ceesegfix ttr ii specification markup version 1 · 9.10.2017 renamed tag 10015 ... if the request...

TTR II via CEESEG FIX Specification Version 1.5 December February 20172018

2 | TTR II via CEESEG FIX Specification

Revision history

27.2.2017 Draft RR

14.6.2017 Review AR, RR

28.6.2017 Review RR

15.09.2017

Update 1:

Added Tag 37 to messagetypes G and F to transport TIC

Added Tag 528 to messagetypes D, G and 8, S, AI, E as it is a mandatory field

Added Tag 487 to messagetype AR

Changed behavior of NoPartyIDs group in messagetypes AE and AR to transport SI

status (own and counterparty)

Added custom Tag 20387 AverageDailyTurnover to messagetype AE

Removed Tag 856 from messagetype AR

Changed behavior of Tag 856 in messagetype AE

Changed post trade message flow (AE messages instead of AR messages)

Amended description and possible values for Tags 150, 487, 60

Added valid values for tag 22 (99=OTHER, 99u=OTHER unchecked)

Added status “rejected” in tag 150 in AR message

Added tag 10320 to AR message

Added status “rejected” in tag 150 in AI message

Added ExecID in messagetype 8

Added custom Tag 10015 “Notional Currency” to messagetypes D,G,F, 8, AI, S

Added tag 423 to messagetypes D,G, 8, AI, S

Changed Tag 460 to custom tag 12000



Changed Tag 37 to 20050 und 20051 in Quote message

Changed value in Tag 17

Removed ExpireDate Tag from orders

Reviewed / corrected field requirement conditions

5.10.2017

Added Fields 12003, 12004, 12005 to TradeCaptureReport message

Added Field 12006 to all reporting message types

Merged combination of Tags 854 + 996 to tag 12007

9.10.2017 Renamed Tag 10015 NotionalCurrency to NominalCurrency

17.10.2017 Deleted value OTHR from tag 22

Updated descriptions for tag 60

19.10.2017

Added tag 231 to all message types (previously only allocated to Trade messages)

Updated descriptions for tag 60

Updated tags 2670, 828, 1934 and 1839

Deleted tags 829, 855

23.10.2017 Added tag 820 to AE message type

3 |

25.10.2017

Changed tag 828 to 2671, deleted from AR

Added tag 768 / 769 to AR

Added tag 853 to AE

Changed 1934 to 2672, set up new RepeatingGroup 2668 with tags 2669, 2670, 2671

and 2672 allocated (moved)

Tag 59 deleted – all order are valid for the current day = FIX standard.

15.11.2017

231 added to Quote and NewOrderList

12007 and 231 added to QuoteStatusReport

11147 and 11148 added to Quote and QuoteStatusReport

297 added to QuoteStatusReport

12007, 1147 and 423 added to NewOrderList

RepeatingGroup 453 deleted from NewOrderList ExecutionReport

67 deleted from NewOrderList

77 added to NewOrderList ExecutionReport

15, 10015, 38, RepeatingGroup 453, 58 deleted from OrderCancelRequest

RepeatingGroup 453 changed to not mandatory in the OrderCancelReplaceRequest

ExecutionReport

23.11.2017 Tag 44 changed to mandatory in MsgType=D (NewOrderSingle), Message Type=G

(OrderCancelReplaceRequest) and MsgType=8 (ExecutionReport)

28.11.2017 Tag 38 changed to conditionally mandatory in MsgType=D and in Msg Type=G

Tag 134 and 135 change of comments in MsgType=S, Z and AI

29.11.2017

Tag 60 changed to mandatory in MsgType=S and AI

Tag 231 added to MsgType=G

QuoteStatusReport modified

21.02.2018

Adoption of the flag numbers in message type AE

Changed tag number 2671 to 12671 and tag number 2672 to 12672 in message type AE

Added valid value 0 for tag 2669 to message type AE

Added valid value 4 for tag 150 to message type AR

4 |

Table of Contents

Revision history ................................................................................................ 2

Table of Contents ............................................................................................. 4

Overview .......................................................................................................... 76

FIX Version ........................................................................................................................................... 76

CEESEG FIX Version ........................................................................................................................... 76

Scope ................................................................................................................................................... 87

Availability and markets ........................................................................................................................ 87

CEESEG FIX implementation details ............................................................ 98

Message Sequence Numbers ............................................................................................................... 98

Business level request identification ...................................................................................................... 98

Sending time window ............................................................................................................................ 98

Unknown messages and tags ............................................................................................................... 98

Protocol revisions................................................................................................................................ 109

ISIN code and ESMA Database (FIRDS) ............................................................................................. 109

Usage of non-standard FIX fields ....................................................................................................... 1110

Messages ..................................................................................................... 1413

Common structures ...............................................................................................................1413

Standard Header ............................................................................................................................... 1413

Standard Trailer ................................................................................................................................. 1413

Session Related .....................................................................................................................1514

Heartbeat (MsgType=0) ..................................................................................................................... 1514

TestRequest (MsgType=1) ................................................................................................................. 1514

Logon (MsgType=A) .......................................................................................................................... 1514

Logout (MsgType=5) .......................................................................................................................... 1514

Reject (MsgType=3) ........................................................................................................................... 1615

BusinessMessageReject (MsgType=j) ................................................................................................ 1615

ResendRequest (MsgType=2)............................................................................................................ 1716

SequenceReset (MsgType=4) ............................................................................................................ 1716

General ...................................................................................................................................1817

News (MsgType=B) ........................................................................................................................... 1817

Pre Trade Reporting ...............................................................................................................1918

Order Entry (MsgType=D) .................................................................................................................. 1918

OrderCancelRequest (MsgType=F) .................................................................................................... 2524

OrderCancelReject (MsgType=9) ....................................................................................................... 2726

5 |

OrderCancelReplaceRequest (MsgType=G) ...................................................................................... 2827

Quote (MsgType=S) ........................................................................................................................... 3433

QuoteStatusReport (MsgType=AI) ..................................................................................................... 3736

QuoteCancel (MsgType=Z) ................................................................................................................ 3938

Post Trade Reporting .............................................................................................................4140

Trade Capture Report ........................................................................................................................ 4140

Confirm publication of trades by the TTR II System ..................................................................... 4140

TradeCaptureReport (MsgType=AE) .................................................................................................. 4140

Notes: ................................................................................................................................................ 4746

TradeCaptureReportAck (MsgType=AR) ............................................................................................ 4847

Portfolio compression cycle reporting .................................................................................5049

Revision history ................................................................................................ 2

Table of Contents ............................................................................................. 4

Overview ............................................................................................................ 7

FIX Version ............................................................................................................................................. 7

CEESEG FIX Version ............................................................................................................................. 7

Scope ..................................................................................................................................................... 8

Availability and markets .......................................................................................................................... 8

CEESEG FIX implementation details .............................................................. 9

Message Sequence Numbers ................................................................................................................. 9

Business level request identification ........................................................................................................ 9

