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The International Securities Exchange (ISE) has patents and pending patents on the functionality of its trading platform. The information contained in this document is proprietary and confidential, and may not be disclosed to any person or entity except authorized employees and agents of the recipient organization who have a need to know such information.
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01 March 2008
Table of contents
About this document ..................................................................................................................... 7 Intended audience ....................................................................................................................... 7 Acronyms ..................................................................................................................................... 7 Related documents ...................................................................................................................... 8 Summary of changes ................................................................................................................... 9
Chapter 1. Connecting to ISE Options FIX ............................................................................. 11 1.2. The ISE is an execution point on the following Networks: .............................................. 11 1.3. IPSec connectivity to Test & Prod environments ............................................................ 11 1.4. IP addresses for ISE Options FIX environments ............................................................ 11
Chapter 2. FIX protocol ............................................................................................................ 12 2.1. Standard header ............................................................................................................. 13 2.2. Standard trailer ................................................................................................................ 14 2.3. Rejection of Stale Orders ................................................................................................ 14 2.4. ISE Exchange Codes ...................................................................................................... 14
Chapter 3. Order handling ....................................................................................................... 15 3.1. Trading sessions for FIX orders in Production ................................................................ 15 3.2. FIX Development system availability – business days ................................................... 16 3.3. Supported orders ............................................................................................................ 16 3.4. Specifying non-default clearing information .................................................................... 16 3.5. Understanding the Symbol, MaturityMonthYear, and MaturityDay fields ............... 19 3.6. Sending a Block order using New Order Single ............................................................. 20 3.7. Attributable Order ............................................................................................................ 21 3.8. Simple Facilitation Order using New Order Single ......................................................... 22 3.9. Cross Order Step Up ....................................................................................................... 22 3.10. Stopped Cross Order ................................................................................................... 23 3.11. Sending Cabinet orders ............................................................................................... 23 3.12. Understanding Account Type / CustomerOrFirm(204) ................................................ 24 3.13. Ignore Away Market Orders ........................................................................................ 24 3.14. Order Preferencing ...................................................................................................... 25 3.15. Directed Orders ........................................................................................................... 25 3.16. Reserve Orders ........................................................................................................... 25 3.17. Minimum Quantity/Matched Increment Orders............................................................ 27 3.18. Qualified Contingent Cross Order ............................................................................... 28 3.19. Do-Not-Route Order .................................................................................................... 30
Chapter 4. Order functions ...................................................................................................... 31 4.1. New Order – Single ......................................................................................................... 31 4.2. Order Cancel/Replace Request ...................................................................................... 35 4.3. Order Cancel Request .................................................................................................... 38 4.4. Order Status Request ..................................................................................................... 39
Chapter 5. Execution reports .................................................................................................. 41 5.1. Standard Execution Report ............................................................................................. 41 5.2. Order Cancel Reject ........................................................................................................ 47 5.3. Order Reject .................................................................................................................... 48 5.4. Nothing Done .................................................................................................................. 49
Chapter 6. Drop Copy ............................................................................................................... 52 6.1. Drop Copy Trade Report ................................................................................................. 52 6.2. Full Order Drop Copy ...................................................................................................... 55 6.3. PrecISE AMR Drop Copy ................................................................................................ 59
Chapter 7. Administrative messages ..................................................................................... 63
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7.1. Resend Request ............................................................................................................. 63 7.2. News ............................................................................................................................... 63
Chapter 8. Post-trade allocation ............................................................................................. 64 8.1. Allocation message ......................................................................................................... 64 8.2. Allocation ACK message ................................................................................................. 66
Chapter 9. ISE Crossing Orders .............................................................................................. 69 9.1. Cross Order Handling Rules. .......................................................................................... 69 9.2. Execution Reporting for cross orders. ............................................................................. 69 9.3. ISE Special Order Classification in CrossType(549) ...................................................... 69 9.4. Solicitation Order ............................................................................................................. 69 9.5. Facilitation Order ............................................................................................................. 70 9.6. Price Improvement Mechanism (PIM) ............................................................................. 70 9.7. FIX 4.3 New Order Cross Message ................................................................................ 70
Chapter 10. Multi-Leg Order handling .................................................................................. 74 10.1. Trading Multi-Leg Securities ........................................................................................ 74 10.2. Combination Order Types ........................................................................................... 74 10.3. Multi-Leg Security Trading Message Flow .................................................................. 75 10.4. Buy-Write and Delta Neutral Orders ............................................................................ 75 10.5. New Order – Multi-Leg ................................................................................................ 75 10.6. Order Cancel/Replace Request .................................................................................. 81 10.7. Order Cancel Request ................................................................................................. 83 10.8. Order Status Request .................................................................................................. 83 10.9. Complex Facilitation Orders (CFO’s) .......................................................................... 84 10.10. Complex Customer Match Orders (CCMO’s) .............................................................. 84
Chapter 11. New Order Cross – Multi-Leg ............................................................................ 85 11.1. Order Handling Rules .................................................................................................. 85 11.2. Execution Reporting .................................................................................................... 85 11.3. Supported Order Classification ................................................................................... 85 11.4. Supported Account Categories ................................................................................... 85 11.5. New Order Cross – Multi-Leg ........................................................................................... 86
Appendices .................................................................................................................................. 91 Appendix A. Industry terms not used by ISE ............................................................................. 92 Appendix B. ISE rejection messages ......................................................................................... 93 Appendix C. ISE Order Types & Permissible Originating / Counterparties ............................... 95 Appendix D. Examples of FIX application messages ................................................................ 96 Appendix E. Example of News messages ............................................................................... 102 Appendix F. Example of Execution Report – Order Reject ..................................................... 103 Appendix G. Examples of FIX Drop Copy Execution Reports ................................................. 104 Appendix H. Day One production strategy .............................................................................. 107 Appendix I. Test script sample ................................................................................................. 108
Confidential May 2008
Tables
Table 1. ISE header fields for FIX messages ................................................................................ 13 Table 2. ISE trailer fields for FIX messages .................................................................................. 14 Table 3. ISE trading sessions for FIX orders ................................................................................. 15 Table 4. Orders supported by ISE ................................................................................................. 16 Table 5. Tags for non-default clearing information ........................................................................ 16 Table 6. Text value on Drop Copy Trade Report .......................................................................... 19 Table 7. Symbol and MaturityMonthYear field descriptions .......................................................... 19 Table 8. Fields that support Block orders ...................................................................................... 20 Table 9. Fields that support CAB orders ....................................................................................... 24 Table 10. New Order – Single message format ............................................................................ 32 Table 11. Cancel/replace requests supported by ISE ................................................................... 35 Table 12. Order Cancel/Replace Request message format ......................................................... 35 Table 13. Order Cancel Request message format ........................................................................ 38 Table 14. Order Status Request message format ......................................................................... 39 Table 15. Standard Execution Report message format ................................................................ 42 Table 16. Order Cancel Reject message format ........................................................................... 47 Table 17. Order Reject message format ....................................................................................... 48 Table 18. Nothing Done message format ...................................................................................... 49 Table 19. Drop Copy Trade Report message format .................................................................... 52 Table 20. Resend Request message format ................................................................................. 63 Table 21. News message format ................................................................................................... 63 Table 22. Allocation message format ............................................................................................ 64 Table 23. Allocation message validations ..................................................................................... 66 Table 24. Allocation ACK message format .................................................................................... 66 Table 25. New Order – Multi-Leg message format ....................................................................... 76 Table 26. Instrument leg FIX tags ................................................................................................. 80 Table 27. Order Cancel/Replace Request message format ......................................................... 81 Table 28. Order Cancel Request message format ........................................................................ 83 Table 29. Order Status Request message format ......................................................................... 83 Table 30. Industry terms that are not used by ISE ........................................................................ 92 Table 31. ISE rejection messages ................................................................................................. 93 Table 32. Day One production tests ............................................................................................ 107 Table 33. Key ISE contacts ......................................................................................................... 107
FIX Order Routing Protocol 7
About this document
The International Securities Exchange (ISE) is a U.S. registered exchange that combines electronic trading with auction market principles.
