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EDGA/EDGX

FIX Compatibility Mode

Specification

Version 1.1.1

February 24, 2016

EDGA/EDGX FIX Compatibility Mode Specification (Version 1.1.1)

©2016 Bats Global Markets, Inc. All Rights Reserved

Contents

1 Introduction ....................................................................................................................... 3

1.1 Overview ...................................................................................................................... 3

2 FIX Messages .................................................................................................................... 4

2.1 Standard Message Header .......................................................................................... 4

2.1.1 All Members .......................................................................................................... 4

2.1.2 Service Bureau Support ........................................................................................ 4

2.1.3 PossResend ......................................................................................................... 4

2.2 Order Protocol – Member to Bats ................................................................................. 6

2.2.1 New Order Single ................................................................................................. 6

2.2.2 Cancel/Replace Request ...................................................................................... 8

2.3 Order Protocol – Bats to Member ................................................................................. 9

2.3.1 Execution Report .................................................................................................. 9

2.3.2 Cancel Reject ......................................................................................................12

2.3.3 Trade Cancel/Correct ...........................................................................................12

2.4 DROP Copy ................................................................................................................13

3 Contact Information .........................................................................................................13



1 Introduction

1.1 Overview

For a yet to be defined period of time, Bats will support a EDGA/EDGX FIX Compatibility Mode

(“compatibility mode”) that will allow Direct Edge Members to utilize previously supported FIX

tags to interact with the Bats system. EDGA/EDGX Members are encouraged to migrate to the

Standard Bats FIX Specification (“standard specification”) as soon as possible as the

compatibility mode will eventually be deprecated.

Following are key differences in behavior that Members using compatibility mode must be

aware of. For users of compatibility mode, these changes must be taken into account

immediately. It is expected that flags and behaviors not referenced within this document should

function as before on the EDGA/EDGX FIX gateways located in the NY4 data center.

Members using compatibility mode will be required to certify with the Bats Trade Desk

before they will be able to enter orders into the production environment in the NY5 data

center.

For questions regarding functionality not defined within this specification, please refer to the

original EDGA/EDGX specific FIX specifications or contact the Bats Trade Desk

([email protected]).

mailto:[email protected]



2 FIX Messages

2.1 Standard Message Header

2.1.1 All Members

Tag Field name Required Description

50 SenderSubID N Sub ID of sender:

All Members must enter the SenderSubID assigned by Bats when

sending FIX messages to EDGA or EDGX.

(TargetSubID for messages from EDGA or EDGX)

57 TargetSubID N Sub ID of destination:

“TEST” for messages sent to certification system.

“PROD” for messages sent to production system.

All Members must send TargetSubID when sending FIX

messages to EDGA or EDGX.

(SenderSubID for messages from EDGA or EDGX)

2.1.2 Service Bureau Support

Tag Field name Required Description

50 SenderSubID N For Service Bureau use only.

Enter End-Client ID as assigned by Bats when sending order

to EDGA or EDGX.

57 TargetSubID N For Service Bureau use only.

End-Client ID on messages sent from EDGA or EDGX.

115 OnBehalfOfCompID Y Service Bureaus must use. Identifies end-client on messages

to Bats. Must be allowed NSCC MPID.

The SenderSubID field allows EDGA/EDGX Service Bureaus to route orders to the respective

exchange on behalf of multiple Members over a single FIX connection.

2.1.3 PossResend

FIX Tag 97 (PossResend) will not support the full behavior specified in the FIX 4.2 Protocol for

PossResend= “Y”. The message will be logged, but effectively ignored.

For reasons of economy, Bats does not track (in primary storage) the ClOrdID values of orders

that are no longer live.

For reasons of performance, Bats does not access secondary storage to enforce unique

ClOrdID values against orders that are no longer live.



Without full duplicate ClOrdID value enforcement, it is not possible to safely implement the full

behavior specified in the FIX 4.2 Protocol for PossResend=”Y”.



2.2 Order Protocol – Member to Bats

2.2.1 New Order Single

Tag Field name Field

Modified or

Removed

Description

1 Account Modified The Account field will be restricted to 16 characters

versus the 20 characters previously available. Values

entered that exceed 16 characters will be truncated.

18 ExecInst Modified r = Re-Routable for RDOX strategy only (option no

longer supported)

59 TimeInForce Modified When TimeInForce (59) = “3” or “4” (IOC or FOK),

ExtedHrsEligible (9206) is ignored. All orders will be

eligible for immediate execution in all trading sessions

unless other factors (i.e. ROOC) apply

When TimeInForce (59) = “6” (GTD), ExpireTime

(126) will be adjusted to the regular session end time

and the user submitted value is “N”, “Y” or

<BLANK>.

