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caused by any error or omission in this document.
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
.............................................................................
11 1.2. The ISE is an execution point on the following
Networks: .............................................. 11
1.3. IPSec connectivity to Test & Prod environments
............................................................
11 1.4. IP addresses for ISE Options FIX environments
............................................................
11
Chapter 2. FIX protocol
............................................................................................................
12 2.1. Standard header
.............................................................................................................
13 2.2. Standard trailer
................................................................................................................
14 2.3. Rejection of Stale Orders
................................................................................................
14 2.4. ISE Exchange Codes
......................................................................................................
14
Chapter 3. Order handling
.......................................................................................................
15 3.1. Trading sessions for FIX orders in Production
................................................................
15 3.2. FIX Development system availability – business
days ................................................... 16
3.3. Supported orders
............................................................................................................
16 3.4. Specifying non-default clearing information
....................................................................
16 3.5. Understanding the Symbol, MaturityMonthYear,
and MaturityDay fields ............... 19 3.6. Sending
a Block order using New Order Single
.............................................................
20 3.7. Attributable Order
............................................................................................................
21 3.8. Simple Facilitation Order using New Order
Single .........................................................
22 3.9. Cross Order Step Up
.......................................................................................................
22 3.10. Stopped Cross Order
...................................................................................................
23 3.11. Sending Cabinet orders
...............................................................................................
23 3.12. Understanding Account Type /
CustomerOrFirm(204)
................................................ 24
3.13. Ignore Away Market Orders
........................................................................................
24 3.14. Order Preferencing
......................................................................................................
25 3.15. Directed Orders
...........................................................................................................
25 3.16. Reserve Orders
...........................................................................................................
25 3.17. Minimum Quantity/Matched Increment
Orders............................................................
27 3.18. Qualified Contingent Cross Order
...............................................................................
28 3.19. Do-Not-Route Order
....................................................................................................
30
Chapter 4. Order functions
......................................................................................................
31 4.1. New Order – Single
.........................................................................................................
31 4.2. Order Cancel/Replace Request
......................................................................................
35 4.3. Order Cancel Request
....................................................................................................
38 4.4. Order Status Request
.....................................................................................................
39
Chapter 5. Execution reports
..................................................................................................
41 5.1. Standard Execution Report
.............................................................................................
41 5.2. Order Cancel Reject
........................................................................................................
47 5.3. Order Reject
....................................................................................................................
48 5.4. Nothing Done
..................................................................................................................
49
Chapter 6. Drop Copy
...............................................................................................................
52 6.1. Drop Copy Trade Report
.................................................................................................
52 6.2. Full Order Drop Copy
......................................................................................................
55 6.3. PrecISE AMR Drop Copy
................................................................................................
59
Chapter 7. Administrative messages
.....................................................................................
63
01 May 2008
7.1. Resend Request
.............................................................................................................
63 7.2. News
...............................................................................................................................
63
Chapter 8. Post-trade allocation
.............................................................................................
64 8.1. Allocation message
.........................................................................................................
64 8.2. Allocation ACK message
.................................................................................................
66
Chapter 9. ISE Crossing Orders
..............................................................................................
69 9.1. Cross Order Handling Rules.
..........................................................................................
69 9.2. Execution Reporting for cross orders.
.............................................................................
69 9.3. ISE Special Order Classification in
CrossType(549)
...................................................... 69
9.4. Solicitation Order
.............................................................................................................
69 9.5. Facilitation Order
.............................................................................................................
70 9.6. Price Improvement Mechanism (PIM)
.............................................................................
70 9.7. FIX 4.3 New Order Cross Message
................................................................................
70
Chapter 10. Multi-Leg Order handling
..................................................................................
74 10.1. Trading Multi-Leg Securities
........................................................................................
74 10.2. Combination Order Types
...........................................................................................
74 10.3. Multi-Leg Security Trading Message Flow
..................................................................
75 10.4. Buy-Write and Delta Neutral Orders
............................................................................
75 10.5. New Order – Multi-Leg
................................................................................................
75 10.6. Order Cancel/Replace Request
..................................................................................
81 10.7. Order Cancel Request
.................................................................................................
83 10.8. Order Status Request
..................................................................................................
83 10.9. Complex Facilitation Orders (CFO’s)
..........................................................................
84 10.10. Complex Customer Match Orders (CCMO’s)
..............................................................
84
Chapter 11. New Order Cross – Multi-Leg
............................................................................
85 11.1. Order Handling Rules
..................................................................................................
85 11.2. Execution Reporting
....................................................................................................
85 11.3. Supported Order Classification
...................................................................................
85 11.4. Supported Account Categories
...................................................................................
85 11.5. New Order Cross – Multi-Leg
...........................................................................................
86
Appendices
..................................................................................................................................
91 Appendix A. Industry terms not used by ISE
.............................................................................
92 Appendix B. ISE rejection messages
.........................................................................................
93 Appendix C. ISE Order Types & Permissible Originating
/ Counterparties ............................... 95 Appendix
D. Examples of FIX application messages
................................................................
96 Appendix E. Example of News messages
...............................................................................
