Version number Date 1.9.1 3 Sep 2019 - Morgan Stanley · 1.9.1 3 Sep 2019 Number of pages Author 67...

Document title

MS MTF

Document type or subject

Binary Interface Specifications

Version number Date

1.9.1 3 Sep 2019

Number of pages Author

67 Euronext Technologies SAS

This document is for information purposes only. The information and materials contained in this document are provided ‘as is’ and Euronext does not warrant the accuracy, adequacy or completeness and expressly disclaims liability for any errors or omissions. This document is not intended to be, and shall not constitute in any way a binding or legal agreement, or impose any legal obligation on Euronext. This document and any contents thereof, as well as any prior or subsequent information exchanged with Euronext in relation to the subject matter of this presentation, are confidential and are for the sole attention of the intended recipient. Except as described below, all proprietary rights and interest in or connected with this publication shall vest in Euronext. No part of it may be redistributed or reproduced without the prior written permission of Euronext. Portions of this presentation may contain materials or information copyrighted, trademarked or otherwise owned by a third party. No permission to use these third party materials should be inferred from this presentation. Euronext refers to Euronext N.V. and its affiliates. Information regarding trademarks and intellectual property rights of Euronext is located at https://www.euronext.com/terms-use. © 2019 Euronext N.V. - All rights reserved

https://www.euronext.com/terms-use

MS MTF Preface

© 2019 Euronext N.V. - All rights reserved ii of 67 1.9.1

PREFACE

PURPOSE

The purpose of this document is to set out the binary message specifications for the Common Customer

Gateway (CCG). More specifically, it describes the contents of the CCG Binary message headers and trailers,

the contents of the administrative (or session) messages and application messages with detailed field

descriptions.

TARGET AUDIENCE

This document should be read by the Business Change Management Team at Euronext, Morgan Stanley

and by Morgan Stanley MTF clients. Since CCG Binary messages are largely based on the FIX Protocol, it is

assumed that the reader:

■ Understands the FIX 4.2 protocol available at http://www.fixprotocol.org/

■ Understands the notions and concepts behind the FIX Protocol, including the notions behind order management and the sequence of message operations.

NAVIGATION WITHIN THIS DOCUMENT

Hyperlinks let you navigate to sections of the document as well as between message structures and field

definitions.

■ Click the hyperlinks in administrative or application messages to view field descriptions;

■ To return to the hyperlink, press [ALT] + [←] (the back/left/previous arrow).

■ To follow a chain of messages or fields, click another hyperlink.

ASSOCIATED DOCUMENTS

The following lists the associated documents, which either should be read in conjunction with this

document or which provide other relevant information for the user:

■ FIX 4.2 Interface Specifications

■ Kinematics Specification

http://www.fixprotocol.org/

MS MTF Preface

© 2019 Euronext N.V. - All rights reserved iii of 67 1.9.1

WHAT’S NEW?

The following lists only the most recent modification made to this version. For the Document History table,

see the Appendix.

Version No. Date Change Description

1.9 09 Aug 2019

- Message New Order (D) has been updated:

• Field ‘NTTransactTime’ was not part of the message.

- Section “Message Header & Trailer” has been updated:

• Clarification was added in terms of the value used to represent the end of a message (ETX)

1.9.1 03 Sept 2019 - Minor corrections such as trademark date update and bullet configuration.

MS MTF Contents

© 2019 Euronext N.V. - All rights reserved. iv of 67 1.9.1

CONTENTS

1. MESSAGE HEADER & TRAILER ...................................................................................................... 5

1.1 Message Format ........................................................................................................................................... 5

2. ADMINISTRATIVE MESSAGES ...................................................................................................... 6

2.1 Logon (A) ...................................................................................................................................................... 6

2.2 Logon Reject (l) ............................................................................................................................................. 7

2.3 Test Request (1) ............................................................................................................................................ 7

2.4 Heartbeat (0) ................................................................................................................................................ 8

3. APPLICATION MESSAGES ............................................................................................................. 9

3.1 New Order (D) .............................................................................................................................................. 9

3.2 Order Cancel Request (F)............................................................................................................................ 12

3.3 Cancel/Replace Order (G) ........................................................................................................................... 14

3.4 Order Ack (a) .............................................................................................................................................. 15

3.5 Order Fill (2) ................................................................................................................................................ 16

3.6 Cancel Request Ack (6) ............................................................................................................................... 18

3.7 Order Killed (4) ........................................................................................................................................... 18

3.8 Bulk Cancel Ack/Report (K) ......................................................................................................................... 19

3.9 Cancel/Replace Request Ack (E) ................................................................................................................. 20

3.10 Order Replaced (5) ................................................................................................................................... 21

3.11 Trading Session Status (h) ........................................................................................................................ 22

3.12 Order Cancel/Replace Reject (8) .............................................................................................................. 23

3.13 Bust (C) ..................................................................................................................................................... 24

3.14 Extended Response (x) ............................................................................................................................. 25

4. FIELD DESCRIPTION ................................................................................................................... 29

5. APPENDIX A: REVIEW LOG, DOCUMENT HISTORY ...................................................................... 66

MS MTF Message Header & Trailer

© 2019 Euronext N.V. - All rights reserved 5 of 67 1.9.1

1. MESSAGE HEADER & TRAILER

The general format of a CCG message is a standard header, followed by the message body fields and

terminated with a standard trailer. The trailer value, identified as “ETX” in the messages structure of this

document, is the hexadecimal value for a “new line”, also known as “line feed” -> ‘0x0a’.

1.1 MESSAGE FORMAT

Field Formats

CCG Binary messages are structures of fields in ASCII and binary format. The table below provides the

mapping between types and lengths and the corresponding types in C/C++ language.

Format Size Encoding C/C++ Type

Char 1 byte Alphanumerical Char

String N>1 bytes Alphanumerical Char[N] or String

Int X byte Binary Uint8_t

The possible characters constituting the alphanumerical types are the following ones:

‘0’..’9’ ‘a’..’z’ ‘A’..’Z’ ‘”’ ‘#’ ‘$’ ‘&’ ‘(‘ ‘)’ ‘+’ ‘-‘ ‘.’ ‘,’ ‘/’ ‘:’ ‘;’ ‘<’ ‘=’ ‘>’ ‘@’ ‘[‘ ‘]’ ‘^’ ‘_’ ‘`’ ‘~’ ‘{‘ ‘}’ and ‘ ‘ (space).

MS MTF Administrative Messages


2. ADMINISTRATIVE MESSAGES

2.1 LOGON (A)

Client CCG

MESSAGE FIELDS

✓ required (inbound)/always provided (outbound) | + conditionally required (inbound)/provided (outbound) | o optional

Ofs Field Format Len Req. Description Values Page

0 Header Char 1 ✓ Message type ‘A’ Logon

1 ProtocolVersion Char 1 ✓ CCG Binary protocol version. ‘2’ Extended ClientOrderID

protocol type 57

2 MsgLen Int 2 ✓ Binary message length. 0..216-1 51

4 LastMsgSeqNum Int 4 ✓ Last message sequence number.

Sequential 47

8 UserName String 11 ✓ User name for session. Alphanumerical 65

19 Filler String 4

23 ETX Char 1 ✓ End of message

Total Length 24

MESSAGE USAGE

Clients use the Logon message to establish a connection and identify the last response message they have

processed. When the client sends a Logon, the UserName field shall be populated with the configured user

name. The server accepts or rejects the client logon. If logon is successful, CCG Binary sends a Logon

message back to the client indicating the exchange in the UserName and the last request message the

server has processed (LastMsgSeqNum).

LastMsgSeqNum field is used to recover order messages when disconnections happen. For the initial

connection, clients must set LastMsgSeqNum field to zero. The Logon response from the server will also

show zero for the initial connection.

If an inadvertent disconnect happens, clients must use LastMsgSeqNum field to indicate the MsgSeqNum of

the last message received from the server. The server will begin sending order responses from the next

sequence number.

Similarly, the server sends back the sequence number for last client order request that the server

processed in the Logon response message. Clients must use this to determine if order messages have been

dropped and must be sent again.

Clients must not skip sequence numbers. A client can however pass ‘-1’ as LastMsgSeqNum to notify the

server not to validate the next sequence number. The server will accept the next sequence from the client

and then send what it thinks is the next outbound sequence.

If logon is successful, CCG Binary sends a Logon message back to the client.



2.2 LOGON REJECT (l)

Client CCG

MESSAGE FIELDS



0 Header Char 1 Message type ‘l’ Logon Reject

1 ProtocolVersion Char 1 ✓ CCG Binary protocol version. ‘2’ Extended

ClientOrderID protocol type

57


4 LastMsgSeqNumRcvd Int 4 ✓ Last internal message sequence number received by the server.

Sequential 47

8 LastMsgSeqNumSent Int 4 ✓ Last internal message sequence number sent by the server.

Sequential 47

12 RejCode Int 2 ✓ Reject code in case of logon rejection.

(See field description)

58

14 Text String 40 ✓ Request status or error text. Alphanumerical 62

54 Filler Char 1


Total Length 56

MESSAGE USAGE

If logon authentication fails (e.g.: the user is unknown), CCG Binary sends a Logon Reject message back to

the client and then closes the connection.

If logon fails because the CCG does not recognize the Logon message at all (due to a structural error, when

a message is improperly formed according to these specifications), then no connection is established and

CCG Binary does NOT send a Logon Reject message. In this circumstance, the client does not receive any

response at all to the Logon Message.

2.3 TEST REQUEST (1)

Client CCG

MESSAGE FIELDS



0 Header Char 1 Message type ‘1’ Test Request


protocol type 57


4 Filler String 3


Total Length 8



MESSAGE USAGE

The Test Request message is sent by either side of the connection to request the other side to respond with

a Heartbeat (0) message, when that side does not receive a message during periods of inactivity. If the

other side does not respond to a Test Request message, the application assumes an abnormal situation and

terminates the TCP/IP connection.

The server sends a Test Request message only during periods of inactivity after the first heartbeat period

(10 seconds). At a minimum, the client must respond to this message with a Heartbeat (0) message. The

server disconnects the client following a subsequent period with no activity.

2.4 HEARTBEAT (0)

Client CCG

MESSAGE FIELDS



0 Header Char 1 Message type ‘0’ Heartbeat


protocol type 57


4 Filler String 3


Total Length 8

MESSAGE USAGE

The Heartbeat message is used to respond to Test Request (1) messages. It lets the other side know the

connection is still good during periods of inactivity. The server heartbeat interval is 60 seconds.

