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Document title
MS MTF
Document type or subject
Binary Interface Specifications
Version number Date
1.9.1 3 Sep 2019
Number of pages Author
67 Euronext Technologies SAS
This document is for information purposes only. The information and materials contained in this document are provided ‘as is’ and Euronext does not warrant the accuracy, adequacy or completeness and expressly disclaims liability for any errors or omissions. This document is not intended to be, and shall not constitute in any way a binding or legal agreement, or impose any legal obligation on Euronext. This document and any contents thereof, as well as any prior or subsequent information exchanged with Euronext in relation to the subject matter of this presentation, are confidential and are for the sole attention of the intended recipient. Except as described below, all proprietary rights and interest in or connected with this publication shall vest in Euronext. No part of it may be redistributed or reproduced without the prior written permission of Euronext. Portions of this presentation may contain materials or information copyrighted, trademarked or otherwise owned by a third party. No permission to use these third party materials should be inferred from this presentation. Euronext refers to Euronext N.V. and its affiliates. Information regarding trademarks and intellectual property rights of Euronext is located at https://www.euronext.com/terms-use. © 2019 Euronext N.V. - All rights reserved
MS MTF Preface
© 2019 Euronext N.V. - All rights reserved ii of 67 1.9.1
PREFACE
PURPOSE
The purpose of this document is to set out the binary message specifications for the Common Customer
Gateway (CCG). More specifically, it describes the contents of the CCG Binary message headers and trailers,
the contents of the administrative (or session) messages and application messages with detailed field
descriptions.
TARGET AUDIENCE
This document should be read by the Business Change Management Team at Euronext, Morgan Stanley
and by Morgan Stanley MTF clients. Since CCG Binary messages are largely based on the FIX Protocol, it is
assumed that the reader:
■ Understands the FIX 4.2 protocol available at http://www.fixprotocol.org/
■ Understands the notions and concepts behind the FIX Protocol, including the notions behind order management and the sequence of message operations.
NAVIGATION WITHIN THIS DOCUMENT
Hyperlinks let you navigate to sections of the document as well as between message structures and field
definitions.
■ Click the hyperlinks in administrative or application messages to view field descriptions;
■ To return to the hyperlink, press [ALT] + [←] (the back/left/previous arrow).
■ To follow a chain of messages or fields, click another hyperlink.
ASSOCIATED DOCUMENTS
The following lists the associated documents, which either should be read in conjunction with this
document or which provide other relevant information for the user:
■ FIX 4.2 Interface Specifications
■ Kinematics Specification
MS MTF Preface
© 2019 Euronext N.V. - All rights reserved iii of 67 1.9.1
WHAT’S NEW?
The following lists only the most recent modification made to this version. For the Document History table,
see the Appendix.
Version No. Date Change Description
1.9 09 Aug 2019
- Message New Order (D) has been updated:
• Field ‘NTTransactTime’ was not part of the message.
- Section “Message Header & Trailer” has been updated:
• Clarification was added in terms of the value used to represent the end of a message (ETX)
1.9.1 03 Sept 2019 - Minor corrections such as trademark date update and bullet configuration.
MS MTF Contents
© 2019 Euronext N.V. - All rights reserved. iv of 67 1.9.1
CONTENTS
1. MESSAGE HEADER & TRAILER ...................................................................................................... 5
1.1 Message Format ........................................................................................................................................... 5
2. ADMINISTRATIVE MESSAGES ...................................................................................................... 6
2.1 Logon (A) ...................................................................................................................................................... 6
2.2 Logon Reject (l) ............................................................................................................................................. 7
2.3 Test Request (1) ............................................................................................................................................ 7
2.4 Heartbeat (0) ................................................................................................................................................ 8
3. APPLICATION MESSAGES ............................................................................................................. 9
3.1 New Order (D) .............................................................................................................................................. 9
3.2 Order Cancel Request (F)............................................................................................................................ 12
3.3 Cancel/Replace Order (G) ........................................................................................................................... 14
3.4 Order Ack (a) .............................................................................................................................................. 15
3.5 Order Fill (2) ................................................................................................................................................ 16
3.6 Cancel Request Ack (6) ............................................................................................................................... 18
3.7 Order Killed (4) ........................................................................................................................................... 18
3.8 Bulk Cancel Ack/Report (K) ......................................................................................................................... 19
3.9 Cancel/Replace Request Ack (E) ................................................................................................................. 20
3.10 Order Replaced (5) ................................................................................................................................... 21
3.11 Trading Session Status (h) ........................................................................................................................ 22
3.12 Order Cancel/Replace Reject (8) .............................................................................................................. 23
3.13 Bust (C) ..................................................................................................................................................... 24
3.14 Extended Response (x) ............................................................................................................................. 25
4. FIELD DESCRIPTION ................................................................................................................... 29
5. APPENDIX A: REVIEW LOG, DOCUMENT HISTORY ...................................................................... 66
MS MTF Message Header & Trailer
© 2019 Euronext N.V. - All rights reserved 5 of 67 1.9.1
1. MESSAGE HEADER & TRAILER
The general format of a CCG message is a standard header, followed by the message body fields and
terminated with a standard trailer. The trailer value, identified as “ETX” in the messages structure of this
document, is the hexadecimal value for a “new line”, also known as “line feed” -> ‘0x0a’.
1.1 MESSAGE FORMAT
Field Formats
CCG Binary messages are structures of fields in ASCII and binary format. The table below provides the
mapping between types and lengths and the corresponding types in C/C++ language.
Format Size Encoding C/C++ Type
Char 1 byte Alphanumerical Char
String N>1 bytes Alphanumerical Char[N] or String
Int X byte Binary Uint8_t
The possible characters constituting the alphanumerical types are the following ones:
‘0’..’9’ ‘a’..’z’ ‘A’..’Z’ ‘”’ ‘#’ ‘$’ ‘&’ ‘(‘ ‘)’ ‘+’ ‘-‘ ‘.’ ‘,’ ‘/’ ‘:’ ‘;’ ‘<’ ‘=’ ‘>’ ‘@’ ‘[‘ ‘]’ ‘^’ ‘_’ ‘`’ ‘~’ ‘{‘ ‘}’ and ‘ ‘ (space).
MS MTF Administrative Messages
© 2019 Euronext N.V. - All rights reserved 6 of 67 1.9.1
2. ADMINISTRATIVE MESSAGES
2.1 LOGON (A)
Client CCG
MESSAGE FIELDS
✓ required (inbound)/always provided (outbound) | + conditionally required (inbound)/provided (outbound) | o optional
Ofs Field Format Len Req. Description Values Page
0 Header Char 1 ✓ Message type ‘A’ Logon
1 ProtocolVersion Char 1 ✓ CCG Binary protocol version. ‘2’ Extended ClientOrderID
protocol type 57
2 MsgLen Int 2 ✓ Binary message length. 0..216-1 51
4 LastMsgSeqNum Int 4 ✓ Last message sequence number.
Sequential 47
8 UserName String 11 ✓ User name for session. Alphanumerical 65
19 Filler String 4
23 ETX Char 1 ✓ End of message
Total Length 24
MESSAGE USAGE
Clients use the Logon message to establish a connection and identify the last response message they have
processed. When the client sends a Logon, the UserName field shall be populated with the configured user
name. The server accepts or rejects the client logon. If logon is successful, CCG Binary sends a Logon
message back to the client indicating the exchange in the UserName and the last request message the
server has processed (LastMsgSeqNum).
LastMsgSeqNum field is used to recover order messages when disconnections happen. For the initial
connection, clients must set LastMsgSeqNum field to zero. The Logon response from the server will also
show zero for the initial connection.
If an inadvertent disconnect happens, clients must use LastMsgSeqNum field to indicate the MsgSeqNum of
the last message received from the server. The server will begin sending order responses from the next
sequence number.
Similarly, the server sends back the sequence number for last client order request that the server
processed in the Logon response message. Clients must use this to determine if order messages have been
dropped and must be sent again.
Clients must not skip sequence numbers. A client can however pass ‘-1’ as LastMsgSeqNum to notify the
server not to validate the next sequence number. The server will accept the next sequence from the client
and then send what it thinks is the next outbound sequence.
If logon is successful, CCG Binary sends a Logon message back to the client.