198 SecondaryOrderID Modified This field no longer supports Member input.

However, it may be returned on Execution

Reports where the Member has requested to opt-in at

the firm or port level for “Report MTP Fields”.

9206 ExtedHrsEligible Modified A = Formerly supported as Regular Session and Post

Market Eligible, functions as GTX in compatibility

mode.

9800 AbsoluteLimit Removed Absolute Limit on Pegged Discretionary order is no

longer supported.

9202 SpecialOrdType Modified R = Single Re-Price (option no longer supported)

114 LocateReqd Modified N = (Default) Client affirms ability to borrow or

Member is relying on an exception to the Regulation

SHO locate requirement.

9209 AIGroupID Modified User can select 1 alpha-numeric character (2 characters

no longer supported) to use as an Anti-Internalization

Identifier. This is a required tag for Members using

compatibility mode that select option “C” as the 2nd

character in PreventMemberMatch (7928).

This field will eventually be deprecated in favor of

using the 3rd character of PreventMemberMatch (7928)

as defined in the standard specification.



5700 LocateBroker Removed This field will not be supported in compatibility mode.

It previously contained the MPID of a Locating Broker

that would be validated against a “Can Borrow From”

list within the Edge Risk Portal.

9500 MinQtyInstruction Removed The MinQtyInstruction field normally used in

conjunction with MinQty (110) will no longer be

supported. MinQty will be honored on each execution.

9400 RoutStrategy Modified ISCN = Directed IOC ISO routed to NSX has been

added.



2.2.2 Cancel/Replace Request

With respect to Cancel/Replace Request orders, the following fields may no longer be

modified. Note that values entered in the following tags within a Cancel/Replace message will

be ignored.

Tag Field Name Comments

211 PegDifference The offset amount on a Pegged Order may no longer be modified.

9622 DiscretionAmount The discretionary offset may no longer be modified.



2.3 Order Protocol – Bats to Member

2.3.1 Execution Report

The table that follows describes fields and values that EDGA and EDGX Members using FIX will

need to consider as there will be a behavior change.

Tag Field Name Field Added,

Modified or

Removed

Description

76 ExecBroker Removed This field is not supported in compatibility mode.

It formerly returned the MPID from the Member

configuration.

If the MPID is sent in ClearingFirm (439) on the

order, it will be returned on ClearingFirm (439) in

the Execution Report.

If the MPID is sent in OnBehalfOfCompId (115)

on the order, it will be returned in both

DeliverToCompID (128) and ClearingFirm (439).

150 ExecType Modified C = Expired (no longer supported)

39 OrdStatus Modified C = Expired (no longer supported)

198 SecondaryOrderID Modified Member input of data on New Order Single

is no longer supported for this field.

It will only be returned to Members that have

requested to opt-in at the firm or port level for

“Report MTP Fields”.

103 OrdRejReason Modified The following values are not supported in

compatibility mode:

4 = Too late to enter

11 = Unsupported order characteristic

13 = Incorrect quantity

99 = Other

Refer to standard specification for other supported

values.

9351 Booked Price Modified May be sub-penny price.



9730 TradeLiquidityIndicator Modified Present for acknowledgements and fills (150=0,

150=1 or 150=2):

1st Character

A = Trade Added Liquidity

C = Auction Trade

R = Trade Removed Liquidity

X = Routed Trade

2nd Character

H = Hidden Liquidity Add Trade

I = Hidden Liquidity Add Trade that was Price

Improved

J = Execution from Order that Joined the NBBO

S = Execution from Order that Set the NBBO

V = Visible Liquidity Add Trade that was Price

Improved

Must request opt-in at firm or port level to receive

2nd characters in this field. To allow for future

expansion of this field, please ignore values with

an unknown character in the 2nd position.

MTP

For members that opt-in to Report MTP Fields

functionality (at firm or port level), the liquidity

add and remove values may be presented on an

MTP triggered cancel/restatement.

State Change Tracking

For members that opt-in to State Change Tracking

at the port level, order acks (150=0), modify acks

(150=5) and restatements (150=D with 378=4)

will carry 9730 messages defined as follows:

A=Zero or more immediate partial remove fills

followed by posting.

R=Zero or more immediate partial remove fills

followed by a cancel (or full fill).

