data Entry being changed. An MDEntry can be reused within a day only if it has first been deleted. 35 MsgType Y X = Market Data Incremental Refresh 262 MDReq Y 268 NoMDEntries Y Number of entries following. 279 MDUpdateAction Y Type of Market Data update action. Page 18 of 31

19 269 MDEntryType Y Types of Market Data Entries that the firm requesting the Market Data is interested in receiving. 278 MDEntry Y entry identifier. 280 MDEntryRef Y A sequence based upon the subscription identifier. Used for detecting message loss. 55 Symbol Y The security/issue symbol. 207 SecurityExchange Y Indicates the security exchange of the instrument 270 MDEntryPx N Used if the entry has price related data. 271 MDEntrySize N Quantity or volume represented by the Market Data Entry. Conditionally required for : 0=Bid 1=Offer 2=Trade B=Trade volume 272 MDEntryDate N Date of Market Data Entry. Previous Close Date when MDEntryType = k 288 MDEntryBuyer N In a trade, the buyer broker code (sponsor). 289 MDEntrySeller N In a trade, the seller broker code (sponsor). 346 NumberOfOrders N Used for aggregated requests. 290 MDEntryPositionNo N Conditionally required when MDEntryType=0,1, e or f (Bid, Offer, Aggregate bid or Aggregate offer). Display position of a bid or offer, numbered from most competitive to least competitive, per market side, beginning with PriceDelta N Conditionally required depending on the MDEntry. Used in Imbalane 5463 Trade N The unique identifier of a trade Market Data Request Reject The Market Data Request Reject will be issued by BVL when it cannot fulfill the Market Data Request, due to business or technical reasons. 35 MsgType Y Y = Market Data Request Reject Page 19 of 31

20 262 MDReq Y Required if this message is in response to a Market Data Request. Echoed back from the Market Data Request message. 281 MDReqRejReason N Reason for the rejection of a Market Data request. 58 Text N Descriptive text of reason for rejection Security List The Security List message is used to return a list of securities that matches the criteria specified in a Security List Request. If the list of securities returned is so large it requires message fragmentation (i.e. more than one message to return all the securities), tag TotNoRelatedSym will be set, containing the total number of securities to be returned in the stream of messages, as opposed to the value of NoRelatedSym, which indicates the number of securities returned in that specific message. The last message in the stream will have tag LastFragment set to Y. Absence of tag LastFragment should be interpreted as LastFragment = N. If the list of securities that is requested is an empty set (i.e. there are no instruments that match the entered criteria in the Security List Request message), a Security List message is returned to the requesting counterparty with the LastFragment field set to Y and the totnorelatedsym field set to 0 (zero). Note: Provision of Security List will be restricted based on Instrument Group Level Privilege Instrument download Allowed Instruments. Only the allowed instruments will be available in security list download. 35 MsgType Y y = Security List 320 SecurityReq Y of the Security List Request. However SOR will not validate it for its uniqueness. 322 SecurityResponse Y of this message, generated by the SOR. 560 SecurityRequestResult Y The results returned to the Security List Request message. 393 TotNoRelatedSym Y Used to indicate the total number of securities being returned for this request. Used in the event that message fragmentation is required. 893 LastFragment Y Indicates whether this message is the last in the sequence of messages. 146 NoRelatedSym N Specifies the number of repeating instruments specified. 55 Symbol Y The security/issue symbol. 48 Security N Security defined by ISIN. Page 20 of 31

21 22 SecuritySource N Conditionally required if the Security field is set. Valid values: 4 = ISIN number 207 SecurityExchange Y Indicates the security exchange of the instrument. 15 Currency N Identifies currency used for price. Currency codes used in FIX are those defined in ISO 4217 standard. 561 RoundLot Y Lot size of the instrument Security Status The Security Status message is used by one trading entity (for instance an exchange) to report changes in the state of a security. 35 MsgType Y f = Security Status 324 SecurityStatusReq N Must be unique, or the of previous Security Status Request to disable if SubscriptionRequestType = 2 55 Symbol Y The security/issue symbol. 207 SecurityExchange Y Indicates the security exchange of the instrument. 326 SecurityTradingStatus N Identifies the trading status applicable to the transaction. 292 CorporateAction N Corporate Action for the Instrument News The News message is used to publish news information from the Exchange to the connected community. It is based on a push model, i.e. no subscription is required. As soon as the counterparty connects, it will start receiving news as they occur. Retransmission of News messages is not supported. News published by the Exchange may be: Security-specific news (such as beginning of auction or price adjustment information). Exchange official notices/news. Page 21 of 31