MS MTF Administrative Messages
© 2019 Euronext N.V. - All rights reserved 7 of 67 1.9.1
2.2 LOGON REJECT (l)
Client CCG
MESSAGE FIELDS
✓ required (inbound)/always provided (outbound) | + conditionally required (inbound)/provided (outbound) | o optional
Ofs Field Format Len Req. Description Values Page
0 Header Char 1 Message type ‘l’ Logon Reject
1 ProtocolVersion Char 1 ✓ CCG Binary protocol version. ‘2’ Extended
ClientOrderID protocol type
57
2 MsgLen Int 2 ✓ Binary message length. 0..216-1 51
4 LastMsgSeqNumRcvd Int 4 ✓ Last internal message sequence number received by the server.
Sequential 47
8 LastMsgSeqNumSent Int 4 ✓ Last internal message sequence number sent by the server.
Sequential 47
12 RejCode Int 2 ✓ Reject code in case of logon rejection.
(See field description)
58
14 Text String 40 ✓ Request status or error text. Alphanumerical 62
54 Filler Char 1
55 ETX Char 1 ✓ End of message
Total Length 56
MESSAGE USAGE
If logon authentication fails (e.g.: the user is unknown), CCG Binary sends a Logon Reject message back to
the client and then closes the connection.
If logon fails because the CCG does not recognize the Logon message at all (due to a structural error, when
a message is improperly formed according to these specifications), then no connection is established and
CCG Binary does NOT send a Logon Reject message. In this circumstance, the client does not receive any
response at all to the Logon Message.
2.3 TEST REQUEST (1)
Client CCG
MESSAGE FIELDS
✓ required (inbound)/always provided (outbound) | + conditionally required (inbound)/provided (outbound) | o optional
Ofs Field Format Len Req. Description Values Page
0 Header Char 1 Message type ‘1’ Test Request
1 ProtocolVersion Char 1 ✓ CCG Binary protocol version. ‘2’ Extended ClientOrderID
protocol type 57
2 MsgLen Int 2 ✓ Binary message length. 0..216-1 51
4 Filler String 3
7 ETX Char 1 ✓ End of message
Total Length 8
MS MTF Administrative Messages
© 2019 Euronext N.V. - All rights reserved 8 of 67 1.9.1
MESSAGE USAGE
The Test Request message is sent by either side of the connection to request the other side to respond with
a Heartbeat (0) message, when that side does not receive a message during periods of inactivity. If the
other side does not respond to a Test Request message, the application assumes an abnormal situation and
terminates the TCP/IP connection.
The server sends a Test Request message only during periods of inactivity after the first heartbeat period
(10 seconds). At a minimum, the client must respond to this message with a Heartbeat (0) message. The
server disconnects the client following a subsequent period with no activity.
2.4 HEARTBEAT (0)
Client CCG
MESSAGE FIELDS
✓ required (inbound)/always provided (outbound) | + conditionally required (inbound)/provided (outbound) | o optional
Ofs Field Format Len Req. Description Values Page
0 Header Char 1 Message type ‘0’ Heartbeat
1 ProtocolVersion Char 1 ✓ CCG Binary protocol version. ‘2’ Extended ClientOrderID
protocol type 57
2 MsgLen Int 2 ✓ Binary message length. 0..216-1 51
4 Filler String 3
7 ETX Char 1 ✓ End of message
Total Length 8
MESSAGE USAGE
The Heartbeat message is used to respond to Test Request (1) messages. It lets the other side know the
connection is still good during periods of inactivity. The server heartbeat interval is 60 seconds.
At a minimum a client must be able to receive Test Request (1) messages and respond with Heartbeat
messages. During periods of activity the server does not send Test Request (1) or Heartbeat messages and
there is no need for the client to send them.
MS MTF Application Messages
© 2019 Euronext N.V. - All rights reserved 9 of 67 1.9.1
3. APPLICATION MESSAGES
3.1 NEW ORDER (D)
Client CCG
MESSAGE FIELDS
✓ required (inbound)/always provided (outbound) | + conditionally required (inbound)/provided (outbound) | o optional
Field Format Len Req. Description Values Page
Header Char 1 ✓ Message type ‘D’ New Order
ProtocolVersion Char 1 ✓ CCG Binary protocol version. ‘2’ Extended
ClientOrderID protocol type
57
MsgLen Int 2 ✓ Binary message length. 0..216-1 51
MsgSeqNum Int 4 ✓ Message sequence number. Sequential. 51
ClOrdID Int 8 ✓ Client order ID. -263..263-1 36
OrderQty Int 4 ✓ Total order quantity. Quantity 55
Price Int 4 + Instrument price per unit of quantity (share).
Price 56
MinQty Int 4 o Minimum quantity to be executed.
Quantity 50
NrAuctions Int 4 + Maximum Nr. of auctions available for new order
‘1’…’100’ 52
PriceScale Char 1 + Number of decimals for Price. ‘0’..’6’ 57
Symbol String 12 ✓ Instrument ID. ISIN or ISIN-like 61
OnBehalfOfCompID String 11 ✓ ID of the issuing firm. Firm ID 53
SenderSubID String 11 o Subsidiary identifier of the message sender
DeskID 60
ExecInst Char 1 + Execution instruction. ‘M’ Mid-price Peg 43
Side Char 1 ✓ Order side.
‘1’ Buy
‘2’ Sell
‘8’ Cross
60
OrderType Char 1 ✓ Order type. ‘2’ Limit
‘P’ Pegged 55
TimeInForce Char 1 o Time in force validity.
‘0’ GFD (Good for Day)
‘3’ IOC (Immediate Or Cancel)
‘4’ FOK (Fill Or Kill)
‘B’ GFA (Good for Auction)
62
DEAIndicator Char 1 ✓ DEA connection ‘0’ No
‘1’ Yes 40
ExecutionWithinFirmAlgoOrderFlag
Char 1 ✓ Order Execution generated by algorithm
‘0’ No
‘1’ Yes 45
InvestmentDecisionAlgoOrderFlag
Char 1 + Investment decision generated by algorithm
‘0’ No
‘1’ Yes 36
MS MTF Application Messages
© 2019 Euronext N.V. - All rights reserved 10 of 67 1.9.1
Field Format Len Req. Description Values Page
LiquidityProvision Char 1 o Liquidity Provision activity as described by MiFID II
‘N’ Not provisioning liquidity
‘Y’ Provisioning liquidity
49
BookIndicator Char 1 o Trading Book Identifier
‘A’ Auction
‘R’ RPW / LIS
‘N’ Negotiated Trade
33
AlgorithmicOrderFlag Char 1 o Indication of algorithmic order ‘0’ No
‘1’ Yes 31
TechnicalOrdType Char 1 o Order technical origin.
‘I’ Index trading arbitrage
‘P’ Portfolio strategy
‘G’ Unwind order
‘A’ Other orders (Default)
‘C’ Cross margining
61
MIC String 4 o Market identification code. ISO 10383 standard 50
Currency String 3 o Currency code. ISO 4217 standard 39
Filler Char 3
ClientIdentificationShortCode
Int 4 +
Shortcode to identify client of the participant of the trading venue. In case there is DEA, the code of the DEA user shall be used.
Shortcodes values: 4 to 2^32-1.
Following values are reserved:
‘0’ ‘NONE’
‘1’ ‘AGGR’
‘2’ ‘PNAL’
36
InvestmentDecisionShortCode
Int 4 + Shortcode to identify the responsible within the form of the trading decision
4 to 2^32-1 46
ExecutionWithinFirmShortCode
Int 4 ✓
Shortcode to identify the person or algorithm within the firm responsible for the transaction execution.
4 to 2^32-1
Following value is reserved:
‘3’ ‘CLIENT’
44
NonExecutingBrokerShortCode
Int 4 o Shortcode to identify the non-executing broker involved in the trade intention.
4 to 2^32-1 52
Rule80A Char 1 ✓ Order origin.
‘1’ Client
‘2’ House
‘3’ Riskless Principal
59
Account String 12 o Client Account Number of the investor account.
Alphanumerical 31
ClearingFirm String 8 o Give-up Firm ID. Firm ID (agreed upon clearing value)
35
FreeText String 18 o Free text. Any 45
OpenClose Char 1 o Posting action. ‘0’ Open
‘C’ Close 53
MS MTF Application Messages
© 2019 Euronext N.V. - All rights reserved 11 of 67 1.9.1
Field Format Len Req. Description Values Page
ClearingHandlingType Char 1 o Clearing operation mode.
(Blank) Systematic posting
‘0’ Manual mode
‘1’ Automatic extraction
‘2’ Automatic allocation
35
Filler Char 7
ClientIdentificationShortCode_2
Int 4 +
Shortcode to identify client of the participant of the trading venue. In case there is DEA, the code of the DEA user shall be used.
Shortcodes values: 4 to 2^32-1.
Following values are reserved:
‘0’ ‘NONE’
‘1’ ‘AGGR’
‘2’ ‘PNAL’
36
InvestmentDecisionShortCode_2
Int 4 + Shortcode to identify the responsible within the form of the trading decision
4 to 2^32-1 46
ExecutionWithinFirmShortCode_2
Int 4 +
Shortcode to identify the person or algorithm within the firm responsible for the transaction execution.