Sending time window .............................................................................................................................. 9

Unknown messages and tags ................................................................................................................. 9

Protocol revisions.................................................................................................................................. 10

ISIN code and ESMA Database (FIRDS) ............................................................................................... 10

Usage of non-standard FIX fields .......................................................................................................... 11

Messages ......................................................................................................... 14

Common structures .................................................................................................................. 14

Standard Header .................................................................................................................................. 14

Standard Trailer .................................................................................................................................... 14

Session Related ........................................................................................................................ 15

Heartbeat (MsgType=0) ........................................................................................................................ 15

TestRequest (MsgType=1) .................................................................................................................... 15

Logon (MsgType=A) ............................................................................................................................. 15

Logout (MsgType=5) ............................................................................................................................. 15

Reject (MsgType=3) .............................................................................................................................. 16

Formatiert: Absatz-Standardschriftart,Englisch (Großbritannien)



Formatiert: Absatz-Standardschriftart,Deutsch (Deutschland)






















6 |

BusinessMessageReject (MsgType=j) ................................................................................................... 16

ResendRequest (MsgType=2)............................................................................................................... 17

SequenceReset (MsgType=4) ............................................................................................................... 17

General ...................................................................................................................................... 18

News (MsgType=B) .............................................................................................................................. 18

Pre Trade Reporting .................................................................................................................. 19

Order Entry (MsgType=D) ..................................................................................................................... 19

OrderCancelRequest (MsgType=F) ....................................................................................................... 25

OrderCancelReject (MsgType=9) .......................................................................................................... 28

OrderCancelReplaceRequest (MsgType=G) ......................................................................................... 29

Quote (MsgType=S) .............................................................................................................................. 35

QuoteStatusReport (MsgType=AI) ........................................................................................................ 38

QuoteCancel (MsgType=Z) ................................................................................................................... 41

Post Trade Reporting ................................................................................................................ 42

Trade Capture Report ........................................................................................................................... 42

TradeCaptureReport (MsgType=AE) ..................................................................................................... 43

Notes: ................................................................................................................................................... 48

TradeCaptureReportAck (MsgType=AR) ............................................................................................... 49

Portfolio compression cycle reporting .................................................................................... 51




















7 |

Overview

FIX Version

The CEESEG FIX interface is based on FIX specification 4.4. Exchange FIX engine enables FIX clients to

connect to the trading system via the FIX 4.4 protocol.

This document describes the implementation details for CEESEG FIX. Basic principles of FIX are explained in

FIX specification that can be found at http://www.fixtradingcommunity.org.

CEESEG FIX Version

The CEESEG FIX version numbering indicates which versions of the software and specification are being

used. Target is to provide the client an insight in the release management of CEESEG FIX.

The CEESEG FIX version number format has several levels and is used as follows:

Format: aa.bb.cc.dd-xyz

aa Major CEESEG FIX version

bb Major changes in CEESEG FIX, impact for customers

cc Software development branch (usually 00)

dd Minor changes in CEESEG FIX, no impact for customers

xyz Build number of software development

When changes that mandate a version number change on a specific level are introduced, version number s on

lower levels are set to zero.

After connection and logon, the version number of the CEESEG FIX server can be read by the client in tag 58,

contained in the “logon” message sent by the server.

Explanation for population in column “Required”:

Y – Yes, mandatory

N – No, not mandatory

C – Conditionally mandatory (depending on other fields)

Feldfunktion geändert

http://www.fixtradingcommunity.org/

8 |

Scope

The supported features are:

TTR II trade reporting

TTR II price offer (order and quote) reporting

TTR II portfolio compression cycle reporting

Availability and markets

Availability of the CEESEG FIX service is set according to trading times at the respective markets. This

means, the interfaces are available between 7:00 and ~20:00 (official service times +30 min).

9 |

CEESEG FIX implementation details

Message Sequence Numbers

CEESEG FIX message sequence numbers are always reset for each new trading day. Message sequence

numbers can also be reset by sending a logon message with ResetSeqNumFlag (tag 141) set to 'Y'. The FIX

client will always be “Session Initiator” and the exchange gateway will always be “Session Acceptor”.

Business level request identification

All CEESEG FIX requests have a field which is used for request identification. When a response is

generated, this field is copied to the response to allow the client to connect the response to the original

request. These ID fields have different names for different message types: ClOrdID, SecurityReqID,

SecurityStatusReqID, QuoteID, ListID. The request IDs must be unique in the scope of each message

type.

The IDs must be unique over the lifetime of the system.

Sending time window

For a message to be considered valid, it must be received within a predefined time window from the

SendingTime (tag 52) specified in its header. The default is set at “within 1 minute” from the message

SendingTime. Any message received outside of this window will be rejected.

Unknown messages and tags

Messages that are not known to the CEESEG FIX implementation will be rejected using the Reject

message.

Messages that are known to FIX but not implemented in CEESEG FIX are rejected the using Business

Message Reject message.

Messages with tags that are not known to FIX and are not custom fields are rejected using the Reject

message.

Tags that are known to FIX but not used in CEESEG FIX implementation are ignored.

10 |

Protocol revisions

It might be necessary to modify the existing protocol. In most cases these modifications are additional

fields and messages that can be ignored by the client. We will never remove mandatory fields and we

will do our best not to change the meaning of the existing fields. Mandatory fields that will not be used

anymore will get default values.

ISIN code and ESMA Database (FIRDS)

Some trading systems identify securities by trading symbols others by ISIN codes. The TTR II system is

supporting ISIN code only as the symbol field is not mandatory within the trading system.

The SecurtyID is obtained from the fields SecurityID (48) + SecurityIDSource (22). The ISIN is checked

for validity in the ESMA database if the value "4" is sent in tag SecurityIDSource.

If the request is sent with SecurityIDSource “4u”, the ISIN and the reported data is not checked against

the ESMA DB.

11 |

Usage of non-standard FIX fields

Please note this specification is based on FIX 4.4 but uses some non-standard extensions.

Following tags are either not FIX standard or used in messages which would not contain them by FIX 4.4

standard:

Tag Field Name Usage Comments

15 Currency OrderCancelRequest

30 LastMkt OrderCancelReject

UserResponse

Execution destination as defined by

institution when order is entered

Possible values see Availability and

markets

58 Text Logon Contains the version of the FIX GW

software

100 ExDestination OrderCancelRequest

371 RefTagID BusinessMessageReject The tag number of the FIX field being

referenced.