ISE is a member of the Options Price Reporting Authority (OPRA) and is an owner of the Options Clearing Corporation (OCC). ISE sends its quotes and trades to OPRA, and the OCC clears the trades.
The Financial Information Exchange (FIX) protocol is an open message standard that supports the real-time electronic exchange of securities transactions.
FIX can be structured to match the business requirements of each firm.
This document, Product Management FIX Order Routing Protocol:
Supports FIX version 4.1 and 4.2 with FIX 4.3 extensions
Describes only those application messages that are needed to connect to ISE and industry participants
If an application message in Financial Information Exchange Protocol version 4.2 is not included in this document, the message is ignored by ISE.
Provides examples of FIX application messages
Intended audience This document should be used by:
ISE Electronic Access Members (EAM)
Service Bureaus
Clearing Firms
BBO Best Bid and Offer IOC Immediate Or Cancel order
CAB Cabinet order ISE International Securities Exchange
CMM Competitive Market Maker IORS ISE Order Routing System
CMTA Clearing Member Transfer Agreement OCC Options Clearing Corporation
OLA Options Linkage Authority
GTC Good Til Cancelled PMM Primary Market Maker
01 May 2008
Related documents This document should be read in conjunction with:
Document Description Location
Describes the industry standard for broker – institution communication.
www.fixprotocol.org/specifications/
ISE Rules Refer to Chapter 7 for the EAM trading practices.
www.ise.com/legal/pdf/rules.pdf
FIX Protocol Internet site Provides a central repository for FIX documents.
www.fixprotocol.org
Provides a directory of option symbols with a search facility.
http://onn.theocc.com/
www.ise.com
Summary of changes
Issue Date Change
3.9 July 2010 Updated with support for Combo Reserve Order
Support for Sell Short Exempt
3.8 June 2010 Cross Order Step Up
Do-Not-Route Order
Full Order Drop Copy
PrecISE AMR Drop Copy
Stopped Cross Order
Liquidity Indicator Tag 9730
3.6 May 2009 Attributable Orders
Support of up to 6 decimal places on Stock Leg Trades
3.5 October 2008 New Order Cross – Multi-Leg Order Type
Update Cancel/Replace Request with tag StockLegGiveUp(9076)
Add support for spread order preferencing
3.4 May 2008 Integrated FIX Spreads
5 legs on a spread
Add Reserve Order fields to Cancel / Replace message
removed the CPO (Customer Participation Order )
3.3 March 2008 Reserve Orders
Rejection of Stale Orders
SendingTime(52) & TransactionTime(60) must be GMT rather than local time
LastMkt(30) values added on Execution Reports for Stock Legs of Buy-writes
Adding support for MaturityDay(205)
Minor updates & corrections
3.1 15 Jun 2007 Add support for new Client Categories in CustomerOrFirm(204)
3.0 01 Sep 2006 Remove support for IgnoreAwayMarket(9205)
Add support for Firm / Broker Dealer – CustomerOrFirm(204) = 2
Simple Facilitation using New Order Single
01 May 2008
IPSEC Connectivity into Production environment now available
2.9 10 Feb 2006 IPSEC Connectivity into Development environment now available
Native support for Market Day and Market GTC orders
Adjust Trading session times for 16:00 close effective Monday 13 Feb 2006
2.8 10 Oct 2005 Directed Orders approved
Added the PIM (Price Improvement Mechanism)
Added the CPO (Customer Participation Order )
Added the ISE Crossing Orders using FIX 4.3 New Order Cross
2.7 15 Jul 2005 Removed references to automatic cancellation of non-customer orders which improve the BBO for < 10 contracts
Section 2.3.2. “Entering a give-up value”
Removed reference to give-up validation tables
Removed references to Facilitation Orders, which are now supported using the FIX 4.3 New Order Cross message
Added support for Directed and Preferenced Orders
Chapter 1. Connecting to ISE Options FIX
The ISE FIX Order Routing System (IORS) is designed to provide order entry, order management and trade reporting functions for EAMs (Electronic Access Members).
IORS supports Spread Trading, Buy-Writes, and Post Trade Allocations.
IORS does not support quoting and does not provide any market data.
Access to the ISE FIX development environment is free of charge. There are no production session charges for service bureaus. New order routing connections must pass ISE Software Quality Management (SQM)
certification testing before they are permitted into the production marketplace. ISE Member firms and Service Bureaus may use their existing ISE Options network
connectivity for IORS.
1.2. The ISE is an execution point on the following Networks: RCN Business Solutions / Con Ed Communications Verizon Radianz Savvis SFTI / Sector TNS Yipes
1.3. IPSec connectivity to Test & Prod environments The ISE offers a “site-to-site” Cisco-based internet IPSec VPN solution to allow access to our Test & Production systems. The ISE does not charge for this service.
1.4. IP addresses for ISE Options FIX environments
System Public IP Address Radianz NAT Address type
Development 209.140.121.65 206.190.99.62 Virtual IP
Production 209.140.121.173 206.190.99.47 Virtual IP
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Chapter 2. FIX protocol
The Financial Information Exchange (FIX) message protocol supports a variety of business functions.
Member systems use the ISE-modified FIX interface to send order requests to ISE and receive trade executions from ISE, as shown in Figure 1.
Member FIX engine
Exchange System
Figure 1. Using the FIX interface to connect to ISE
The protocol is defined at two levels:
1. Session
2. Application
Each message contains required, optional and conditionally required fields. The fields that are required are based on the presence or value of other fields.
Fields within a message can be defined in any sequence.
The exceptions are:
BeginString
BodyLength
MsgType
CheckSum
General message format of standard header
The header is followed by the body and the standard trailer.
2.1. Standard header A standard header precedes each message.
The header identifies the:
Point of origin and time
The header fields that are required by ISE are provided in Table 1.
Note: The fields that are not included in the table are ignored by ISE.
Table 1. ISE header fields for FIX messages
Tag Field name Required Description
8 BeginString Y Always set to FIX 4.n,
where n is the FIX version that you are using.
This must be the first field in the message.
The version of the incoming FIX message, such as v4.1, is validated against the configured FIX version. If the versions differ, a FIX logout message is sent to the user and the FIX session is terminated.
Errors are normally detected during the FIX logon. Error messages contain the received and expected versions of FIX, for example:
#~ field 58 [ver [4.1] expect [4.2]; refuse session]
9 BodyLength Y Must be the second field in the message.
35 MsgType Y Must be the third field in the message.
Refer to each message section for the MsgType value.
49 SenderCompID Y Three-character code assigned by ISE.
56 TargetCompID Y Always set to ISE.
34 MsgSeqNum Y
This field is required for resend messages.
52 SendingTime Y Must be GMT
122 OrigSendingTime N Conditional field.
This field is required for resend messages. If the data is not available, set the field to the same value as SendingTime.
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2.2. Standard trailer A standard trailer terminates each message.
There is only one trailer field that is required by ISE, as shown in Table 2.
Note: The fields that are not included in the table are ignored by ISE.
Table 2. ISE trailer fields for FIX messages
Tag Field name Required Comments
10 CheckSum Y Three-digit character.
Refer to Financial Information Exchange (FIX) Protocol version 4.2 for information on FIX message format and delivery.
2.3. Rejection of Stale Orders Stale message checking is done on New Order Single and Order Cancel / Replace
Request messages. No checking is done on straight Order Cancel Request messages. TransactionTime(60) is a required field on the New Order Single, Order Cancel Request
and Order Cancel Replace Request messages. TransactionTime(60) must be present or orders will be rejected. The default stale time interval is 15 seconds behind or ahead of the ISE system clock. The ISE can bypass stale message checking for firms not currently sending the required
FIX tag TransactionTime(60) of for firms sending SendingTime(52) and/or TransactionTime(60) in local time rather than GMT.