4 to 2^32-1
Following value is reserved:
‘3’ ‘CLIENT’
44
NonExecutingBrokerShortCode_2
Int 4 o Shortcode to identify the non-executing broker involved in the trade intention.
4 to 2^32-1 52
Rule80A_2 Char 1 + Order origin.
‘1’ Client
‘2’ House
‘3’ Riskless Principal
59
Account_2 String 12 o Client Account Number of the investor account.
Alphanumerical 31
ClearingFirm_2 String 8 o Give-up Firm ID. Firm ID (agreed upon
clearing value) 35
FreeText_2 String 18 o Free text. Any 45
OpenClose_2 Char 1 o Posting action. ‘0’ Open
‘C’ Close 53
ClearingHandlingType_2
Char 1 o Clearing operation mode.
(Blank) Systematic posting
‘0’ Manual mode
‘1’ Automatic extraction
‘2’ Automatic allocation
35
Filler Char 6
ETX Char 1 ✓ End of message
Total Length 216
MESSAGE USAGE
The New Order message requests the creation of a new order.
The following fields constitute the clearing information: Rule80A, Account, ClearingFirm, FreeText,
OpenClose and ClearingHandlingType.
MS MTF Application Messages
© 2019 Euronext N.V. - All rights reserved 12 of 67 1.9.1
Conditions in the New Order Message
Some conditions apply when submitting the New Order Single message. Please find the tables below for
reference.
Table 1 - Order Type per Book
Order Type (+ ExecInst) Valid for RPW / LIS Valid for Auction Valid for Negotiated Trade
Mid Pegged Order with or without limit
✓ ✓ X
Limit Order X ✓ ✓
Table 2 - Time in Force
Time in Force Currently Supported Valid for Auction BookIndicator
Values
Good for Day ✓ ✓ ‘R’ or ‘A’ or ‘N’
Immediate or Cancel ✓ X ‘R’
Fill or Kill ✓ X ‘R’
Good for Auction X ✓ ‘A’
3.2 ORDER CANCEL REQUEST (F)
Client CCG
MESSAGE FIELDS
✓ required (inbound)/always provided (outbound) | + conditionally required (inbound)/provided (outbound) | o optional
Field Format Len Req. Description Values Page
Header Char 1 ✓ Message type ‘F’ Order Cancel Request
ProtocolVersion Char 1 ✓ CCG Binary protocol version. ‘2’ Extended ClientOrderID
protocol type 57
MsgLen Int 2 ✓ Binary message length. 0..216-1 51
MsgSeqNum Int 4 ✓ Message sequence number. Sequential. 51
ClOrdID Int 8 ✓ Client order ID. -263..263-1 36
OrigClOrdID Int 8 + Original client order ID. ClOrdID of the order to be modified / cancelled
56
OrderID Int 8 o Engine order ID. Alphanumerical 54
OnBehalfOfCompID String 11 + ID of the issuing firm. Firm ID 53
SenderSubID String 11 o Subsidiary identifier of the message sender
DeskID 60
Symbol String 12 + Instrument ID. ISIN or ISIN-like 61
Side Char 1 + Order side. ‘1’ Buy
‘2’ Sell 60
MS MTF Application Messages
© 2019 Euronext N.V. - All rights reserved 13 of 67 1.9.1
Field Format Len Req. Description Values Page
TechnicalOrdType Char 1 o Order technical origin.
‘I’ Index trading arbitrage
‘P’ Portfolio strategy
‘G’ Unwind order
‘A’ Other orders (Default)
‘C’ Cross margining
61
ClassID String 2 + Class ID. Alphanumerical 34
MIC String 4 o Market identification code. ISO 10383 standard 50
Currency String 3 o Currency code. ISO 4217 standard 39
CancelByLocationID String 11 o Identifier of the issuing front-end server whose orders are to be cancelled.
Alphanumerical 33
Rule80A Char 1 + Order origin.
‘1’ Client
‘2’ House
‘3’ Riskless Principal
59
Filler Char 2
ETX Char 1 ✓ End of message
Total Length 92
MESSAGE USAGE
The Order Cancel Request message requests the cancellation of the entire remaining quantity of an existing
order (single order cancellation) or a set of existing orders matching criteria (bulk order cancellation).
Bulk Order Cancellation
The Order Cancel Request also allows performing a bulk order cancellation by a broker. The following
conditions must be met:
■ The OrderID field must be set to ‘-888’, the ClOrdID field must be populated, and the OrigClOrdID field must be left empty.
■ Either the ClassID field or the Symbol field must be populated (if both are populated, they must be consistent and Symbol is used as criterion).
■ Optional additional criteria can be specified with the CancelByLocationID, Side, OnBehalfOfCompID, TechnicalOrdType and Rule80A fields. If no optional criterion is specified, all remaining orders of the issuing firm are cancelled for the populated ClassID or Symbol.
If CancelByLocationID criterion is not specified, all remaining orders of all connections of the issuing firm
are cancelled for the populated ClassID or Symbol along with any other additional criterion.
If OrderID is set to ‘-777’, the bulk cancel is rejected via an Order Cancel/Replace Reject (8) with RejReason
= ‘0’ and the text ‘-777 bulk cancel not supported’. These both values are internally used in case of network
disconnection.
If a Broker wants its orders to be automatically cancelled on a network disconnection (CCG disconnection),
it has to be dully declared in the relevant table managed by the CCG Administrator.
When an Automated Bulk Cancellation is performed, the cancellation involves only orders entered on the
current day. All still active orders, entered the previous days, remain in the order book.
The Bulk Order Cancellation will cancel orders on both MS MTF order books. This message type does not allow members to differentiate between order books.
MS MTF Application Messages
© 2019 Euronext N.V. - All rights reserved 14 of 67 1.9.1
3.3 CANCEL/REPLACE ORDER (G)
Client CCG
MESSAGE FIELDS
✓ required (inbound)/always provided (outbound) | + conditionally required (inbound)/provided (outbound) | o optional
Field Format Len Req. Description Values Page
Header Char 1 ✓ Message type ‘G’ Cancel/Replace
Order
ProtocolVersion Char 1 ✓ CCG Binary protocol version. ‘2’ Extended
ClientOrderID protocol type
57
MsgLen Int 2 ✓ Binary message length. 0..216-1 51
MsgSeqNum Int 4 ✓ Message sequence number. Sequential. 51
ClOrdID Int 8 ✓ Client order ID. -263..263-1 36
OrigClOrdID Int 8 ✓ Original client order ID. ClOrdID of the order to be modified / cancelled
56
OrderID Int 8 o Engine order ID. Alphanumerical 54
OrderQty Int 4 ✓ Total order quantity. Quantity 55
Price Int 4 + Instrument price per unit of quantity (share).
Price 56
SenderSubID String 11 o Subsidiary identifier of the message sender
DeskID 60
PriceScale Char 1 + Number of decimals for Price. ‘0’..’6’ 57
OnBehalfOfCompID String 11 ✓ ID of the issuing firm. Firm ID 53
Symbol String 12 ✓ Instrument ID. ISIN or ISIN-like 61
ExecInst Char 1 + Execution instruction. ‘M’ Mid-price Peg
43
Side Char 1 ✓ Order side. ‘1’ Buy
‘2’ Sell 60
OrderType Char 1 ✓ Order type. ‘2’ Limit
‘P’ Pegged 55
TimeInForce Char 1 o Time in force validity.
‘0’ GFD (Good for Day)
‘B’ GFA (Good for Auction)
62
Rule80A Char 1 I Order origin.
‘1’ Client
‘2’ House
‘3’ Riskless Principal
59
Account String 12 o Client Account Number of the investor account.
Alphanumerical 31
TechnicalOrdType Char 1 o Order technical origin.
‘I’ Index trading arbitrage
‘P’ Portfolio strategy
‘G’ Unwind order
‘A’ Other orders (Default)
‘C’ Cross margining
61
MIC String 4 o Market identification code. ISO 10383 standard 50
MS MTF Application Messages
© 2019 Euronext N.V. - All rights reserved 15 of 67 1.9.1
Field Format Len Req. Description Values Page
Currency String 3 o Currency code. ISO 4217 standard 39
ClearingFirm String 8 o Give-up Firm ID. Firm ID (agreed upon clearing value)
35
FreeText String 18 o Free text. Any 45
OpenClose Char 1 o Posting action. ‘0’ Open
‘C’ Close 53
ClearingHandlingType Char 1 o Clearing operation mode.
(Blank) Systematic posting
‘0’ Manual mode
‘1’ Automatic extraction
‘2’ Automatic allocation
35
Filler Char 7
ETX Char 1 ✓ End of message
Total Length 188
Important note:
Rule80A and all fields related to MiFID II (ClientIdentificationShortCode to InvestmentDecisionAlgoFlag) are
not amendable in Cancel/Replace Order (G). MiFID II field values will be retrieved from the original New
Order (D).