At a minimum a client must be able to receive Test Request (1) messages and respond with Heartbeat

messages. During periods of activity the server does not send Test Request (1) or Heartbeat messages and

there is no need for the client to send them.

MS MTF Application Messages


3. APPLICATION MESSAGES

3.1 NEW ORDER (D)

Client CCG

MESSAGE FIELDS


Field Format Len Req. Description Values Page

Header Char 1 ✓ Message type ‘D’ New Order

ProtocolVersion Char 1 ✓ CCG Binary protocol version. ‘2’ Extended


57

MsgLen Int 2 ✓ Binary message length. 0..216-1 51

MsgSeqNum Int 4 ✓ Message sequence number. Sequential. 51

ClOrdID Int 8 ✓ Client order ID. -263..263-1 36

OrderQty Int 4 ✓ Total order quantity. Quantity 55

Price Int 4 + Instrument price per unit of quantity (share).

Price 56

MinQty Int 4 o Minimum quantity to be executed.

Quantity 50

NrAuctions Int 4 + Maximum Nr. of auctions available for new order

‘1’…’100’ 52

PriceScale Char 1 + Number of decimals for Price. ‘0’..’6’ 57

Symbol String 12 ✓ Instrument ID. ISIN or ISIN-like 61

OnBehalfOfCompID String 11 ✓ ID of the issuing firm. Firm ID 53

SenderSubID String 11 o Subsidiary identifier of the message sender

DeskID 60

ExecInst Char 1 + Execution instruction. ‘M’ Mid-price Peg 43

Side Char 1 ✓ Order side.

‘1’ Buy

‘2’ Sell

‘8’ Cross

60

OrderType Char 1 ✓ Order type. ‘2’ Limit

‘P’ Pegged 55

TimeInForce Char 1 o Time in force validity.

‘0’ GFD (Good for Day)

‘3’ IOC (Immediate Or Cancel)

‘4’ FOK (Fill Or Kill)

‘B’ GFA (Good for Auction)

62

DEAIndicator Char 1 ✓ DEA connection ‘0’ No

‘1’ Yes 40

ExecutionWithinFirmAlgoOrderFlag

Char 1 ✓ Order Execution generated by algorithm

‘0’ No

‘1’ Yes 45

InvestmentDecisionAlgoOrderFlag

Char 1 + Investment decision generated by algorithm

‘0’ No

‘1’ Yes 36




LiquidityProvision Char 1 o Liquidity Provision activity as described by MiFID II

‘N’ Not provisioning liquidity

‘Y’ Provisioning liquidity

49

BookIndicator Char 1 o Trading Book Identifier

‘A’ Auction

‘R’ RPW / LIS

‘N’ Negotiated Trade

33

AlgorithmicOrderFlag Char 1 o Indication of algorithmic order ‘0’ No

‘1’ Yes 31

TechnicalOrdType Char 1 o Order technical origin.

‘I’ Index trading arbitrage

‘P’ Portfolio strategy

‘G’ Unwind order

‘A’ Other orders (Default)

‘C’ Cross margining

61

MIC String 4 o Market identification code. ISO 10383 standard 50

Currency String 3 o Currency code. ISO 4217 standard 39

Filler Char 3

ClientIdentificationShortCode

Int 4 +

Shortcode to identify client of the participant of the trading venue. In case there is DEA, the code of the DEA user shall be used.

Shortcodes values: 4 to 2^32-1.

Following values are reserved:

‘0’ ‘NONE’

‘1’ ‘AGGR’

‘2’ ‘PNAL’

36

InvestmentDecisionShortCode

Int 4 + Shortcode to identify the responsible within the form of the trading decision

4 to 2^32-1 46

ExecutionWithinFirmShortCode

Int 4 ✓

Shortcode to identify the person or algorithm within the firm responsible for the transaction execution.

4 to 2^32-1

Following value is reserved:

‘3’ ‘CLIENT’

44

NonExecutingBrokerShortCode

Int 4 o Shortcode to identify the non-executing broker involved in the trade intention.

4 to 2^32-1 52

Rule80A Char 1 ✓ Order origin.

‘1’ Client

‘2’ House

‘3’ Riskless Principal

59

Account String 12 o Client Account Number of the investor account.

Alphanumerical 31

ClearingFirm String 8 o Give-up Firm ID. Firm ID (agreed upon clearing value)

35

FreeText String 18 o Free text. Any 45

OpenClose Char 1 o Posting action. ‘0’ Open

‘C’ Close 53




ClearingHandlingType Char 1 o Clearing operation mode.

(Blank) Systematic posting

‘0’ Manual mode

‘1’ Automatic extraction

‘2’ Automatic allocation

35

Filler Char 7

ClientIdentificationShortCode_2

Int 4 +




‘0’ ‘NONE’

‘1’ ‘AGGR’

‘2’ ‘PNAL’

36

InvestmentDecisionShortCode_2


4 to 2^32-1 46

ExecutionWithinFirmShortCode_2

Int 4 +


4 to 2^32-1



44

NonExecutingBrokerShortCode_2


4 to 2^32-1 52

Rule80A_2 Char 1 + Order origin.

‘1’ Client

‘2’ House


59

Account_2 String 12 o Client Account Number of the investor account.

Alphanumerical 31

ClearingFirm_2 String 8 o Give-up Firm ID. Firm ID (agreed upon

clearing value) 35

FreeText_2 String 18 o Free text. Any 45

OpenClose_2 Char 1 o Posting action. ‘0’ Open

‘C’ Close 53

ClearingHandlingType_2

Char 1 o Clearing operation mode.


‘0’ Manual mode



35

Filler Char 6

ETX Char 1 ✓ End of message

Total Length 216

MESSAGE USAGE

The New Order message requests the creation of a new order.

The following fields constitute the clearing information: Rule80A, Account, ClearingFirm, FreeText,

OpenClose and ClearingHandlingType.



Conditions in the New Order Message

Some conditions apply when submitting the New Order Single message. Please find the tables below for

reference.

Table 1 - Order Type per Book

Order Type (+ ExecInst) Valid for RPW / LIS Valid for Auction Valid for Negotiated Trade

Mid Pegged Order with or without limit

✓ ✓ X

Limit Order X ✓ ✓

Table 2 - Time in Force

Time in Force Currently Supported Valid for Auction BookIndicator

Values

Good for Day ✓ ✓ ‘R’ or ‘A’ or ‘N’

Immediate or Cancel ✓ X ‘R’

Fill or Kill ✓ X ‘R’

Good for Auction X ✓ ‘A’

3.2 ORDER CANCEL REQUEST (F)

Client CCG

MESSAGE FIELDS



Header Char 1 ✓ Message type ‘F’ Order Cancel Request

ProtocolVersion Char 1 ✓ CCG Binary protocol version. ‘2’ Extended ClientOrderID

protocol type 57




OrigClOrdID Int 8 + Original client order ID. ClOrdID of the order to be modified / cancelled

56

OrderID Int 8 o Engine order ID. Alphanumerical 54

OnBehalfOfCompID String 11 + ID of the issuing firm. Firm ID 53


DeskID 60

Symbol String 12 + Instrument ID. ISIN or ISIN-like 61

Side Char 1 + Order side. ‘1’ Buy

‘2’ Sell 60










61

ClassID String 2 + Class ID. Alphanumerical 34



CancelByLocationID String 11 o Identifier of the issuing front-end server whose orders are to be cancelled.

Alphanumerical 33

Rule80A Char 1 + Order origin.

‘1’ Client

‘2’ House


59

Filler Char 2


Total Length 92

MESSAGE USAGE

The Order Cancel Request message requests the cancellation of the entire remaining quantity of an existing

order (single order cancellation) or a set of existing orders matching criteria (bulk order cancellation).

Bulk Order Cancellation

The Order Cancel Request also allows performing a bulk order cancellation by a broker. The following

conditions must be met:

■ The OrderID field must be set to ‘-888’, the ClOrdID field must be populated, and the OrigClOrdID field must be left empty.

■ Either the ClassID field or the Symbol field must be populated (if both are populated, they must be consistent and Symbol is used as criterion).

■ Optional additional criteria can be specified with the CancelByLocationID, Side, OnBehalfOfCompID, TechnicalOrdType and Rule80A fields. If no optional criterion is specified, all remaining orders of the issuing firm are cancelled for the populated ClassID or Symbol.

If CancelByLocationID criterion is not specified, all remaining orders of all connections of the issuing firm

are cancelled for the populated ClassID or Symbol along with any other additional criterion.

If OrderID is set to ‘-777’, the bulk cancel is rejected via an Order Cancel/Replace Reject (8) with RejReason

= ‘0’ and the text ‘-777 bulk cancel not supported’. These both values are internally used in case of network

disconnection.

If a Broker wants its orders to be automatically cancelled on a network disconnection (CCG disconnection),

it has to be dully declared in the relevant table managed by the CCG Administrator.

When an Automated Bulk Cancellation is performed, the cancellation involves only orders entered on the

current day. All still active orders, entered the previous days, remain in the order book.

The Bulk Order Cancellation will cancel orders on both MS MTF order books. This message type does not allow members to differentiate between order books.



3.3 CANCEL/REPLACE ORDER (G)

Client CCG

MESSAGE FIELDS



Header Char 1 ✓ Message type ‘G’ Cancel/Replace

Order

ProtocolVersion Char 1 ✓ CCG Binary protocol version. ‘2’ Extended


57




OrigClOrdID Int 8 ✓ Original client order ID. ClOrdID of the order to be modified / cancelled

56

OrderID Int 8 o Engine order ID. Alphanumerical 54

OrderQty Int 4 ✓ Total order quantity. Quantity 55


Price 56


DeskID 60


OnBehalfOfCompID String 11 ✓ ID of the issuing firm. Firm ID 53


ExecInst Char 1 + Execution instruction. ‘M’ Mid-price Peg

43

Side Char 1 ✓ Order side. ‘1’ Buy

‘2’ Sell 60

OrderType Char 1 ✓ Order type. ‘2’ Limit

‘P’ Pegged 55

TimeInForce Char 1 o Time in force validity.



62

Rule80A Char 1 I Order origin.

‘1’ Client

‘2’ House


59

Account String 12 o Client Account Number of the investor account.

