FIX 4.2 : Order - List <E> message

Structure | Related Messages

Description

The NewOrderList Message can be used in one of two ways depending on which market conventions are being followed.

In the "Non disclosed" convention the New Order - List <E> message is sent after the bidding process has been completed, by telephone or electronically. The New Order - List <E> message enumerates the stocks, quantities, direction for the trade and may contain pre-allocation information.

This message may also be used as the first message for the transmission of a program trade where the bidding process has been done by means other than FIX. In this scenario the messages may either be used as a staging process, in which case the broker will start execution once either a ListExecute is received or for immediate execution, in which case the orders will be executed on receipt.

In the "Disclosed" convention the New Order - List <E> message is sent before the bidding process is started, by telephone or electronically. The New Order - List <E> message enumerates the stocks and quantities from the bidding process, and may contain pre-allocation information. The direction of the trade is disclosed after the bidding process is completed.

See Appendix N – Program/Basket/List Trading for an example.

New Order – List <E>

Structure

Tag Field Name Req'd Comments
<MessageHeader> Y MsgType <35> = E
66 ListID Y

Must be unique, by customer, for the day

390 BidID N

Should refer to an earlier program if bidding took place.

391 ClientBidID N
414 ProgRptReqs N
394 BidType Y

e.g. Non Disclosed Model, Disclosed Model, No Bidding Process

415 ProgPeriodInterval N
433 ListExecInstType N

Controls when execution should be begin.

69 ListExecInst N

Free-form text.

352 EncodedListExecInstLen N

Must be set if EncodedListExecInst <353> field is specified and must immediately precede it.

353 EncodedListExecInst N

Encoded (non-ASCII characters) representation of the ListExecInst <69> field in the encoded format specified via the MessageEncoding <347> field.

68 TotNoOrders(formerly named: ListNoOrds) Y

Used to support fragmentation. Sum of NoOrders <73> across all messages with the same ListID <66>.

73 NoOrders Y

Number of orders in this message (number of repeating groups to follow)

=> 11 ClOrdID Y

Must be the first field in the repeating group.

=> 67 ListSeqNo Y

Order number within the list

=> 160 SettlInstMode N
=> 109 ClientID N
=> 76 ExecBroker N
=> 1 Account N
=> 78 NoAllocs N

Indicates number of pre-trade allocation accounts to follow

=> => 79 AllocAccount N

Required if NoAllocs <78> > 0. Must be the first field in the repeating group.

=> => 80 AllocShares N
=> 63 SettlmntTyp N
=> 64 FutSettDate N
=> 21 HandlInst N
=> 18 ExecInst N

Can contain multiple instructions, space delimited. If OrdType <40>=P, exactly one of the following values (ExecInst <18> = L, R, M, P, O, T, or W) must be specified.

=> 110 MinQty N
=> 111 MaxFloor N
=> 100 ExDestination N
=> 386 NoTradingSessions N
=> => 336 TradingSessionID N

First field in repeating group. Required if NoTradingSessions <386> > 0.

=> 81 ProcessCode N
=> 55 Symbol Y
=> 65 SymbolSfx N

Can be repeated multiple times if message is related to multiple symbols.

=> 48 SecurityID N

Can be repeated multiple times if message is related to multiple symbols.

=> 22 IDSource N

Can be repeated multiple times if message is related to multiple symbols.

=> 167 SecurityType N

Must be specified if a Future or Option. If a Future: Symbol <55>, SecurityType <167>, and MaturityMonthYear <200> are required. If an Option: Symbol <55>, SecurityType <167>, MaturityMonthYear <200>, PutOrCall <201>, and StrikePrice <202> are required.

=> 200 MaturityMonthYear N

Specifiesthe month and year of maturity. Required if MaturityDay <205> is specified.

=> 205 MaturityDay N

Can be used in conjunction with MaturityMonthYear <200> to specify a particular maturity date.

=> 201 PutOrCall N

For Options.

=> 202 StrikePrice N

For Options.

=> 206 OptAttribute N

For Options.