MESSAGE USAGE
The Cancel/Replace request is used in two situations:
■ Changing any valid attribute of an open order (i.e. reduce or increase quantity, change limit price, change instructions, etc.). However, this message is not used to cancel the remaining quantity of an outstanding order (use Order Cancel Request (F) message for this purpose).
3.4 ORDER ACK (a)
Client CCG
MESSAGE FIELDS
✓ required (inbound)/always provided (outbound) | + conditionally required (inbound)/provided (outbound) | o optional
Field Format Len Req. Description Values Page
Header Char 1 ✓ Message type ‘a’ Order Ack
ProtocolVersion Char 1 ✓ CCG Binary protocol version. ‘2’ Extended ClientOrderID
protocol type 57
MsgLen Int 2 ✓ Binary message length. 0..216-1 51
MsgSeqNum Int 4 ✓ Message sequence number. Sequential. 51
ClOrdID Int 8 ✓ Client order ID. -263..263-1 36
OrderID Int 8 ✓ Engine order ID. Alphanumerical 54
MS MTF Application Messages
© 2019 Euronext N.V. - All rights reserved 16 of 67 1.9.1
Field Format Len Req. Description Values Page
TransactTime Int 8 ✓ Transaction time.
Microsecond since 01/01/1970 at 00:00 UTC;
‘-1’ or ‘0’ if not significant.
64
DeliverToCompID String 11 ✓ ID of the targeted firm. Firm ID 40
Symbol String 12 ✓ Instrument ID. ISIN or ISIN-like 61
MIC String 4 + Market identification code. ISO 10383 standard 50
Currency String 3 + Currency code. ISO 4217 standard 39
Filler Char 1
ETX Char 1 ✓ End of message
Total Length 64
MESSAGE USAGE
This message is an acknowledgement sent by the trading engine in response to a New Order (D) request to
confirm the creation of the new order.
3.5 ORDER FILL (2)
Client CCG
MESSAGE FIELDS
✓ required (inbound)/always provided (outbound) | + conditionally required (inbound)/provided (outbound) | o optional
Field Format Len Req. Description Values Page
Header Char 1 ✓ Message type ‘2’ Order Fill
ProtocolVersion Char 1 ✓ CCG Binary protocol version. ‘2’ Extended ClientOrderID
protocol type 57
MsgLen Int 2 ✓ Binary message length. 0..216-1 51
MsgSeqNum Int 4 ✓ Message sequence number. Sequential. 51
ClOrdID Int 8 ✓ Client order ID. -263..263-1 36
OrderID Int 8 ✓ Engine order ID. Numerical 54
UTPExID Int 8 ✓ Trade reference ID by instrument & day.
Numerical 65
TransactTime Int 8 ✓ Transaction time.
Microseconds since 01/01/1970 at 00:00 UTC;
‘-1’ or ‘0’ if not significant.
64
LastShares Int 4 ✓ Quantity of last fill. Quantity 48
LastPx Int 4 ✓ Price of last fill. Price 47
BestBidPx Int 4 ✓ Highest quote bid of an instrument
Price 32
BestOfferPx Int 4 ✓ Lowest quote ask of an instrument
Price 32
EBBidPx Int 4 + EBBO quote bid at time of auction initiation
Price 41
EBOfferPx Int 4 + EBBO quote ask at time of auction initiation
Price 41
MS MTF Application Messages
© 2019 Euronext N.V. - All rights reserved 17 of 67 1.9.1
Field Format Len Req. Description Values Page
ContraBroker String 11 + Counterpart Firm ID in case of internalization.
Firm ID
Error! Bookmark
not defined.
LastPxScale Char 1 + Number of decimals for LastPx. ‘0’..’6’ 48
BidPxScale Char 1 + Number of decimals for BestBidPx.
‘0’..’6’ 32
OfferPxScale Char 1 + Number of decimals for BestOfferPx.
‘0’..’6’ 33
EBBidPxScale Char 1 + Number of decimals for EBBidPx. ‘0’..’6’ 41
EBOfferPxScale Char 1 + Number of decimals for
EBOfferPx. ‘0’..’6’ 42
LiquidityIndicator Char 1 ✓ Effect indicator on liquidity.
‘A’ Add liquidity - passive
‘R’ Remove liquidity - aggressive
‘P’ Periodic Auction
(Blank) Uncrossing
49
BookIndicator Char 1 o Trading Book Identifier
‘A’ Auction
‘R’ RPW / LIS
‘N’ Negotiated Trade
33
Side Char 1 ✓ Order side. ‘1’ Buy
‘2’ Sell 60
DeliverToCompID String 11 ✓ ID of the targeted firm. Firm ID 40
Symbol String 12 ✓ Instrument ID. ISIN or ISIN-like 61
MIC String 4 + Market identification code. ISO 10383 standard 50
Currency String 3 + Currency code. ISO 4217 standard 39
IMPTimestamp String 15 +
IMP creation timestamp hh:mm:ss.dddddd
(Blank) Not Provided
45
TrdRegPublicationReasons
String
1 ✓ Indicates the pre-trade transparency waiver under which the trade was conducted
´2´ Negotiated Trades (PRIC)
‘3’ Reference Price (RFPT)
‘9’ Large in Scale (LRGS)
‘-’ Not applied
64
Filler Char 2
ETX Char 1 ✓ End of message
Total Length 130
Note regarding Trading Venue Transaction Identification Code (TVTIC)
In order to retrieve a TVTIC pursuant to Article 12 of the Commission Delegated Regulation (EU) 2017/580
of 24 June 2016 supplementing Regulation (EU) No 600/2014 of the European Parliament, MS platform
suggests the interested parties to consider the following concatenation:
𝑇𝑉𝑇𝐼𝐶 = 𝑈𝑇𝑃𝐸𝑥𝐼𝐷 + 𝑆𝑦𝑚𝑏𝑜𝑙
MESSAGE USAGE
This unsolicited message is sent by the trading engine in order to notify an order issuer that his or her order
has been partially or totally filled.
MS MTF Application Messages
© 2019 Euronext N.V. - All rights reserved 18 of 67 1.9.1
Each execution notice is assigned a unique sequential identifier per firm and trading session, provided by
the ExecID field.
In case the notified trade is the result of the Internal Matching Service (internalized trade), ContraBroker
provides the counterpart firm.
3.6 CANCEL REQUEST ACK (6)
Client CCG
MESSAGE FIELDS
✓ required (inbound)/always provided (outbound) | + conditionally required (inbound)/provided (outbound) | o optional
Field Format Len Req. Description Values Page
Header Char 1 ✓ Message type ‘6’ Cancel Request Ack
ProtocolVersion Char 1 ✓ CCG Binary protocol version. ‘2’ Extended ClientOrderID
protocol type 57
MsgLen Int 2 ✓ Binary message length. 0..216-1 51
MsgSeqNum Int 4 ✓ Message sequence number. Sequential. 51
ClOrdID Int 8 ✓ Client order ID. -263..263-1 36
OrderID Int 8 ✓ Engine order ID. Alphanumerical 54
TransactTime Int 8 ✓ Transaction time.
Microseconds since 01/01/1970 at 00:00 UTC;
‘-1’ or ‘0’ if not significant.
64
DeliverToCompID String 11 ✓ ID of the targeted firm. Firm ID 40
Symbol String 12 + Instrument ID. ISIN or ISIN-like 61
MIC String 4 + Market identification code. ISO 10383 standard 50
Currency String 3 + Currency code. ISO 4217 standard 39
Filler Char 1
ETX Char 1 ✓ End of message
Total Length 64
MESSAGE USAGE
This message is an acknowledgement sent by the trading engine in response to an Order Cancel Request (F)
request to confirm the receipt of the firm’s Cancel request for an existing order (this message is not sent if
the cancel request is sent by Market Operations on behalf of the firm).
3.7 ORDER KILLED (4)
Client CCG
MESSAGE FIELDS
✓ required (inbound)/always provided (outbound) | + conditionally required (inbound)/provided (outbound) | o optional
Field Format Len Req. Description Values Page
Header Char 1 ✓ Message type ‘4’ Order Killed
MS MTF Application Messages
© 2019 Euronext N.V. - All rights reserved 19 of 67 1.9.1
Field Format Len Req. Description Values Page
ProtocolVersion Char 1 ✓ CCG Binary protocol version. ‘2’ Extended ClientOrderID
protocol type 57
MsgLen Int 2 ✓ Binary message length. 0..216-1 51
MsgSeqNum Int 4 ✓ Message sequence number. Sequential. 51
ClOrdID Int 8 ✓ Client order ID. -263..263-1 36
OrderID Int 8 ✓ Engine order ID. Alphanumerical 54
TransactTime Int 8 ✓ Transaction time.