102 Appendix F. Example of Execution Report – Order Reject
..................................................... 103
Appendix G. Examples of FIX Drop Copy Execution Reports
................................................. 104
Appendix H. Day One production strategy
..............................................................................
107 Appendix I. Test script sample
.................................................................................................
108
Confidential May 2008
Tables
Table 1. ISE header fields for FIX messages
................................................................................
13 Table 2. ISE trailer fields for FIX messages
..................................................................................
14 Table 3. ISE trading sessions for FIX orders
.................................................................................
15 Table 4. Orders supported by ISE
.................................................................................................
16 Table 5. Tags for non-default clearing information
........................................................................
16 Table 6. Text value on Drop Copy Trade Report
..........................................................................
19 Table 7. Symbol and MaturityMonthYear field descriptions
.......................................................... 19
Table 8. Fields that support Block orders
......................................................................................
20 Table 9. Fields that support CAB orders
.......................................................................................
24 Table 10. New Order – Single message format
............................................................................
32 Table 11. Cancel/replace requests supported by ISE
...................................................................
35 Table 12. Order Cancel/Replace Request message format
......................................................... 35
Table 13. Order Cancel Request message format
........................................................................
38 Table 14. Order Status Request message format
.........................................................................
39 Table 15. Standard Execution Report message format
................................................................
42 Table 16. Order Cancel Reject message format
...........................................................................
47 Table 17. Order Reject message format
.......................................................................................
48 Table 18. Nothing Done message format
......................................................................................
49 Table 19. Drop Copy Trade Report message format
....................................................................
52 Table 20. Resend Request message format
.................................................................................
63 Table 21. News message format
...................................................................................................
63 Table 22. Allocation message format
............................................................................................
64 Table 23. Allocation message validations
.....................................................................................
66 Table 24. Allocation ACK message format
....................................................................................
66 Table 25. New Order – Multi-Leg message format
.......................................................................
76 Table 26. Instrument leg FIX tags
.................................................................................................
80 Table 27. Order Cancel/Replace Request message format
......................................................... 81
Table 28. Order Cancel Request message format
........................................................................
83 Table 29. Order Status Request message format
.........................................................................
83 Table 30. Industry terms that are not used by ISE
........................................................................
92 Table 31. ISE rejection messages
.................................................................................................
93 Table 32. Day One production tests
............................................................................................
107 Table 33. Key ISE contacts
.........................................................................................................
107
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
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
GTC Good Til Cancelled PMM Primary Market Maker
01 May 2008
Related documents This document should be read in conjunction
with:
Document Description Location
Describes the industry standard for broker – institution
communication.
www.fixprotocol.org/specifications/
ISE Rules Refer to Chapter 7 for the EAM trading practices.
www.ise.com/legal/pdf/rules.pdf
FIX Protocol Internet site Provides a central repository for FIX
documents.
www.fixprotocol.org
Provides a directory of option symbols with a search
facility.
http://onn.theocc.com/
www.ise.com
Summary of changes
Issue Date Change
3.9 July 2010 Updated with support for Combo Reserve Order
Support for Sell Short Exempt
3.8 June 2010 Cross Order Step Up
Do-Not-Route Order
Full Order Drop Copy
PrecISE AMR Drop Copy
Stopped Cross Order
Liquidity Indicator Tag 9730
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)
Minor updates & corrections
3.1 15 Jun 2007 Add support for new Client Categories in
CustomerOrFirm(204)
3.0 01 Sep 2006 Remove support for IgnoreAwayMarket(9205)
Add support for Firm / Broker Dealer – CustomerOrFirm(204) =
2
Simple Facilitation using New Order Single
01 May 2008
IPSEC Connectivity into Production environment now available
2.9 10 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 2006
2.8 10 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
2.7 15 Jul 2005 Removed references to automatic cancellation of
non-customer orders which improve the BBO for < 10
contracts
Section 2.3.2. “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 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.
1.2. 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.
1.4. IP addresses for ISE Options FIX environments
System Public IP Address Radianz NAT Address type
Development 209.140.121.65 206.190.99.62 Virtual IP
Production 209.140.121.173 206.190.99.47 Virtual IP
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 FIX engine
Exchange System
Figure 1. Using the FIX interface to connect to ISE
The protocol is defined at two levels:
1. Session
2. Application
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:
BeginString
BodyLength
MsgType
CheckSum
General message format of standard header
The header is followed by the body and the standard trailer.
FIX Order Routing Protocol 13
2.1. Standard header A standard header precedes each message.
The header identifies the:
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
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.
01 May 2008
2.2. 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.
2.3. 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.
2.4. ISE Exchange Codes The ISE Exchange (Reuters) Code is Y
The ISE Market Identification Code (MIC) is XISX.
FIX Order Routing Protocol 15
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 Multileg – Cross (type As)
Refer to Chapter 4 for the message format specifications.
3.1. 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.
01 May 2008
3.2. FIX Development system availability – business days
Time (EST) FIX status Comment
04:00 – 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
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)
Time-In-Force Immediate Or Cancel (IOC)
Fill Or Kill (FOK)
Good-Til-Cancelled (GTC)
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.
Execution
Instruction
ISE supports ISO DAY, ISO GTC, and ISO IOC.