Alphanumerical 31







61






ClearingFirm String 8 o Give-up Firm ID. Firm ID (agreed upon clearing value)

35

FreeText String 18 o Free text. Any 45

OpenClose Char 1 o Posting action. ‘0’ Open

‘C’ Close 53

ClearingHandlingType Char 1 o Clearing operation mode.


‘0’ Manual mode



35

Filler Char 7


Total Length 188

Important note:

Rule80A and all fields related to MiFID II (ClientIdentificationShortCode to InvestmentDecisionAlgoFlag) are

not amendable in Cancel/Replace Order (G). MiFID II field values will be retrieved from the original New

Order (D).

MESSAGE USAGE

The Cancel/Replace request is used in two situations:

■ Changing any valid attribute of an open order (i.e. reduce or increase quantity, change limit price, change instructions, etc.). However, this message is not used to cancel the remaining quantity of an outstanding order (use Order Cancel Request (F) message for this purpose).

3.4 ORDER ACK (a)

Client CCG

MESSAGE FIELDS



Header Char 1 ✓ Message type ‘a’ Order Ack


protocol type 57




OrderID Int 8 ✓ Engine order ID. Alphanumerical 54




TransactTime Int 8 ✓ Transaction time.

Microsecond since 01/01/1970 at 00:00 UTC;

‘-1’ or ‘0’ if not significant.

64

DeliverToCompID String 11 ✓ ID of the targeted firm. Firm ID 40


MIC String 4 + Market identification code. ISO 10383 standard 50

Currency String 3 + Currency code. ISO 4217 standard 39

Filler Char 1


Total Length 64

MESSAGE USAGE

This message is an acknowledgement sent by the trading engine in response to a New Order (D) request to

confirm the creation of the new order.

3.5 ORDER FILL (2)

Client CCG

MESSAGE FIELDS



Header Char 1 ✓ Message type ‘2’ Order Fill


protocol type 57




OrderID Int 8 ✓ Engine order ID. Numerical 54

UTPExID Int 8 ✓ Trade reference ID by instrument & day.

Numerical 65


Microseconds since 01/01/1970 at 00:00 UTC;


64

LastShares Int 4 ✓ Quantity of last fill. Quantity 48

LastPx Int 4 ✓ Price of last fill. Price 47

BestBidPx Int 4 ✓ Highest quote bid of an instrument

Price 32

BestOfferPx Int 4 ✓ Lowest quote ask of an instrument

Price 32

EBBidPx Int 4 + EBBO quote bid at time of auction initiation

Price 41

EBOfferPx Int 4 + EBBO quote ask at time of auction initiation

Price 41




ContraBroker String 11 + Counterpart Firm ID in case of internalization.

Firm ID

Error! Bookmark

not defined.

LastPxScale Char 1 + Number of decimals for LastPx. ‘0’..’6’ 48

BidPxScale Char 1 + Number of decimals for BestBidPx.

‘0’..’6’ 32

OfferPxScale Char 1 + Number of decimals for BestOfferPx.

‘0’..’6’ 33

EBBidPxScale Char 1 + Number of decimals for EBBidPx. ‘0’..’6’ 41

EBOfferPxScale Char 1 + Number of decimals for

EBOfferPx. ‘0’..’6’ 42

LiquidityIndicator Char 1 ✓ Effect indicator on liquidity.

‘A’ Add liquidity - passive

‘R’ Remove liquidity - aggressive

‘P’ Periodic Auction

(Blank) Uncrossing

49


‘A’ Auction

‘R’ RPW / LIS


33


‘2’ Sell 60





IMPTimestamp String 15 +

IMP creation timestamp hh:mm:ss.dddddd

(Blank) Not Provided

45

TrdRegPublicationReasons

String

1 ✓ Indicates the pre-trade transparency waiver under which the trade was conducted

´2´ Negotiated Trades (PRIC)

‘3’ Reference Price (RFPT)

‘9’ Large in Scale (LRGS)

‘-’ Not applied

64

Filler Char 2


Total Length 130

Note regarding Trading Venue Transaction Identification Code (TVTIC)

In order to retrieve a TVTIC pursuant to Article 12 of the Commission Delegated Regulation (EU) 2017/580

of 24 June 2016 supplementing Regulation (EU) No 600/2014 of the European Parliament, MS platform

suggests the interested parties to consider the following concatenation:

𝑇𝑉𝑇𝐼𝐶 = 𝑈𝑇𝑃𝐸𝑥𝐼𝐷 + 𝑆𝑦𝑚𝑏𝑜𝑙

MESSAGE USAGE

This unsolicited message is sent by the trading engine in order to notify an order issuer that his or her order

has been partially or totally filled.



Each execution notice is assigned a unique sequential identifier per firm and trading session, provided by

the ExecID field.

In case the notified trade is the result of the Internal Matching Service (internalized trade), ContraBroker

provides the counterpart firm.

3.6 CANCEL REQUEST ACK (6)

Client CCG

MESSAGE FIELDS



Header Char 1 ✓ Message type ‘6’ Cancel Request Ack


protocol type 57








64





Filler Char 1


Total Length 64

MESSAGE USAGE

This message is an acknowledgement sent by the trading engine in response to an Order Cancel Request (F)

request to confirm the receipt of the firm’s Cancel request for an existing order (this message is not sent if

the cancel request is sent by Market Operations on behalf of the firm).

3.7 ORDER KILLED (4)

Client CCG

MESSAGE FIELDS



Header Char 1 ✓ Message type ‘4’ Order Killed





protocol type 57








64





Filler Char 1

ETX Char 1 End of message

Total Length 64

MESSAGE USAGE

This unsolicited message is sent by the trading engine when an order is no longer active, for example,

because its validity expires, or because Market Operations cancels the order on behalf of a firm.

This message is also sent as a confirmation of an order cancellation.

This message is sent to the connection that owns the order, including, in the case of bulk cancel, orders issued by other connections.

3.8 BULK CANCEL ACK/REPORT (K)

Client CCG

MESSAGE FIELDS



Header Char 1 ✓ Message type ‘K’ Bulk Cancel Ack/Report


protocol type 57








64

TotalAffectedOrders Int 4 ✓ Number of orders cancelled upon mass cancel request.

‘0’..’1010-1’ (‘-1’ upon request acknowledgement)

63

DeliverToCompID String 11 ✓ ID of the targeted firm. 40





Side Char 1 + Order side. ‘1’ Buy

‘2’ Sell 60

ClassID String 2 + Class ID. Alphanumerical 34

TechnicalOrdType Char 1 + Order technical origin.






61

Rule80A Char 1 + Order origin.

‘1’ Client

‘2’ House


59

CancelByLocationID String 11 + Identifier of the issuing front-end server whose orders are to be cancelled.

Alphanumerical 33



Filler Char 1


Total Length 84

MESSAGE USAGE

This message is used to:

■ Acknowledge a Bulk Cancel request (see Order Cancel Request (F)). In this case the TotalAffectedOrders field is set to ‘-1’.

■ Report the end of the Bulk Cancel processing. In this case the TotalAffectedOrders field is set to the number of orders cancelled by the Bulk Cancel request.

Following the sending of the Bulk Cancel acknowledgment message, and before the sending of the Bulk

Cancel report message, an Order Killed (4) message is sent for each order concerned by the Bulk Cancel to

the connection that owns the order. As such, the Bulk Cancel Ack/Report (K) message allows the

connection that issues the request, possibly different from the connection owner of all the orders

cancelled, to get an answer to his or her request.

3.9 CANCEL/REPLACE REQUEST ACK (E)

Client CCG

MESSAGE FIELDS



Header Char 1 ✓ Message type ‘E’ Cancel/Replace Request Ack


protocol type 57











64





Filler Char 1


Total Length 64

MESSAGE USAGE

This message is an acknowledgement sent by the trading engine in response to a Cancel/Replace Order (G)

request to confirm the receipt of the firm’s Cancel/Replace request for an existing order.

3.10 ORDER REPLACED (5)

Client CCG

MESSAGE FIELDS



Header Char 1 ✓ Message type ‘5’ Order Replaced


protocol type 57








64





Filler Char 1


Total Length 64

MESSAGE USAGE



This message is sent by the trading engine to confirm that a cancel/replace request has been successfully

processed. It follows the Cancel/Replace Request Ack (E) message that confirms only that the

cancel/replace request has been accepted and is about to be processed.

3.11 TRADING SESSION STATUS (h)

Client CCG

MESSAGE FIELDS



Header Char 1 ✓ Message type ‘h’ Trading Session Status


protocol type 57



MktPhaseChgTime Int 8 + Time of market phase change. Microseconds since 01/01/1970 00:00, ‘-1’ if not significant

50

ClassID String 2 ✓ Class ID. Alphanumerical 34

ClassStatus String 4 ✓ Class status. (See field description) 34

OrdEntryAllowed Char 1 ✓ Order entry allowed indicator.

‘0’ Order entry automatically forbidden

‘1’ Order entry allowed

‘2’ Order entry manually forbidden

54

TradingSessionID String 4 ✓ Session ID or combination of session IDs for which the order is valid.

(See field description) 63


Total Length 24

MESSAGE USAGE

The Trading Session Status message is sent by the Trading Engine to all market participants whenever the

status of an instrument class changes. This occurs in one of the following conditions:

■ Market phase change;

■ Market halted;

■ Order entry allowed or forbidden by Market Operations.



3.12 ORDER CANCEL/REPLACE REJECT (8)

Client CCG

MESSAGE FIELDS



Header Char 1 ✓ Message type ‘8’ Order Cancel/Replace

Reject


protocol type 57



ClOrdID Int 8 + Client order ID. -263..263-1 36

OrigClOrdID Int 8 ✓ Original client order ID. ClOrdID of the order to be modified / cancelled

56




64

ErrorCode Int 2 ✓ Error code in case of rejection. Numerical 41

RejType Char 1 ✓ Type of reject.

‘1’ Order reject

‘2’ Cancel reject

‘3’ Replace reject

59

Text String 40 ✓ Request status or error text. Alphanumerical 62

RejReason Char 1 ✓ Reason for request rejection. See ‘UTP Error List’ for possible values.

59





Filler String 5


Total Length 112

MESSAGE USAGE

This message is sent by the trading engine in response to a New Order (D), Cancel/Replace Order (G) or

Order Cancel Request (F) request in case the order creation, replacement or cancellation cannot be

processed (the RejType field provides the nature of the rejected request).