2.4. ISE Exchange Codes The ISE Exchange (Reuters) Code is Y
The ISE Market Identification Code (MIC) is XISX.
Chapter 3. Order handling
Application messages are used to electronically transmit and receive business data.
ISE supports these FIX functions:
News (type B)
New Order Multileg – Cross (type As)
Refer to Chapter 4 for the message format specifications.
3.1. Trading sessions for FIX orders in Production
The sessions and times for regular day trading at ISE are listed in Table 3.
Table 3. ISE trading sessions for FIX orders
Time (EST) Session FIX status Activity
06:00 – 09:29 Pre-open Available You can send orders with:
An order type of Market or Limit
A time-in-force of Day, IOC, FOK or GTC
A client category of Customer, Firm or CUST BD
You cannot send orders with:
An order type of CAB or Facilitation
A client category of CUST MM
09:30 – 15:59 Open Available The market is open and executes marketable orders.
16:00 – 17:59 Post-open Available The market is closed.
You can receive order status, cancel orders and adjust trades.
You cannot send new orders and cancel/replace orders. These actions will be rejected.
ISE Market Control can adjust trades during the Post-Open.
18:00 – 06:59 Closed Unavailable The server is unavailable and does not accept messages.
01 May 2008
3.2. FIX Development system availability – business days
Time (EST) FIX status Comment
04:00 – 09:30 Available Static prices, No support
09:30 – 16:00 Available Select underlyings are quoted, support available
16:00 – 23:00 Available Static prices, No support
23:00 – 02:00 Unavailable / Down System is down for End-of-Day processing
3.3. Supported orders The orders that are supported by ISE are summarized in Table 4.
Table 4. Orders supported by ISE
Attribute ISE supports these values Notes
Order type Market (MKT)
Time-In-Force Immediate Or Cancel (IOC)
Fill Or Kill (FOK)
Good-Til-Cancelled (GTC)
DAY orders expire at the end of the trading day unless they are executed, canceled, or deleted before that time.
If the Time-In-Force value is not provided, the field parameter defaults to DAY.
Execution
Instruction
ISE supports ISO DAY, ISO GTC, and ISO IOC.
ISE special order types
ISE special order types
Complex Orders
Buy-Writes & Delta Neutral
Complex Crossing Orders
3.4. Specifying non-default clearing information Important: CMTA and give-up values can be specified on the same order.
Do not specify your default clearing firm as CMTA or GiveUp.
Table 5. Tags for non-default clearing information
Field Description Use
ClearingFirm (tag 439)
ExecBroker (tag 76)
ClearingAccount (tag 440)
Provides sub-account information for Far Away Market Maker (FARMM) orders.
Sends the information to OCC.
Text (tag 58) EAMs can use the Optional Data field to include identifying information about an order.
Sends information(first 15 characters) to OCC in the OCC 410 Matched Trade Record.
3.4.1. Entering a CMTA code
To specify a CMTA value, you need to use ClearingFirm (tag 439).
Notes:
OCC must be advised that a CMTA agreement will be used by your firm at ISE
If OCC is not aware of your CMTA agreement, your firm’s trades will clear through your default account.
The ClearingFirm (tag 439) is copied onto an execution
Do not use these fields to insert trade identification codes. A copy of these trades is sent to the specified CMTA member.
If a CMTA code was specified in the original order, a Cancel/Replace request must also specify the CMTA code, or the CMTA information will not be carried over.
3.4.2. Entering a Give-Up value
To specify a give-up value, you need to use ExecBroker (tag 76).
Members use the GiveUp field when they want to clear a specific trade through their customer’s clearing account.
If your firm enters a give-up clearing firm on an order and that order is executed, the give-up clearing firm receives the Drop Copy Trade Report. Your default clearing firm does not receive the Drop Copy Trade Report.
Note: If a give-up value was specified on the original order, a Cancel/Replace request must also specify the give-up value. Otherwise, the give-up value will not be carried over.
3.4.3. Understanding the ClearingAccount field
CustomerOrFirm (tag 204) = 5 identifies Customer/Market Maker orders in FIX
Sub-account must be specified on FARMM orders in ClearingAccount (tag 440)
The ClearingAccount (tag 440) is copied onto an execution
If the sub-account is missing, invalid or not registered at the OCC, the trade will clear as Customer.
Sub-account is an UPPERCASE alphanumeric value.
Note: The ISE FIX engine will pass the first four characters of ClearingAccount (tag 440), including imbedded spaces, on to the ISE Central Exchange system for
01 May 2008
processing and will report the full four characters to OCC in the OCC 410 Matched Trade record.
For example, a sub-account similar to XD B would be passed on intact.
3.4.4. Using the SenderSubId field to route orders
It is possible to route orders to ISE on behalf of multiple EAMs over one FIX connection using the SenderSubId field (tag 50).
This feature is useful for service bureaus, which are not ISE members, but can route orders on behalf of ISE members.
For a service bureau to route an order, the:
1. ISE assigns a SenderSubId value to the service bureau.
The value is based on the three-letter ISE acronym for the EAM.
2. Service bureau opens one connection to the ISE FIX engine.
3. FIX engine uses the SenderSubId value to log on to the ISE central trading system as the EAM.
For example:
Service bureau sets tag 50 to ABC to send orders as EAM ABCAE, which are cleared by Firm 123
Service bureau sets tag 50 to XYZ to send orders as EAM XYZAE, which are cleared by Firm 456
3.4.5. Using the Text field to send optional data to OCC
The Text (tag 58) value is passed to OCC in the Optional Data field of the OCC 410 Matched Trade Record.
Firms can use tag 58 to pass identifying information about an order to OCC, via the ISE Central Exchange System. Please note that only the first 15 characters is passed to OCC and returned back.
If tag 58 is not supplied, the ClOrdId value is inserted into the Optional Data field on the clearing trade report.
Use this logic to determine the value of the Optional Data field that is sent to OCC:
IF TEXT (tag 58) was supplied,
then the first 15 characters of Text is placed in the order and in the Optional Data field
ELSE
the first 15 characters of ClOrdId (tag 11) will be in this field
Note: If a Text (tag 58) value was specified on the original order, a Cancel/Replace request must also specify the Text value.
Otherwise, tag 58 will not be carried over.
3.4.6. Understanding the Text field on the Drop Copy Trade Report
The Drop Copy Trade Report is sent to ISE members after their trades are executed at ISE. The sources of these orders and how they use the Text field (tag 58) are described in Table 6.
Note: Firms that use the Drop Copy feature might receive trades that originated from all three sources.
Table 6. Text value on Drop Copy Trade Report
Order source Text field contains…
FIX The first 15 characters of free text if it was supplied on the original order. Otherwise, ClOrdId is used.
PrecISE INFO field on order entry window
OM Open Interface (API)
Free text if it was supplied on the original order.
No value if it is a quote.
3.5. Understanding the Symbol, MaturityMonthYear, and MaturityDay fields
The Symbol and MaturityMonthYear fields are described in Table 7.
Table 7. Symbol and MaturityMonthYear field descriptions
Field Description Notes
Symbol (tag 55)
Contains the OCC option symbol for a series, and specifies the implicit expiration year.
The OCC symbol:
Does not provide the underlying symbol
Does not provide the OPRA code
Does not specify the expiration month (refer to the MaturityMonthYear field)
For example:
MaturityMonth Year (tag 200)
Provides the expiration month and year in the yyyymm format.
You must provide the full string.
As a result of Options Symbology Initiative(OSI) implementation, tag 200 must be used in conjunction with tag 205(MaturityDay) for full validation.
If there is a discrepancy, the order will be rejected.
MaturityDay (tag 205)
Provides the expiration day of the month in the dd format
Day of month used in conjunction with MaturityMonthYear(200) to fully specify the maturity date for options. valid values: 1 thru 31
01 May 2008
3.6. Sending a Block order using New Order Single An EAM can use this mechanism to obtain liquidity from market participants.