Microseconds since 01/01/1970 at 00:00 UTC;
‘-1’ or ‘0’ if not significant.
64
DeliverToCompID String 11 ✓ ID of the targeted firm. Firm ID 40
Symbol String 12 ✓ Instrument ID. ISIN or ISIN-like 61
MIC String 4 + Market identification code. ISO 10383 standard 50
Currency String 3 + Currency code. ISO 4217 standard 39
Filler Char 1
ETX Char 1 End of message
Total Length 64
MESSAGE USAGE
This unsolicited message is sent by the trading engine when an order is no longer active, for example,
because its validity expires, or because Market Operations cancels the order on behalf of a firm.
This message is also sent as a confirmation of an order cancellation.
This message is sent to the connection that owns the order, including, in the case of bulk cancel, orders issued by other connections.
3.8 BULK CANCEL ACK/REPORT (K)
Client CCG
MESSAGE FIELDS
✓ required (inbound)/always provided (outbound) | + conditionally required (inbound)/provided (outbound) | o optional
Field Format Len Req. Description Values Page
Header Char 1 ✓ Message type ‘K’ Bulk Cancel Ack/Report
ProtocolVersion Char 1 ✓ CCG Binary protocol version. ‘2’ Extended ClientOrderID
protocol type 57
MsgLen Int 2 ✓ Binary message length. 0..216-1 51
MsgSeqNum Int 4 ✓ Message sequence number. Sequential. 51
ClOrdID Int 8 ✓ Client order ID. -263..263-1 36
OrderID Int 8 ✓ Engine order ID. Alphanumerical 54
TransactTime Int 8 ✓ Transaction time.
Microseconds since 01/01/1970 at 00:00 UTC;
‘-1’ or ‘0’ if not significant.
64
TotalAffectedOrders Int 4 ✓ Number of orders cancelled upon mass cancel request.
‘0’..’1010-1’ (‘-1’ upon request acknowledgement)
63
DeliverToCompID String 11 ✓ ID of the targeted firm. 40
MS MTF Application Messages
© 2019 Euronext N.V. - All rights reserved 20 of 67 1.9.1
Field Format Len Req. Description Values Page
Symbol String 12 + Instrument ID. ISIN or ISIN-like 61
Side Char 1 + Order side. ‘1’ Buy
‘2’ Sell 60
ClassID String 2 + Class ID. Alphanumerical 34
TechnicalOrdType Char 1 + Order technical origin.
‘I’ Index trading arbitrage
‘P’ Portfolio strategy
‘G’ Unwind order
‘A’ Other orders (Default)
‘C’ Cross margining
61
Rule80A Char 1 + Order origin.
‘1’ Client
‘2’ House
‘3’ Riskless Principal
59
CancelByLocationID String 11 + Identifier of the issuing front-end server whose orders are to be cancelled.
Alphanumerical 33
MIC String 4 + Market identification code. ISO 10383 standard 50
Currency String 3 + Currency code. ISO 4217 standard 39
Filler Char 1
ETX Char 1 End of message
Total Length 84
MESSAGE USAGE
This message is used to:
■ Acknowledge a Bulk Cancel request (see Order Cancel Request (F)). In this case the TotalAffectedOrders field is set to ‘-1’.
■ Report the end of the Bulk Cancel processing. In this case the TotalAffectedOrders field is set to the number of orders cancelled by the Bulk Cancel request.
Following the sending of the Bulk Cancel acknowledgment message, and before the sending of the Bulk
Cancel report message, an Order Killed (4) message is sent for each order concerned by the Bulk Cancel to
the connection that owns the order. As such, the Bulk Cancel Ack/Report (K) message allows the
connection that issues the request, possibly different from the connection owner of all the orders
cancelled, to get an answer to his or her request.
3.9 CANCEL/REPLACE REQUEST ACK (E)
Client CCG
MESSAGE FIELDS
✓ required (inbound)/always provided (outbound) | + conditionally required (inbound)/provided (outbound) | o optional
Field Format Len Req. Description Values Page
Header Char 1 ✓ Message type ‘E’ Cancel/Replace Request Ack
ProtocolVersion Char 1 ✓ CCG Binary protocol version. ‘2’ Extended ClientOrderID
protocol type 57
MsgLen Int 2 ✓ Binary message length. 0..216-1 51
MS MTF Application Messages
© 2019 Euronext N.V. - All rights reserved 21 of 67 1.9.1
Field Format Len Req. Description Values Page
MsgSeqNum Int 4 ✓ Message sequence number. Sequential. 51
ClOrdID Int 8 ✓ Client order ID. -263..263-1 36
OrderID Int 8 ✓ Engine order ID. Alphanumerical 54
TransactTime Int 8 ✓ Transaction time.
Microseconds since 01/01/1970 at 00:00 UTC;
‘-1’ or ‘0’ if not significant.
64
DeliverToCompID String 11 ✓ ID of the targeted firm. Firm ID 40
Symbol String 12 ✓ Instrument ID. ISIN or ISIN-like 61
MIC String 4 + Market identification code. ISO 10383 standard 50
Currency String 3 + Currency code. ISO 4217 standard 39
Filler Char 1
ETX Char 1 End of message
Total Length 64
MESSAGE USAGE
This message is an acknowledgement sent by the trading engine in response to a Cancel/Replace Order (G)
request to confirm the receipt of the firm’s Cancel/Replace request for an existing order.
3.10 ORDER REPLACED (5)
Client CCG
MESSAGE FIELDS
✓ required (inbound)/always provided (outbound) | + conditionally required (inbound)/provided (outbound) | o optional
Field Format Len Req. Description Values Page
Header Char 1 ✓ Message type ‘5’ Order Replaced
ProtocolVersion Char 1 ✓ CCG Binary protocol version. ‘2’ Extended ClientOrderID
protocol type 57
MsgLen Int 2 ✓ Binary message length. 0..216-1 51
MsgSeqNum Int 4 ✓ Message sequence number. Sequential. 51
ClOrdID Int 8 ✓ Client order ID. -263..263-1 36
OrderID Int 8 ✓ Engine order ID. Alphanumerical 54
TransactTime Int 8 ✓ Transaction time.
Microseconds since 01/01/1970 at 00:00 UTC;
‘-1’ or ‘0’ if not significant.
64
DeliverToCompID String 11 ✓ ID of the targeted firm. Firm ID 40
Symbol String 12 ✓ Instrument ID. ISIN or ISIN-like 61
MIC String 4 + Market identification code. ISO 10383 standard 50
Currency String 3 + Currency code. ISO 4217 standard 39
Filler Char 1
ETX Char 1 End of message
Total Length 64
MESSAGE USAGE
MS MTF Application Messages
© 2019 Euronext N.V. - All rights reserved 22 of 67 1.9.1
This message is sent by the trading engine to confirm that a cancel/replace request has been successfully
processed. It follows the Cancel/Replace Request Ack (E) message that confirms only that the
cancel/replace request has been accepted and is about to be processed.
3.11 TRADING SESSION STATUS (h)
Client CCG
MESSAGE FIELDS
✓ required (inbound)/always provided (outbound) | + conditionally required (inbound)/provided (outbound) | o optional
Field Format Len Req. Description Values Page
Header Char 1 ✓ Message type ‘h’ Trading Session Status
ProtocolVersion Char 1 ✓ CCG Binary protocol version. ‘2’ Extended ClientOrderID
protocol type 57
MsgLen Int 2 ✓ Binary message length. 0..216-1 51
MsgSeqNum Int 4 ✓ Message sequence number. Sequential. 51
MktPhaseChgTime Int 8 + Time of market phase change. Microseconds since 01/01/1970 00:00, ‘-1’ if not significant
50
ClassID String 2 ✓ Class ID. Alphanumerical 34
ClassStatus String 4 ✓ Class status. (See field description) 34
OrdEntryAllowed Char 1 ✓ Order entry allowed indicator.
‘0’ Order entry automatically forbidden
‘1’ Order entry allowed
‘2’ Order entry manually forbidden
54
TradingSessionID String 4 ✓ Session ID or combination of session IDs for which the order is valid.
(See field description) 63
ETX Char 1 End of message
Total Length 24
MESSAGE USAGE
The Trading Session Status message is sent by the Trading Engine to all market participants whenever the
status of an instrument class changes. This occurs in one of the following conditions:
■ Market phase change;
■ Market halted;
■ Order entry allowed or forbidden by Market Operations.