381 GrossTradeAmt ExecutionReport

453 NoPartyIDs Number of PartyIDs in

ExecutionReport

Repeating group used without

PartyIDSource

925 NewPassword Logon Used to change the session

Password

1409 SessionStatus Logoff Values: 5=Invalid username or password 6=Account locked 7=Logons are not allowed at this time 8=Password expired

(FIX 5.0SP2)

1473 NewsCategory News Values :

0 = Company News

1 = Marketplace News

2 = Financial Market News

3= Technical News

99 = Other

(FIX 5.0 SP2)

10320 RejectReason OrderCancelReject

ExecutionReport

QuoteRequestReject

MassQuoteAcknowledgement

QuoteStatusReport

Text containing the reject reason of

the trading system – refer to the

corresponding trading system

manual

12000 InstrumentTypeMiFI

R

TradeCaptureReport,

TradeCaptureReportAck

NewOrderSingle,

NewOrderList,

12 |


ExecutionReport,

Quote,

QuoteStatusReport,

OrderCancelReplaceRequest,

OrderCancelRequest

12001 InstrumentUnderlyi

ngTypeMiFIR

TradeCaptureReport,

NewOrderSingle,

NewOrderList,

ExecutionReport,

Quote,

QuoteStatusReport,


OrderCancelRequest

12002 InstrumentSubType

MiFIR

TradeCaptureReport,

NewOrderSingle,

NewOrderList,

ExecutionReport,

Quote,

QuoteStatusReport,


OrderCancelRequest

12006 EMALSubTypeMiFI

R

TradeCaptureReport,

NewOrderSingle,

NewOrderList,

ExecutionReport,

Quote,

QuoteStatusReport,


OrderCancelRequest

10015 NominalCurrency TradeCaptureReport,


NewOrderSingle,

NewOrderList,

ExecutionReport,

Quote,

QuoteStatusReport,


OrderCancelRequest

Nominal currency

Valid values as defined in ISO 4217

20387 AverageDailyTurno

ver

TradeCaptureReport Average Daily Turnover of Instrument

Required if LRGS deferral waiver is

applied

20050 BidOrderID QuoteStatusReport APA TIC Code

20051 OfferOrderID QuoteStatusReport APA TIC Code

13 |


1200

3

VolumeWeightedAv

erage

TradeCaptureReport VolumeWeightedAverage

12004 TotalTradedVolume TradeCaptureReport Total traded volume in according

measurement unit

12005 TotalNumberTransa

ctions

TradeCaptureReport Total number of Transactions

10321 WarningText TradeCaptureReport


ExecutionReport

QuoteStatusReport

Transports warning messages

12007 NotationMeasurem

entUnit

NewOrderSingle

TradeCaptureReport

ExecutionReport

Quote

QuoteStatusReport

2668 NoTrdRegPublicati

ons

TradeCaptureReport

taken and adapted from

FIX.5.0SP2_EP233)

2669 TrdRegPublicationT

ype

TradeCaptureReport taken and adapted from

FIX.5.0SP2_EP233)

2670 TrdRegPublication

Reason

TradeCaptureReport

(taken and adapted from

FIX.5.0SP2_EP233)


RegulatoryType

TradeCaptureReport


FIX.5.0SP2_EP233)


Description

TradeCaptureReport


FIX.5.0SP2_EP233)

11147 UnitOfMeasureBid

Qty

Quote, QuoteStatusReport

11148 UnitOfMeasureOffe

rQty

Quote, QuoteStatusReport

14 |

Messages

Common structures

Standard Header

Tag Field Name Req. Comments

8 BeginString Y FIX.4.4, unencrypted

9 BodyLength Y

34 MsgSeqNum Y Integer message sequence number

35 MsgType Y One of supported message types

49 SenderCompID Y Unique identifier of client supplied by the exchange

50 SenderSubID C Required for messages sent by the TTR II system.

Value: TTR

52 SendingTime Y yyyymmdd-hh:MM:ss.SSS (must be within n seconds of current

time)

56 TargetCompID Y Supplied by the exchange

57 TargetSubID C Required for messages sent to the TTR II system.

Value: TTR

347 MessageEncoding N UTF-8

Standard Trailer


10 CheckSum Y Per FIX specifications.

15 |

Session Related

Heartbeat (MsgType=0)

Heartbeat (inbound / outbound)


Standard Header Y MsgType=0

112 TestReqID N Required when the heartbeat is the result of Test Request

Message

Standard Trailer Y

TestRequest (MsgType=1)

TestRequest (inbound / outbound)



112 TestReqID Y

Standard Trailer Y

Logon (MsgType=A)

Logon (inbound / outbound)


Standard Header Y MsgType=A

98 EncryptMethod Y Always 0 (no encryption on FIX level)

58 Text N version string of the FIX Gateway

108 HeartBtInt Y Values less than 30 seconds will be rejected.

141 ResetSeqNumFlag N Indicates both sides of a FIX session should reset sequence

numbers

554 Password N Minimal Security without transport level encryption: Depending

on configuration

925 NewPassword N Specifies a new password for the FIX Logon. The new

password is used for subsequent logons.

Standard Trailer Y

Logout (MsgType=5)

Logout (inbound / outbound)



58 Text N If the logoff message is sent by the FIX gateway at the end of the

16 |

trading day, this field contains the string “Disconnected due to

end of tradingday”

1409 SessionStatus N Values:

5=Invalid username or password

6=Account locked

7=Logons are not allowed at this time

8=Password expired

(FIX 5.0SP2)

Standard Trailer Y

Reject (MsgType=3)

Reject (outbound)



45 RefSeqNum Y MsgSeqNum of rejected message

371 RefTagID N The tag number of the FIX field being referenced.

372 RefMsgType N The MsgType (35) of the FIX message being referenced.

373 SessionRejectReason Y Code to identify reason for session-level reject

0 = Invalid tag number

1 = Required tag missing

2 = Tag not defined for this message type

3 = Undefined Tag

4 = Tag specified without a value

5 = Value is incorrect (out of range) for this tag

6 = Incorrect data format for value

8 = Signature problem

9 = CompID problem

10 = SendingTime accuracy problem

11 = Invalid MsgType

15 = Repeating group fields out of order

16 = Incorrect NumInGroup count for repeating group

99 = Other

58 Text N Reason for reject if reject code is 99

Standard Trailer Y

BusinessMessageReject (MsgType=j)

BusinessMessageReject (outbound)


Standard Header Y MsgType=j

45 RefSeqNum Y MsgSeqNum of rejected message

17 |


58 Text N Reason for reject if reject code is 0

371 RefTagID N The tag number of the FIX field being referenced.

380 BusinessRejectReason Y 0 = Other

1 =Unknown ID

2 =Unknown Security

3 =Unsupported Message Type

5 =Conditionally required field missing

6 =Not Authorized

372 RefMsgType Y The MsgType (35) of the FIX message being referenced.

Standard Trailer Y

ResendRequest (MsgType=2)

ResendRequest (inbound / outbound)



7 BeginSeqNo Y MsgSeqNum of first message in range to be resent

16 EndSeqNo Y MsgSeqNum of last message in range to be resent. If request for

a single message BeginSeqNo = EndSeqNo. If request for all

messages subsequent to a particular message, EndSeqNo = “0”

Standard Trailer Y

SequenceReset (MsgType=4)

SequenceReset (inbound / outbound)



36 NewSeqNo Y New Sequence Number

Standard Trailer Y

18 |

General

News (MsgType=B)

News messages are used in TTR II to provide information on system availability to customers.