Table 8. Fields that support Block orders
Field Description Type Value
9203 ExposureFlag Multiple
“E” = Expose All
"Q" = Quantity
"I" = Instruction (Buy/Sell)
“E” and “H” are mutually exclusive
Neither “E” nor “H” may be used with “Q”, “T”, “I”, “P”, “B” or “C”
Any invalid value will be rejected
The order entry rules are:
The Block order must be for a minimum number of contracts. The Block Order Minimum Size is an exchange configurable parameter, which is currently set to 50 contracts.
The order must specify a limit price
The order must have a Time-In-Force (TIF) or validity time of FOK
Block orders cannot be altered.
A Block order can be canceled at any time before the Block Order Response Time expires. The Block Order Response Time is an exchange configurable parameter, which is currently set to 1 second.
Block orders can be marked as ISO using Tag 18 with a value of “f”.
An ISE Block Order is an order for 50 contracts or greater that, when entered, enables potential contra-sides to view certain terms of the order that the entry firm would like revealed (buy/sell, size, price, etc.). The order broadcast is sent to market makers and other "interested parties" who are then able to respond. The idea is to replicate behavior on the floors for larger (50 or greater) orders in seeking liquidity. The specific ISE rule is number 716, which is located under the Regulatory tab at www.ise.com.
3.7. Attributable Order An Attributable Order is an order that displays the sending firm’s attributes such as Member ID, CMTA and/or Give Up, etc, if originally populated on the order. Use of this functionality is strictly voluntary.
A firm may also request to be enabled for the opt-in feature which marks all orders as attributable.
The following order types support Attributable Order.
New Order Single (Including Block Order, please see Section 3.6)
New Order Cross (Facilitation and Solicitation)
New Order Multileg
Please note that customer information is visible only during the initial exposure period.
An Attributable Order cannot be altered to be non-attributable, and vice versa.
If tag 9203 is specified with “H” with any other values, the order will be rejected.
Cabinet and PIM orders are not supported.
Valid values for Tag 9203, or ExposureFlag
Tag Field Name Type Usage
9203 ExposureFlag Multiple
"Q" = Quantity
Any invalid value will be rejected
The following table shows the supported tag 9203 and Opt-in values for each applicable order types.
Order Type Values Accepted in FIX Tag 9203
Regular H, C, G, M
Block H, P, Q, I, T, B, C, M, G, E
Crossing H, C, G, M
Complex H, C, G, M
01 May 2008
3.8. Simple Facilitation Order using New Order Single
Facilitation orders allow an EAM to execute their own block size agency orders as principal.
A Facilitation order can be canceled at any time before the Facilitation Order Response Time expires. The Facilitation Order Response Time is an exchange configurable parameter, which is currently set to 1 second.
Facilitation orders cannot be altered.
3.9. Cross Order Step Up A Step Up (Hidden) Price can now be specified on Crossing orders which constitutes a maximum price, beyond the original specified premium crossing price that upon improved responses, will permit the cross price to be improved, providing the opportunity for the original cross to take place. A market price can be entered in the Step Up(Hidden) Price to auto-match all responses.
Applicable order types:
New Order Multileg Cross (35=As, Facilitation, or PIM)
A new custom FIX tag 9044(StepUpPrice) can be used to specify the step up price on FIX Cross order messages.
Tag Field name Req’d Comments
9044 StepUpPrice N Specifies the step up price on Crossing order.
Rules for sending Step Up Crossing Order:
StepUpPrice(Tag 9044) must contain a number or the order will be rejected.
StepUpPrice(Tag 9044) must be better than original cross price (Tag 44) or the order will be rejected.
StepUpPrice cannot be modified with a Cancel Replace Request.
Tag 9044 will not appear in the returning Execution Report messages.
Field Description Type Value
C – Customer Match Order
9204 BrokerPct Int Optional, Default value = 40 (%)
Numeric 0 40
3.10. Stopped Cross Order A Stopped Cross is a guarantee to the customer that, at the time the cross was put together, the requested (stopped) price was at or within the NBBO.
A firm entering a Stopped Cross order is not required to sweep the away markets; this is in contrast to an ISO Cross order, which implies that the firm has, or will sweep the away markets.
Only Solicitation and Facilitation orders are allowed to be entered as Stopped Cross.
Stopped Cross orders can be sent by using a combination of three FIX tags – 18(ExecInst), 1092(PriceProtectionScope), and 168(EffectiveTime).
Tag 168 (EffectiveTime) is a new FIX tag added to indicate the time the stopped price was agreed upon. It is defined as a UTC Timestamp, and must be specified in one of the following formats, with colons, dash and period required.
YYYYMMDD-HH:MM:SS (whole seconds)
18 ExecInst Y f – Intermarket Sweep Order (ISO)
168 EffectiveTime Y Used only on Stopped Cross Order.
Defined as a UTC Timestamp in either of the following formats:
1 – Ignore Away Market
Rules for Stopped Cross orders:
Stopped Cross time cannot be altered, and will be rejected if it contains an invalid UTC Timestamp.
PIM order is not supported.
3.11. Sending Cabinet orders EAMs enter Cabinet (CAB) orders to liquidate worthless options positions. CAB orders are routed to the PMM, who executes the order for a total value of $1.00 per trade. CAB orders may only be entered during Market Open state.
The fields that support CAB orders are listed in Table 9.
01 May 2008
Table 9. Fields that support CAB orders
Field Description Value
0 – Day
1 – GTC
OMX API - account_type_c CustomerOrFirm(204) ISE Priority Clears at OCC
1 – Customer 0 – Customer Cust Cust
2 – Proprietary - Firm 1 – Proprietary - Firm Non-cust Firm
14 – Broker/Dealer - Firm 2 - Broker / Dealer – Firm Non-cust Firm
6 – Broker/Dealer – Cust 3 – Broker / Dealer – Cust Non-cust Cust
3 – ISE Market Maker 4 – ISE Market Maker Non-cust MM
4 – Far Market Maker 5 – Far Market Maker Non-cust MM
10 – Proprietary - Customer 7 - Proprietary - Customer Non-cust Cust
15 – Customer Professional 8 – Customer Professional Non-cust Cust
3.13. Ignore Away Market Orders A linkage exemption, Ignore Away Market(IAM) permits users the ability to flag a FIX order to ignore away prices and trade report to OPRA as a generic trade through exemption “X”.
Applicable FIX message types:
Order Cancel Replace Request
Rules for Ignore Away Market orders:
Non IAM orders cannot be altered to be an IAM order.
Cabinet and PIM orders are not supported.
Ignore Away Market(IAM) orders FIX tag
1092 PriceProtectionScope N Valid Value:
3.14. Order Preferencing Order preferencing allows an Electronic Access Member (EAM) to specify a market maker to get a preferred allocation when executing against the book. If, upon entry, the preferenced order trades with the book AND if the preferred market maker is present at the ISE BBO, then that market maker will receive an enhanced share. Otherwise, it is treated as a regular order. Preferenced orders retain the same order characteristics and away-market rules as regular orders. If the preferred market maker is not quoting at the National BBO, then preferencing will have no effect.
Single and Complex order types are currently eligible to be preferenced.
Cabinet, Block, and Crossing order types are not eligible to be preferenced.
A new 5 character data element, Tag 7901, ExecutingParticipantID, will be used to identify a preferenced order and the receiving market maker. Characters 1-3 designate the receiving party (ISE market maker’s 3-letter acronym), and characters 4-5 are set to ‘PR’ to indicate preferencing.