ISE special order types
ISE special order types
Complex Orders
Buy-Writes & Delta Neutral
Complex Crossing Orders
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)
FIX Order Routing Protocol 17
ExecBroker (tag 76)
ClearingAccount (tag 440)
Provides sub-account information for Far Away Market Maker (FARMM)
orders.
Sends the information to OCC.
Text (tag 58) EAMs can use the Optional Data field to include
identifying information about an order.
Sends information(first 15 characters) to OCC in the OCC 410
Matched Trade Record.
3.4.1. 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.
3.4.2. 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.
3.4.3. 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
01 May 2008
FIX Order Routing Protocol 18
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.
3.4.4. 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 456
3.4.5. 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.
FIX Order Routing Protocol 19
3.4.6. Understanding the Text field on the Drop Copy Trade
Report
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 Text field contains…
FIX The first 15 characters of free text if it was supplied on the
original order. Otherwise, ClOrdId is used.
PrecISE INFO field on order entry window
OM Open Interface (API)
Free text if it was supplied on the original order.
No value if it is a quote.
3.5. Understanding the Symbol, MaturityMonthYear, and MaturityDay
fields
The Symbol and MaturityMonthYear fields are described in Table
7.
Table 7. Symbol and MaturityMonthYear field descriptions
Field Description Notes
Symbol (tag 55)
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)
For example:
MaturityMonth Year (tag 200)
Provides the expiration month and year in the yyyymm format.
You must provide the full string.
As a result of Options Symbology Initiative(OSI) implementation,
tag 200 must be used in conjunction with tag 205(MaturityDay) for
full validation.
If there is a discrepancy, the order will be rejected.
MaturityDay (tag 205)
Provides the expiration day of the month in the dd format
Day of month used in conjunction with MaturityMonthYear(200) to
fully specify the maturity date for options. valid values: 1 thru
31
01 May 2008
FIX Order Routing Protocol 20
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
9203 ExposureFlag Multiple
“E” = Expose All
"Q" = Quantity
"I" = Instruction (Buy/Sell)
“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
www.ise.com.
FIX Order Routing Protocol 21
3.7. Attributable Order An Attributable Order is an order that
displays the sending firm’s attributes such as Member ID, CMTA
and/or Give Up, etc, if originally populated on the order. Use of
this functionality is strictly voluntary.
A firm may also request to be enabled for the opt-in feature which
marks all orders as attributable.
The following order types support Attributable Order.
New Order Single (Including Block Order, please see Section
3.6)
New Order Cross (Facilitation and Solicitation)
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.
If tag 9203 is specified with “H” with any other values, the order
will be rejected.
Cabinet and PIM orders are not supported.
Valid values for Tag 9203, or ExposureFlag
Tag Field Name Type Usage
9203 ExposureFlag Multiple
“E” = Expose All
"Q" = Quantity
"I" = Instruction (Buy/Sell)
“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 following table shows the supported tag 9203 and Opt-in values
for each applicable order types.
Order Type Values Accepted in FIX Tag 9203
Regular H, C, G, M
Block H, P, Q, I, T, B, C, M, G, E
Crossing H, C, G, M
Complex H, C, G, M
01 May 2008
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.
3.9. Cross Order Step Up A Step Up (Hidden) Price can now be
specified on Crossing orders which constitutes a maximum price,
beyond the original specified premium crossing price that upon
improved responses, will permit the cross price to be improved,
providing the opportunity for the original cross to take place. A
market price can be entered in the Step Up(Hidden) Price to
auto-match all responses.
Applicable order types:
New Order Multileg Cross (35=As, Facilitation, or PIM)
A new custom FIX tag 9044(StepUpPrice) can be used to specify the
step up price on FIX Cross order messages.
Tag Field name Req’d Comments
9044 StepUpPrice N Specifies the step up price on Crossing
order.
Rules for sending Step Up Crossing Order:
StepUpPrice(Tag 9044) must contain a number or the order will be
rejected.
StepUpPrice(Tag 9044) must be better than original cross price (Tag
44) or the order will be rejected.
StepUpPrice cannot be modified with a Cancel Replace Request.
Tag 9044 will not appear in the returning Execution Report
messages.
Field Description Type Value
C – Customer Match Order
9204 BrokerPct Int Optional, Default value = 40 (%)
Numeric 0 40
FIX Order Routing Protocol 23
3.10. Stopped Cross Order A Stopped Cross is a guarantee to the
customer that, at the time the cross was put together, the
requested (stopped) price was at or within the NBBO.
A firm entering a Stopped Cross order is not required to sweep the
away markets; this is in contrast to an ISO Cross order, which
implies that the firm has, or will sweep the away markets.
Only Solicitation and Facilitation orders are allowed to be entered
as Stopped Cross.
Stopped Cross orders can be sent by using a combination of three
FIX tags – 18(ExecInst), 1092(PriceProtectionScope), and
168(EffectiveTime).
Tag 168 (EffectiveTime) is a new FIX tag added to indicate the time
the stopped price was agreed upon. It is defined as a UTC
Timestamp, and must be specified in one of the following formats,
with colons, dash and period required.
