www.fixprotocol.

org

www.quickfixengine.org

www.quickfixj.org

www.stunnel.org

• Session Messages – messages relating to the set up and maintenance of the FIX Matrixion
• Application Messages – Order Execution
o (D) New Order Single
o (8) Execution Report
• Application Messages – Market Data
o (V) Market Data Request
o (W) Market Data Snapshot Full Refresh
o (Y) Market Data Request Reject

Firstly, all FIX messages consist of the standard Header & Trailer as follows:

Tag Field Name Required Comments Example

8 BeginString Y FIX 4.4 Header string FIX.4.4

9 BodyLength Y Size of Message 435

35 MsgType Y Type of Message A

49 SenderCompID Y Client FIX Comp ID Gold-i

56 TargetCompID Y FIX Comp ID of the client (assigned Client

by Gold-i)

34 MsgSeqNum Y Sequence number of message 1

52 SendingTime Y UTC Timestamp of when message 20170530-17:45:03.011
was sent

Tag Field Name Required Comments Example

10 CheckSum Y Checksum value calculated by the 108

FIX engine based upon the message
data
 Gold-i Client

Logon (MsgType=A)
Reset SeqNumberFlag (141) = Y

Logon (MsgType=A)
Reset SeqNumberFlag (141) = Y

Gold-i Client

Heartbeat (MsgType=0)

Heartbeat (MsgType=0)

Gold-i Client

Logout (MsgType=5)

Logout (MsgType=5)
Gold-i Client

NewOrderSingle (MsgType = D)

ExecutionReport (MsgType=8)
-ExecType (150) = 0
-OrdStatus (39) = 0

ExecutionReport (MsgType=8)
-ExecType (150) = F
-OrdStatus (39) = 2

Gold-i Client

NewOrderSingle(MsgType = D,
2 or 3)

ExecutionReport(MsgType=8)
-ExecType(150) = 8
-OrdStatus(39) = 8
Gold-i Client

MarketDataRequest
(MsgType = V)

MarketDataSnapshotFullRefresh
(MsgType = W)

Gold-i Client

MarketDataRequest
(MsgType = V)

MarketDataRequestReject
(MsgType = Y)
 •

Tag Field Name Required Comments Example

Standard Header Y MsgType = 0

112 TestReqID C Required if heartbeat is due to a Test Request 3

message

Standard Trailer Y

Tag Field Name Required Comments Example

Standard Header Y MsgType = A

98 EncryptMethod Y Always unencrypted 0

108 HeartBtInt Y Heartbeat interval in seconds 4

141 ResetSeqNumFlag N Indicates both sides of the Connection should Y

reset sequences numbers

553 Username N Valid username registered with Gold-i to ClientAdmin

validate session
554 Password N Valid password registered with Gold-i to 67*34!3
validate session

Standard Trailer Y

Tag Field Name Required Comments Example

Standard Header Y MsgType = 5

58 Text N Reason for logout Incorrect Login credentials

Standard Trailer Y

Tag Field Name Required Comments Example

Standard Header Y MsgType = 2

98 BeginSeqNo Y First sequence number in the range to be resent 56

108 EndSeqNo Y Last sequence number in the range to be resent 61

Standard Trailer Y

Tag Field Name Required Comments Example

Standard Header Y MsgType = 1

112 TestReqID Y Unique ID of test request TEST-123

Standard Trailer Y

Tag Field Name Required Comments Example

Standard Header Y MsgType = 3

45 RefSeqNum Y Reference sequence number of rejected message 2019

371 RefTagID N Tag number of the FIX field being referenced 56

372 RefMsgType N Tag number of the FIX message being referenced D

Standard Trailer Y
Tag Field Name Required Comments Example

Standard Header Y MsgType = D

11 ClOrdID Y Unique identifier of the order as assigned by 123456

institution or by the intermediary.

1 Account Y The account for the order. GI001

38 OrderQty Y Number of units to transact. 100000

40 OrdType Y Type of order. Valid values are: 1

1 = Market Order
2 = Limit Order

44 Price C Limit price, required when 40=2. 1.23456

54 Side Y Side of order. Valid values are: 1

1 = client Buy
2 = client Sell

55 Symbol Y Currency pair in the format CCY1CCY2. EURUSD

59 TimeInForce N Valid values are: 3

3 = Immediate or Cancel

Any other value will be rejected. Default is 3

if not provided.