One (1) new custom FIX tag has been defined for use in the New Order – Single transaction:
Tag # Tag Name Data Type
Usage
7901 ExecutingParticipantID String Always 5 characters, no imbedded spaces
3.15. Directed Orders An EAM may direct an order to a Market Maker which can “PIM” it at an improved price. PIM is the ISE’s Price Improvement Mechanism. Tag 7901, ExecutingParticipantID, will be used to identify a Directed Order and the receiving market maker. Characters 1-3 designate the receiving party (ISE market maker’s 3- letter acronym), and 4-5 are set to ‘DO’ to indicate Directed Order.
Spread Orders cannot be sent as Directed Orders.
3.16. Reserve Orders Members that hold large size orders and want to minimize market impact can utilize this new order type. A Reserve Order can be of either Single or Multileg order, but is a single-sided order containing two parts:
Displayed Quantity
Hidden Quantity
The Displayed Quantity of the order will behave exactly like a regular order and would trade in accordance with ISE’s standard allocation rules, i.e., time priority for customers and pro-rata for non-customers. The hidden quantity will trade only after all displayed quantity for all orders and quotes at that price level are traded out. Hidden Quantities for multiple orders at a price level will trade according to our standard allocation rules.
The Displayed Quantity will be refreshed at the conclusion of the match against an incoming order. The Refresh Quantity can be static or random, and the Displayed Quantity can be refreshed after partial or full execution.
DisplayRange Contains the quantity used to calculate the upper and lower boundaries of the random quantity to be displayed at refresh. The random display quantity is generated within the range
(MaxFloor minus DisplayRange) to (MaxFloor plus DisplayRange).
Example: MaxFloor = 200 and DisplayRange=30
In this case a random number between 170 and 230 will be generated each time the displayed quantity is refreshed.
3.16.1. FIX Implementation
Presence of MaxFloor(111) on New Order Single or New Order Multileg indicates Reserve Order.
Rule: Zero < MaxFloor(111) < OrderQty(38)
If MaxFloor(111) = 0, then order is treated as non-reserve order.
DisplayRange(8020) is an optional FIX tag indicating the Quantity to add to or subtract from Display Quantity to allow for a random display amount.
Omit this tag if the Random Refresh function is not to be used on this order.
Rule: Zero < DisplayRange(8020) < MaxFloor(111)
Rule: DisplayRange(8020) <= OrderQty(38) - MaxFloor(111)
DisplayWhen(1083) is an optional FIX tag indicating when the Display Quantity of a reserve order should be refreshed:
Immediate - Immediately when traded, i.e., after each partial fill
Exhaust - only when the Displayed Quantity has been fully filled
If DisplayWhen(1083) is omitted, the default behavior is Exhaust
FIX Tags & Values
Tag Tag Name Req’d Usage Description
38 OrderQty Yes Total Quantity Total Quantity of the order (existing field)
111 MaxFloor Yes Display Quantity Quantity to display with each refresh
( Required for Reserve Orders only )
8020 DisplayRange No Random Refresh Quantity
Quantity to add to or subtract from Display Quantity to allow for a new, random Display Quantity
Omit this tag if the Random Refresh function is not to be used)
1083 DisplayWhen No
Instruction to determine when the Displayed Quantity should be refreshed
1 – Immediate (after each fill )
2 – Exhaust (after entire Displayed Quantity is filled)
If DisplayWhen(1083) is omitted, the default behavior is Exhaust
3.16.2. Additional order entry rules:
Permitted in all series states
Must be type “Limit” (market orders are rejected)
The time-validity must be Day or GTC
The order may preference a market maker
The order may not be directed
Order will be rejected if tag 111 and 8020 are present and do not contain numbers.
Order will reject if tag 1083 is present and does not contain valid values.
Can be Cancel/Replaced.
3.17. Minimum Quantity/Matched Increment Orders The Minimum Quantity order is an IOC order where 0 < Minimum Quantity < Order quantity. This order must be executed for, at least, the specified minimum quantity. Any remaining order quantity will be canceled. If the minimum quantity cannot be filled, the order is cancelled.
A Matched Increment order is a Day or GTC order where 0 < Minimum Quantity < Order quantity. This order can rest on the book, but any executions must be for, at least, the specified minimum quantity. Once the remaining quantity is less than the minimum quantity, the order is treated as an AoN.
Rules for Minimum Quantity/Matched Increment Orders:
Applicable only to New Order Single
May be Stop Limit orders, but cannot be Stop Market orders.
01 May 2008
May be Preferenced.
Cannot be Directed.
Minimum Quantity must be greater than zero (0) and less than the total order Quantity otherwise the order will be rejected.
Matched Increment orders maybe canceled or altered. However, a regular order may not be changed to a Matched Increment order, nor may a Matched Increment order be changed to a regular order.
Minimum Quantity/Matched Increment orders FIX tag
110 MinQty N Specifies minimum number of contracts desired for execution
3.18. Qualified Contingent Cross Order A Qualified Contingent Cross order is a new special order type which allows an options cross order of 1000 contracts or more to be printed upon entry with the stock component traded by the member away from the ISE.
The cross must be priced at or better than NBBO.
To support the Qualified Contingent Cross Orders via the FIX interface, the following new value for Tag 9202 (SpecialOrdType) has been introduced.
Tag Field Name Usage
Required for QCC order
For informational purposes, the following optional FIX tags have also been introduced to specify the delta, quantity and price of a stock trade associated with a QCC order. The order message can include none, or any of these tags. Please note that if used, these tags should appear in the main body of the message, and not within the legs or sides repeating group.
Tag Field Name Usage
879 UnderlyingQty Traded quantity of the stock trade associated with the QCC order.
Optional for QCC order
810 UnderlyingPx The price at which the stock trade associated with the QCC order is traded.
9811 PriceDelta The delta of the stock trade associated with the QCC order.
New Order Cross (35=s)
New Order Multileg (35=AB)
New Order Cross – Multileg (35=As)
Rules for QCC order entry via FIX:
Must have an order type of Limit.
Must be marked with Time-in-Force of Day(59=0).
QCC orders cannot be canceled or modified via FIX.
For QCC orders entered as New Order Cross (35=s), the entered price must contain a non-negative number.
Must NOT contain a stock leg for New Order Multileg(35=AB) and New Order Cross – Multileg(35=As)
01 May 2008
3.19. Do-Not-Route Order The optional Do-Not-Route Order feature allows an order to be executed in whole or in part on ISE. Any portion not executed is either posted on ISE without routing to another exchange or cancelled if the order locks/crosses the away markets.
Applicable order types:
New Order Single
18 ExecInst N h – Do-Not-Route order
Rules for sending Do Not Route Order:
Non Do Not Route order cannot be altered to be a Do Not Route order, or vice versa.
Tag 18 containing both the values “h” and “f” will be rejected.
Chapter 4. Order functions
This chapter describes the functions that are used to transmit order data.
4.1. New Order – Single The New Order – Single message is used to electronically submit options orders. The valid field values are defined in Table 10.
An order will be rejected if it contains unsupported values.
ISE does not support these values:
Order type
01 May 2008
Table 10. New Order – Single message format
Standard Header Y MsgType = D
11 CIOrdID Y Unique identifier of the order, which is assigned by the member. This value has a maximum of 37 characters.
18 ExecInst N G – All Or None (AON)
f – Intermarket Sweep Order (ISO)
h – Do-Not-Route order
21 HandlInst Y Required by FIX protocol, but ignored by ISE.
38 OrderQty Y Number of contracts specified on the order.
40 OrdType Y Order type.
The valid values are:
7 – Limit or Better (handled as Limit)
44 Price N Required for limit OrdType.
For limit orders, this value must be the limit price. For Cabinet orders, the price must be zero.
50 SenderSubId N Assigned value that identifies the message originator.
54 Side Y Order side. The valid values are:
1 – Buy
2 – Sell
For Cabinet orders, the side must be 2 (sell).
55 Symbol Y OCC options symbol for a series.
58 Text N Additional information about the order. Only first 15 characters passed to OCC.
59 TimeInForce N Specifies how long the order remains in effect. If this field is blank, the value is interpreted as DAY.