22 Generic news. Note: Only the News messages received via Market Data Gateways form connected markets will be disseminated via FIX 4.4 Market Data Gateway. 35 MsgType Y B = News 148 Headline Y The headline of a News message. 33 LinesOfText Y Identifies number of lines of text body. 58 Text Y Repeating field, number of instances defined in NoLinesOfText NewsType N Indicator of which kind of news message is this NewsCode N BVL Internal code associated with this news message. Code meaning depends on NewsType. Notice: In the event the Tag is used with a news type (from 3 to 6), tag will contain a string with the Instrument/Security symbol followed by the identification of the Exchange. Example: VOLCAN BVL 10.7 Business Message Reject 35 MsgType Y j = Business Message Reject 45 RefSeqNum N The MsgSeqNum (34) of the rejected message. 372 RefMsgType Y The MsgType (35) of the rejected message. 379 BusinessRejectRef N The ClOrd (11) of the rejected message. Required unless the corresponding field was not specified. 380 BusinessRejectReason Y A code specifying the reason for the reject. 58 Text N Textual rejection reason 371 RefTag N The tag number of the FIX field being referenced. Note that tag 371 is not defined as a Business Message Reject field in FIX 4.2. This tag is added to provide the receiving party with more information Page 22 of 31

23 11 DATA DICTIONARY Tag Field Name Data Type Format/Values 7 BeginSeqNo Int [9] Sequence number of first message in range to be resent 8 BeginString String 9 BodyLength Int [4] Message length, in bytes Identifies beginning of new message and protocol version Set to FIX CheckSum String [3] Simple checksum Always defined as three characters. 15 Currency Currency Currency codes used in FIX are those defined in ISO 4217 standard. Valid vaues are: PEN = Peru, Nuevo Sol USD = United States of America, Dollars CLP = Chilean Peso COP = Colombian Peso 16 EndSeqNo Int [9] Sequence number of last message in range to be resent 34 MsgSeqNum Int [9] Integer message sequence number Fix Message Type 35 MsgType String Value Meaning 0 Heartbeat 1 Test Request 2 Resend Request 3 Reject 4 Sequence Reset 5 Logout A Logon J Business Message Reject 36 NewSeqNo Int [9] New sequence number Value - Meaning 43 PossDupFlag Boolean Value Y N Meaning Possible Duplicate Original transmission 45 RefSeqNum Int [9] Reference message sequence number 49 SenderComp String [8] Assigned value used to identify firm sending message 50 SenderSub String [8] 52 SendingTime UTC Timestamp [21] It may be use by the client for it to tag the incoming messages Format : YYYYMMDD-HH:MM:SS.sss 55 Symbol String [17] The Symbol tag contains the mnemonic of the security. 56 TargetComp String [8] Assigned value used to identify receiving firm 57 TargetSub String [8] Value sent within the SenderSub (50) is echoed back 58 Text String [1024] The reason for the action Valid values, 97 PossResend Boolean Value Meaning Y Possible resend N Original transmission Page 23 of 31

24 98 EncryptedMethod Int Must be HeartBtInt Int [4] Heartbeat interval (seconds) 112 TestReq String [8] Identifier included in Test Request message to be returned in resulting Heartbeat 115 OnBehalfOfComp String [8] For messages sent by Exchange = Client s Brokerage firm (if any); For messages received by Exchange = Client s Trading partner (if any). 123 GapFillFlag Boolean Value Meaning Y Gap Fill N Sequence Reset 128 DeliverToComp String [8] For messages sent by Exchange = Client s trading partner (if any); For messages received by Exchange = Client s Brokerage firm (if any). 141 ResetSeqNumFlag Boolean Value Meaning Y Yes, reset sequence numbers N No 207 SecurityExchange String Value XLIM XBOG XSGO Meaning BVL BVC BCS 292 CorporateAction String Value A C F G Meaning Ex-Dividend Ex-Rights Stock Split Dividend and Rights 371 RefTag Int [4] The tag number of the FIX field being referenced 372 RefMsgType String [2] The MsgType (35) of the FIX message being referenced Page 24 of 31

25 373 SessionRejectReason Int Value Meaning 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 9 Comp problem 10 SendingTime accuracy problem 11 Invalid MsgType 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 262 MDReq String identifier for Market Data Request 263 SubscriptionRequestType Char Value Meaning 1 Snapshot + updates 2 Unsubscribe 264 MarketDepth Int Value Meaning 0 Full Book 1 Top 265 MDUpdateType Int Value Meaning 1 Incremental 266 AggregatedBook Boolean Value Meaning N Detailed book Y Aggregated book 267 NoMDEntryTypes NumInGroup Number of MDEntryType (269) fields requested. Page 25 of 31