The ErrorCode, RejReason and Text fields provide the reason of the request rejection. Please refer to the

UTP Error List document for the list of possible values for these fields.

The CCG-Binary Gateway may also generate this message by itself. The list below provides the possible

cases:

■ Invalid Msg Type to Parse (generic error when parsing message; RejReason = ‘0’);



■ Invalid Domain (client is trying to send message for OnBehalfOfCompID it does not own; RejReason = ‘0’);

■ Unknown Symbol (we cannot find symbol in our symbol database, meaning we do not trade that symbol; RejReason = ‘0’);

■ System Unavailable (we cannot connect to the UTP engine for the specified symbol; RejReason = ‘0’);

■ Temp Teck Problems (generic error when trying to route a message to UTP; RejReason = ‘0’);

■ -777 bulk cancel not supported (Client attempted to do a ‘-777’ bulk cancel which is not allowed; RejReason = ‘0’).

3.13 BUST (C)

Client CCG

MESSAGE FIELDS



Header Char 1 ✓ Message type ‘C’ Bust/Correct


protocol type 57





Numerical 65




64




TradeChangeType Char 1 ✓ Type of MO action on trade. ‘1’ Trade busted

‘2’ Trade corrected 63


Symbol String 12 Instrument ID. ISIN or ISIN-like 61



Filler String 7


Total Length 80

MESSAGE USAGE

This message is sent to both counterparts of a trade if Market Operations busts the trade.



3.14 EXTENDED RESPONSE (x)

Client CCG

MESSAGE FIELDS



Header Char 1 ✓ Message type ‘x’ Extended Response


protocol type 57




OrderID Int 8 + Engine order ID. Alphanumerical 54

ExecID Int 8 + Execution report ID. Sequential 42


Numerical 65

OrderQty Int 4 + Total order quantity. Quantity 55


Price 56

BestBidPx Int 4 ✓ Highest quote bid of an instrument

Price 32

BestOfferPx Int 4 ✓ Lowest quote ask of an instrument

Price 32

EBBidPx Int 4 + EBBO quote bid at time of auction initiation

Price

Error! Bookmark not

defined.

EBOfferPx Int 4 + EBBO quote ask at time of auction initiation

Price

Error! Bookmark not

defined.




64


AvgPx Int 4 ✓ Average price of fills. Price 31


LeavesQty Int 4 ✓ Remaining quantity. Quantity 48




ClientIdentificationShortCode

Int 4 +




‘0’ ‘NONE’

‘1’ ‘AGGR’

‘2’ ‘PNAL’

36

InvestmentDecisionShortCode


4 to 2^32-1 46

ExecutionWithinFirmShortCode

Int 4 ✓


4 to 2^32-1



44

NonExecutingBrokerShortCode


4 to 2^32-1 52

CumQty Int 4 ✓ Cumulated quantity. Quantity 39

ErrorCode Int 2 ✓ Error code in case of rejection. Numerical 41




DeliverToLocationID String 11 ✓ ID of the targeted firm’s front-end server.

Front-end server ID 40

ExecInst Char 1 + Execution instruction. ‘M’ Mid-price Peg

43


‘2’ Sell 60

OrderType Char 1 ✓ Order type. ‘P’ Pegged

‘L’ Limit 55

TimeInForce Char 1 ✓ Time in force validity.





62

Rule80A Char 1 ✓ Order origin.

‘1’ Client

‘2’ House


59

Account String 12 + Client Account Number of the investor account.

Alphanumerical 31

TechnicalOrdType Char 1 + Order technical origin.






61

ExecRefID String 24 + Trade reference ID by trading unit and day.

Alphanumerical 43




ExecTransType Char 1 ✓ Transaction type.

‘0’ Order execution (partial fill or fill)

‘1’ Trade cancellation

‘3’ Order book retransmission

44

OrdStatus Char 1 ✓ Order status. (See field description) 55

ExecType Char 1 ✓ Execution type.

‘1’ Partial fill

‘2’ Fill or Trade cancellation

44

LiquidityIndicator Char 1 ✓ Effect indicator on liquidity.




(Blank) Uncrossing

49


‘A’ Auction

‘R’ RPW / LIS


33

Text String 40 ✓ Request status or error text. Alphanumerical 62

ContraBroker String 11 + Counterpart Firm ID in case of internalization.

Firm ID 38



ClearingFirm String 8 + Give-up Firm ID. Firm ID (agreed upon clearing value)

35

FreeText String 18 + Free text. Any 45

OpenClose Char 1 + Posting action. ‘0’ Open

‘C’ Close 53

ClearingHandlingType Char 1 + Clearing operation mode.


‘0’ Manual mode



35


AvgPxScale Char 1 + Number of decimals for AvgPx. ‘0’..’6’ 32

BestBidPxScale Char 1 + Number of decimals for BestBidPx.

‘0’..’6’ 32

BestOfferPxScale Char 1 + Number of decimals for BestOfferPx.

‘0’..’6’ 33

EBBidPxScale Char 1 + Number of decimals for EBBidPx. ‘0’..’6’ 41

EBOfferPxScale Char 1 + Number of decimals for

EBOfferPx. ‘0’..’6’ 42

ExecutionWithinFirmAlgoOrderFlag

Char 1 ✓ Order Execution generated by algorithm

‘0’ No

‘1’ Yes 45

InvestmentDecisionAlgoOrderFlag

Char 1 + Investment decision generated by algorithm

‘0’ No

‘1’ Yes 36




TrdRegPublicationReasons

String 1 ✓ Indicates the pre-trade transparency waiver under which the trade was conducted




‘-’ Not applied

64


Total Length 292

MESSAGE USAGE

This unsolicited message is sent by the UTP-Direct Drop Copy function to the firm centralizer when Order

Executions (partial fill or fill execution) or Trade Cancellations are reported by the Trading Engine. It

duplicates for the centralizer the information contained in the Order Fill (2) or the Bust/Correct (C)

messages and includes the complementary information not contained in these two messages and

necessary to the centralizer.

This unsolicited message is also sent by the trading engine in the case of Trading Engine Disaster Recovery

scenario.

MS MTF Field Description


4. FIELD DESCRIPTION

A ............................................................. 31

Account (Account_2) ............................................... 31 AlgorithmicOrderFlag .............................................. 31 AvgPx ....................................................................... 31 AvgPxScale ............................................................... 32

B .............................................................. 32

BestBidPx ................................................................. 32 BidPxScale ............................................................... 32 BestOfferPx ............................................................. 32 OfferPxScale ............................................................ 33 BookIndicator .......................................................... 33

C .............................................................. 33

CancelByLocationID ................................................. 33 ClassID ..................................................................... 34 ClassStatus............................................................... 34 ClearingFirm (ClearingFirm_2) ................................ 35 ClearingHandlingType (ClearingHandlingType_2) ... 35 ClientIdentificationShortCode (ClientIdentificationShortCode_2) .......................... 36 CLOrdID ................................................................... 36 CollarRejPx .............................................................. 37 CollarRejPxScale ...................................................... 37 CollarRejType .......................................................... 38 ContraBroker ........................................................... 38 CrossType ................................................................ 38 CumQty ................................................................... 39 Currency .................................................................. 39

D ............................................................. 40

DEAIndicator ........................................................... 40 DeliverToCompID .................................................... 40 DeliverToLocationID ................................................ 40

E .............................................................. 41

EBBidPx .................................................................... 41 EBBidPxScale ........................................................... 41 EBOfferPx ................................................................ 41 EBOfferPxScale ........................................................ 42 ErrorCode ................................................................ 42 ExecID ...................................................................... 42 ExecInst ................................................................... 43 ExecRefID ................................................................ 43 ExecTransType ......................................................... 44 ExecType ................................................................. 44 ExecutionWithinFirmShortCode (ExecutionWithinFirmShortCode_2) ....................... 44 ExecutionWithinFirmAlgoOrderFlag ....................... 45

F .............................................................. 45

FreeText (FreeText_2) ............................................. 45

I ............................................................... 45

IMPTimestamp ........................................................ 45 InvestmentDecisionAlgoOrderFlag ......................... 46

InvestmentDecisionShortCode (InvestmentDecisionShortCode_2) ..........................46

L .............................................................. 47

LastMsgSeqNum ......................................................47 LastMsgSeqNumRcvd ..............................................47 LastMsgSeqNumSent ...............................................47 LastPx .......................................................................47 LastPxScale ..............................................................48 LastShares ................................................................48 LeavesQty ................................................................48 LiquidityIndicator .....................................................49 LiquidityProvision ....................................................49

M ............................................................. 49

MIC ..........................................................................50 MinQty .....................................................................50 MktPhaseChgTime ...................................................50 MsgLen ....................................................................51 MsgSeqNum ............................................................51

N ............................................................. 52

NrAuctions ...............................................................52 NonExecutingBrokerShortCode (NonExecutingBrokerShortCode_2) ........................52

O ............................................................. 53

OnBehalfOfCompID .................................................53 OpenClose (OpenClose_2) .......................................53 OrdEntryAllowed .....................................................54 OrderID ....................................................................54 OrderQty ..................................................................55 OrderType ................................................................55 OrdStatus .................................................................55 OrigClOrdID ..............................................................56

P .............................................................. 56

Price .........................................................................56 PriceScale .................................................................57 ProtocolVersion .......................................................57

R .............................................................. 58

RejCode ....................................................................58 RejReason ................................................................59 RejType ....................................................................59 Rule80A (Rule80A_2) ...............................................59

S .............................................................. 60

SenderSubID ............................................................60 Side ..........................................................................60 Symbol .....................................................................61

T .............................................................. 61

TechnicalOrdType ....................................................61 Text ..........................................................................62 TimeInForce .............................................................62 TotalAffectedOrders ................................................63 TradeChangeType ....................................................63 TradingSessionID .....................................................63


© 2019 Euronext N.V. - All rights reserved xxx of 67 1.9.1

TransactTime ........................................................... 64 TrdRegPublicationReasons ...................................... 64

U ............................................................. 65

UserName ................................................................65 UTPExID ...................................................................65



A

ACCOUNT (ACCOUNT_2)

Field name Account

Description Client Account Number of the investor account.

Account_2 is only used for the sell side of a cross order.

Format String

Length 12

Possible values Alphanumerical

Conditions In New Order (D) and Cancel/Replace Order (G): optional.

■ In Extended Response (x): provided with the value associated to the concerned order, if any.