=> 231 ContractMultiplier N

For Fixed Income, Convertible Bonds, Derivatives, etc. Note: If used, quantities should be expressed in the "nominal" (e.g. contracts vs. shares) amount.

=> 223 CouponRate N

For Fixed Income.

=> 207 SecurityExchange N

Can be used to identify the security.

=> 106 Issuer N

Can be repeated multiple times if message is related to multiple symbols.

=> 348 EncodedIssuerLen N

Must be set if EncodedIssuer <349> field is specified and must immediately precede it.

=> 349 EncodedIssuer N

Encoded (non-ASCII characters) representation of the Issuer <106> field in the encoded format specified via the MessageEncoding <347> field.

=> 107 SecurityDesc N

Can be repeated multiple times if message is related to multiple symbols.

=> 350 EncodedSecurityDescLen N

Must be set if EncodedSecurityDesc <351> field is specified and must immediately precede it.

=> 351 EncodedSecurityDesc N

Encoded (non-ASCII characters) representation of the SecurityDesc <107> field in the encoded format specified via the MessageEncoding <347> field.

=> 140 PrevClosePx N

Useful for verifying security identification

=> 54 Side Y

Note: to indicate the side of SideValue1 <396> or SideValue2 <397>, specify Side <54>=Undisclosed and SideValueInd <401>=either the SideValue1 <396> or SideValue2 <397> indicator.

=> 401 SideValueInd N

Refers to the SideValue1 <396> or SideValue2 <397>. These are used as opposed to Buy or Sell so that the basket can be quoted either way as Buy or Sell.

=> 114 LocateReqd N
=> 60 TransactTime N
=> 38 OrderQty N

Either CashOrderQty <152> or OrderQty <38> is required. Note that either, but not both, CashOrderQty <152> or OrderQty <38> should be specified.

=> 152 CashOrderQty N

Either CashOrderQty <152> or OrderQty <38> is required. Note that either, but not both, CashOrderQty <152> or OrderQty <38> should be specified. Specifies the approximate "monetary quantity" for the order. Broker is responsible for converting and calculating OrderQty <38> in shares for subsequent messages.

=> 40 OrdType N
=> 44 Price N
=> 99 StopPx N
=> 15 Currency N
=> 376 ComplianceID N
=> 377 SolicitedFlag N
=> 23 IOIid N

Required for Previously Indicated Orders (OrdType <40>=E)

=> 117 QuoteID N

Required for Previously Quoted Orders (OrdType <40>=D)

=> 59 TimeInForce N
=> 168 EffectiveTime N
=> 432 ExpireDate N

Conditionally required if TimeInForce <59> = GTD and ExpireTime <126> is not specified.

=> 126 ExpireTime N

Conditionally required if TimeInForce <59> = GTD and ExpireDate <432> is not specified.

=> 427 GTBookingInst N

States whether executions are booked out or accumulated on a partially filled GT order

=> 12 Commission N
=> 13 CommType N
=> 47 Rule80A(aka OrderCapacity) N
=> 121 ForexReq N
=> 120 SettlCurrency N
=> 58 Text N
=> 354 EncodedTextLen N

Must be set if EncodedText <355> field is specified and must immediately precede it.

=> 355 EncodedText N

Encoded (non-ASCII characters) representation of the Text <58> field in the encoded format specified via the MessageEncoding <347> field.

=> 193 FutSettDate2 N

Can be used with OrdType <40> = 'Forex - Swap' to specify the 'value date' for the future portion of a F/X swap.

=> 192 OrderQty2 N

Can be used with OrdType <40> = 'Forex - Swap' to specify the order quantity for the future portion of a F/X swap.

=> 77 OpenClose N
=> 203 CoveredOrUncovered N
=> 204 CustomerOrFirm N
=> 210 MaxShow N
=> 211 PegDifference N
=> 388 DiscretionInst N

Code to identify the price a DiscretionOffset <389> is related to and should be mathematically added to. Required if DiscretionOffset <389> is specified.

=> 389 DiscretionOffset N

Amount (signed) added to the 'related to' price specified via DiscretionInst <388>.

=> 439 ClearingFirm N
=> 440 ClearingAccount N
<MessageTrailer> Y

 

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