News (outbound)


Standard Header Y MsgType=B

148 Headline Y ASCII

42 OrigTime N Date/Time of this messages actual publication in UTC

1473 NewsCategory N Values :

3= Technical News

(FIX 5.0 SP2)

1301 MarketID Y Possible values see Availability and markets

33 NoLinesOfText Y Specifies the number of text lines to follow

-> 48 58 Y Text = APAW connected” or “APAW disconnected”

Standard Trailer Y

http://www.fixprotocol.org/FIXimate3.0/en/FIX.5.0SP2/tag1473.html

http://www.fixprotocol.org/FIXimate3.0/en/FIX.5.0SP2/tag1473.html

19 |

Pre Trade Reporting

The pre trade reporting via TTR II supports the entry of orders and of quotes.

Order Entry (MsgType=D)

ADHTTR IIFIX Client

NewOrderSingle

Orderbook MBO

Ack

ExecutionReport

(150=0, 150=4, 150=5)

ExecutionReport

(150=A, 150=E, 150=6)

Figure 1 Order reporting message flow

NewOrderSingle (inbound)


Standard Header Y MsgType= D (NewOrderSingle)

11 ClOrdID Y This is your new and unique ID for this request (limited to 20

printable ASCII characters (ASCII 32-126))

The ID must be unique over the lifetime of the system.

55 Symbol N 1-15 character security identifier

48 SecurityID Y Security ISIN

22 SecurityIDSource Y Valid value:

4 = ISIN (checked against ESMA database)

4u = Unchecked ISIN (ISIN is accepted without check against

ESMA database)

12000 InstrumentTypeMiFIR Y InstrumentTypeMiFIR

Valid values:

SHRS = shares

ETFS = ETFs

DPRS = depositary receipts

CRFT = certificates (fund certificates)

OTHR = other equity-like financial instruments

20 |


SDRV = Securitised derivatives

SFPS = Structured Finance Products (SFPs)

BOND = Bonds

ETCS = ETCs

ETNS = ETNs

EMAL = Emission Allowances

DERV = Derivative

12001 InstrumentUnderlyingTyp

eMiFIR

C InstrumentUnderlyingTypeMiFIR

Valid values:

Required for definition of underlying for 12000 = SDRV or

DERV

INTR = Interest rate

EQUI = Equity

COMM = Commodity

CRDT = Credit

CURR = Currency


12002 InstrumentSubTypeMiFIR C Required

if 12000=DERV and 12001 ≠ EMAL

Valid Values:

OPTN

FUTR

FRAS

FORW

SWAP

PSWP

SWPT

FONS

FWOS

FFAS

SPDB

CFDS

OTHR

12006 EMALSubTypeMiFIR C Required if

(12000=DERV and 12001=EMAL)

or

If 12000=EMAL

Valid Values:

EUAE

CERE

ERUE

EUAA

21 |


OTHR

54 Side Y Valid values:

1 = Buy

2 = Sell

40 OrdType Y For pre-trade reporting:

2 = Limit

38 OrderQty C OrderQty is required if tag 12007 = UNITS t

44 Price Y Price per unit of quantity(e.g. share)

1147 UnitOfMeasureQty C UnitOfMeasureQty is required if tag 12007 = “TOCD” or 25

character code

12007 NotationMeasurementUnit Y Valid values:

“UNITS” - shares, par, currency

“TOCD” - tons of carbon dioxide equivalentValue

“TOCD” is applicable if

(tag 12000 = EMAL)

or

(tag 12000 = DERV and (tag 12001 = COMM or tag

12001 = EMAL)

or

tag 12000 = SDRV and (tag 12001 = COMM or tag

12001 = EMAL) )

25 character code can be entered otherwise

15 Currency Y Identifies the currency used for price

ISO 4217

10015 NominalCurrency C Mandatory for non-equtiy:

If 12000=SDRV,SFPS,BOND,ETCS,ETNS,EMAL,DERV

231 ContractMultiplier C Nominal Value

Mandatory for non-equtiy:


423 PriceType Y APA Price notation

1 = Percentage

2 = Per unit (default)

6 = Basis Points

9 = Yield

528 OrderCapacity Y Default Value:

G = Proprietary (Always use „G“ as default value)

100 ExDestination Y Describes the source APA :

Valid values for TTR II customers (MIC Code):

APAW

58 Text N Free text, e.g. customer order ID

60 TransactTime Y The time the order becomes effective, must be at least close to

the nearest second following MiFID II. Always UTC.

453 NoPartyIDs N Number of Parties

22 |


If NoPartyIDs group is not provided, the registered default LEI is

published.

-> 448 PartyID N Legal Entity Identifier (20 character LEI code)

-> 452 PartyRole N 1 = Executing Firm (LEI of SI for APA transactions)

Standard Trailer Y

ExecutionReport (outbound confirmation)


Standard Header Y MsgType=8 (ExecutionReport)

150 ExecType Y Valid values:

A = Pending New (ACCEPTED)

0 = New (PUBLISHED)

39 OrdStatus Y Valid values:


0 = New (PUBLISHED)

17 ExecID Y Composed by ExecType and TIC Code

37 OrderID Y APA TIC Code

60 TransactTime Y Time of last order action.

If 150 = A Time, when order was received from TTR® II =

ReportingTime If 150 = 0 PublicationTime (from ADH) for

publication of order

11 ClOrdID Y Copied from request

55 Symbol N Copied from request

58 Text N Copied from request

48 SecurityID Y Copied from request

22 SecurityIDSource Y Copied from request

12000 InstrumentTypeMiFIR Y Copied from request


eMiFIR

N Copied from request

12002 InstrumentSubTypeMiFIR N Copied from request

12006 EMALSubTypeMiFIR N Copied from request

54 Side Y Copied from request

40 OrdType Y Copied from request

38 OrderQty N Copied from request

44 Price Y Copied from request

1147 UnitOfMeasureQty N Copied from request

12007 NotationMeasurementUnit Y Copied from request

15 Currency Y Copied from request

423 PriceType N Copied from request

10015 NotionalCurrency N Copied from request

23 |


231 ContractMultiplier N Copied from request

528 OrderCapacity Y Copied from request

30 LastMkt N Results from Tag 100 in request – Source APA


If NoPartyIDs group is not provided, the registered default LEI is

published.