ISO orders can only be sent as Day, GTC, or IOC.
3 – Immediate Or Cancel (IOC)
4 – Fill Or Kill (FOK)
60 TransactTime Y Time of execution/order creation expressed in UTC (Universal Time Coordinated), also known as "GMT"
The format is: yyyymmdd and hhmmss
76 ExecBroker N Provides give-up information.
It must be a numeric value between 1 – 999.
77 OpenClose Y The valid values are:
O – Open
C – Close
For FARMM orders, this value must be O (open). For Cabinet orders, this value must be C (close).
99 StopPx N Required for OrdType = “Stop” or “Stop Limit”.
111 MaxFloor N Display Quantity. Required for Reserve Order only.
167 Security Type Y Must be OPT for option.
168 EffectiveTime Y Used for Stopped Cross Order only.
YYYYMMDD-HH:MM:SS.sss (milliseconds)
200 MaturityMonthYear Y Expiration month and year in the yyyymm format.
201 PutOrCall Y Indicates whether an option is a put or call.
202 StrikePrice Y Strike price for an option.
The valid values are: 0 – 99999999.9999 (the number of decimal places might vary and is not limited to four).
204 CustomerOrFirm Y The valid values are:
0 – Customer
1 – Proprietary-Firm
8 – Customer Professional
205 MaturityDay N Day of month used in conjunction with MaturityMonthYear(200) to fully specify the maturity date for options. valid values: 1 thru 31
439 ClearingFirm N Provides CMTA information.
It must be a numeric value between 1 – 999.
440 ClearingAccount N OCC sub-account.
This is a required value for Customer MM orders.
It must be an UPPERCASE alphanumeric value, with a maximum of five characters. A three-character value is generally used.
1083 DisplayWhen N Instruction to determine when the Displayed Quantity should be refreshed
9202 SpecialOrdType N Special order type value.
9203 ExposureFlag N One or more space delimited values for Regular orders:
"H" = Hide All ( Default Behavior )
“C” = Customer ID
"Q" = Quantity
“B” = Broker Percentage
“C” = Customer ID(Attributable Order, can be used alone on other order types)
You can use a single or combination value.
9204 BrokerPct N Numeric value 0 40, with default value = 40
Facilitation orders only
9044 StepUpPrice N Specifies the step up price on Simple Facilitation order.
9861 BranchSeqNbr N Additional information entered here. First 20 characters will be passed on to OCC.
1 Account N Optional field.
Standard Trailer Y
4.2. Order Cancel/Replace Request The Order Cancel/Replace Request message is an atomic transaction that is used to change the parameters of an existing order. The Open Quantity field on an order is checked before the Cancel/Request is completed.
This request is used to change any valid attribute of an open order, for example:
reduce or increase quantity – OrderQty(38)
change limit price – Price(44)
change OCC sub-account - ClearingAccount(440)
This request may not be used to change the series or Side(54)
An order loses its priority on the orderbook if the quantity is increased or the price is changed.
For Multi-Leg Orders ( Spreads )
The price can be debit, credit or even. If you change the price, the entire multileg order is cancelled and a new order is sent with the changed price.
Important: Do not use this message to cancel the remaining quantity of an outstanding order. If you need to cancel the quantity of an outstanding order, use the Order Cancel Request message.
This message cannot be used to re-open a filled order by increasing the OrderQty value.
Block orders can only be canceled. They cannot be canceled and replaced.
The cancel/replace requests that are supported by ISE are listed in Table 11.
Table 11. Cancel/replace requests supported by ISE
Cancel/Replace action Priority on the orderbook
Limit to Market Lost
Quantity decrease Maintained
Quantity increase Lost
The field values for the Cancel/Replace Request message are defined in Table 12.
Table 12. Order Cancel/Replace Request message format
01 May 2008
Standard Header Y MsgType = G
11 CIOrdID Y Unique identifier of replacement order, which is assigned by institution.
Note: If the replacement request is rejected, this identifier is used in the CIOrdID field of the Cancel Reject Message.
18 ExecInst N G – All Or None (AON).
f- Intermarket Sweep Order (ISO)
This value must be specified if it was on the original order and needs to be carried over.
AON to non-AON alter and vice versa are supported
21 HandlInst Y Required by FIX protocol, but ignored by ISE.
38 OrderQty Y OrderQty is required.
Should be the “total intended order quantity” (including the amount already executed for this chain of orders).
40 OrdType Y Order type of the original order.
41 OrigCIOrdID Y CIOrdID of the order that needs to be changed.
This is not the initial order of the day.
44 Price N Limit price of the original order.
54 Side Y Must match original order. The valid values are:
1 – Buy
2 – Sell
Must match the original order.
58 Text N Additional information about the order.
This value must be re-specified if it was on the original order and needs to be carried over.
59 TimeInForce N Absence of this field indicates DAY order.
76 ExecBroker N Provides give-up information.
O – Open
C – Close
167 SecurityType Y Must match the original order.
Must be OPT for option.
Must be MLEG for Multi-Leg orders
555 NoLegs Y Must match the original order.
Component block <InstrumentLeg>
Y Must match the values and the delivery sequence of the original order.
200 MaturityMonthYear Y Must match the original order.
Expiration month and year in the yyyymm format.
201 PutOrCall Y Must match the original order. The valid values are:
0 – Put
1 – Call
202 StrikePrice Y Must match the original order.
204 CustomerOrFirm Y The valid values are:
0 – Customer
5 – Far Market Maker
111 MaxFloor N Display Quantity. Required for Reserve Order only.
1083 DisplayWhen N Instruction to determine when the Displayed Quantity should be refreshed
8020 DisplayRange N Random Refresh Quantity for Reserve Order
Non IAM orders cannot be altered to be an IAM order
439 ClearingFirm N Clearing Member Transfer Agreement.
440 ClearingAccount N Sub-account.
9076 StockLegGiveUp N For Complex order with Stock Leg:
Provides give-up information for Stock Leg only
It must be a 5 character text string, ie MPIDX
Contact [email protected] for allowable values
Standard Trailer Y
01 May 2008
4.3. Order Cancel Request The Order Cancel Request message cancels the remaining quantity in an existing order.
Note: The Order Cancel/Replace Request should be used to reduce the quantity on an order.
The valid field values for the Order Cancel Request message are defined in Table 13.
Table 13. Order Cancel Request message format
Standard Header Y MsgType = F
11 CIOrdID Y Unique identifier of the cancel request, which is assigned by institution.
41 OrigCIOrdID Y CIOrdID of the order that needs to be canceled.
38 OrderQty Y Number of open contracts that will be canceled.
54 Side Y Must match the original order.
OCC option symbol for a series.
167 SecurityType Y Must be OPT for option.
Must be MLEG for multi-leg order.
555 NoLegs N Multi-Leg orders only
must match the original order.
N Multi-Leg orders only –
Must match the values and the delivery sequence of the original order.
201 PutOrCall Y Must match the original order.
This value indicates whether the option is a put or a call. The valid values are:
0 – Put
1 – Call
Standard Trailer Y
4.4. Order Status Request The Order Status Request message generates an order status message, which is sent to the user.
The valid field values for the Order Status Request message are defined in Table 14.
Table 14. Order Status Request message format
Standard Header Y MsgType = H
11 CIOrdID Y The ClOrdID of the order being requested.
54 Side Y Must match the original order.
55 Symbol Y OCC option symbol for a series.
167 SecurityType Y Must be OPT for single option or MLEG for complex option
555 NoLegs N Multileg Orders only - Must match the original order.
201 PutOrCall Y Must match the original order.
This value indicates whether the option is a put or a call. The valid values are:
0 – Put
1 – Call
Standard Trailer Y
01 May 2008
Chapter 5. Execution reports
This chapter describes the reports that are sent to ISE members when their trades are executed at ISE or rejected by ISE.