YYYYMMDD-HH:MM:SS (whole seconds)
Tag Field name Req’d Comments
18 ExecInst Y f – Intermarket Sweep Order (ISO)
168 EffectiveTime Y Used only on Stopped Cross Order.
Defined as a UTC Timestamp in either of the following
formats:
YYYYMMDD-HH:MM:SS (whole seconds)
1 – Ignore Away Market
Rules for Stopped Cross orders:
Stopped Cross time cannot be altered, and will be rejected if it
contains an invalid UTC Timestamp.
PIM order is not supported.
3.11. 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.
01 May 2008
Table 9. Fields that support CAB orders
Field Description Value
0 – Day
1 – GTC
OMX API - account_type_c CustomerOrFirm(204) ISE Priority Clears at
OCC
1 – Customer 0 – Customer Cust Cust
2 – Proprietary - Firm 1 – Proprietary - Firm Non-cust Firm
14 – Broker/Dealer - Firm 2 - Broker / Dealer – Firm Non-cust
Firm
6 – Broker/Dealer – Cust 3 – Broker / Dealer – Cust Non-cust
Cust
3 – ISE Market Maker 4 – ISE Market Maker Non-cust MM
4 – Far Market Maker 5 – Far Market Maker Non-cust MM
10 – Proprietary - Customer 7 - Proprietary - Customer Non-cust
Cust
15 – Customer Professional 8 – Customer Professional Non-cust
Cust
3.13. Ignore Away Market Orders A linkage exemption, Ignore Away
Market(IAM) permits users the ability to flag a FIX order to ignore
away prices and trade report to OPRA as a generic trade through
exemption “X”.
Applicable FIX message types:
Order Cancel Replace Request
Rules for Ignore Away Market orders:
Non IAM orders cannot be altered to be an IAM order.
Cabinet and PIM orders are not supported.
FIX Order Routing Protocol 25
Ignore Away Market(IAM) orders FIX tag
Tag Field name Req’d Comments
1092 PriceProtectionScope N Valid Value:
1 – Ignore Away Market
3.14. 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
3.15. 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.
Spread Orders cannot be sent as Directed Orders.
3.16. Reserve Orders Members that hold large size orders and want
to minimize market impact can utilize this new order type. A
Reserve Order can be of either Single or Multileg order, but is a
single-sided order containing two parts:
Displayed Quantity
Hidden Quantity
FIX Order Routing Protocol 26
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-rata
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
(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.
3.16.1. FIX Implementation
Presence of MaxFloor(111) on New Order Single or New Order Multileg
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 27
FIX Tags & Values
Tag Tag Name Req’d Usage Description
38 OrderQty Yes Total Quantity Total Quantity of the order
(existing field)
111 MaxFloor Yes Display Quantity Quantity to display with each
refresh
( Required for Reserve Orders only )
8020 DisplayRange No Random Refresh Quantity
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)
1083 DisplayWhen No
Instruction to determine when the Displayed Quantity should be
refreshed
1 – Immediate (after each fill )
2 – Exhaust (after entire Displayed Quantity is filled)
If DisplayWhen(1083) is omitted, the default behavior is
Exhaust
3.16.2. 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
Order will be rejected if tag 111 and 8020 are present and do not
contain numbers.
Order will reject if tag 1083 is present and does not contain valid
values.
Can be Cancel/Replaced.
3.17. Minimum Quantity/Matched Increment Orders The Minimum
Quantity order is an IOC order where 0 < Minimum Quantity <
Order quantity. This order must be executed for, at least, the
specified minimum quantity. Any remaining order quantity will be
canceled. If the minimum quantity cannot be filled, the order is
cancelled.
A Matched Increment order is a Day or GTC order where 0 <
Minimum Quantity < Order quantity. This order can rest on the
book, but any executions must be for, at least, the specified
minimum quantity. Once the remaining quantity is less than the
minimum quantity, the order is treated as an AoN.
Rules for Minimum Quantity/Matched Increment Orders:
Applicable only to New Order Single
May be Stop Limit orders, but cannot be Stop Market orders.
01 May 2008
May be Preferenced.
Cannot be Directed.
Minimum Quantity must be greater than zero (0) and less than the
total order Quantity otherwise the order will be rejected.
Matched Increment orders maybe canceled or altered. However, a
regular order may not be changed to a Matched Increment order, nor
may a Matched Increment order be changed to a regular order.
Minimum Quantity/Matched Increment orders FIX tag
Tag Field name Req’d Comments
110 MinQty N Specifies minimum number of contracts desired for
execution
3.18. Qualified Contingent Cross Order A Qualified Contingent Cross
order is a new special order type which allows an options cross
order of 1000 contracts or more to be printed upon entry with the
stock component traded by the member away from the ISE.
The cross must be priced at or better than NBBO.
FIX Order Routing Protocol 29
To support the Qualified Contingent Cross Orders via the FIX
interface, the following new value for Tag 9202 (SpecialOrdType)
has been introduced.
Tag Field Name Usage
Required for QCC order
For informational purposes, the following optional FIX tags have
also been introduced to specify the delta, quantity and price of a
stock trade associated with a QCC order. The order message can
include none, or any of these tags. Please note that if used, these
tags should appear in the main body of the message, and not within
the legs or sides repeating group.