6 AvgPx Y Discontinued. Tag will always contain 0.

10321 WarningReason N Warning text in detail

Standard Trailer Y

ExecutionReport (outbound rejection)



17 ExecID Y Contains string “REJECTED” or ExecType and TIC Code if available

150 ExecType Y Purpose of the ExecutionReport: Valid values:

8 = Reject


8 = Rejected

103 OrdRejReason Y Code to identify reason for order rejection. 1 = Unknown symbol 5 =Unknown Order 6 = Duplicate Order (e.g. dupe ClOrdID (11)) 13 = Incorrect quantity 99 = Other

10320 RejectReason N Rejection text in detail

60 TransactTime Y Time, when order was received from TTR® II = ReportingTime

37 OrderID N APA TIC Code (if available)




48 SecurityID N Copied from request

22 SecurityIDSource N Copied from request

12000 InstrumentTypeMiFIR N Copied from request


eMiFIR




54 Side N Copied from request

40 OrdType N Copied from request

24 |






15 Currency N Copied from request


10015 NominalCurrency N Copied from request







Standard Trailer Y

25 |

OrderCancelRequest (MsgType=F)

ADHTTR IIFIX Client

OrderCancelRequest

DeleteOrder

DeleteAck

ExecutionReport (150=6)


Figure 2 Order cancel message flow

OrderCancelRequest (inbound)


Standard Header Y MsgType = F (OrderCancelRequest)

41 OrigClOrdID

Y Original identification of the order to be canceled. Mandatory

field.

11 ClOrdID Y Unique identification of cancel request.

37 OrderID Y APA TIC code of the order

55 Symbol N Must be the same as the symbol of the original order.


22 SecurityIDSource Y Valid values:



ESMA database)

54 Side Y Must be the same as the side of the original order

60 TransactTime Y The time the order cancel becomes effective, must be at least

close to the nearest second following MiFID II. Always UTC.

100 ExDestination Y Execution destination as defined by institution when order is

entered

Possible values see Availability and markets

Standard Trailer Y

For OrderCancelRequest two ExecutionReports are returned. The first one with value 6 (Pending

Cancel) in tag 150 (ExecType) and tag 39 (OrdStatus). The second one with value 4 (Cancelled) in both

tags.

26 |




150 ExecType N Valid values:

4 = Cancelled (WITHDRAWN / QUEUE CANCELLED)

6 = Pending cancel (ACCEPTED)





If 150=6 Time, when order cancellation was received from TTR®

II = ReportingTime.

If 150=4 Publication time (from ADH) for publication of

cancellation



11 ClOrdID Y Copied from order

41 OrigClOrdID Y ClOrdID of the previous order

55 Symbol N Copied from order

48 SecurityID Y Copied from order

22 SecurityIDSource Y Copied from order

54 Side Y Copied from order

40 OrdType N Copied from order

38 OrderQty N Copied from order

44 Price Y Copied from order

15 Currency N Copied from order




58 Text N Copied from order





6 AvgPx Y Discontinued, tag will always contain 0.

Standard Trailer Y

27 |

OrderCancelReject (MsgType=9)

OrderCancelReject (outbound rejection)


Standard Header Y MsgType=9 OrderCancelReject


60 TransactTime Y Time, when order cancel request was received from TTR® II =

ReportingTime

41 OrigClOrdID Y ClOrdID of the previous order (NOT the initial order of the day)

as assigned by the institution, used to identify the previous

order.


39 OrdStatus Y If the order was not found (and the cancelation was rejected for

this reason)

8 = Rejected

If the order was found (and the cancelation was rejected for any

other reason) Tag 39 contains the status of the original order:


0 = New (PUBLISHED)

E = Pending replace (ACCEPTED)


5 = Replaced (PUBLISHED)


434 CxlRejResponseTo Y Valid values:

1 = Order cancel request

102 CxlRejReason N Code to identify reason for cancel rejection

Valid values:

0 = Too late to cancel

1 = Unknown order

6 = Duplicate ClOrdID (11) received

99 = Other

If code is 99 then tag 10320 contains the text for reject reason


30 LastMkt Y Execution destination as defined by institution when order is

entered

Possible values see Availability and markets


Standard Trailer Y

28 |

OrderCancelReplaceRequest (MsgType=G)

ADHTTR IIFIX Client

OrderCancelReplaceRequest

UpdateOrder

UpdateAck


ExecutionReport (150=E)

Figure 3 OrderCancelReplace message flow

OrderCancelReplaceRequest (inbound)


Standard Header Y MsgType=G (OrderCancelReplaceRequest)

37 OrderID Y APA TIC code of the order

41 OrigClOrdID

Y ClOrdID of the previous order (NOT the initial order of the day)

as assigned by the institution, used to identify the previous

order.

11 ClOrdID Y This is your new and unique ID for this request (limited to 20

printable ASCII characters (ASCII 32-126))

55 Symbol N 1-15 character security identifier





ESMA database)


Valid values:

SHRS = shares

ETFS = ETFs






BOND = Bonds

ETCS = ETCs

29 |


ETNS = ETNs


DERV = Derivative


eMiFIR


Valid values:


DERV


EQUI = Equity

COMM = Commodity

CRDT = Credit

CURR = Currency


12002 InstrumentSubTypeMiFIR C Requiredif 12000=DERV and 12001 ≠ EMAL

Valid Values:

OPTN

FUTR

FRAS

FORW

SWAP

PSWP

SWPT

FONS

FWOS

FFAS

SPDB

CFDS

OTHR



or

if 12000=EMAL

Valid Values:

EUAE

CERE

ERUE

EUAA

OTHR

54 Side Y Valid values:

1 = Buy

2 = Sell

30 |

40 OrdType Y For pre-trade reporting:

2 = Limit

38 OrderQty C OrderQty is required if tag 12007 = UNITS

44 Price Y Price per unit of quantity(e.g. share)


character code

12007 NotationMeasurementUnit Y Valid values:




(tag 12000 = EMAL)

or


12001 = EMAL)

or


12001 = EMAL) )



ISO 4217




1 = Percentage


6 = Basis Points

9 = Yield








APAW

58 Text N

60 TransactTime Y Time, when order cancel replace request becomes effective,

must be at least close to the nearest second following MiFID II.

Always UTC.

Standard Trailer Y


31 |



41 OrigClOrdID

N Conditionally required for response to an electronic Cancel or

Cancel/Replace request.

ClOrdID of the previous order



5 = Replaced (PUBLISHED)



0 = New (PUBLISHED)




If 150 = E Time, when order cancel request was received

from TTR® II = ReportingTime

If 150 = 5 Publication Time (from ADH) for publication of

replacement








eMiFIR


















32 |



10320 RejectReason N Text containing a possible reject reason of the trading system

Standard Trailer Y

ExecutionReport (outbound rejection)



17 ExecID Y Contains string “REJECTED” or ExecType and TIC Code if available

150 ExecType Y Purpose of the ExecutionReport: Valid values:

8 = Reject


8 = Rejected

103 OrdRejReason Y Code to identify reason for order rejection. 1 = Unknown symbol 5 =Unknown Order 6 = Duplicate Order (e.g. dupe ClOrdID (11)) 13 = Incorrect quantity 99 = Other


60 TransactTime Y Time, when order cancel request was received from TTR® II =

ReportingTime





48 SecurityID N Copied from request

22 SecurityIDSource N Copied from request

12000 InstrumentTypeMiFIR N Copied from request


eMiFIR




54 Side N Copied from request

40 OrdType N Copied from request


44 Price N Copied from request



15 Currency N Copied from request



33 |








Standard Trailer Y

34 |

Quote (MsgType=S)

ADHTTR IIFIX Client

Orderbook MBO

Ack

Quote

QuoteStatusReport

QuoteStatusReport

Figure 4 Quote message flow

Quote (inbound)

Tag Field Name Req

.