Used in

New Order (D)

Cancel/Replace (G)

Extended Response (x)

ALGORITHMICORDERFLAG

Field name AlgorithmicOrderFlag

Description Transaction executed as a result of an investment firm engaging in algorithmic trading as defined in Article 4(1)(39) of Directive 2014/65/EU.

Format Char

Length 1

Possible values 0: non algorithmic order

1: algorithmic order

Conditions Optional. If not provided then default value is ‘1’

Used in New Order (D)

AVGPX

Field name AvgPx

Description

Average price of fills.

Calculated average price of all fills on a given order.

Price without decimal separator; decimal places provided by AvgPxScale.

Format Int

Length 4

Possible values Price

Conditions Always provided, set to ‘0’ if the order has never been executed.

Used in Extended Response (x)



AVGPXSCALE

Field name AvgPxScale

Description Number of decimals for AvgPx.

Format Char

Length 1

Possible values ‘0’..’6’

Conditions Provided when AvgPx provided.


B

BESTBIDPX

Field name BestBidPx

Description

Field used to identify the highest quote bid of an instrument

Indicates the RBBO bid price for RPW/NT book or EBBO bid price for auction book at time of execution.

Format Int

Length 4


Conditions Always required

Used in Order Fill (2)


BESTBIDPXSCALE

Field name BestBidPxScale

Description Number of decimals for BestBidPx.

Format Char

Length 1


Conditions Mandatory field when BestBidPx is provided.



BESTOFFERPX

Field name BestOfferPx

Description

Field used to identify the lowest quote ask of an instrument

Indicates the RBBO offer price for RPW/NT book or EBBO offer price for auction book at time of execution.

Format Int



Field name BestOfferPx

Length 4


Conditions Always required



BESTOFFERPXSCALE

Field name BestOfferPxScale

Description Number of decimals for BestOfferPx.

Format Char

Length 1


Conditions Mandatory field when BestOfferPx is provided.



BOOKINDICATOR

Field name BookIndicator

Description Field used to identify the order book – Auction or Reference Price Waiver/Large in Scale.

Format Char

Length 1

Possible values

‘A’ – Auction

‘R’ – RPW / LIS

‘N’ – Negotiated Trade

Conditions Optional. Default value is ‘R’.

Used in

New Order (D)

Order Fill (2)


C

CANCELBYLOCATIONID

Field name CancelByLocationID

Description

Identifier of the issuing front-end server whose orders are to be cancelled.

Identifier of the issuing front-end server to which the order to cancel belongs. Used as criterion for selecting the orders to cancel in case of bulk cancellation.

Format String

Length 11



Field name CancelByLocationID


Conditions

In Order Cancel Request (F): Ignored in case of single cancellation. Optional criterion in case of bulk cancellation.

In Bulk Cancel Ack/Report (K): Provided with the value of the Bulk Cancel request, if any.

Used in Order Cancel Request (F)

Bulk Cancel Ack/Report (K)

CLASSID

Field name ClassID

Description Class ID.

Identifier of an instrument class.

Format String

Length 2


Conditions

In Order Cancel Request (F): ignored in case of single calculation; in case of bulk cancellation, mandatory if Symbol not filled, optional if Symbol filled (but must match the class ID of the instrument if specified).

In Bulk Cancel Ack/Report (K): provided with the value specified in the request, if any.

In Trading Session Status (h): always provided.

Used in

Order Cancel Request (F)


Trading Session Status (h)

CLASSSTATUS

Field name ClassStatus

Description

Class status.

Represents the current market trading phase for instruments belonging to that class and whose status is inherited.

Format String

Length 4

Possible values

‘EAMO’ Early Monitoring

‘SPCO’ SP Continuous

‘CLCA’ Closing Call

‘LAMO’ Late Monitoring

‘HALT’ Halted

‘CLSD’ Closed

Conditions Always provided.

Used in Trading Session Status (h)



CLEARINGFIRM (CLEARINGFIRM_2)

Field name ClearingFirm

Description

Give-up Firm ID.

Identifier of the give-up firm when a give-up is executed (a give-up is a trade executed by a firm for the client of another firm, the latter being referred to as the give-up firm).

ClearingFirm_2 is only used for the sell side of a cross order.

Format String

Length 8

Possible values Firm ID (agreed upon clearing value)

Conditions In New Order (D) and Cancel/Replace Order (G): optional.

In Extended Response (x): provided with the value associated to the concerned order, if any.

Used in

New Order (D)

Cancel/Replace (G)


CLEARINGHANDLINGTYPE (CLEARINGHANDLINGTYPE_2)

Field name ClearingHandlingType

Description

Clearing operation mode.

Indicates the pre-posting and give-up action to be taken by the clearing system when a trade has occurred, following a given order.

■ Manual (pre-posting and/or pre-give-up): the clearing system redirects the information to the member's back office workstation without processing it. It does not post the trade to the designated account or give up the trade to the designated give-up member.

■ Automatic posting: the clearing system immediately posts the trade to the designated account.

■ Automatic give-up: the clearing system immediately gives up the trade to the designated give-up member. If an account number is provided, it also performs a pre-posting.

■ Systematic posting: this means pre-posting if the account number is given, and Pre-Give-up if the data item ID of clearing system member that is the beneficiary of a give-up is provided. This is the default value.

ClearingHandlingType_2 is only used for the sell side of a cross order.

Format Char

Length 1

Possible values


‘0’ Manual mode



Conditions

In New Order (D) and Cancel/Replace Order (G): optional (absence of this field is interpreted as systematic posting).


Used in

New Order (D)

Cancel/Replace (G)




CLIENTIDENTIFICATIONSHORTCODE (CLIENTIDENTIFICATIONSHORTCODE_2)

Field name ClientIdentificationShortCode

Description

Code used to identify the client of the member or participant of the trading venue.

In case there is DEA, the code of the DEA user (entity or natural person) shall be used.

ClientIdentificationShortCode_2 is only used for the sell side of a cross order.

Format Int

Length 4

Possible values

The shortcode value must be between 4 and 4,294,967,295. Mapping files specifications for the data corresponding to this shortcode will be provided in a different document.

Reserved shortcodes:

‘0’ ‘NONE’ – No Client for this order

‘1’ ‘AGGR’ – In case of Aggregated client orders

‘2’ ‘PNAL’ – In case of client Pending Allocation

Conditions

Can be left blank if the member or participant of the trading venue has no client.

Mandatory when DEA indicator = 1 or when Rule80A = 1 (Client).

If empty, ClientIdentificationShortCode = 0 (None).



CLORDID

Field name ClOrdID

Description

Client order ID.

Field used to identify an order or cancellation. The client order ID is defined by front-end applications and used to identify an order or a cancellation and match messages received from the Trading Engine (order outcome, order rejection notices, execution notices, etc.).

This field may also be used for the multiplexing of different traders connected to the same Broker order entry application.

This ID must be unique for all orders & cancellations by Broker (OnBehalfOfCompID) and instrument.

An order or cancellation is considered as persistent when it resides in trading engine’s memory: this concerns any order or cancellation processed during the current day, as well as orders previously entered but still alive.

Orders may also be identified by the OrderID field.

Format Int

Length 8

Possible values -263..263-1



Field name ClOrdID

Conditions

In New Order (D), Order Cancel Request (F) and Cancel/Replace Order (G): mandatory.

In Order Cancel/Replace Reject (8): not provided in case of rejection for ‘ClOrdID not valuated’ reason; else provided with the value specified in the request.

In Cancel Request Ack (6) and Bulk Cancel Ack/Report (K): provided with the value specified in the request.

In Order Fill (2), Bust/Correct (C) and Extended Response (x): provided with the value associated to the concerned order, except in case of messages sent upon trade creation or upon trade cancellation of a trade created upon trade creation, where the value is ‘0’.

In Order Ack (a), Order Killed (4), Cancel/Replace Request Ack (E) and Order Replaced (5): provided with the value associated to the concerned order.

Used in

New Order (D)


Cancel/Replace (G)

Order Ack (a)

Order Fill (2)

Cancel Request Ack (6)

Order Killed (4)


Cancel/Replace Request Ack (E)

Order Replaced (5)

Order Cancel/Replace Reject (8)

Bust/Correct (C)


COLLARREJPX

Field name CollarRejPx

Description

Price of collar hit in case of rejection.

Hit collar price in case of order rejection due to collar breach.

Price without decimal separator: decimal places provided by CollarRejPxScale.

Format Int

Length 4


Conditions Filled only in case of rejection due to collar logic.

Used in Order Cancel/Replace Reject (8)

COLLARREJPXSCALE

Field name CollarRejPxScale

Description Number of decimals for CollarRejPx.

Format Char

Length 1




Field name CollarRejPxScale

Conditions Provided when CollarRejPx provided.


COLLARREJTYPE

Field name CollarRejType

Description Hit collar type in case of rejection.

Hit collar (high or low) in case of order rejection due to collar breach.

Format Char

Length 1

Possible values ‘L’ Low collar

‘H’ High collar

Conditions Filled only in case of rejection due to collar logic.


CONTRABROKER

Field name ContraBroker

Description Counterpart Firm ID in case of internalization.

Identifier of the counterpart firm if the trade is a result of the Internal Matching Service (IMS).

Format String

Length 11

Possible values Firm ID

Conditions Filled in case of IMS only.



CROSSTYPE

Field name CrossType

Description Type of cross trade. Currently not used.

Format Char

Length 1

Possible values ‘0’ Not significant (default)

‘P’ Put-through Cross


Used in

Order Fill (2)

Bust/Correct (C)




CUMQTY

Field name CumQty

Description

Cumulated quantity.

Total number of shares filled. If an order is partially filled for a quantity q1 then partially filled for a quantity q2, in the first execution report message CumQty = q1 and in the second execution report message CumQty = q1 + q2.

Format Int

Length 4

Possible values Quantity

Conditions Always provided. Set to ‘0’ if the order has never been executed yet.


CURRENCY

Field name Currency

Description

Currency code.

Identifies currency used for price. This field is not validated for the purpose of trading product identification.

Future use ►Ignored in inbound messages, not provided in outbound messages. Absence of this field is interpreted as the default currency for the instrument. It is recommended that systems provide the currency value whenever possible.

Format String

Length 3

Possible values ISO 4217 standard

Conditions Inbound messages: optional.

Outbound messages: conditionally provided.