Tag Field Name Usage
879 UnderlyingQty Traded quantity of the stock trade associated
with the QCC order.
Optional for QCC order
810 UnderlyingPx The price at which the stock trade associated with
the QCC order is traded.
Optional for QCC order
9811 PriceDelta The delta of the stock trade associated with the
QCC order.
Optional for QCC order
New Order Cross (35=s)
New Order Multileg (35=AB)
New Order Cross – Multileg (35=As)
Rules for QCC order entry via FIX:
Must have an order type of Limit.
Must be marked with Time-in-Force of Day(59=0).
QCC orders cannot be canceled or modified via FIX.
For QCC orders entered as New Order Cross (35=s), the entered price
must contain a non-negative number.
Must NOT contain a stock leg for New Order Multileg(35=AB) and New
Order Cross – Multileg(35=As)
01 May 2008
FIX Order Routing Protocol 30
3.19. Do-Not-Route Order The optional Do-Not-Route Order feature
allows an order to be executed in whole or in part on ISE. Any
portion not executed is either posted on ISE without routing to
another exchange or cancelled if the order locks/crosses the away
markets.
Applicable order types:
New Order Single
Tag Field name Req’d Comments
18 ExecInst N h – Do-Not-Route order
Rules for sending Do Not Route Order:
Non Do Not Route order cannot be altered to be a Do Not Route
order, or vice versa.
Tag 18 containing both the values “h” and “f” will be
rejected.
FIX Order Routing Protocol 31
Chapter 4. Order functions
This chapter describes the functions that are used to transmit
order data.
4.1. 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
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)
h – Do-Not-Route order
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:
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 passed to OCC.
59 TimeInForce N Specifies how long the order remains in effect. If
this field is blank, the value is interpreted as DAY.
ISO orders can only be sent as Day, GTC, or IOC.
The valid values are:
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 1 – 999.
77 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).
FIX Order Routing Protocol 33
Tag Field name Req’d Comments
99 StopPx N Required for OrdType = “Stop” or “Stop Limit”.
110 MinQty N Specifies minimum number of contracts desired for
execution
111 MaxFloor N Display Quantity. Required for Reserve Order
only.
167 Security Type Y Must be OPT for option.
168 EffectiveTime Y Used for Stopped Cross Order only.
Defined as a UTC Timestamp in either of the following
formats:
YYYYMMDD-HH:MM:SS (whole seconds)
YYYYMMDD-HH:MM:SS.sss (milliseconds)
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:
202 StrikePrice Y Strike price for an option.
The valid values are: 0 – 99999999.9999 (the number of decimal
places might vary and is not limited to four).
204 CustomerOrFirm Y The valid values are:
0 – Customer
1 – Proprietary-Firm
8 – Customer Professional
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
439 ClearingFirm N Provides CMTA information.
It must be a numeric value between 1 – 999.
440 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.
1083 DisplayWhen N Instruction to determine when the Displayed
Quantity should be refreshed
1092 PriceProtectionScope N Valid Value:
1 – Ignore Away Market
9202 SpecialOrdType N Special order type value.
The valid values are:
Tag Field name Req’d Comments
9203 ExposureFlag N One or more space delimited values for Regular
orders:
"H" = Hide All ( Default Behavior )
“C” = Customer ID
“E” = Expose All
"Q" = Quantity
"I" = Instruction (Buy/Sell)
“B” = Broker Percentage
“C” = Customer ID(Attributable Order, can be used alone on other
order types)
“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.
9204 BrokerPct N Numeric value 0 40, with default value = 40
Facilitation orders only
9044 StepUpPrice N Specifies the step up price on Simple
Facilitation order.
9861 BranchSeqNbr N Additional information entered here. First 20
characters will be passed on to OCC.
1 Account N Optional field.
Standard Trailer Y
FIX Order Routing Protocol 35
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 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 multi- leg 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 Priority on the orderbook
Limit to Market Lost
Quantity decrease Maintained
Quantity increase Lost
The field values for the Cancel/Replace Request message are defined
in Table 12.
Table 12. Order Cancel/Replace Request message format
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
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
110 MinQty N Specifies minimum number of contracts desired for
execution
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.
FIX Order Routing Protocol 37
Tag Field name Req’d Comments
201 PutOrCall Y Must match the original order. The valid values
are:
0 – Put
1 – Call
202 StrikePrice Y Must match the original order.
The valid values are: 0 – 99999999.9999 (the number of decimal
places might vary and is not limited to four).
204 CustomerOrFirm Y The valid values are:
0 – Customer
1 – Proprietary-Firm
5 – Far 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 31
111 MaxFloor N Display Quantity. Required for Reserve Order
only.
1083 DisplayWhen N Instruction to determine when the Displayed
Quantity should be refreshed
8020 DisplayRange N Random Refresh Quantity for Reserve Order
1092 PriceProtectionScope N Valid Value:
1 – Ignore Away Market
Non IAM orders cannot be altered to be an IAM 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.
9076 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
[email protected] for allowable values
This value must be specified if it was on the original order and
needs to be carried over.