MS MTF Application Messages
© 2019 Euronext N.V. - All rights reserved 23 of 67 1.9.1
3.12 ORDER CANCEL/REPLACE REJECT (8)
Client CCG
MESSAGE FIELDS
✓ required (inbound)/always provided (outbound) | + conditionally required (inbound)/provided (outbound) | o optional
Field Format Len Req. Description Values Page
Header Char 1 ✓ Message type ‘8’ Order Cancel/Replace
Reject
ProtocolVersion Char 1 ✓ CCG Binary protocol version. ‘2’ Extended ClientOrderID
protocol type 57
MsgLen Int 2 ✓ Binary message length. 0..216-1 51
MsgSeqNum Int 4 ✓ Message sequence number. Sequential. 51
ClOrdID Int 8 + Client order ID. -263..263-1 36
OrigClOrdID Int 8 ✓ Original client order ID. ClOrdID of the order to be modified / cancelled
56
TransactTime Int 8 ✓ Transaction time.
Microseconds since 01/01/1970 at 00:00 UTC;
‘-1’ or ‘0’ if not significant.
64
ErrorCode Int 2 ✓ Error code in case of rejection. Numerical 41
RejType Char 1 ✓ Type of reject.
‘1’ Order reject
‘2’ Cancel reject
‘3’ Replace reject
59
Text String 40 ✓ Request status or error text. Alphanumerical 62
RejReason Char 1 ✓ Reason for request rejection. See ‘UTP Error List’ for possible values.
59
DeliverToCompID String 11 ✓ ID of the targeted firm. Firm ID 40
Symbol String 12 + Instrument ID. ISIN or ISIN-like 61
MIC String 4 + Market identification code. ISO 10383 standard 50
Currency String 3 + Currency code. ISO 4217 standard 39
Filler String 5
ETX Char 1 End of message
Total Length 112
MESSAGE USAGE
This message is sent by the trading engine in response to a New Order (D), Cancel/Replace Order (G) or
Order Cancel Request (F) request in case the order creation, replacement or cancellation cannot be
processed (the RejType field provides the nature of the rejected request).
The ErrorCode, RejReason and Text fields provide the reason of the request rejection. Please refer to the
UTP Error List document for the list of possible values for these fields.
The CCG-Binary Gateway may also generate this message by itself. The list below provides the possible
cases:
■ Invalid Msg Type to Parse (generic error when parsing message; RejReason = ‘0’);
MS MTF Application Messages
© 2019 Euronext N.V. - All rights reserved 24 of 67 1.9.1
■ Invalid Domain (client is trying to send message for OnBehalfOfCompID it does not own; RejReason = ‘0’);
■ Unknown Symbol (we cannot find symbol in our symbol database, meaning we do not trade that symbol; RejReason = ‘0’);
■ System Unavailable (we cannot connect to the UTP engine for the specified symbol; RejReason = ‘0’);
■ Temp Teck Problems (generic error when trying to route a message to UTP; RejReason = ‘0’);
■ -777 bulk cancel not supported (Client attempted to do a ‘-777’ bulk cancel which is not allowed; RejReason = ‘0’).
3.13 BUST (C)
Client CCG
MESSAGE FIELDS
✓ required (inbound)/always provided (outbound) | + conditionally required (inbound)/provided (outbound) | o optional
Field Format Len Req. Description Values Page
Header Char 1 ✓ Message type ‘C’ Bust/Correct
ProtocolVersion Char 1 ✓ CCG Binary protocol version. ‘2’ Extended ClientOrderID
protocol type 57
MsgLen Int 2 ✓ Binary message length. 0..216-1 51
MsgSeqNum Int 4 ✓ Message sequence number. Sequential. 51
ClOrdID Int 8 ✓ Client order ID. -263..263-1 36
UTPExID Int 8 ✓ Trade reference ID by instrument & day.
Numerical 65
TransactTime Int 8 ✓ Transaction time.
Microseconds since 01/01/1970 at 00:00 UTC;
‘-1’ or ‘0’ if not significant.
64
LastShares Int 4 ✓ Quantity of last fill. Quantity 48
LastPx Int 4 ✓ Price of last fill. Price 47
LastPxScale Char 1 + Number of decimals for LastPx. ‘0’..’6’ 48
TradeChangeType Char 1 ✓ Type of MO action on trade. ‘1’ Trade busted
‘2’ Trade corrected 63
DeliverToCompID String 11 ✓ ID of the targeted firm. Firm ID 40
Symbol String 12 Instrument ID. ISIN or ISIN-like 61
MIC String 4 + Market identification code. ISO 10383 standard 50
Currency String 3 + Currency code. ISO 4217 standard 39
Filler String 7
ETX Char 1 End of message
Total Length 80
MESSAGE USAGE
This message is sent to both counterparts of a trade if Market Operations busts the trade.
MS MTF Application Messages
© 2019 Euronext N.V. - All rights reserved 25 of 67 1.9.1
3.14 EXTENDED RESPONSE (x)
Client CCG
MESSAGE FIELDS
✓ required (inbound)/always provided (outbound) | + conditionally required (inbound)/provided (outbound) | o optional
Field Format Len Req. Description Values Page
Header Char 1 ✓ Message type ‘x’ Extended Response
ProtocolVersion Char 1 ✓ CCG Binary protocol version. ‘2’ Extended ClientOrderID
protocol type 57
MsgLen Int 2 ✓ Binary message length. 0..216-1 51
MsgSeqNum Int 4 ✓ Message sequence number. Sequential. 51
ClOrdID Int 8 ✓ Client order ID. -263..263-1 36
OrderID Int 8 + Engine order ID. Alphanumerical 54
ExecID Int 8 + Execution report ID. Sequential 42
UTPExID Int 8 ✓ Trade reference ID by instrument & day.
Numerical 65
OrderQty Int 4 + Total order quantity. Quantity 55
Price Int 4 + Instrument price per unit of quantity (share).
Price 56
BestBidPx Int 4 ✓ Highest quote bid of an instrument
Price 32
BestOfferPx Int 4 ✓ Lowest quote ask of an instrument
Price 32
EBBidPx Int 4 + EBBO quote bid at time of auction initiation
Price
Error! Bookmark not
defined.
EBOfferPx Int 4 + EBBO quote ask at time of auction initiation
Price
Error! Bookmark not
defined.
TransactTime Int 8 ✓ Transaction time.
Microseconds since 01/01/1970 at 00:00 UTC;
‘-1’ or ‘0’ if not significant.
64
LastPx Int 4 ✓ Price of last fill. Price 47
AvgPx Int 4 ✓ Average price of fills. Price 31
LastShares Int 4 ✓ Quantity of last fill. Quantity 48
LeavesQty Int 4 ✓ Remaining quantity. Quantity 48
MS MTF Application Messages
© 2019 Euronext N.V. - All rights reserved 26 of 67 1.9.1
Field Format Len Req. Description Values Page
ClientIdentificationShortCode
Int 4 +
Shortcode to identify client of the participant of the trading venue. In case there is DEA, the code of the DEA user shall be used.
Shortcodes values: 4 to 2^32-1.
Following values are reserved:
‘0’ ‘NONE’
‘1’ ‘AGGR’
‘2’ ‘PNAL’
36
InvestmentDecisionShortCode
Int 4 + Shortcode to identify the responsible within the form of the trading decision
4 to 2^32-1 46
ExecutionWithinFirmShortCode
Int 4 ✓
Shortcode to identify the person or algorithm within the firm responsible for the transaction execution.
4 to 2^32-1
Following value is reserved:
‘3’ ‘CLIENT’
44
NonExecutingBrokerShortCode
Int 4 o Shortcode to identify the non-executing broker involved in the trade intention.
4 to 2^32-1 52
CumQty Int 4 ✓ Cumulated quantity. Quantity 39
ErrorCode Int 2 ✓ Error code in case of rejection. Numerical 41
PriceScale Char 1 + Number of decimals for Price. ‘0’..’6’ 57
Symbol String 12 ✓ Instrument ID. ISIN or ISIN-like 61
DeliverToCompID String 11 ✓ ID of the targeted firm. Firm ID 40
DeliverToLocationID String 11 ✓ ID of the targeted firm’s front-end server.
Front-end server ID 40
ExecInst Char 1 + Execution instruction. ‘M’ Mid-price Peg
43
Side Char 1 ✓ Order side. ‘1’ Buy
‘2’ Sell 60
OrderType Char 1 ✓ Order type. ‘P’ Pegged
‘L’ Limit 55
TimeInForce Char 1 ✓ Time in force validity.
‘0’ GFD (Good for Day)
‘3’ IOC (Immediate Or Cancel)
‘4’ FOK (Fill Or Kill)
‘B’ GFA (Good for Auction)
62
Rule80A Char 1 ✓ Order origin.
‘1’ Client
‘2’ House
‘3’ Riskless Principal
59
Account String 12 + Client Account Number of the investor account.
Alphanumerical 31
TechnicalOrdType Char 1 + Order technical origin.
‘I’ Index trading arbitrage
‘P’ Portfolio strategy
‘G’ Unwind order
‘A’ Other orders (Default)
‘C’ Cross margining
61
ExecRefID String 24 + Trade reference ID by trading unit and day.