Used in

New Order (D)


Cancel/Replace (G)

Order Ack (a)

Order Fill (2)


Order Killed (4)



Order Replaced (5)


Bust/Correct (C)




D

DEAINDICATOR

Field name DEAIndicator

Description Indicates whether the order was submitted via a DEA connection or not. It must be set to 1 for DEA access.

Format Char

Length 1

Possible values ‘0’ No

‘1’ Yes

Conditions Mandatory


DELIVERTOCOMPID

Field name DeliverToCompID

Description

ID of the targeted firm.

Identifier of the firm to which the order belongs in outbound message.

In other words, ID of the firm targeted to receive the message. This field holds the same information as the one held by OnBehalfOfCompID in inbound messages.

Format String

Length 11

Possible values

(see message structures)

■ Inbound messages: ignored

■ Outbound messages: Firm ID

Conditions Outbound messages: always provided with the reference identifier of the Firm (mandatory OnBehalfOfCompID field in inbound application messages).

Used in

Order Ack (a)

Order Fill (2)


Order Killed (4)



Order Replaced (5)


Bust/Correct (C)


DELIVERTOLOCATIONID

Field name DeliverToLocationID

Description

ID of the targeted firm’s front-end server.

Identifier of a firm’s front-end server targeted to receive a response message (may differ from the DeliverToCompID field that identifies the targeted firm).



Field name DeliverToLocationID

Format String

Length 11

Possible values Front-end server ID

Conditions Outbound messages: always provided with the identifier of the front-end server.


E

EBBIDPX

Field name EBBidPx

Description Field used to identify the EBBO quote bid at time of auction initiation.

Format Int

Length 4


Conditions Conditionally required

Field mandatory in case BookIndicator is Auction (BookIndicator = ‘A’), else not provided.



EBBIDPXSCALE

Field name EBBidPxScale

Description Number of decimals for EBBidPx.

Format Char

Length 1


Conditions Mandatory field when EBBidPx is provided.



EBOFFERPX

Field name EBOfferPx

Description Field used to identify the EBBO quote ask at time of auction initiation.

Format Int

Length 4



Field name EBOfferPx


Conditions Conditionally required

Field mandatory in case BookIndicator is Auction (BookIndicator = ‘A’), else not provided.



EBOFFERPXSCALE

Field name EBOfferPxScale

Description Number of decimals for EBOfferPx.

Format Char

Length 1


Conditions Mandatory field when EBOfferPx are provided.



ERRORCODE

Field name ErrorCode

Description Error code in case of rejection.

Provides the engine error code when a request is rejected for functional reason.

Format Int

Length 2

Possible values Numerical

Conditions Always provided, significant (>0) only in case of rejection, else defaults to ‘0’ (no error).



EXECID

Field name ExecID

Description

Execution report ID.

Unique identifier for Execution Report assigned by UTP by Member (OnBehalfOfCompID) and by Trading Unit of the UTP trading engine. Uniqueness per Firm and TU will be guaranteed within a single trading day only.

Note: this field is an Execution Report identifier, with “Execution Report” term to be understood as the message type and not only as a report of an order execution/trade (hence it includes also Execution Reports for cancellation for example). On the other side, fields ExecRefID and UTPExID are reference identifiers of order executions/trades.

Format Int

Length 8



Field name ExecID

Possible values Sequential

Conditions Always provided. Set to ‘0’ for ExecTransType = ‘3’.


EXECINST

Field name ExecInst

Description Execution instruction.

Field used as instruction for order handling on exchange trading floor.

Format Char

Length 1

Possible values ‘M’ Mid-price Peg

Conditions

In New Order (D) and Cancel/Replace Order (G): authorized only if OrderType = ‘P’ (Pegged).

In Extended Response (x): provided in case of order execution reports (partial fill or fill) with the value corresponding to the book where the fill occurred. Else not provided.

Used in

New Order (D)

Cancel/Replace (G)


EXECREFID

Field name ExecRefID

Description

Trade reference ID by trading unit and day.

Field used as a reference identifier of a trade, for all instruments listed on a given Trading Unit of the UTP trading engine on a given day. This field is provided in the case of a fill or partial fill order execution, or of a trade cancellation. For example, let x be the reference identifier of a given trade, x is reported in the 2 Execution Report sent for the 2 sides of the trade, and if this trade is cancelled, x is again reported in the 2 Execution Report sent for the 2 sides of the trade.

Note #1: this field is a Trade Reference Identifier unique for all instruments for a given day on a given Trading Unit; on the other side, UTPExID is a Trade Reference Identifier unique for a given instrument and for a given day.

Note #2: this field is a Trade Reference Identifier; on the other side, ExecID is an Execution Report (to be understood as the message type and not as a “trade report”) Reference Identifier.

Format String

Length 24


Conditions

In Order execution report and Trade cancellation report: provided with the identifier of the concerned execution, unique for the current day and for all instruments listed on a given Trading Unit.

Not provided in other cases.




EXECTRANSTYPE

Field name ExecTransType

Description Transaction type.

Format Char

Length 1

Possible values

‘0’ Order execution (partial fill or fill)

‘1’ Trade cancellation

‘3’ Order book retransmission

Conditions In Extended Response (x): always provided, with ‘3’ in Order Status Request response, ‘1’ in Trade cancellation report, and ‘0’ in other cases.


EXECTYPE

Field name ExecType

Description

Execution type.

Field used to describe the execution type in case ExecTransType = ‘0’.

If case ExecTransType = ‘1’, ExecType is always equal to ‘2’, even if the order associated to the trade cancellation is in the ‘Partial fill’ state (in this case, OrdStatus = ‘1’).

Format Char

Length 1

Possible values ‘1’ Partial fill

‘2’ Fill or Trade cancellation



EXECUTIONWITHINFIRMSHORTCODE (EXECUTIONWITHINFIRMSHORTCODE_2)

Field Name ExecutionWithinFirmShortCode

Description Code used to identify the person or algorithm within the member or participant of the trading venue who is responsible for the execution of the transaction.

ExecutionWithinFirmShortCode_2 is only used for the sell side of a cross order.

Format Int

Length 4

Possible Values The shortcode value must be between 4 and 4,294,967,295. Mapping files specifications for the data corresponding to this shortcode will be provided in a different document.

Reserved shortcode:

‘3’ ‘CLIENT’ – Execution decision has been taken by the client






EXECUTIONWITHINFIRMALGOORDERFLAG

Field Name ExecutionWithinFirmAlgoOrderFlag

Description Indicates whether the order execution within the member or participant of the trading venue is generated by a computer algorithm.

Format Char

Length 1

Possible Values 0: Order not generated by an algorithm

1: Order generated by an algorithm




F

FREETEXT (FREETEXT_2)

Field name FreeText

Description

Free text.

Manually entered by the trader issuing the order.

FreeText_2 is only used for the sell side of a cross order.

Format String

Length 18

Possible values Any

Conditions

In New Order (D) and Cancel/Replace Order (G): optional.

In Extended Response (x): provided with the value associated to the concerned order, if any. Else not provided.

Used in

New Order (D)

Cancel/Replace (G)


I

IMPTIMESTAMP

Field name IMPTimestamp

Description IMP creation timestamp. Indicates the time the Indicative Matching Price was set.

Format String



Field name IMPTimestamp

Length 15

Possible values hh:mm:ss.dddddd

(Blank) Not Provided

Conditions Always provided when BookIndicator = ‘A’.

Blank when BookIndicator = ‘R’.


INVESTMENTDECISIONALGOORDERFLAG

Field name InvestmentDecisionAlgoOrderFlag

Description Indicates whether the investment decision is generated by a computer algorithm.

Format Char

Length 1

Possible values 0: Order not generated by an algorithm

1: Order generated by an algorithm

Conditions Mandatory if InvestmentDecisionShortCode field is filled.



INVESTMENTDECISIONSHORTCODE (INVESTMENTDECISIONSHORTCODE_2)

Field name InvestmentDecisionShortCode

Description Code used to identify the person or the algorithm within the member or participant of the trading venue who is responsible for the investment decision within the firm.

InvestmentDecisionShortCode_2 is only used for the sell side of a cross order.

Format Int

Length 4

Possible values The shortcode value must be between 4 and 4,294,967,295. Mapping files specifications for the data corresponding to this shortcode will be provided in a different document.

Conditions

‘0’ or blank when the investment decision was not made by a person or algorithm within the member or participant of the trading venue.

Mandatory if Rule80A = 2 (House) and DEA indicator must be 0.





L

LASTMSGSEQNUM

Field name LastMsgSeqNum

Description Last message sequence number.

Format Int

Length 4


Conditions Always provided (see Logon (A) message description).

Used in Logon (A)

LASTMSGSEQNUMRCVD

Field name LastMsgSeqNumRcvd

Description Last internal message sequence number received by the server.

Format Int

Length 4



Used in Logon Reject (I)

LASTMSGSEQNUMSENT

Field name LastMsgSeqNumSent

Description Last internal message sequence number sent by the server.

Format Int

Length 4




LASTPX

Field name LastPx

Description Price of last fill.

Price without decimal separator: decimal places provided by LastPxScale.

Format Int

Length 4



Field name LastPx



Used in

Order Fill (2)

Bust/Correct (C)


LASTPXSCALE

Field name LastPxScale

Description Number of decimals for LastPx.

Format Char

Length 1


Conditions Mandatory field when LastPx is provided.

Used in

Order Fill (2)

Bust/Correct (C)


LASTSHARES

Field name LastShares

Description Quantity of last fill.

Quantity of shares bought/sold on the last fill.

Format Int

Length 4



Used in

Order Fill (2)

Bust/Correct (C)


LEAVESQTY

Field name LeavesQty

Description

Remaining quantity.

Amount of shares open for further execution.

If OrdStatus is ‘Canceled’, ‘DoneForTheDay’, ‘Expired’, ‘Calculated’ or ‘Rejected’ (in which case the order is no longer active), then LeavesQty could be ‘0’, otherwise LeavesQty = OrderQty – CumQty.

Format Int



Field name LeavesQty

Length 4


Conditions Always provided, with ‘0’ if the order has no remaining quantity.


LIQUIDITYINDICATOR

Field name LiquidityIndicator

Description

Effect indicator on liquidity.

Indicates whether a trade adds liquidity (A) or removes liquidity (R) from the marketplace.

This is a configurable setting that is turned on at the request of the customer.