Standard Trailer Y
01 May 2008
FIX Order Routing Protocol 38
4.3. 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:
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: 0 – 99999999.9999 (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 39
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:
55 Symbol Y OCC option symbol for a series.
167 SecurityType Y Must be OPT for single option or MLEG for
complex option
555 NoLegs N Multileg Orders only - Must match the original
order.
Component block <InstrumentLeg>
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: 0 – 99999999.9999 (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
01 May 2008
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 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
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:
ACT = NYFIX ACT / Attachment 2
13 = NYFIX Millennium ATS / 9B
31 LastPx Y Price of the last fill.
This field is not required for ExecTransType = 3 (Status).
The valid values are: 0 – 99999999.999999
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: 0 – 1000000000
37 OrderID Y ISE internal reference code
40 OrdType Y Order type that is specified on the order.
The valid values are:
44 Price N Limit price, if specified on the order.
54 Side Y Side that is specified on the order.
The valid values are:
Tag Field name Req’d Comments
2 – Sell
55 Symbol Y OCC option symbol for a series that is specified on the
order.
58 Text Y
59 TimeInForce N Specifies how long the order remains in effect, as
specified on the order.
60 TransactTime N Date and time of execution/order creation
(expressed in GMT).
The format is: yyyymmdd and hhmmss
77 OpenClose Y The valid values are:
O – Open
C – Close
99 StopPx N Stop price, if specified on the original order.
110 MinQty N Specifies minimum number of contracts desired for
execution
111 MaxFloor N Display Quantity for Reserve Order only.
167 SecurityType Y MLEG for multi-leg order.
200 MaturityMonthYear Y Expiration month and year in the yyyymm
format, as specified on the order.
168 EffectiveTime Y Only for Stopped Cross Order.
Defined as a UTC Timestamp in either of the following
formats:
YYYYMMDD-HH:MM:SS (whole seconds)
YYYYMMDD-HH:MM:SS.sss (milliseconds)
201 PutOrCall Y As specified on the order. The valid values
are:
0 – Put
1 – Call
202 StrikePrice Y Strike price for the option, as specified on the
order.
Valid values are: 0 – 99999999.9999 (the number of decimal places
might vary and is not limited to four).
204 CustomerOrFirm Y Customer type that is specified on the order.
The valid values are:
0 – Customer
1 – Proprietary-Firm
8 – Customer Professional
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
150 ExecType Y Describes the order execution. The valid values
are:
01 May 2008
Tag Field name Req’d Comments
0 – New
8 – Rejected
E – Pending Cancel/Replace (for FIX v4.2)
39 OrdStatus Y Current status of the order. The valid values
are:
0 – New
8 – Rejected
E – Pending Cancel/Replace (for FIX v4.2)
38 OrderQty Y Number of options that were ordered. Valid values are
0 – 1000000000
151 LeavesQty Y Number of options that are open for further
execution. Valid values are 0 – 1000000000
If OrdStatus is Canceled or Rejected (no longer active), then
LeavesQty = 0.
Otherwise, LeavesQty = OrderQty – CumQty
Valid values are 0 – 1000000000
6 AvgPx Y Weighted average price that is calculated based on the
fills of the order.
Valid values are 0 – 99999999.999999
The number of decimal places can vary. e.g. Stock leg execution
report may return up to 6 decimals while Options execution report
will return only up to 4 decimals
378 ExecRestatementReaso n
The exchange has initiated a partial cancel.
442 MultilegReportingType Y Indicates the type of Execution
Report.
For example, option strategy, spreads and so on.
The valid values are:
3 – Multi-leg security
424 DayOrderQty N For GTC orders:
DayOrderQty = OrderQty – (CumQty – DayCumQty)
DayOrderQty is the OrderQty minus the contracts that were traded on
previous days.
FIX Order Routing Protocol 45
Tag Field name Req’d Comments
425 DayCumQty N The number of contracts on a GTC order that have
traded today.
426 DayAvgPx N The average price of contracts on a GTC order that
have traded today.
548 CrossID N For New Order Cross Multileg only. Unique identifier
of the order, which is assigned by the member. This value has a
maximum of 37 characters.
549 CrossType N For New Order Cross Multileg only. 1 - Solicitation
or Customer Match Order 2 – Facilitation
01 May 2008
Tag Field name Req’d Comments
9861 BranchSeqNbr N Contains information if entered on order.
9205 DealSource Y For fills only. The valid values are:
100 = Traded during rotation
103 = Cabinet trade
106 = Derived order
110 = Facilitation originating order
111 = Facilitation counter order
113 = PIM counter order
123 = EO price improved
126 = Away Market Better (AMB) locked exposed order
127 = AMB locked exposed order response
151 = ISO order
153 = Trade resulting from stop order
156 = Trade resulting from IAM (Ignore away markets) order
9730 LiquidityIndicator Y For fills only. The following valid
values will be sent:
X - undefined
M - Maker
T – Taker
H – Hidden
O – Opening
C – Cross
R - Response
1 – Ignore Away Market
FIX Order Routing Protocol 47
5.2. Order Cancel Reject The Order Cancel Reject message is used
when an Order Cancel Request or Order Cancel/Replace Request cannot
be honored.
Message requests that change the price or quantity of an order are
only performed when an outstanding quantity exists. Filled orders
cannot be changed.
