FIX 4.

4
Market Data and Trading
for Takers
Version 1.0 – 15th November 2021

Confidential and Proprietary

All information contained in this document is proprietary information of Bourse OU and
should only be distributed, shared or otherwise made available to customers and partners of
Bourse OU under an existing NDA agreement.
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Contents
Version history ........................................................................................................................... 3
FIX Messaging ........................................................................................................................... 4
Standard Header ..................................................................................................................... 4
Standard Trailer ..................................................................................................................... 4
Logon ..................................................................................................................................... 4
Heartbeat ................................................................................................................................ 5
Test Request ........................................................................................................................... 5
Reject ..................................................................................................................................... 6
Logout .................................................................................................................................... 6
Market Data ............................................................................................................................... 7
Market Data Request.............................................................................................................. 7
Market Data Request Reject .................................................................................................. 7
Market Data Snapshot / Full Refresh ..................................................................................... 8
Trading ....................................................................................................................................... 9
New Order Single .................................................................................................................. 9
Execution Report ................................................................................................................... 9

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Version history
Version Date Changes
1.0 15.11.2021 Initial version

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FIX Messaging

Standard Header

Each administrative or application message is preceded by a standard header.

Standard Header

Tag Field Name Required Type Comments

8 BeginString Y String FIX.4.4 (must be first field in message)

9 BodyLength Y Int Must be second field in message

35 MessageType Y String Must be third field in message

34 MsgSeqNum Y SeqNum Message sequence number

49 SenderCompID Y String Assigned value used to identify firm sending

message

52 SendingTime Y UTCTimestamp UTC time of message transmission (include

milliseconds)

56 TargetCompID Y String Assigned value used to identify receiving firm

Standard Trailer

Standard trailer

Tag Field Name Required Type Comments

10 Checksum Y String

Logon

The Logon message authenticates a user establishing a connection to a remote system. The
Logon message must be the first message sent by the application requesting to initiate a FIX
session.

Logon

<Standard Header> MsgType <35> = A

Tag Field Name Required Type Comments

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98 EncryptMethod Y Int Must be 0

108 HeartBtInt Y Int Heartbeat interval (seconds). Must be 30 or below

141 ResetSeqNumFlag Y Boolean Must be Y

554 Password Y String The password supplied to the client

by the broker

< Standard Trailer >

Heartbeat

A Heartbeat message is sent by both parties to verify FIX connectivity. A Heartbeat is sent in
response to a Test Request.

Heartbeat

<Standard Header> MsgType <35> = 0

Tag Field Name Required Type Comments

112 TestReqID N String Required when the Heartbeat is sent in response

to a Test Request

< Standard Trailer >

Test Request

A Test Request message is sent by both parties to verify FIX connectivity.

Test Request

<Standard Header> MsgType <35> = 1

Tag Field Name Required Type Comments

112 TestReqID Y String Required when the Test Request is sent in

response to a Test Request

< Standard Trailer >

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Reject

The Reject message is sent when a message is received but cannot be properly processed
due to a session-level rule violation.

Reject

<Standard Header> MsgType <35> = 3

Tag Field Name Required Type Comments

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

372 RefMsgType N String The message type of the FIX message being
referenced

373 SessionRejectReason N Int Code to identify reason for the rejection

45 RefSeqNum Y SeqNum Message sequence number of the rejected

message

58 Text N String Where possible, message to explain reason for

rejection

< Standard Trailer >

Logout

A logout message is sent by either party to terminate a FIX session.

Logout

<Standard Header> MsgType <35> = 5

Tag Field Name Required Type Comments

58 Text N String

< Standard Trailer >

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Market Data

Market Data Request

A Market Data Request is sent to subscribe to, or unsubscribe from, real-time market data.

Market Data Request

<Standard Header> MsgType <35> = V

Tag Field Name Required Type Comments

262 MDReqID Y String Must be unique, or the MDReqID of the

previous Market Data Request if
SubscriptionRequestType = 2

263 SubscriptionRequestType Y Int 1 = Snapshot + Updates (Subscribe)

2 = Disable previous Snapshot + Update
Request (Unsubscribe)

264 Market Depth Y Int Depth of market:

0 = Full Book
1 = Top of Book
>1 = best N price bands

265 MDUpdateType Y Int 0 = Full Refresh

267 NoMDEntryTypes Y Int Must be 2

=> 269 MDEntryType Y Int 0 = Bid

1 = Ask

146 NoRelatedSym Y Int Number of symbols requested

=> 55 Symbol Y String Symbol name

< Standard Trailer >

Market Data Request Reject

A Market Data Request Reject message is sent when the broker cannot honor the Market
Data Request, due to business or technical reasons.