Comments

Standard Header Y MsgType= S

117 QuoteID Y Unique ID for the Quote




APAW





ESMA database)


Valid values:

SHRS = shares

ETFS = ETFs






BOND = Bonds

35 |

Tag Field Name Req

.

Comments

ETCS = ETCs

ETNS = ETNs


DERV = Derivative

12001 InstrumentUnderlyingTy

peMiFIR


Valid values:


DERV


EQUI = Equity

COMM = Commodity

CRDT = Credit

CURR = Currency


12002 InstrumentSubTypeMiFI

R

C Required


Valid Values:

OPTN

FUTR

FRAS

FORW

SWAP

PSWP

SWPT

FONS

FWOS

FFAS

SPDB

CFDS

OTHR






or

If 12000=EMAL

Valid Values:

EUAE

CERE

ERUE

EUAA

36 |

Tag Field Name Req

.

Comments

OTHR

132 BidPx Y Bid Price

134 BidSize Y Has to be 0 if tag 12007 =TOCD or 25 character code

133 OfferPx Y Offer Price

135 OfferSize Y Has to be 0 if tag 12007 =TOCD or 25 character code

12007 NotationMeasurementU

nit

Y Valid values:




(tag 12000 = EMAL)

or


12001 = EMAL)

or

tag 12000 = SDRV and (tag 12001 = COMM or tag 12001

= EMAL) )


11147 UnitOfMeasureBidQty C Mandatory if 12007=TOCD or 25 character code

11148 UnitOfMeasureOfferQty C Mandatory if 12007=TOCD or 25 character code

58 Text N Free text, e.g. customer quote ID

60 TransactTime Y The time the quote becomes effective, must be at least close to


15 Currency Y Identifies the trading currency

as defined in ISO 4217




1 = Percentage


6 = Basis Points

9 = Yield






Standard Trailer Y

37 |

QuoteStatusReport (MsgType=AI)

The QuoteStatusReport message is used to reply to quote operations,

Further the QuoteStatusReport message is used

As notification when the reported quote was published

as response to a QuoteCancel message

as response if a quote was rejected

QuoteStatusReport (outbound)


Standard Header Y MsgType= AI

117 QuoteID Y Unique identifier for quote


20050 BidOrderID Y APA TIC Code

20051 OfferOrderID Y APA TIC Code

30 LastMkt Y Results from Tag 100 in request – Source APA



297 QuoteStatus Y 0 - Accepted

5 - Rejected

10 - Pending


38 |


peMiFIR


12002 InstrumentSubTypeMiFI

R




132 BidPx Y Copied from request

134 BidSize Y Copied from request

133 OfferPx Y Copied from request

135 OfferSize Y Copied from request


nit

Y Copied from request

11147 UnitOfMeasureBidQty N Copied from request

11148 UnitOfMeasureOfferQty N Copied from request

300 QuoteRejectReason N 1 = Unknown Symbol/ISIN

5 = Unknown Quote

6 = Duplicate Quote

99 = Other

10320 RejectReason N Text containing the reject reason if quote was rejected.


nit

Y Copied from request

58 Text N Free text, e.g. customer quote ID

60 TransactTime Y If 297=10 Time, when quote message was received from

TTR® II = ReportingTime.

If 297=0 PublicationTime (from ADH) for publication of quote





453 NoPartyIDs Y Number of Parties

-> 448 PartyID Y Legal Entity Identifier (20 character LEI code)

-> 452 PartyRole Y 1 = Executing Firm (LEI of SI for APA transactions)


Standard Trailer Y

39 |

QuoteCancel (MsgType=Z)

ADHTTR IIFIX Client

AckQuoteStatusReport

QuoteCancel Orderbook MBO

Figure 5 Quote cancel message flow

QuoteCancel (inbound)

Tag Field Name Req Comments

Standard Header Y MsgType= Z

117 QuoteID Y Unique ID for the QuoteCancel

298 QuoteCancelType Y Valid Values:

5 = Cancel quote specified

295 NoQuoteEntries Y The number of related symbols

-> 48 SecurityID Y Security ISIN

-> 22 SecurityIDSource Y Valid values:



ESMA database)



APAW

60 TransactTime Y The time the quote becomes effective, must be at least close to


Standard Trailer Y

40 |

QuoteStatusReport (outbound)


Standard Header Y MsgType= AI

117 QuoteID Y Unique identifier for quote


30 LastMkt Y Results from Tag 100 in request – Source APA



297 QuoteStatus Y 4 - Canceled All

5 - Rejected

10 - Pending

60 TransactTime Y If 297=10 Time, when cancel message was received from


If 297=4 PublicationTime (from ADH) for publication of

cancellation

300 QuoteRejectReason N 1 = Unknown Symbol/ISIN

5 = Unknown Quote

99 = Other

10320 RejectReason N Text containing the reject reason if quote was rejected.

41 |

Post Trade Reporting

Trade Capture Report

ADHTTR IIFIX Client

Trade

Trade Ack

TradeCaptureReport


(provided when TTR II receives trade)

Publication Confirmation

TradeCaptureReport (provided when trade is published)

Not provided for DUPL flagged trades

Figure 6 Trade reporting message flow

Used to:

Report trades to the TTR II System

Confirm publication of trades by the TTR II System

TradeCaptureReport (MsgType=AE)

TradeCaptureReport (inbound / outbound)


Standard Header Y MsgType=AE

571 TradeReportID Y Unique Identifier


572 TradeReportRefID N Only used in case of cancellation and amendment to refer to

the TradeReportID of the original TradeCaptureReport

487 TradeReportTransType Y Sent by customer:

0 = New (New Trade)

1 = Cancel

2 = Replace (note ISIN may not be changed, but only the whole

trade may be cancelled)

Sent by TTR II system:

Formatierte Tabelle

42 |


0 = New (PUBLISHED)

1 = Cancel (WITHDRAWN / QUEUE CANCELLED)

2 = Replace (PUBLISHED)

856 TradeReportType N Provided in Feedback from TTR II system. Shall not be sent by

customer.

