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New Order Single <D> message – FIX 4.4 – FIX Dictionary

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FIX 4.4 : New Order Single <D> message

Structure | Related Messages

Description

The new order message type is used by institutions wishing to electronically submit securities and forex orders to a broker for execution.

The New Order message type may also be used by institutions or retail intermediaries wishing to electronically submit Collective Investment Vehicle (CIV) orders to a broker or fund manager for execution.

See VOLUME 7 - "PRODUCT: COLLECTIVE INVESTMENT VEHICLES"

Orders can be submitted with special handling instructions and execution instructions. Handling instructions refer to how the broker should handle the order on its trading floor (see HandlInst <21> field). Execution instructions contain explicit directions as to how the order should be executed (see ExecInst <18> field).

New Order messages received with the PossResend <97> flag set in the header should be validated by ClOrdID <11>. Implementations should also consider checking order parameters (side, symbol, quantity, etc.) to determine if the order had been previously submitted. PossResends previously received should be acknowledged back to the client via an Execution - Status message. PossResends not previously received should be processed as a new order and acknowledged via an Execution - New message.

The value specified in the TransactTime <60> field should allow the receiver of the order to apply business rules to determine if the order is potentially "stale" (e.g. in the event that there have been communication problems).To support forex accommodation trades, two fields, ForexReq <121> and SettlCurrency <120>, are included in the message. To request a broker to execute a forex trade in conjunction with the securities trade, the institution would set the ForexReq <121> = Y and SettlCurrency <120> = "intended settlement currency". The broker would then execute a forex trade from the execution currency to the settlement currency and report the results via the execution message in the SettlCurrAmt <119> and SettlCurrency <120> fields.

The order message can also be used to request a straight forex trade. Conventions for identifying a forex transaction are as follows:

  • The forex Symbol <55> is defined in Electronic Broking Services, Ltd. (see http://www.ebs.com) format: "CCY1/CCY2".
    • Rates are expressed as "currency1 in currency2" (or "currency2 per currency1") and are calculated as CCY2 divided by CCY1 (NOT CCY1 divided by CCY2)
    • (e.g. "GBP/USD" represents a rate expressed as USD per GBP, "USD/JPY" represents a rate expressed as JPY per USD, etc.).
    • CCY1 and CCY2 are ISO currency codes
  • The value of the Currency <15> field represents the denomination of the Quantity <53> fields (e.g. JPY represents quantity of JPY).
  • In the case of a Forex - Swap (buying (or selling) a currency at one value date and selling (or buying) the same currency at a different value date), Side <54> should represent the side of the SettlDate2 <193> transaction.
  • OrdType <40> = Market, Limit, Forex - Swap, or Previously Quoted. Product <460> = 4 (CURRENCY).
  • Netting can be specified via the ExecInst <18> field.
  • See VOLUME 7 - PRODUCT: FOREIGN EXCHANGE

Orders involving or requiring Pre-Trade Allocation consist of the following steps:

To "take" an IOI <6> (or Quote <S>) from an ECN or exchange and not display the order on the book, the New Order message should contain the TimeInForce <59> field with "ImmediateOrCancel" and an OrdType <40> field with "Previously Indicated" ( or "Previously Quoted").

See Appendix D: Order State Change Matrices

Structure

Tag Field Name Req'd Comments
<MessageHeader> Y MsgType <35> = D
11 ClOrdID Y

Unique identifier of the order as assigned by institution or by the intermediary (CIV term, not a hub/service bureau) with closest association with the investor.

526 SecondaryClOrdID N
583 ClOrdLinkID N
Component Block - <Parties> N

Insert here the set of "<Parties>" (firm identification) fields

229 TradeOriginationDate N
75 TradeDate N
1 Account N
660 AcctIDSource N
581 AccountType N

Type of account associated with the order (Origin)
589 DayBookingInst N
590 BookingUnit N
591 PreallocMethod N
70 AllocID N

Used to assign an overall allocation id to the block of preallocations
78 NoAllocs N

Number of repeating groups for pre-trade allocation
=> 79 AllocAccount N

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

=> 661 AllocAcctIDSource N
=> 736 AllocSettlCurrency N
=> 467 IndividualAllocID N
=> Component Block - <NestedParties> N

Insert here the set of "<NestedParties>" (firm identification "nested" within additional repeating group) fields

Used for NestedPartyRole <538>="Clearing Firm"

=> 80 AllocQty N
63 SettlType N
64 SettlDate N

Takes precedence over SettlType <63> value and conditionally required/omitted for specific SettlType <63> values.