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Market Data Request Reject

<Standard Header> MsgType <35> = Y

Tag Field Name Required Type Comments

262 MDReqID Y String The MDReqID of the Market Data Request

message being rejected

281 MDReqRejReason N Int Reason for the rejection

58 Text N String Detailed reason for the rejection, if

applicable

< Standard Trailer >

Market Data Snapshot / Full Refresh

Market Data messages are sent in response to a Market Data Request message and are used
to transmit a 2-sided book of orders or list of quotes as a full snapshot.

Market Data Snapshot / Full Refresh

<Standard Header> MsgType <35> = W

Tag Field Name Required Type Comments

262 MDReqID Y String The MDReqID of the originating Market Data

Request message

55 Symbol Y String Symbol name

268 NoMDEntries Y Int Number of MDEntries following

=> 269 MDEntryType Y Int 0 = Bid

1 = Ask

=> 270 MDEntryPx Y Price Price of the Market Data Entry

=> 271 MDEntrySize N Size Quantity or volume represented by the

Market Data Entry

=> 276 QuoteCondition N String A = Tradeable

I = Indicative

=> 282 MDEntryOriginator N String The originator of Market Data Entry

=> 299 QuoteEntryID N String ID of Market Data Entry

< Standard Trailer >

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Trading

New Order Single

A New Order Single message is used to submit an order to a broker for execution.

New Order Single

<Standard Header> MsgType <35> = D

Tag Field Name Required Type Comments

1 Account N String

11 ClOrdID Y String Unique identifier of the order as assigned

by a sending party

21 HandIlnst Y Char 1 = Automated execution order, private,

no Broker intervention

55 Symbol Y String Symbol name

54 Side Y Int 1 = Buy

2 = Sell

38 OrderQty Y Qty Order Quantity

40 OrdType Y Char 1 = Market

2 = Limit

44 Price Y/N Price Required for limit orders. Should not be

present for market orders

59 TimeInForce Y Char 3 = Immediate Or Cancel (IOC)

4 = Fill Or Kill (FOK)

60 TransactTime Y UTCTimestamp Order creation time

< Standard Trailer >

Execution Report

An Execution Report message is sent to:

✓ confirm the receipt of an order
✓ reject or cancel an order
✓ relay fill information on a working order

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Execution Report

<Standard Header> MsgType <35> = 8

Tag Field Name Required Type Comments

11 ClOrdID Y String Unique identifier of the order as assigned

by a sending party. Same as that from the
ClOrdID tag of the corresponding New
Order Single message

37 OrderID Y String Unique identifier of the order as assigned

by a receiving party

17 ExecID Y String Unique identifier of execution. Will be 0 if

not a fill

39 OrdStatus Y Char A=Pending New (Received)

1=Partially Filled (with some fills but is
not completely filled)
2=Fill (completely filled)
4=Canceled (may have fills but is not fully
filled)
8=Rejected (no fills)

150 ExecType Y Char A=Pending New (received)

4=Canceled (may have fills but is not fully
filled)
8=Rejected (no fills)
F = Trade

55 Symbol Y String Symbol name

54 Side Y Int 1 = Buy

2 = Sell

38 OrderQty Y Qty Order Quantity

40 OrdType Y Char 1 = Market

2 = Limit

44 Price Y/N Price The original requested price (required for

limit orders; is not present for market
orders)

59 TimeInForce Y Char 3 = Immediate Or Cancel (IOC)

4 = Fill Or Kill (FOK)

31 LastPx N Price Price of the fill if ExecType is Trade

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32 LastQty N Qty Quantity bought or sold if ExecType is

Trade

151 LeavesQty Y Qty The remaining quantity to fill

14 CumQty Y Qty The total quantity filled, including this fill

6 AvgPx Y Price The average price of all fills, including this

fill. This will be 0 if ExecType is Pending
New

75 TradeDate N UTCTimestamp UTC time of execution if ExecType is

Trade

103 OrdRejReason N Int Order rejection reason if ExecType is

Rejected

58 Text N String Text explanation of order rejection or

cancellation reason

60 TransactTime Y UTCTimestamp Original order creation time

< Standard Trailer >

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