Format Char

Length 1

Possible values




(Blank) Uncrossing




LIQUIDITYPROVISION

Field name LiquidityProvision

Description Indication as to whether an order is submitted to a trading venue as part of a market making strategy pursuant to Articles 17 and 48 of Directive 2014/65/EU or other activity in accordance with Article 3 of ESMA annex I on MiFID II and MiFIR.

Format Char

Length 1

Possible values ‘N’ Not a Liquidity Provision Activity order.

‘Y’ Liquidity Provision Activity order.

Conditions Optional. If blank/not provided then default value is ‘N’


M



MIC

Field name MIC

Description Market identification code.

Identifier for a market place as defined by the ISO 10383 standard.

Format String

Length 4

Possible values ISO 10383 standard

Conditions

Inbound messages: optional.

If the MIC is filled in the New Order then the system will validate it against the MIC of the instrument present in the MS MTF universe.

Outbound messages: conditionally provided.

Used in

New Order (D)


Cancel/Replace (G)

Order Ack (a)

Order Fill (2)


Order Killed (4)



Order Replaced (5)


Bust/Correct (C)


MINQTY

Field name MinQty

Description

Minimum quantity to be executed.

Persistent constraint for MS MTF (checked at each execution). Adjusted to the remaining quantity when the latter falls below the initial minimum quantity.

Format Int

Length 4


Conditions ■ Optional;

■ Authorized in continuous mode only.


MKTPHASECHGTIME

Field name MktPhaseChgTime

Description Time of market phase change.



Field name MktPhaseChgTime

Format Int

Length 8

Possible values Microseconds since 01/01/1970 00:00, ‘-1’ or ‘0’ if not significant.

Conditions Conditionally provided.


MSGLEN

Field name MsgLen

Description Binary message length.

Format Int

Length 2

Possible values 0..216-1

Conditions Inbound messages: mandatory.

Outbound messages: always provided.

Used in

Logon (A)

Logon Reject (I)

New Order (D)


Cancel/Replace (G)

Order Ack (a)

Order Fill (2)


Order Killed (4)



Order Replaced (5)



Bust/Correct (C)


MSGSEQNUM

Field name MsgSeqNum

Description Message sequence number.

Internal message sequence number.

Format Int

Length 4

Possible values Sequential.



Field name MsgSeqNum

Conditions Inbound messages: mandatory.

Outbound messages: always provided.

Used in

New Order (D)


Cancel/Replace (G)

Order Ack (a)

Order Fill (2)


Order Killed (4)



Order Replaced (5)



Bust/Correct (C)


N

NRAUCTIONS

Field name NrAuctions

Description Maximum number of auctions available for new orders. This field allows members to specify the number of auctions that the order should take part in.

Format Int

Length 4


Conditions

Applicable only to New Order Single (D) message: Conditionally required

■ Field mandatory in case time in force validity is Good for Auction (TimeInForce = ‘B’)

■ Field ignored in case time in force validity is different than Good for Auction (TimeInForce = ‘B’)


NONEXECUTINGBROKERSHORTCODE (NONEXECUTINGBROKERSHORTCODE_2)

Field name NonExecutingBrokerShortCode

Description Code used to identify the non-executing broker.

NonExecutingBrokerShortCode_2 is only used for the sell side of a cross order.

Format Int

Length 4

Possible values The shortcode value must be between 4 and 4,294,967,295. Mapping files specifications for the data corresponding to this shortcode will be provided in a different document.

Conditions ‘0’ or blank when not relevant.



Field name NonExecutingBrokerShortCode



O

ONBEHALFOFCOMPID

Field name OnBehalfOfCompID

Description ID of the issuing firm.

Identifier of the firm to which the order belongs in inbound messages.

Format String

Length 11

Possible values Firm ID

Conditions

Mandatory in inbound messages, except in case of Bulk Cancellation where it is an optional criterion.

When responding to a message, this information is sent back by the trading engine in the DeliverToCompID field.

Used in

New Order (D)


Cancel/Replace (G)

OPENCLOSE (OPENCLOSE_2)

Field name OpenClose

Description

Posting action.

Indicates whether the resulting position after a trade should be an opening or closing position.

OpenClose_2 is only used for the sell side of a cross order.

Format Char

Length 1

Possible values ‘0’ Open

‘C’ Close

Conditions

Optional in New Order (D) and Cancel/Replace Order (G) requests.

In Extended Response (x) message:

• In Order information report and Trade cancellation report: provided with the OpenClose value associated with the order (if any).

• In New order Request rejection response: provided with the OpenClose value of the request, if any.

Used in

New Order (D)

Cancel/Replace (G)




ORDENTRYALLOWED

Field name OrdEntryAllowed

Description

Order entry allowed indicator.

Indicator whether order entry is allowed or not for the instrument class or the instrument, and in case order entry is forbidden, whether the indicator has been set automatically or manually via UTM.

Format Char

Length 1

Possible values

‘0’ Order entry automatically forbidden

‘1’ Order entry allowed

‘2’ Order entry manually forbidden



ORDERID

Field name OrderID

Description

Engine order ID.

Field used to identify an order. Unique number assigned by the Trading Engine upon successful validation of an incoming order.

Format Int

Length 8


Conditions

In inbound requests: ignored


■ Provided in Order information report and in Trade cancellation report.

■ Not provided In New order Request rejection response and Order status request rejection response:

Populated in outbound responses with the value provided in the corresponding request.

Used in


Cancel/Replace (G)

Order Ack (a)

Order Fill (2)


Order Killed (4)



Order Replaced (5)




ORDERQTY

Field name OrderQty

Description Total order quantity.

Number of shares ordered (or number of orders cancelled in case of Bulk Cancel Ack).

Format Int

Length 4


Conditions

Mandatory in New Order (D) and Cancel/Replace Order (G) requests.


■ Populated in Order information report and in Trade cancellation report.

■ Populated in New order request rejection response except in case of rejection for “OrderQty not valuated” reason.

Used in

New Order (D)

Cancel/Replace (G)


ORDERTYPE

Field name OrderType

Description Order type.

Format Char

Length 1

Possible values ‘2’ Limit

‘P’ Pegged

Conditions

Mandatory in New Order (D) and Cancel/Replace Order (G) requests.

Always populated in Extended Response (x) message, except in New Order Request rejection response in case of rejection for “OrdType not valuated” reason.

Order Type Limit is only valid for Auction (BookIndicator = ‘A’)

Used in

New Order (D)

Cancel/Replace (G)


ORDSTATUS

Field name OrdStatus

Description Order status.

Format Char

Length 1



Field name OrdStatus

Possible values

‘0’ New

‘1’ Partially filled

‘2’ Filled

‘3’ Done for Day

‘4’ Cancelled

‘5’ Replaced

‘6’ Pending Cancel

‘8’ Rejected

‘C’ Expired

‘E’ Pending Replace

‘S’ Cancelled by Market Operation



ORIGCLORDID

Field name OrigClOrdID

Description

Original client order ID.

Field used to identify the order to modify or cancel in an order Cancel/Replace or Cancel request. It refers to the ClOrdID of the order to modify or cancel.

Format Int

Length 8

Possible values ClOrdID of the order to be modified / cancelled

Conditions

Conditionally required in Order Cancel Request (F): Mandatory in case of single cancellation and ignored in case of bulk cancellation.

Mandatory in Cancel/Replace Order (G) requests.

Populated in Order Cancel/Replace Reject (8) response if provided in the corresponding request.

Used in


Cancel/Replace (G)


P

PRICE

Field name Price

Description Instrument price per unit of quantity (share).

Price without decimal separator: decimal places provided by PriceScale.

Format Int

Length 4




Field name Price

Conditions

In New Order (D) and Cancel/Replace Order (G) requests: optional if OrderType set to ‘P’ (Pegged), mandatory if OrderType set to ‘2’ (Limit).


Used in

New Order (D)

Cancel/Replace (G)


PRICESCALE

Field name PriceScale

Description Number of decimals for Price.

Format Char

Length 1


Conditions Always provided when Price provided.

Used in

New Order (D)

Cancel/Replace (G)


PROTOCOLVERSION

Field name ProtocolVersion

Description CCG Binary protocol version.

Format Char

Length 1

Possible values ‘2’ Extended ClientOrderID protocol type




Field name ProtocolVersion

Used in

Logon (A)

Logon Reject (I)

Test Request (1)

HeartBeat (0)

New Order (D)


Cancel/Replace (G)

Order Ack (a)

Order Fill (2)


Order Killed (4)



Order Replaced (5)



Bust/Correct (C)


R

REJCODE

Field name RejCode

Description

Reject code in case of logon rejection.

■ If ‘1’, the trading system is not available.

■ If ‘2’, the last sequence number in a logon message is larger than expected.

■ If ‘3’, a user attempted to login more than once and the existing client session is still active.

■ If ‘4’, the user attempted to reconnect to a client session that has been disabled.

■ If ‘5’, the configured connection type of a session does not match the port the client connects to.

Format Int

Length 2

Possible values

‘0’ Success

‘1’ System unavailable

‘2’ Invalid sequence number

‘3’ Client session already exists

‘4’ Client session disabled

‘5’ Connection type mismatch





REJREASON

Field name RejReason

Description Reason for request rejection.

Format Char

Length 1

Possible values

See ‘UTP Error List’ for possible values.

Additional values for the Double Volume Caps instrument halt:

‘20709’ DVC - Proactively halted instrument

‘20710’ DVC - Threshold breached



REJTYPE

Field name RejType

Description Type of reject.

Origin of the reject (either new order, cancel or cancel/replace request).

Format Char

Length 1

Possible values

‘1’ Order reject

‘2’ Cancel reject

‘3’ Replace reject



RULE80A (RULE80A_2)

Field name Rule80A

Description

Order origin.

Indicates the account type for which the order is entered.

Rule80A_2 is only used for the sell side of a cross order.

Format Char

Length 1

Possible values

‘1’ Client (maps to ‘AOTC’)

‘2’ House (maps to ‘DEAL’)

‘3’ Riskless Principal (maps to ‘MTCH’)

Conditions

In New Order (D): mandatory.

In Order Cancel Request (F): optional for a bulk cancel, ignored (but checked) for a single cancel.

In Bulk Cancel Ack/Report (K): provided with the value indicated in the request, if any.

In Extended Response (x): always provided.



Field name Rule80A

Used in

New Order (D)




S

SENDERSUBID

Field name SenderSubID

Description Assigned value used to identify the subsidiary of the message originator

Format String

Length 11

Possible values DeskID

Conditions Optional in inbound messages (with no field validation). Never provided in outbound messages.