544 CashMargin N
635 ClearingFeeIndicator 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, W, a, d) must be specified.

110 MinQty N
111 MaxFloor N
100 ExDestination N
386 NoTradingSessions N

Specifies the number of repeating TradingSessionIDs
=> 336 TradingSessionID N

Required if NoTradingSessions <386> is > 0.

=> 625 TradingSessionSubID N
81 ProcessCode N

Used to identify soft trades at order entry.
Component Block - <Instrument> Y

Insert here the set of "<Instrument>" (symbology) fields

Component Block - <FinancingDetails> N

Insert here the set of "<FinancingDetails>" fields

711 NoUnderlyings N

Number of underlyings
=> Component Block - <UnderlyingInstrument> N

Must be provided if Number of underlyings > 0
140 PrevClosePx N

Useful for verifying security identification
54 Side Y
114 LocateReqd N

Required for short sell orders
60 TransactTime Y

Time this order request was initiated/released by the trader, trading system, or intermediary.
Component Block - <Stipulations> N

Insert here the set of "<Stipulations>" (repeating group of Fixed Income stipulations) fields

854 QtyType N
Component Block - <OrderQtyData> Y

Insert here the set of "<OrderQtyData>" fields

40 OrdType Y
423 PriceType N
44 Price N

Required for limit OrdTypes <40>. For F/X orders, should be the 'all-in' rate (spot rate adjusted for forward points). Can be used to specify a limit price for a pegged order, previously indicated, etc.

99 StopPx N

Required for OrdType <40> = 'Stop' or OrdType <40> = 'Stop limit'.

Component Block - <SpreadOrBenchmarkCurveData> N

Insert here the set of "<SpreadOrBenchmarkCurveData>" (Fixed Income spread or benchmark curve) fields

Component Block - <YieldData> N

Insert here the set of "<YieldData>" (yield-related) fields

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

Absence of this field indicates Day order
168 EffectiveTime N

Can specify the time at which the order should be considered valid
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
Component Block - <CommissionData> N

Insert here the set of "<CommissionData>" fields

528 OrderCapacity N
529 OrderRestrictions N
582 CustOrderCapacity N
121 ForexReq N

Indicates that broker is requested to execute a Forex accommodation trade in conjunction with the security trade.
120 SettlCurrency N

Required if ForexReq <121> = Y.

775 BookingType N

Method for booking out this order. Used when notifying a broker that an order to be settled by that broker is to be booked out as an OTC derivative (e.g. CFD or similar). Absence of this field implies regular booking.

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 SettlDate2 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.

640 Price2 N

Can be used with OrdType <40> = 'Forex - Swap' to specify the price for the future portion of a F/X swap which is also a limit order. For F/X orders, should be the 'all-in' rate (spot rate adjusted for forward points).

77 PositionEffect N

For use in derivatives omnibus accounting
203 CoveredOrUncovered N

For use with derivatives, such as options
210 MaxShow N
Component Block - <PegInstructions> N

Insert here the set of "<PegInstructions>" fields
Component Block - <DiscretionInstructions> N

Insert here the set of "<DiscretionInstructions>" fields
847 TargetStrategy N

The target strategy of the order
848 TargetStrategyParameters N

For further specification of the TargetStrategy <847>

849 ParticipationRate N

Mandatory for a TargetStrategy <847>="Participate" order and specifies the target particpation rate.

For other order types optionally specifies a volume limit (i.e. do not be more than this percent of the market volume)
480 CancellationRights N

For CIV - Optional
481 MoneyLaunderingStatus N
513 RegistID N

Reference to Registration Instructions <o> message for this Order.

494 Designation N

Supplementary registration information for this Order
<MessageTrailer> Y

 

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