Execution reports do not replace the end-of-day confirmation
Reports are only sent if the order was originally entered via the same FIX connection
To change trades, ISE reverses the previous trade and replaces it with a new trade
5.1. Standard Execution Report Standard Execution Reports are sent to firms that use FIX Order Entry connections.
Spread executions are reported as individual FIX Execution Reports per leg.
The Standard Execution Report message:
Confirms the receipt or rejection of an order
Confirms the changes to an existing order
Provides order status information
Provides information on trade busts and adjustments
Trade busts or adjustments are performed independently of the order. Busting a trade does not recreate an order or add the quantity to an open order.
Trades are adjusted by sending a bust, followed by a new trade. Adjusting a trade does not affect the open quantity of an order.
If an order exists in more than one state simultaneously, the FIX engine determines the value with the highest priority and reports that value in the OrdStatus field (tag 39).
For example, before a cancel request is accepted, it is possible to return an OrdStatus=Pending Cancel and ExecType=Partially Filled/Filled on the execution report if the cancel request is submitted for an order that becomes filled or partially filled.
Please Note: For a 2-legged spread, it is possible to receive one "Complete" Trade message (39=2) on the 1st leg, but, on the 2nd leg, received a Partial Trade message (39/150=1) and then another message for the Complete (39/150=2). In other words, it is possible to receive one trade message for one leg, and two trade messages for the other.
With the R10 release of ISE’s Central Exchange System, we will be able to differentiate between Attachment 2 & 9B on the Stock Legs of Buy-writes as Follows:
LastMkt(30) Description Availability
01 May 2008
Table 15. Standard Execution Report message format
Standard Header Y MsgType = 8
1 Account N as specified on the order.
11 CIOrdID Y Unique identifier of the order.
This value uses the ID from the original order.
For New Order Cross Multileg, this tag will contain the value of ClOrdID for each side.
41 OrigCIOrdID N CIOrdID of the modified/canceled order.
17 ExecID Y Unique identifier for each Execution Report message.
18 ExecInst N If specified on the order
19 ExecRefID N Required for Cancel messages, which are indicated by the ExecTransType value.
This field contains the ExecID value of the trade that needs to be canceled.
20 ExecTransType Y Identifies the trade type.
ACT = NYFIX ACT / Attachment 2
13 = NYFIX Millennium ATS / 9B
31 LastPx Y Price of the last fill.
This field is not required for ExecTransType = 3 (Status).
The valid values are: 0 – 99999999.999999
Note that the number of decimal places might vary, e.g. Stock leg execution report may return up to 6 decimals while Options execution report will return only up to 4 decimals
32 LastShares Y Quantity of bought/sold contracts on the last fill.
This field is not required for ExecTransType = 3 (Status).
The valid values are: 0 – 1000000000
37 OrderID Y ISE internal reference code
40 OrdType Y Order type that is specified on the order.
44 Price N Limit price, if specified on the order.
54 Side Y Side that is specified on the order.
2 – Sell
55 Symbol Y OCC option symbol for a series that is specified on the order.
58 Text Y
59 TimeInForce N Specifies how long the order remains in effect, as specified on the order.
60 TransactTime N Date and time of execution/order creation (expressed in GMT).
O – Open
C – Close
99 StopPx N Stop price, if specified on the original order.
111 MaxFloor N Display Quantity for Reserve Order only.
167 SecurityType Y MLEG for multi-leg order.
200 MaturityMonthYear Y Expiration month and year in the yyyymm format, as specified on the order.
168 EffectiveTime Y Only for Stopped Cross Order.
YYYYMMDD-HH:MM:SS.sss (milliseconds)
201 PutOrCall Y As specified on the order. The valid values are:
0 – Put
1 – Call
202 StrikePrice Y Strike price for the option, as specified on the order.
Valid values are: 0 – 99999999.9999 (the number of decimal places might vary and is not limited to four).
204 CustomerOrFirm Y Customer type that is specified on the order. The valid values are:
0 – Customer
150 ExecType Y Describes the order execution. The valid values are:
01 May 2008
0 – New
8 – Rejected
E – Pending Cancel/Replace (for FIX v4.2)
39 OrdStatus Y Current status of the order. The valid values are:
0 – New
8 – Rejected
E – Pending Cancel/Replace (for FIX v4.2)
38 OrderQty Y Number of options that were ordered. Valid values are 0 – 1000000000
151 LeavesQty Y Number of options that are open for further execution. Valid values are 0 – 1000000000
If OrdStatus is Canceled or Rejected (no longer active), then LeavesQty = 0.
Otherwise, LeavesQty = OrderQty – CumQty
Valid values are 0 – 1000000000
6 AvgPx Y Weighted average price that is calculated based on the fills of the order.
Valid values are 0 – 99999999.999999
The number of decimal places can vary. e.g. Stock leg execution report may return up to 6 decimals while Options execution report will return only up to 4 decimals
378 ExecRestatementReaso n
The exchange has initiated a partial cancel.
442 MultilegReportingType Y Indicates the type of Execution Report.
For example, option strategy, spreads and so on.
3 – Multi-leg security
424 DayOrderQty N For GTC orders:
DayOrderQty = OrderQty – (CumQty – DayCumQty)
DayOrderQty is the OrderQty minus the contracts that were traded on previous days.
425 DayCumQty N The number of contracts on a GTC order that have traded today.
426 DayAvgPx N The average price of contracts on a GTC order that have traded today.
548 CrossID N For New Order Cross Multileg only. Unique identifier of the order, which is assigned by the member. This value has a maximum of 37 characters.
549 CrossType N For New Order Cross Multileg only. 1 - Solicitation or Customer Match Order 2 – Facilitation
01 May 2008
9861 BranchSeqNbr N Contains information if entered on order.
9205 DealSource Y For fills only. The valid values are:
100 = Traded during rotation
103 = Cabinet trade
106 = Derived order
110 = Facilitation originating order
111 = Facilitation counter order
113 = PIM counter order
123 = EO price improved
126 = Away Market Better (AMB) locked exposed order
127 = AMB locked exposed order response
151 = ISO order
153 = Trade resulting from stop order
156 = Trade resulting from IAM (Ignore away markets) order
9730 LiquidityIndicator Y For fills only. The following valid values will be sent:
X - undefined
M - Maker
T – Taker
H – Hidden
O – Opening
C – Cross
R - Response
5.2. Order Cancel Reject The Order Cancel Reject message is used when an Order Cancel Request or Order Cancel/Replace Request cannot be honored.
Message requests that change the price or quantity of an order are only performed when an outstanding quantity exists. Filled orders cannot be changed.
A Cancel Order Request might be rejected if the order was not found or if the order does not exist because it was already filled.
The valid field values for the Order Cancel Reject message are defined in Table 16.
Table 16. Order Cancel Reject message format
11 CIOrdID Y Unique identifier of the request, which is assigned by the institution.
39 OrdStatus Y This value is applied after the Cancel Reject function has completed.
41 OrigCIOrdID Y CIOrdID of the order that cannot be canceled or replaced. This value does not apply to the initial order of the day.
102 CxlRejReason N
58 Text Y Reason for rejecting the Cancel Order Request.
434 CxlRejResponseTo Y This value is supported by FIX v4.2.
Identifies the type of request to which the Cancel Reject is responding.
1 – Order Cancel Request
2 – Order Cancel/Replace Request
5.3. Order Reject The Order Reject message is used when an order does not contain valid data and cannot be processed.
If a New Order Multileg cannot be parsed by ISE’s FIX server, a single reject will be sent for the entire order.
If a New Order Multileg message is valid, but the OMX Central Exchange System rejects one or more of the legs, one reject message will be sent per leg.
If a New Order Cross Multileg message is rejected, a reject message will be sent for each leg on the Originating side only.
The valid field values for the Order Reject message are defined in Table 17.
Table 17. Order Reject message format
11 CIOrdID Y Unique identifier of the order.
This value uses the ID from the original order.