26 269 MDEntryType Char Value Meaning 0 Bid 1 Offer 2 Trade 3 Index Value* 4 Opening 5 Closing 7 Trading High 8 Trading Low 9 Trading VWAP A Imbalance B Trade volume D Trade amount b CBLimitDown c CBLimitUp d Indicative Opening Price e Reference Price f Quote Price k Previous time l Ex Dividend 146 NoRelatedSym NumInGroup Number of instruments requested. 320 SecurityReq String of the Security List Request. 559 SecurityListRequestType Int Value Meaning 4 All securities 324 SecurityStatusReq String Value Meaning 0 Snapshot 1 Suscribe 2 Unsubscribe 268 NoMDEntries NumInGroup Number of entries in Market Data message. 270 MDEntryPx Price Price of the Market Data Entry. 271 MDEntrySize Qty Quantity or volume represented by the Market Data Entry. 272 MDEntryDate UTCDateOnly Date of Market Data Entry. 288 MDEntryBuyer String Buying party in a trade 289 MDEntrySeller String Selling party in a trade 346 NumberOfOrders Int Number of orders in the market. 290 MDEntryPositionNo Int Display position of a bid or offer, 811 PriceDelta Float Delta calculated from theoretical price Page 26 of 31

27 5463 Trade String Used as unique identifier for the trades. 278 MDEntry String Market Data Entry identifier. 280 MDEntryRef String Refers to a previous MDEntry (278) 279 MDUpdateAction Char Value Meaning 0 New 2 Delete 281 MDReqRejReason Char Value Meaning 0 Unknown symbol 1 Duplicate MDReq 2 Insufficient Bandwidth 3 Insufficient Permissions 4 Unsupported SubscriptionRequestType 5 Unsupported MarketDepth 6 Unsupported MDUpdateType 7 Unsupported AggregateBook 8 Unsupported MDEntryType 9 Unsupported TradingSession A B C Y Z Unsupported Scope Unsupported OpenCloseSettleFlag Unsupported MDImplicitDelete MDReq not found (attemp to cancel an Unknown subscription request) Invalid request 320 SecurityReq String of the Security List Request. 322 SecurityResponse String of a Security Definition message. 560 SecurityRequestResult Int Value Meaning 0 Valid request 893 LastFragment Boolean Value Meaning Y Last message N Not last message 146 NoRelatedSym NumInGroup Specifies the number of repeating symbols specified. 561 RoundLot Int The trading lot size of a security Page 27 of 31

28 326 SecurityTradingStatus Int Value Meaning 2 TrdHalt, indicates that the instrument has been suspended. 3 Resume, indicates that the instrument is able to trade. 18 Not Available for trading, indicates that the instrument is Inactive 148 Headline String The headline of a News message 33 LinesOfText NumInGroup Identifies number of lines of text body NewsType Int Value Meaning 1 MARKET_EVENT 8 MARKET_NEWS (news to integrated market) 9999 OTHER NewsCode String BVL Internal code associated with this news message. Note: Data lengths to be added for certain fields above. Page 28 of 31

29 12 MARKET DATA ENTRY TYPE MAPPINGS Following table describes how the Market Data tags populate for each MD Entry Type. MD Entry Type (269) MD Entry Px (270) 0 - Bid Bid Price (MBP) 1 - Offer Offer Price (MBP) 2 - Trade Trade Price MD Entry Size (271) Bid Quantity Offer Quantity Trade Quantity MD Entry Date (272) MD EntryBuy er (288) N/A N/A N/A N/A N/A N/A N/A Buy Broker MDEntryS eller (289) Sell Broker NumberO forders (346) Number Of orders Number Of orders MDEntry Position No (290) Position of the Bid Position of Offer PriceDel ta (811) N/A N/A N/A N/A N/A 3 - Index Value Index Value N/A N/A N/A N/A N/A N/A Percenta ge Change from PCP 4 - Opening Opening Price N/A N/A N/A N/A N/A N/A N/A N/A 5 - Closing Secondary Trade Price Last N/A N/A N/A N/A N/A N/A N/A N/A 7 - Trading High High Price N/A N/A N/A N/A N/A N/A N/A N/A 8 - Trading Low Low Price N/A N/A N/A N/A N/A N/A N/A N/A 9 - Trading VWAP VWAP N/A N/A N/A N/A N/A N/A N/A N/A A - Imbalance N/A N/A N/A N/A N/A N/A N/A B - Trade Volume N/A Trade Volume Percenta ge Change from PCP N/A N/A N/A N/A N/A N/A N/A D - Trade Amount Trade Ammount N/A N/A N/A N/A N/A N/A N/A N/A b - CBLimitDown CB Limit Up N/A N/A N/A N/A N/A N/A N/A N/A c - CBLimitUp CB Limit Down N/A N/A N/A N/A N/A N/A N/A N/A d - Indicative price Indicative Price N/A N/A N/A N/A N/A N/A N/A N/A e - Reference Price Reference Price N/A N/A N/A N/A N/A N/A N/A N/A Trade (5463) N/A N/A for the Trade N/A N/A MDEntry (278) MDEntryR ef (280) Page 29 of 31

30 f - Quote Price Previous Close (If Corporate action) k - Previous time Previous Close N/A l - Ex dividend Previous Close (If Corporate action) N/A N/A N/A N/A N/A N/A N/A N/A Previous Close Date N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A Page 30 of 31

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