Alphanumerical 43
MS MTF Application Messages
© 2019 Euronext N.V. - All rights reserved 27 of 67 1.9.1
Field Format Len Req. Description Values Page
ExecTransType Char 1 ✓ Transaction type.
‘0’ Order execution (partial fill or fill)
‘1’ Trade cancellation
‘3’ Order book retransmission
44
OrdStatus Char 1 ✓ Order status. (See field description) 55
ExecType Char 1 ✓ Execution type.
‘1’ Partial fill
‘2’ Fill or Trade cancellation
44
LiquidityIndicator Char 1 ✓ Effect indicator on liquidity.
‘A’ Add liquidity - passive
‘R’ Remove liquidity - aggressive
‘P’ Periodic Auction
(Blank) Uncrossing
49
BookIndicator Char 1 o Trading Book Identifier
‘A’ Auction
‘R’ RPW / LIS
‘N’ Negotiated Trade
33
Text String 40 ✓ Request status or error text. Alphanumerical 62
ContraBroker String 11 + Counterpart Firm ID in case of internalization.
Firm ID 38
MIC String 4 + Market identification code. ISO 10383 standard 50
Currency String 3 + Currency code. ISO 4217 standard 39
ClearingFirm String 8 + Give-up Firm ID. Firm ID (agreed upon clearing value)
35
FreeText String 18 + Free text. Any 45
OpenClose Char 1 + Posting action. ‘0’ Open
‘C’ Close 53
ClearingHandlingType Char 1 + Clearing operation mode.
(Blank) Systematic posting
‘0’ Manual mode
‘1’ Automatic extraction
‘2’ Automatic allocation
35
LastPxScale Char 1 + Number of decimals for LastPx. ‘0’..’6’ 48
AvgPxScale Char 1 + Number of decimals for AvgPx. ‘0’..’6’ 32
BestBidPxScale Char 1 + Number of decimals for BestBidPx.
‘0’..’6’ 32
BestOfferPxScale Char 1 + Number of decimals for BestOfferPx.
‘0’..’6’ 33
EBBidPxScale Char 1 + Number of decimals for EBBidPx. ‘0’..’6’ 41
EBOfferPxScale Char 1 + Number of decimals for
EBOfferPx. ‘0’..’6’ 42
ExecutionWithinFirmAlgoOrderFlag
Char 1 ✓ Order Execution generated by algorithm
‘0’ No
‘1’ Yes 45
InvestmentDecisionAlgoOrderFlag
Char 1 + Investment decision generated by algorithm
‘0’ No
‘1’ Yes 36
MS MTF Application Messages
© 2019 Euronext N.V. - All rights reserved 28 of 67 1.9.1
Field Format Len Req. Description Values Page
TrdRegPublicationReasons
String 1 ✓ Indicates the pre-trade transparency waiver under which the trade was conducted
´2´ Negotiated Trades (PRIC)
‘3’ Reference Price (RFPT)
‘9’ Large in Scale (LRGS)
‘-’ Not applied
64
ETX Char 1 End of message
Total Length 292
MESSAGE USAGE
This unsolicited message is sent by the UTP-Direct Drop Copy function to the firm centralizer when Order
Executions (partial fill or fill execution) or Trade Cancellations are reported by the Trading Engine. It
duplicates for the centralizer the information contained in the Order Fill (2) or the Bust/Correct (C)
messages and includes the complementary information not contained in these two messages and
necessary to the centralizer.
This unsolicited message is also sent by the trading engine in the case of Trading Engine Disaster Recovery
scenario.
MS MTF Field Description
© 2019 Euronext N.V. - All rights reserved 29 of 67 1.9.1
4. FIELD DESCRIPTION
A ............................................................. 31
Account (Account_2) ............................................... 31 AlgorithmicOrderFlag .............................................. 31 AvgPx ....................................................................... 31 AvgPxScale ............................................................... 32
B .............................................................. 32
BestBidPx ................................................................. 32 BidPxScale ............................................................... 32 BestOfferPx ............................................................. 32 OfferPxScale ............................................................ 33 BookIndicator .......................................................... 33
C .............................................................. 33
CancelByLocationID ................................................. 33 ClassID ..................................................................... 34 ClassStatus............................................................... 34 ClearingFirm (ClearingFirm_2) ................................ 35 ClearingHandlingType (ClearingHandlingType_2) ... 35 ClientIdentificationShortCode (ClientIdentificationShortCode_2) .......................... 36 CLOrdID ................................................................... 36 CollarRejPx .............................................................. 37 CollarRejPxScale ...................................................... 37 CollarRejType .......................................................... 38 ContraBroker ........................................................... 38 CrossType ................................................................ 38 CumQty ................................................................... 39 Currency .................................................................. 39
D ............................................................. 40
DEAIndicator ........................................................... 40 DeliverToCompID .................................................... 40 DeliverToLocationID ................................................ 40
E .............................................................. 41
EBBidPx .................................................................... 41 EBBidPxScale ........................................................... 41 EBOfferPx ................................................................ 41 EBOfferPxScale ........................................................ 42 ErrorCode ................................................................ 42 ExecID ...................................................................... 42 ExecInst ................................................................... 43 ExecRefID ................................................................ 43 ExecTransType ......................................................... 44 ExecType ................................................................. 44 ExecutionWithinFirmShortCode (ExecutionWithinFirmShortCode_2) ....................... 44 ExecutionWithinFirmAlgoOrderFlag ....................... 45
F .............................................................. 45
FreeText (FreeText_2) ............................................. 45
I ............................................................... 45
IMPTimestamp ........................................................ 45 InvestmentDecisionAlgoOrderFlag ......................... 46
InvestmentDecisionShortCode (InvestmentDecisionShortCode_2) ..........................46
L .............................................................. 47
LastMsgSeqNum ......................................................47 LastMsgSeqNumRcvd ..............................................47 LastMsgSeqNumSent ...............................................47 LastPx .......................................................................47 LastPxScale ..............................................................48 LastShares ................................................................48 LeavesQty ................................................................48 LiquidityIndicator .....................................................49 LiquidityProvision ....................................................49
M ............................................................. 49
MIC ..........................................................................50 MinQty .....................................................................50 MktPhaseChgTime ...................................................50 MsgLen ....................................................................51 MsgSeqNum ............................................................51
N ............................................................. 52
NrAuctions ...............................................................52 NonExecutingBrokerShortCode (NonExecutingBrokerShortCode_2) ........................52
O ............................................................. 53
OnBehalfOfCompID .................................................53 OpenClose (OpenClose_2) .......................................53 OrdEntryAllowed .....................................................54 OrderID ....................................................................54 OrderQty ..................................................................55 OrderType ................................................................55 OrdStatus .................................................................55 OrigClOrdID ..............................................................56
P .............................................................. 56
Price .........................................................................56 PriceScale .................................................................57 ProtocolVersion .......................................................57
R .............................................................. 58
RejCode ....................................................................58 RejReason ................................................................59 RejType ....................................................................59 Rule80A (Rule80A_2) ...............................................59
S .............................................................. 60
SenderSubID ............................................................60 Side ..........................................................................60 Symbol .....................................................................61
T .............................................................. 61
TechnicalOrdType ....................................................61 Text ..........................................................................62 TimeInForce .............................................................62 TotalAffectedOrders ................................................63 TradeChangeType ....................................................63 TradingSessionID .....................................................63
MS MTF Field Description
© 2019 Euronext N.V. - All rights reserved xxx of 67 1.9.1
TransactTime ........................................................... 64 TrdRegPublicationReasons ...................................... 64
U ............................................................. 65
UserName ................................................................65 UTPExID ...................................................................65
MS MTF Field Description
© 2019 Euronext N.V. - All rights reserved 31 of 67 1.9.1
A
ACCOUNT (ACCOUNT_2)
Field name Account
Description Client Account Number of the investor account.
Account_2 is only used for the sell side of a cross order.
Format String
Length 12
Possible values Alphanumerical
Conditions In New Order (D) and Cancel/Replace Order (G): optional.
■ In Extended Response (x): provided with the value associated to the concerned order, if any.
Used in
New Order (D)
Cancel/Replace (G)
Extended Response (x)
ALGORITHMICORDERFLAG
Field name AlgorithmicOrderFlag
Description Transaction executed as a result of an investment firm engaging in algorithmic trading as defined in Article 4(1)(39) of Directive 2014/65/EU.
Format Char
Length 1
Possible values 0: non algorithmic order
1: algorithmic order
Conditions Optional. If not provided then default value is ‘1’
Used in New Order (D)
AVGPX
Field name AvgPx
Description
Average price of fills.
Calculated average price of all fills on a given order.