Valid Values:

5 = No/Was (AMND Flag)

6 = Trade report cancel (CANC Flag)

880 TrdMatchID C APA TIC code, mandatory if 487=1 or 2

820 TradeLinkID C PackageID to identify multiple TRd messages belonging

together

Only allowed if 2670 = 9 (TPAC – Package Transaction)

570 PreviouslyReported Y Valid Values:

Y = MiFID II “DUPL” Flag (already reported by counterparty,

relevant for TTR II SI calculations)

N = MiFID II “ORGN” Flag (not reported yet)

100 ExDestination C Required for AE messages sent by the client to TTR II

Describes the source APA :


APAW

55 Symbol N





ESMA database)

12000 InstrumentTypeMiFIR

Y InstrumentTypeMiFIR

Valid values:

SHRS = shares

ETFS = ETFs






BOND = Bonds

ETCS = ETCs

ETNS = ETNs


DERV = Derivative

Formatierte Tabelle

43 |


peMiFIR


Valid values:


DERV


EQUI = Equity

COMM = Commodity

CRDT = Credit

CURR = Currency


12002 InstrumetnSubTypeMiFI

R

C Required


Valid Values:

OPTN

FUTR

FRAS

FORW

SWAP

PSWP

SWPT

FONS

FWOS

FFAS

SPDB

CFDS

OTHR



or

If 12000=EMAL

Valid Values:

EUAE

CERE

ERUE

EUAA

OTHR






31 LastPx Y Price of securities traded

Price hast to be 0, if 1839=99 OR if 12672=1012, 14, 1016 or 21

OR if 2670=111003 or 151004.

44 |

32 LastQty Y Number of securities traded

If tag 12007 <> UNITS this field shall be 0 and field 1147 shall

be used.

If 12672=1012, 1013 or 1016 OR if 2670=11 1003 field shall be

0


1 = Percentage


6 = Basis Points

9 = Yield


character code


nit

Y Valid values:




(tag 12000 = EMAL)

or


12001 = EMAL)

or


12001 = EMAL) )


75 TradeDate Y Date when trade was executed

60 TransactTime Y Sent by client:

Time when trade was executed

Sent by TTR II system:

If 487=0 PublicationTime (from ADH) for publication of trade

If 487=1 or 487= 2 PublicationTime (from ADH) for

publication of cancellation / replacement

1839 TradePriceCondition N Valid values:

99 = PNDG Flag (PricePending)

2668 NoTrdRegPublications N Valid values:

Number of repeating groups / waivers / flags used (only one flag

per tag allowed, use multiple groups for more than one flag per

tag)

-> 2669 TrdRegPublicationType N Valid values:

1 = Post trade deferral, at least one tag 2670 must be sent

0 = Trade without post trade deferral (no tag 2670) and at least

1 flag out of 12671 or 12672 must be sent. Note should any

trade be cancelled, that is currently held back due to a deferral

waiver, the trade is cancelled immediately and nothing is

45 |

published.

If customer has a valid and applicable waiver registered in TTR

II then he can activate a deferred publication with 2669=1. If

trade shall be published immediately then don’t send tag 2669 .

Note should any trade be cancelled, that is currently held back

due to a deferral waiver, the trade is cancelled immediately and

nothing is published.

-> 2670 TrdRegPublicationReas

on

N all flags trigger deferral, 2669 must be 1

Valid values:

6 = LRGS Flag (equity / non-equity) - Deferral due to large in

Scale

7 = ILQD Flag (non-equity, descriptive flag for equity in 12671) -

Illiquid instrument transaction flag

8 = SIZE Flag (non-equity, descriptive flag for equity in 12671) -

Transactions above the standard market size flag

9 1001 = TPAC Flag (non-equity) - Package transaction flag

10 1002 = XFPH Flag (non-equity) - Exchange for physical

transaction flag

11 1003 = FWAF (non-equity) - Four weeks aggregation flag

15 1004 = IDAF (non-equity) - Indefinite aggregation flag

-> 12671 TrdRegPublicationRegul

atoryType

N descriptive tags, no functional implication in TTR® II

Valid values:

7 = ILQD Flag (equity) - Illiquid instrument transaction flag

8 = SIZE Flag (equity) - Transactions above the standard market

size flag

13 1005 = SDIV Flag (equity) - Special dividend flag

14 1006 = RPRI Flag (equity) - Transactions which have

received price improvement flag

16 1007 = TNCP Flag (equity) - Transactions not contributing to

the price discovery process

37 1008 = ACTX Flag (equity / non-equity) - Agency cross

transactions

64 1009 = BENC Flag (equity / non-equity) - Benchmark

transaction

-> 12672 TrdRegPublicationDescr

iption

N supplementary flags for non-equity for adjusted data input

checks

Valid values:

1010 = LMTF Limited details flag

1011 = FULF Full details flag

1012 = DATF Daily aggregated transaction flag

1013 = FULA Full details flag

1014 = VOLO Volume omission flag

1015 = FULV Full details flag

46 |

1016 = VOLW Volume omission flag

1017 = COAF Consecutive aggregation flag

1018 = FULJ Full details flag

12003 VolumeWeightedAverag

e

C VolumeWeightedAverage

Required if Tag 12672 = FULA, COAF or Tag 2670 FWAF or

IDAF

12004 TotalTradedVolume C Total traded volume in according measurement unit

Required if Tag 12672 = FULA, COAF or Tag 2670 FWAF or

IDAF

12005 TotalNumberTransactio

ns

C Total number of Transactions

Required if Tag 12672 = DATF, FULA, VOLW, COAF, or Tag

2670 = FWAF, IDAF

20387 AverageDailyTurnover NC Average Daily Turnover of Instrument

rRequired if LRGS deferral waiver for equity and equity-like

instruments is applied

552 NoSides Y The first reported side in this repeating group shall be the

client’s own side. Second side shall be the counterparty side!

Valid value:

2

-> 54 Side Y 1 = Buy

2 = Sell

7 = Undisclosed

-> 15 Currency Y APA Trading Currency

Valid values as defined in ISO 4217

-> 58 Text N Text field

-> 381 GrossTradeAmt C APA Trade value. Mandatory if 12000=SHRS, ETFS, DPRS,

CRFT or OTHR AND 2670=6 (LRGS).

Note this field is required as well should the client want to use

the SI threshold value calculations which only works for all

criteria and instruments if GrossTradeAmt is sent for all trades /

instruments!

Value needs to be provided by the client for all new trades as

described above and corrections (as price and volume

corrections may influence trade value).

-> 453 NoPartyIDs Y Valid value:

1

Provision of own and counterparty SI status is mandatory

(452=63 AND 452=73).

-> -> 448 PartyID Y Valid values:

If 452=63

YES = Client is SI

NO = Client is not SI

Formatiert: Tabstopps: 3,49 cm,Links

47 |

If 452=73

YES = Counterparty is SI

NO = Counterparty is not SI

-> -> 452 PartyRole Y 63 = APA client side

73 = Counterparty

-> 576 NoClearingInstructi

ons

C Mandatory (and only accepted) if 12000 = DERV

Valid value:

1

-> -> 577 ClearingInstruction C Indicates if transaction is to be cleared.

0 = Yes

3 = No

853 PublishTrdIndicator N Not to be sent by customer, only used for publication

confirmation back to client.

Indicates, if a trade used a waiver for deferred publication as no

trade flags are returned in publication confirmation.