60 TransactTime Y Timestamp when the business transaction 20171103-14:15:22

represented by the message occurred.

Tag Field Name Required Comments Example

Standard Header MsgType = 8

37 OrderID Y Unique ID for this transaction 20100412210312001

11 ClOrdID Y Reflected back from Tag 11 in the 123456

NewOrderSingle

17 ExecID Y Unique identifier of this ExecutionReport GI-123456

message.

1 Account N The account that this was book into 80012345

150 ExecType Y Describes the purpose of this Execution F

Report. Valid values are:
0 = New
4 = Cancelled
8 = Rejected
F = Trade (Fill)

39 OrdStatus Y Describes the current state of the order. 2

Valid values are:
0 = New
1 = Partial
2 = Filled
 4 = Cancelled
8 = Rejected

40 OrdType Y Type of order. Valid values are: 1

1 = Market Order
2 = Limit Order

55 Symbol Y Currency pair in the format CCY1CCY2. EURUSD

54 Side Y Side of order. Valid values are: 1

1 = client Buy
2 = client Sell

44 Price N Price the order was requested to be filled at 1.55654

32 LastQty C Quantity bought or sold in the fill 100000

31 LastPx C The price of this fill 1.55654

38 OrderQty Y Number of units to transact. 100000

151 LeavesQty Y The amount left un-executed 0

14 CumQty Y Currently executed quantity on this order 100

6 AvgPx Y The average price of all fills for this order so 1.55654
far

60 TransactTime N The time that the order was executed 20171103-14:15:22

58 Text N Text that explains why an order was rejected Market Closed

10390 Raw Fill Price N If present, will contain the Raw Fill price for 1.55650
this execution report, without any applied
markup. Can be used to know the
underlying execution price in place of tag 31.

Standard Trailer
Tag Field Name Required Comments Example

Standard Header Y MsgType = V

262 MDReqID Y Unique Identifier of request EURUSD-1

263 SubscriptionRequestType Y The type of subscription. 1

0 = Snapshot
1 = SnapshotUpdate
2 = Unsubscribe

264 MarketDepth Y Depth of market for Book Snapshot 1

1 – Top of Book only
N – n levels of depth
0 – full book

265 MDUpdateType Y 0 – SnapshotFullRefresh 0

267 NoMDEntryType Y 2 – Request for Bid and Offer (Number of 2

items in the repeating group)
269 MDEntryType Y 0 – Bid 0

269 MDEntryType Y 1 – Offer 1

146 NoRelatedSym Y Specifies the number of repeating symbols 1

specified. Only one symbol is supported
per message.

55 Symbol Y The symbol requested EURUSD

Standard Trailer Y

Tag Field Name Required Comments Example

Standard Header MsgType = W

262 MDReqID C Must refer to the MDReqID of the request. EURUSD-1

Conditionally required if this message is in
response to a Market Data Request.

55 Symbol Y Common, "human understood" EURUSD

representation of the security. SecurityID
value can be specified if no symbol exists
(e.g. non-exchange traded Collective
Investment Vehicles) Use "[N/A]" for
products which do not have a symbol.
268 NoMDEntries Y Number of market data entries in this 2
message (repeating group)
269 MDEntryType Y 0 – Bid 0
1 – Offer
270 MDEntryPx Y The Bid Price 1.54123

271 MDEntrySize Y Volume associated with this price 100000

 276 QuoteCondition Y Indicates whether the quotes are tradable A
or not.
A = Open
B = Closed
290 MDEntryPositionNo Y Position of bid or offer in the book. 0

58 Text N Indicates whether the price if from a band

banded source.
58 = band
Standard Trailer

Tag Field Name Required Comments Example

Standard Header MsgType = Y

262 MDReqID Y Must refer to the MDReqID of the request. EURUSD-1

281 MDReqRejReason N Reason for the rejection of a Market Data 3

request
3 = Client not permissioned
58 Text N The reason for the rejection (in readable Client NOT permissioned
format) for <Symbol>

Standard Trailer