X=Zero or more immediate partial remove fills

followed by routing

388 DiscretionInst Removed No longer supported.

840 PegScope Removed No longer supported.



9207 ContraMemberID Removed No longer supported.

9210 AIAdditionalInfo Removed No longer supported.

9800 AbsoluteLimit Removed No longer supported.

378 RestatementReason Added Only present when 150=D

3 = Repricing of Peg Order

4 = State Change

5 = Reduction of OrdQty

6 = Price Sliding Reprice

9882 FeeCode Added Specific fee code associated with execution. See

the Fee Schedule for the respective market for

possible values.



2.3.2 Cancel Reject

The table that follows describes fields and values that EDGA and EDGX Members using FIX will

need to consider as there will be a behavior change.

Tag Field Name Modified or

Removed

Description

102 CxlRejReason Modified The following values are not supported in

compatibility mode:

2 = Exchange option.

6 = Duplicate ClOrdID

99 = Other

Refer to standard specification for other supported

values.

2.3.3 Trade Cancel/Correct

The Bats FIX Trade Cancel/Correct message will be used, and the Direct Edge method of

reporting trade busts or adjusts will be deprecated.

Trade Cancel/Correct (UCC) is an optional message that must be enabled at the port

level. It may be enabled for current-day only or for all cancels and corrections. Only the

price of a trade may be corrected, all other details remain the same. Trade cancels and

corrections do not alter live order state.

Tag Field Name Req’d Description

35 Standard Message

Header

Y MsgType=”UCC”

20 ExecTransType Y 1 = Trade Cancel

2 = Trade Correct

17 ExecID Y Day-unique id of execution message.

19 ExecRefID Y Refers to the ExecID of the message being cancelled or

corrected.

37 OrderId Y OrderId of the original trade being cancelled/corrected.

11 ClOrdID Y ClOrdID of the original trade being cancelled/corrected.

55 Symbol Y Copied from original trade being cancelled/corrected

(Available in FIX Drop).



65 SymbolSfx Y Copied from original trade being cancelled/corrected

(Available in FIX Drop).

54 Side Y Copied from original trade being cancelled/corrected.

9730 TradeLiquidityIndicator Y Copied from original trade being cancelled/corrected.

9882 FeeCode N Only for Trade Corrects. Corrected fee code.

439 ClearingFirm N Copied from original trade being cancelled/corrected (if

present).

440 ClearingAccount N Copied from original trade being cancelled/corrected (if

present).

9620 CorrectedPrice N Only for Trade Corrects. Corrected price.

32 LastShares Y Quantity of shares on the original trade being

cancelled/corrected.

31 LastPx Y Price on the original trade being cancelled/corrected.

42 OrigTime Y GMT date-time of original trade.

60 TransactTime Y GMT date-time of cancel/correct.

Standard Msg Trailer Y

2.4 DROP Copy

In compatibility mode, FIX Tag 58 (Text) will not be available on Standard FIX DROP.

3 Contact Information

Please e-mail questions or comments regarding this specification to [email protected].

mailto:[email protected]



Revision History

Document

Version

Date Description

1.0.0 04/04/14 Initial draft.

1.0.1 04/22/14 In FIX Compatibility Mode restatements are not sent on New

Order and Execution Reports, so SecondaryOrderId

(198) will not be returned if a Member has requested to opt-in at

the firm or port level for “Restate on Reload”.

MinQtyInstruction (9500) will no longer be supported.

1.0.2 06/05/14 Updates added related to handling of the TimeInForce (59) field

in New Order Single messages.

1.0.3 08/29/14 Clarification added to description of ExtedHrsEligible (9206).

1.0.4 12/08/14 Clarification added to description of MinQtyInstruction (9500).

Added Trade Cancel/Correct message (35=UCC).

1.0.5 01/15/15 Added RestatementReason (FIX Tag 378).

Added FeeCode (FIX Tag 9882).

1.0.6 01/29/15 Added “C = Auction Trade” to TradeLiquidityIndicator (9730).

1.0.7 08/05/15 Added “ICSN” to RoutStrategy (9400) in anticipation of NSX

reactivation on 8/31/15.

1.0.8 09/03/15 Added EffectiveTime (FIX Tag 168).

1.0.9 12/18/15 Removed EffectiveTime (FIX Tag 168).

1.1.0 02/19/16 Bats branding/logo changes.

1.1.1 02/24/16 Updated reason code for restatement messages

ExecRestatementReason (FIX Tag 378) Effective 3/10/16

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