Used in

New Order (D)


Cancel/Replace (G)

SIDE

Field name Side

Description Order side.

Format Char

Length 1

Possible values

(see message structures)

‘1’ Buy

‘2’ Sell

‘8’ Cross (Only applicable for New Order D)

Conditions

In New Order (D) and Cancel/Replace Order (G): mandatory.

In Order Cancel Request (F): in case of bulk cancelation, optional criterion. Ignored (but still checked) in case of single cancellation.

In Bulk Cancel Ack/Report (K): provided with the value of the request, if any.

In Order Fill (2) and Extended Response (x): always provided. In case of entering a new cross order, two notifications are triggered for each message to provide information from each side.

Used in

New Order (D)


Cancel/Replace (G)

Order Fill (2)





SYMBOL

Field name Symbol

Description Instrument ID.

Identifier of the instrument involved in the order.

Format String

Length 12

Possible values ISIN or ISIN-like

Conditions

In Order Cancel Request (F): in case of bulk cancelation, mandatory if ClassID not filled, optional (but with consistency check on ClassID/Symbol pair) if ClassID filled. In case of single cancellation: mandatory.

In Cancel Request Ack (6) and Bulk Cancel Ack/Report (K): provided with the value specified in the request, if any. Else not provided.

In Order Cancel/Replace Reject (8): provided except in case of rejection for ‘Symbol not valuated’ reason.

Other inbound messages: mandatory.

Other outbound messages: always provided.

Used in

New Order (D)


Cancel/Replace (G)

Order Ack (a)

Order Fill (2)


Order Killed (4)



Order Replaced (5)


Bust/Correct (C)


T

TECHNICALORDTYPE

Field name TechnicalOrdType

Description

Order technical origin.

Indicates the nature of the order issuer; for example, it can be a manual entry, or an order coming from a Program Trading system.

Format Char

Length 1

Possible values




‘A’ Other orders (default)




Field name TechnicalOrdType

Conditions

In New Order (D) and Cancel/Replace Order (G): optional. Absence of this field is interpreted as ‘A’ (Other orders).

In Order Cancel Request (F): in case of bulk cancellation, optional criterion. In case of single cancellation, ignored (but still checked).

In Bulk Cancel Ack/Report (K) and Extended Response (x): provided with the value specified in the request, if any.

Used in

New Order (D)


Cancel/Replace (G)



TEXT

Field name Text

Description Request status or error text.

Provides a status of the originating request or a textual explanation in case of request rejection.

Format String

Length 40



Used in

Logon Reject (I)



TIMEINFORCE

Field name TimeInForce

Description

Time in force validity.

Specifies how long the order remains in effect. Absence of this field is interpreted as ‘0’ (Good for Day).

Format Char

Length 1

Possible values





Conditions

In New Order (D): optional.

In Cancel/Replace Order (G): Optional field with only two possible values ‘0’ GFD and ‘B’ GFA

In Extended Response (x): always provided.

IOC and FOK only valid for RPW / LIS order book (BookIndicator = ‘R’).

GFA only valid for Auction (BookIndicator = ‘A’).



Field name TimeInForce

Used in

New Order (D)

Cancel/Replace (G)


TOTALAFFECTEDORDERS

Field name TotalAffectedOrders

Description Number of orders cancelled upon mass cancel request.

Format Int

Length 4

Possible values ‘0’..’1010-1’ (‘-1’ upon request acknowledgement)

Conditions Provided with the actual number of cancelled orders when the Bulk Cancel Ack/Report (K) is sent at the end of the bulk cancellation.

Used in Bulk Cancel Ack/Report (K)

TRADECHANGETYPE

Field name TradeChangeType

Description Type of MO action on trade.

Indicates whether Marker Operations has busted or corrected a trade.

Format Char

Length 1

Possible values ‘1’ Trade busted

‘2’ Trade corrected

Conditions Type of MO action on trade.

Indicates whether Marker Operations has busted or corrected a trade.

Used in Bust/Correct (C)

TRADINGSESSIONID

Field name TradingSessionID

Description

Session ID or combination of session IDs for which the order is valid.

Note: For European Markets, multiple Trading Sessions in a single calendar day is not currently supported.

For this reason, this field is forced to ‘123’ (All sessions) by the UTP trading engine when processing the D and G messages, and is not provided in the Execution report.

Format String

Length 4



Field name TradingSessionID

Possible values

‘1’ Early session

‘2’ Core session

‘3’ Late session

‘12’ Early and Core sessions

‘13’ Early and Late sessions

‘23’ Core and Late sessions

‘123’ All sessions

Conditions In Trading Session Status (h): always set to ‘2’ (Core session).


TRANSACTTIME

Field name TransactTime

Description

Transaction time.

Indicates the time the order request was initiated / released by the trader / trading system, or the time of execution or order creation.

Format Int

Length 8

Possible values Microseconds since 01/01/1970 at 00:00 UTC;


Conditions Set to ‘-1’ or ‘0’ in Order Cancel/Replace Reject (8) and Bulk Cancel Ack/Report (K).

Used in

Order Ack (a)

Order Fill (2)


Order Killed (4)



Order Replaced (5)


Bust/Correct (C)


TRDREGPUBLICATIONREASONS

Field name TrdRegPublicationReasons

Description Indicates the pre-trade transparency waiver under which the trade was conducted in accordance with Articles 4 and 9 of Regulation (EU) 600/2014.

Format String

Length 1

Possible values




‘-’ Not applied



Field name TrdRegPublicationReasons

Conditions Always provided. Reference price and Large In Scale waivers are only valid for RPW / LIS order book (BookIndicator = ‘R’)



U

USERNAME

Field name UserName

Description User name for session.

Format String

Length 11


Conditions Mandatory.

Used in

Logon (A)

Order Fill (2)

Bust/Correct (C)


UTPEXID

Field name UTPExID

Description

Trade reference ID by instrument & day.

Field used as a reference identifier for a trade, uniqueness is guaranteed within a single trading day and for a given instrument.

This field is provided in case of fill, partial fill or trade cancellation.

For example, let x be the reference identifier of a given trade, x is reported in the 2 Order Fill (2) and the 2 Extended Response (x) sent for the 2 sides of the trade, and if this trade is cancelled, x is again reported in the Order Fill (2) and the 2 Extended Response (x) sent for the 2 sides of the trade.

Format Int

Length 8

Possible values Numerical


Used in

Order Fill (2)

Bust/Correct (C)


MS MTF Appendix A: Review Log, Document History


5. APPENDIX A: REVIEW LOG, DOCUMENT HISTORY

REVIEW LOG

DOCUMENT NAME MS MTF

PROJECT NAME

LOCATION

VERSION 1.9.1

DOCUMENT HISTORY

VERSION NO. DATE AUTHOR CHANGE DESCRIPTION

1.0 24 Jan 2018 ENX ITS - SNM First release version of this document.

1.1 19 Fev 2018 ENX ITS - SNM

- Updates after external review of the first version of the spec:

• Removal of ClientID (109) field

• Removal of Best-Bid and Best-offer peg possible values from ExecInst field

• Addition of SenderSubID field to the New Order (D), Order Cancel Request (F), Cancel/replace order (G) messages

• Addition of BestBidPx and BestOfferPx on Order Fill (2) and Extended Response (x)

1.2 21 March 2018

ENX ITS - SNM

- Removal of BrokerPrioritization field on New Order (D) message

- Correction of offset on Order Fill (2) message

- Updates to include CR001 – Negotiated Trades:

• Addition of [Field]_2 fields across New Order (D) message & update of its field descriptions

• Update Side field to support a new sinde = Cross - Updates to include CR003 – TIF for Auction:

• Addition of NrAuctions field on New Order (D) message

1.3 12 April 2018 ENX ITS - SNM

- Removal of fillers on New Order (D), Cancel/replace order (G), Order

Fill (2), Order Cancel/Replace Reject (8) and Extended Response (x)

messages

- Update of OrigClordID field description

- Update of Bust (C ) message description

- Updates on New Order (D) message:

• Message restructured & alignment

• Addition of ClearingFirm_2 & update of field description

• Addition of ClearingHandlingType_2& update of field description

• Message description - Updates on Order Fill (2) and Extended Response (x) message:

• Addition of BookIndicator field

• Addition of BestBidPxScale & BestOfferPxScale fields

• Replacement of IMSCompID by ContraBroker field

• Add new possible value for TrdRegPublicationReasons field

MS MTF Appendix A: Review Log, Document History


1.4 16 April 2018 ENX ITS - SNM

- Updates on Extended Response (x) message:

• Addition of ClientIdentificationShortCode, InvestmentDecisionShortCode, ExecutionWithinFirmShortCode, NonExecutingBrokerShortCode fields

• Addition of ExecutionWithinFirmAlgoOrderFlag & InvestmentDecisionAlgoOrderFlag fields

- Update of Bust (C ) message description

1.5 25 May 2018 ENX ITS - SNM - Update on NrAuctions field length and description

1.6 07 Sept 2018 ENX ITS - SNM

- Addition of EBBOBidPx and EBBOOfferPx fields

- Addition of NTTransactTime field

- Update of BestBidPx, BestOfferPx, BidPxScale and OfferPxScale

fields description

1.7 11 Sept 2018 ENX ITS - SNM

- Addition of EBBidPxScale and EBOfferPxScale

- Update of EBBOBidPx and EBBOOfferPx fields names (to ‘EBBidPx’

and ‘EBOfferPx’ respectively)

- Update of BidPxScale and OfferPxScale fields description

1.8 17 Oct 2018 ENX ITS - SNM - Update of alignment of Order Fill (2) and Extended Response (x) messages

1.9

09 Aug 2019 ENX ITS

- Message New Order (D) has been updated:

• Field ‘NTTransactTime’ was not part of the message.

Please note: this is a specification update, no changes were done to the message structure.

- Section “Message Header & Trailer” has been updated:

• Clarification was added in terms of the value used to represent the end of a message (ETX)

03 Sept 2019 ENX ITS - Minor corrections such as trademark date update and bullet configuration.

Version number Date 1.9.1 3 Sep 2019 - Morgan Stanley · 1.9.1 3 Sep 2019 Number of pages Author 67...

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Transcript of Version number Date 1.9.1 3 Sep 2019 - Morgan Stanley · 1.9.1 3 Sep 2019 Number of pages Author 67...