A Cancel Order Request might be rejected if the order was not found
or if the order does not exist because it was already filled.
The valid field values for the Order Cancel Reject message are
defined in Table 16.
Table 16. Order Cancel Reject message format
Tag Field name Req’d Comments
Standard Header Y MsgType = 9
11 CIOrdID Y Unique identifier of the request, which is assigned by
the institution.
39 OrdStatus Y This value is applied after the Cancel Reject
function has completed.
41 OrigCIOrdID Y CIOrdID of the order that cannot be canceled or
replaced. This value does not apply to the initial order of the
day.
102 CxlRejReason N
58 Text Y Reason for rejecting the Cancel Order Request.
434 CxlRejResponseTo Y This value is supported by FIX v4.2.
Identifies the type of request to which the Cancel Reject is
responding.
The valid values are:
1 – Order Cancel Request
2 – Order Cancel/Replace Request
FIX Order Routing Protocol 48
5.3. Order Reject The Order Reject message is used when an order
does not contain valid data and cannot be processed.
If a New Order Multileg cannot be parsed by ISE’s FIX server, a
single reject will be sent for the entire order.
If a New Order Multileg message is valid, but the OMX Central
Exchange System rejects one or more of the legs, one reject message
will be sent per leg.
If a New Order Cross Multileg message is rejected, a reject message
will be sent for each leg on the Originating side only.
The valid field values for the Order Reject message are defined in
Table 17.
Table 17. Order Reject message format
Tag Field name Req’d Comments
Standard Header Y MsgType = 8
11 CIOrdID Y Unique identifier of the order.
This value uses the ID from the original order.
17 ExecID Y Unique identifier for each Execution Report
message.
20 ExecTransType Y This value is 0, for New
31 LastPx Y This value is 0
32 LastShares Y This value is 0
37 OrderID Y ISE internal reference code
40 OrdType Y as specified on the order.
44 Price N Limit price, if specified on the order.
54 Side Y as specified on the order.
55 Symbol Y as specified on the order.
59 TimeInForce N as specified on the order.
60 TransactTime N Date and time of execution/order creation
(expressed in GMT).
The format is: yyyymmdd and hhmmss
77 OpenClose Y Open/close as specified on the order.
99 StopPx N Stop price, if specified on the order
Component block <InstrumentLeg>
N For Multileg Orders Only
200 MaturityMonthYear Y Expiration month and year in the yyyymm
format, as specified on the order.
201 PutOrCall Y As specified on the order.
202 StrikePrice Y Strike price for the option, as specified on the
order.
Valid values are: 0 – 99999999.9999 (the number of decimal places
might vary and is not limited to four).
204 CustomerOrFirm Y Customer type that is specified on the
order.
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
150 ExecType Y 8 – Rejected
FIX Order Routing Protocol 49
Tag Field name Req’d Comments
39 OrdStatus Y 8 – Rejected
38 OrderQty Y Number of options that were ordered.
Valid values are 0 – 1000000000
151 LeavesQty Y This value is 0.
14 CumQty Y This value is 0.
6 AvgPx Y This value is 0.
58 Text Y Reason for rejecting the order.
Standard Trailer Y
5.4. Nothing Done The Nothing Done message is generated after the
market close and contains information about the Single, Complex, or
Crossing orders that remain open.
This execution report can be configured for:
Day
GTC
Any combination of the above values
The valid field values for the Nothing Done message are defined in
Table 18.
Table 18. Nothing Done message format
01 May 2008
Tag Field name Req’d Comments
Standard Header Y MsgType = 8
11 CIOrdID Y Unique identifier of the order as specified on the
original order.
17 ExecID Y Is unique for each Execution Report message.
18 ExecInst N As specified on the order.
20 ExecTransType Y Identifies the trade type.
The valid value is 3 for Status.
31 LastPx Y Price of the last fill.
This value is 0.
32 LastShares Y Quantity of bought/sold contracts on the last
fill.
This value is 0.
37 OrderID Y ISE internal reference code, as originally
assigned.
40 OrdType Y As specified on the order.
44 Price N As specified on the order.
55 Symbol Y OCC option symbol for a series that is specified on the
order.
59 TimeInForce Y As specified on the order.
60 TransactTime Y Date and time of Nothing Done report creation
(expressed in GMT).
The format is: yyyymmdd and hhmmss
77 OpenClose Y As specified on the order.
167 SecurityType Y OPT for options.
200 MaturityMonthYear Y Expiration month and year in the yyyymm
format, as specified on the order.
201 PutOrCall Y As specified on the order.
202 StrikePrice Y As specified on the order.
204 CustomerOrFirm Y As specified on the order.
150 ExecType Y Describes the order execution.
The valid value is 3 for Done for the Day.
FIX Order Routing Protocol 51
Tag Field name Req’d Comments
39 OrdStatus Y Current status of the order.
The valid values are:
38 OrderQty Y As specified on the order.
151 LeavesQty Y Number of options that are open for further
execution.
Valid values are 0 – 1000000000
14 CumQty Y Total number of filled options.
Valid values are 0 – 1000000000
6 AvgPx Y Average price that is calculated based on the fills of
the order.
Valid values are 0 – 99999999.9999
The number of decimal places can vary and is not limited to
four.