17 ExecID Y Unique identifier for each Execution Report message.
20 ExecTransType Y This value is 0, for New
31 LastPx Y This value is 0
32 LastShares Y This value is 0
37 OrderID Y ISE internal reference code
40 OrdType Y as specified on the order.
44 Price N Limit price, if specified on the order.
54 Side Y as specified on the order.
55 Symbol Y as specified on the order.
59 TimeInForce N as specified on the order.
77 OpenClose Y Open/close as specified on the order.
99 StopPx N Stop price, if specified on the order
N For Multileg Orders Only
201 PutOrCall Y As specified on the order.
202 StrikePrice Y Strike price for the option, as specified on the order.
Valid values are: 0 – 99999999.9999 (the number of decimal places might vary and is not limited to four).
204 CustomerOrFirm Y Customer type that is specified on the order.
150 ExecType Y 8 – Rejected
39 OrdStatus Y 8 – Rejected
38 OrderQty Y Number of options that were ordered.
151 LeavesQty Y This value is 0.
14 CumQty Y This value is 0.
6 AvgPx Y This value is 0.
58 Text Y Reason for rejecting the order.
Standard Trailer Y
5.4. Nothing Done The Nothing Done message is generated after the market close and contains information about the Single, Complex, or Crossing orders that remain open.
This execution report can be configured for:
Day
GTC
Any combination of the above values
The valid field values for the Nothing Done message are defined in Table 18.
Table 18. Nothing Done message format
01 May 2008
11 CIOrdID Y Unique identifier of the order as specified on the original order.
17 ExecID Y Is unique for each Execution Report message.
18 ExecInst N As specified on the order.
20 ExecTransType Y Identifies the trade type.
The valid value is 3 for Status.
31 LastPx Y Price of the last fill.
This value is 0.
32 LastShares Y Quantity of bought/sold contracts on the last fill.
This value is 0.
37 OrderID Y ISE internal reference code, as originally assigned.
40 OrdType Y As specified on the order.
44 Price N As specified on the order.
55 Symbol Y OCC option symbol for a series that is specified on the order.
59 TimeInForce Y As specified on the order.
60 TransactTime Y Date and time of Nothing Done report creation (expressed in GMT).
77 OpenClose Y As specified on the order.
167 SecurityType Y OPT for options.
201 PutOrCall Y As specified on the order.
202 StrikePrice Y As specified on the order.
204 CustomerOrFirm Y As specified on the order.
150 ExecType Y Describes the order execution.
The valid value is 3 for Done for the Day.
39 OrdStatus Y Current status of the order.
38 OrderQty Y As specified on the order.
151 LeavesQty Y Number of options that are open for further execution.
14 CumQty Y Total number of filled options.
6 AvgPx Y Average price that is calculated based on the fills of the order.
Valid values are 0 – 99999999.9999
The number of decimal places can vary and is not limited to four.
58 Text Y ND for Nothing Done.
Standard Trailer Y
01 May 2008
Chapter 6. Drop Copy
6.1. Drop Copy Trade Report Firms receive the Drop Copy Trade Report from ISE if they use the FIX Drop Copy connection. A Drop Copy connection sends execution messages to the firm when trades are generated at ISE. These messages are sent only when the trade involves the firm, regardless of how the order was entered.
The trade execution details are provided if the firm is named:
As the executing broker
As the clearing member
Notes:
The Drop Copy Trade Report is not sent for trades that are busted or adjusted the next day
OrderID contains an ISE internal order reference code
Drop Copy Trade reports for the Stock Legs can be distinguished as follows:
SecurityType(167) = CS – Common Stock
MultilegReportingType(442) = 2 for the individual leg of a multileg security
An ExecBroker (Tag 76) value of “LNKA” indicates that this was an Intermarket Linkage (OLA) trade
The field values for the Drop Copy Trade Report message are defined in Table 19.
Table 19. Drop Copy Trade Report message format
17 ExecID Y ExecID = <instrument type><trade number> <date>, where:
<instrument type> is C (call), P (put) or S (stock)
<trade number> is the number of the trade
<date> is yyyymmdd
For example, field 17:P1234567 20020402
19 ExecRefID N Required for Cancel messages, which are indicated by the ExecTransType value. This field contains the ExecID value of the trade that needs to be canceled.
20 ExecTransType Y The valid values are:
0 – New
1 – Cancel
30 LastMkt N For Stock Leg fills only.
ACT = NYFIX ACT / Attachment 2
13 = NYFIX Millennium ATS / 9B
31 LastPx Y Price of the trade.
The valid values are: 0 – 99999999.999999
Note that the number of decimal places might vary, e.g. Stock leg execution report may return up to 6 decimals while Options execution report will return only up to 4 decimals
32 LastShares Y Trade quantity. The valid values are: 0 – 1000000000
48 SecurityID Y Underlying symbol of the option series
37 OrderID Y ISE Order Number plus Date.
11 CIOrdID N Unique identifier of the FIX order.
This value uses the ID from the original FIX order.
54 Side Y Side of the trade. The valid values are:
1 – Bought
2 – Sold
6 – Sold Short Exempt ( Stock Legs only)
55 Symbol Y OCC option symbol for a series or underlying.
Symbol of a stock combination order.
58 Text N Contains free text entry from the order.
This value is in the format: yyyymmdd and hhmmss
76 ExecBroker N First ten (10) characters of ISE member code.
O – Open
C – Close
CS – Common Stock
200 MaturityMonthYear N Expiration month and year in the yyyymm format.
201 PutOrCall N The valid values are:
0 – Put
1 – Call
204 CustomerOrFirm Y These valid values are returned by default:
0 – Customer
5 – Far Market Maker
ISE can return these additional values to members if enabled by request:
2 – Broker / Dealer - Firm
3 – Broker / Dealer - Customer
4 – ISE Market Maker
7 – Proprietary Customer
01 May 2008
231 ContractMultiplier Y Multiply factor to convert contracts to shares
9861 BranchSeqNbr N Contains information if entered on the order
9730 LiquidityIndicator Y For fills only. The following valid values will be sent:
X - undefined
M - Maker
T – Taker
H – Hidden
O – Opening
C – Cross
R - Response
9205 DealSource Y For fills only. The valid values are:
100 = Traded during rotation
103 = Cabinet trade
106 = Derived order
110 = Facilitation originating order
111 = Facilitation counter order
113 = PIM counter order
123 = EO price improved
126 = Away Market Better (AMB) locked exposed order
127 = AMB locked exposed order response
151 = ISO order
153 = Trade resulting from stop order
156 = Trade resulting from IAM (Ignore away markets) order
442 MultilegReportingTyp e
439 ClearingFirm N CMTA - Clearing Member Transfer Agreement.
440 ClearingAccount N OCC Sub-Account.
150 ExecType Y Set to 0.
39 OrdStatus Y Set to 0.
38 OrderQty Y Set to 0.
151 LeavesQty Y Set to 0.
14 CumQty Y Set to 0.
6 AvgPx Y Set to 0.
Standard Trailer Y
6.2. Full Order Drop Copy The ISE FIX interface provide support for the Order Drop Copy, which sends member reports for order state changes such as order creation, modification, or deletion in addition to reporting trades.
Order Drop Copy Message Format
1 Account N As specified on the order.
37 OrderID Y ISE Order Number.
For example: C3E6297F:F1E08EC0.14300246.22
ExecID = <instrument type><trade number> <date>, where:
<instrument type> is C (call), P (put) or S (stock)
<trade number> is the number of the trade
<date> is yyyymmdd
Otherwise ExecID follows the following format:
C3E6297F:F1E08EC0.14300246.23
19 ExecRefID N Required for Cancel messages, which are indicated by the ExecTransType value. This field contains the ExecID value of the trade that needs to be canceled.
20 ExecTransType Y The valid values are:
0 – New
1 – Cancel
2 - Correct
8 – Exchange Symbo

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