Valid value:

Y


Standard Trailer Y

Notes:

Derived from the two received values in the NoPartyIDs group, the APA field VenueOfExecution will be

filled for the publication as follows by the TTR II system:

XOFF = off exchange and without participation of an SI (448 is "NO" for both fields)

SINT = SI is involved / executes the transaction (448 is at least one is "YES")

48 |

TradeCaptureReportAck (MsgType=AR)

TradeCaptureReportAck (outbound)


Standard Header Y MsgType=AR

571 TradeReportID Y Copied from request

572 TradeReportRefID N Copied from request

487 TradeReportTransType N Copied from request

751 TradeReportRejectReason N Reason for Rejection of Trade Report

0 = Successful (default)

1 = Invalid party information

2 = Unknown instrument

3 = Unauthorized to report trades

4 = Invalid trade type

99 = Other

880 TrdMatchID Y APA TIC code

2668 NoTrdRegPublication

s


-> 2669 TrdRegPublicationTy

pe


-> 2670 TrdRegPublicationRe

ason


-> 12671 TrdRegPublicationRe

gulatoryType


-> 12672 TrdRegPublicationDe

scription


150 ExecType N Valid values, sent from TTR II to customer:


0 = New (ACCEPTED in case of DUPL flagged trades which

shall not be published)


4 = Canceled (in case of pending waivers)


8 = Rejected

30 LastMkt Y Copied from request (Tag 100)




60 TransactTime Y Time, when trade was received from TTR® II = ReportingTime


768 NoTrdRegTimestamps N Used to feedback calculated deferral time following MiFID II

rules / NCA confirmation

Valid values: 1

Formatierte Tabelle

49 |


-> 769 TrdRegTimestamp N Timestamp, when trade will be published


Standard Trailer Y

Tag 571 is the unique identifier of each request (TradeCaptureReport and TradeCaptureReportAck). If

you need to refer to a request which was entered earlier, use Tag 572 to provide the referenced

TradeReportID.

50 |

Portfolio compression cycle reporting

To report portfolio compression cycles, the new order list message is used, as it provides the possibility report

several actions for several instruments and conditions.

ADHTTR IIFIX Client

n * Orderbook MBO

n * Ack

n * ExecutionReport

(150=0, 150=4, 150=5)

n * ExecutionReport

(150=A, 150=E, 150=6)

NewOrderList (n portfolio actions)

Figure 7 Portfolio compression cycle message flow

51 |

NewOrderList (inbound)


Standard Header Y MsgType= E (NewOrderList)

66 ListID Y This is the unique ID for the portfolio compression cycle. It

MUST be equal to the first ClOrdID in the LstOrdGrp repeating

group.


69 ListExecInst Y Valid values:

PCC = Portfolio compression cycle

68 TotNoOrders Y Total number of list order entries.

394 BidType Y Value:

3 = No Bidding Process

73 NoOrders Y Total number of list portfolio compression action entries

-> 11 ClOrdID Y This is the clients new and unique ID for this request


-> 67 ListSeqNo Y Sequence of individual portfolio compression action entry within

list

-> 100 ExDestination Y Describes the source APA :


APAW

-> 48 SecurityID Y Security ISIN

-> 22 SecurityIDSourc

e

Y Valid value:



ESMA database)

-> 528 OrderCapacity Y Default Value:


-> 15 Currency Y Identifies the currency used for price

ISO 4217

-> 55 Symbol N 1-15 character security identifier

-> 54 Side Y Valid values:

1 = Buy

2 = Sell

Note: side will not be published

-> 60 TransactTime Y Time of last pcc action

-> 38 OrderQty Y Number of instruments per ID

-> 44 Price Y Value in notional currency

-> 1147 UnitOfMeasure

Qty

C UnitOfMeasureQty is required if tag 12007 = “TOCD” or 25

character code

-> 12007 NotationMeasur

ementUnit

Y Valid values:




(tag 12000 = EMAL)

52 |


or


12001 = EMAL)

or


12001 = EMAL) )


-> 10015 NominalCurrenc

y

Y Identifies the notional currency as defined in ISO 4217

-> 12000 InstrumentType

MiFIR

Y InstrumentTypeMiFIR

Valid value:

DERV = Derivative

-> 12001 InstrumentUnder

lyingTypeMiFIR

Y InstrumentUnderlyingTypeMiFIR

Valid values:

Required for definition of underlying for DERV


EQUI = Equity

COMM = Commodity

CRDT = Credit

CURR = Currency


-> 12002 InstrumentSubT

ypeMiFIR

C Required


Valid Values:

OPTN

FUTR

FRAS

FORW

SWAP

PSWP

SWPT

FONS

FWOS

FFAS

SPDB

CFDS

OTHR

-> 12006 EMALSubType

MiFIR

C Required if

12000=DERV and 12001=EMAL

Valid Values:

EUAE

CERE

ERUE

53 |


EUAA

OTHR

-> 231 ContractMultiplie

r

C Nominal Value



-> 423 PriceType Y APA Price notation

1 = Percentage


6 = Basis Points

9 = Yield

-> 58 Text N Free text

-> 77 PositionEffect Y O = DSIPC (Derivatives submitted for inclusion in the portfolio

compression)

R = DRTD (derivatives replacing the terminated derivatives)

C = DCTRP (derivatives changed or terminated as a result of

the portfolio compression)

Standard Trailer Y






0 = New (PUBLISHED)



0 = New (PUBLISHED)




If 150 = A Time, when PCC message was received from


If 150 = 0 PublicationTime (from ADH) for publication of order

66 ListID Y Copied from request



ISO 4217



77 PositionEffect Y O = DSIPC (Derivatives submitted for inclusion in the portfolio

compression)

54 |


R = DRTD (derivatives replacing the terminated derivatives)

C = DCTRP (derivatives changed or terminated as a result of

the portfolio compression)





eMiFIR







38 OrderQty Y Copied from request

44 Price N Copied from request






Standard Trailer Y

55 |

Figure 1 Order reporting message flow ..................................................................................... 1918

Figure 2 Order cancel message flow ........................................................................................... 2524

Figure 3 OrderCancelReplace message flow ............................................................................. 2827

Figure 4 Quote message flow ...................................................................................................... 3433

Figure 5 Quote cancel message flow .......................................................................................... 3938

Figure 6 Trade reporting message flow ...................................................................................... 4140

Figure 7 Portfolio compression cycle message flow ................................................................ 5049

Figure 1 Order reporting message flow ......................................................................... 18

Figure 2 Order cancel message flow ............................................................................. 24

Figure 3 OrderCancelReplace message flow .................................................................. 28

Figure 4 Quote message flow ....................................................................................... 34

Figure 5 Quote cancel message flow ...................... Fehler! Textmarke nicht definiert.

Figure 6 Trade reporting message flow ......................................................................... 41

Figure 7 Portfolio compression cycle message flow ........................................................ 50

Formatiert: Absatz-Standardschriftart,Rechtschreibung und Grammatik prüfen







ceesegfix ttr ii specification markup version 1 · 9.10.2017 renamed tag 10015 ... if the request...

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