58 Text Y ND for Nothing Done.
Standard Trailer Y
01 May 2008
Chapter 6. Drop Copy
6.1. Drop Copy Trade Report Firms receive the Drop Copy Trade
Report from ISE if they use the FIX Drop Copy connection. A Drop
Copy connection sends execution messages to the firm when trades
are generated at ISE. These messages are sent only when the trade
involves the firm, regardless of how the order was entered.
The trade execution details are provided if the firm is
named:
As the executing broker
As the clearing member
Notes:
The Drop Copy Trade Report is not sent for trades that are busted
or adjusted the next day
OrderID contains an ISE internal order reference code
Drop Copy Trade reports for the Stock Legs can be distinguished as
follows:
SecurityType(167) = CS – Common Stock
MultilegReportingType(442) = 2 for the individual leg of a multileg
security
An ExecBroker (Tag 76) value of “LNKA” indicates that this was an
Intermarket Linkage (OLA) trade
The field values for the Drop Copy Trade Report message are defined
in Table 19.
Table 19. Drop Copy Trade Report message format
Tag Field name Req’d Comments
Standard Header Y MsgType = 8
17 ExecID Y ExecID = <instrument type><trade number>
<date>, where:
<instrument type> is C (call), P (put) or S (stock)
<trade number> is the number of the trade
<date> is yyyymmdd
For example, field 17:P1234567 20020402
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 The valid values are:
0 – New
1 – Cancel
30 LastMkt N For Stock Leg fills only.
ACT = NYFIX ACT / Attachment 2
13 = NYFIX Millennium ATS / 9B
FIX Order Routing Protocol 53
31 LastPx Y Price of the trade.
The valid values are: 0 – 99999999.999999
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 Trade quantity. The valid values are: 0 –
1000000000
48 SecurityID Y Underlying symbol of the option series
37 OrderID Y ISE Order Number plus Date.
11 CIOrdID N Unique identifier of the FIX order.
This value uses the ID from the original FIX order.
54 Side Y Side of the trade. The valid values are:
1 – Bought
2 – Sold
6 – Sold Short Exempt ( Stock Legs only)
55 Symbol Y OCC option symbol for a series or underlying.
Symbol of a stock combination order.
58 Text N Contains free text entry from the order.
60 TransactTime N Date and time of execution/order creation
(expressed in GMT).
This value is in the format: yyyymmdd and hhmmss
76 ExecBroker N First ten (10) characters of ISE member code.
77 OpenClose Y The valid values are:
O – Open
C – Close
CS – Common Stock
200 MaturityMonthYear N Expiration month and year in the yyyymm
format.
201 PutOrCall N The valid values are:
0 – Put
1 – Call
204 CustomerOrFirm Y These valid values are returned by
default:
0 – Customer
1 – Proprietary-Firm
5 – Far Market Maker
ISE can return these additional values to members if enabled by
request:
2 – Broker / Dealer - Firm
3 – Broker / Dealer - Customer
4 – ISE Market Maker
7 – Proprietary Customer
8 – Customer Professional
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
01 May 2008
231 ContractMultiplier Y Multiply factor to convert contracts to
shares
1092 PriceProtectionScope N Valid Value:
1 – Ignore Away Market
9861 BranchSeqNbr N Contains information if entered on the
order
9730 LiquidityIndicator Y For fills only. The following valid
values will be sent:
X - undefined
M - Maker
T – Taker
H – Hidden
O – Opening
C – Cross
R - Response
9205 DealSource Y For fills only. The valid values are:
100 = Traded during rotation
103 = Cabinet trade
106 = Derived order
110 = Facilitation originating order
111 = Facilitation counter order
113 = PIM counter order
123 = EO price improved
126 = Away Market Better (AMB) locked exposed order
127 = AMB locked exposed order response
151 = ISO order
153 = Trade resulting from stop order
156 = Trade resulting from IAM (Ignore away markets) order
442 MultilegReportingTyp e
FIX Order Routing Protocol 55
439 ClearingFirm N CMTA - Clearing Member Transfer Agreement.
440 ClearingAccount N OCC Sub-Account.
150 ExecType Y Set to 0.
39 OrdStatus Y Set to 0.
38 OrderQty Y Set to 0.
151 LeavesQty Y Set to 0.
14 CumQty Y Set to 0.
6 AvgPx Y Set to 0.
Standard Trailer Y
6.2. Full Order Drop Copy The ISE FIX interface provide support for
the Order Drop Copy, which sends member reports for order state
changes such as order creation, modification, or deletion in
addition to reporting trades.
Order Drop Copy Message Format
Tag Field name Req’d Comments
Standard Header Y MsgType = 8
1 Account N As specified on the order.
37 OrderID Y ISE Order Number.
For example: C3E6297F:F1E08EC0.14300246.22
ExecID = <instrument type><trade number> <date>,
where:
<instrument type> is C (call), P (put) or S (stock)
<trade number> is the number of the trade
<date> is yyyymmdd
Otherwise ExecID follows the following format:
C3E6297F:F1E08EC0.14300246.23
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 The valid values are:
0 – New
1 – Cancel
2 - Correct
8 – Exchange Symbo