Price without decimal separator; decimal places provided by AvgPxScale.
Format Int
Length 4
Possible values Price
Conditions Always provided, set to ‘0’ if the order has never been executed.
Used in Extended Response (x)
MS MTF Field Description
© 2019 Euronext N.V. - All rights reserved 32 of 67 1.9.1
AVGPXSCALE
Field name AvgPxScale
Description Number of decimals for AvgPx.
Format Char
Length 1
Possible values ‘0’..’6’
Conditions Provided when AvgPx provided.
Used in Extended Response (x)
B
BESTBIDPX
Field name BestBidPx
Description
Field used to identify the highest quote bid of an instrument
Indicates the RBBO bid price for RPW/NT book or EBBO bid price for auction book at time of execution.
Format Int
Length 4
Possible values Price
Conditions Always required
Used in Order Fill (2)
Extended Response (x)
BESTBIDPXSCALE
Field name BestBidPxScale
Description Number of decimals for BestBidPx.
Format Char
Length 1
Possible values ‘0’..’6’
Conditions Mandatory field when BestBidPx is provided.
Used in Order Fill (2)
Extended Response (x)
BESTOFFERPX
Field name BestOfferPx
Description
Field used to identify the lowest quote ask of an instrument
Indicates the RBBO offer price for RPW/NT book or EBBO offer price for auction book at time of execution.
Format Int
MS MTF Field Description
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Field name BestOfferPx
Length 4
Possible values Price
Conditions Always required
Used in Order Fill (2)
Extended Response (x)
BESTOFFERPXSCALE
Field name BestOfferPxScale
Description Number of decimals for BestOfferPx.
Format Char
Length 1
Possible values ‘0’..’6’
Conditions Mandatory field when BestOfferPx is provided.
Used in Order Fill (2)
Extended Response (x)
BOOKINDICATOR
Field name BookIndicator
Description Field used to identify the order book – Auction or Reference Price Waiver/Large in Scale.
Format Char
Length 1
Possible values
‘A’ – Auction
‘R’ – RPW / LIS
‘N’ – Negotiated Trade
Conditions Optional. Default value is ‘R’.
Used in
New Order (D)
Order Fill (2)
Extended Response (x)
C
CANCELBYLOCATIONID
Field name CancelByLocationID
Description
Identifier of the issuing front-end server whose orders are to be cancelled.
Identifier of the issuing front-end server to which the order to cancel belongs. Used as criterion for selecting the orders to cancel in case of bulk cancellation.
Format String
Length 11
MS MTF Field Description
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Field name CancelByLocationID
Possible values Alphanumerical
Conditions
In Order Cancel Request (F): Ignored in case of single cancellation. Optional criterion in case of bulk cancellation.
In Bulk Cancel Ack/Report (K): Provided with the value of the Bulk Cancel request, if any.
Used in Order Cancel Request (F)
Bulk Cancel Ack/Report (K)
CLASSID
Field name ClassID
Description Class ID.
Identifier of an instrument class.
Format String
Length 2
Possible values Alphanumerical
Conditions
In Order Cancel Request (F): ignored in case of single calculation; in case of bulk cancellation, mandatory if Symbol not filled, optional if Symbol filled (but must match the class ID of the instrument if specified).
In Bulk Cancel Ack/Report (K): provided with the value specified in the request, if any.
In Trading Session Status (h): always provided.
Used in
Order Cancel Request (F)
Bulk Cancel Ack/Report (K)
Trading Session Status (h)
CLASSSTATUS
Field name ClassStatus
Description
Class status.
Represents the current market trading phase for instruments belonging to that class and whose status is inherited.
Format String
Length 4
Possible values
‘EAMO’ Early Monitoring
‘SPCO’ SP Continuous
‘CLCA’ Closing Call
‘LAMO’ Late Monitoring
‘HALT’ Halted
‘CLSD’ Closed
Conditions Always provided.
Used in Trading Session Status (h)
MS MTF Field Description
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CLEARINGFIRM (CLEARINGFIRM_2)
Field name ClearingFirm
Description
Give-up Firm ID.
Identifier of the give-up firm when a give-up is executed (a give-up is a trade executed by a firm for the client of another firm, the latter being referred to as the give-up firm).
ClearingFirm_2 is only used for the sell side of a cross order.
Format String
Length 8
Possible values Firm ID (agreed upon clearing value)
Conditions In New Order (D) and Cancel/Replace Order (G): optional.
In Extended Response (x): provided with the value associated to the concerned order, if any.
Used in
New Order (D)
Cancel/Replace (G)
Extended Response (x)
CLEARINGHANDLINGTYPE (CLEARINGHANDLINGTYPE_2)
Field name ClearingHandlingType
Description
Clearing operation mode.
Indicates the pre-posting and give-up action to be taken by the clearing system when a trade has occurred, following a given order.
■ Manual (pre-posting and/or pre-give-up): the clearing system redirects the information to the member's back office workstation without processing it. It does not post the trade to the designated account or give up the trade to the designated give-up member.
■ Automatic posting: the clearing system immediately posts the trade to the designated account.
■ Automatic give-up: the clearing system immediately gives up the trade to the designated give-up member. If an account number is provided, it also performs a pre-posting.
■ Systematic posting: this means pre-posting if the account number is given, and Pre-Give-up if the data item ID of clearing system member that is the beneficiary of a give-up is provided. This is the default value.
ClearingHandlingType_2 is only used for the sell side of a cross order.
Format Char
Length 1
Possible values
(Blank) Systematic posting
‘0’ Manual mode
‘1’ Automatic extraction
‘2’ Automatic allocation
Conditions
In New Order (D) and Cancel/Replace Order (G): optional (absence of this field is interpreted as systematic posting).
In Extended Response (x): provided with the value associated to the concerned order, if any.
Used in
New Order (D)
Cancel/Replace (G)
Extended Response (x)
MS MTF Field Description
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CLIENTIDENTIFICATIONSHORTCODE (CLIENTIDENTIFICATIONSHORTCODE_2)
Field name ClientIdentificationShortCode
Description
Code used to identify the client of the member or participant of the trading venue.
In case there is DEA, the code of the DEA user (entity or natural person) shall be used.
ClientIdentificationShortCode_2 is only used for the sell side of a cross order.
Format Int
Length 4
Possible values
The shortcode value must be between 4 and 4,294,967,295. Mapping files specifications for the data corresponding to this shortcode will be provided in a different document.
Reserved shortcodes:
‘0’ ‘NONE’ – No Client for this order
‘1’ ‘AGGR’ – In case of Aggregated client orders
‘2’ ‘PNAL’ – In case of client Pending Allocation
Conditions
Can be left blank if the member or participant of the trading venue has no client.
Mandatory when DEA indicator = 1 or when Rule80A = 1 (Client).
If empty, ClientIdentificationShortCode = 0 (None).
Used in New Order (D)
Extended Response (x)
CLORDID
Field name ClOrdID
Description
Client order ID.
Field used to identify an order or cancellation. The client order ID is defined by front-end applications and used to identify an order or a cancellation and match messages received from the Trading Engine (order outcome, order rejection notices, execution notices, etc.).
This field may also be used for the multiplexing of different traders connected to the same Broker order entry application.
This ID must be unique for all orders & cancellations by Broker (OnBehalfOfCompID) and instrument.
An order or cancellation is considered as persistent when it resides in trading engine’s memory: this concerns any order or cancellation processed during the current day, as well as orders previously entered but still alive.
Orders may also be identified by the OrderID field.
Format Int
Length 8
Possible values -263..263-1
MS MTF Field Description
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Field name ClOrdID
Conditions
In New Order (D), Order Cancel Request (F) and Cancel/Replace Order (G): mandatory.
In Order Cancel/Replace Reject (8): not provided in case of rejection for ‘ClOrdID not valuated’ reason; else provided with the value specified in the request.
In Cancel Request Ack (6) and Bulk Cancel Ack/Report (K): provided with the value specified in the request.
In Order Fill (2), Bust/Correct (C) and Extended Response (x): provided with the value associated to the concerned order, except in case of messages sent upon trade creation or upon trade cancellation of a trade created upon trade creation, where the value is ‘0’.
In Order Ack (a), Order Killed (4), Cancel/Replace Request Ack (E) and Order Replaced (5): provided with the value associated to the concerned order.
Used in
New Order (D)
Order Cancel Request (F)
Cancel/Replace (G)
Order Ack (a)
Order Fill (2)
Cancel Request Ack (6)
Order Killed (4)
Bulk Cancel Ack/Report (K)
Cancel/Replace Request Ack (E)
Order Replaced (5)
Order Cancel/Replace Reject (8)
Bust/Correct (C)
Extended Response (x)
COLLARREJPX
Field name CollarRejPx
Description
Price of collar hit in case of rejection.
Hit collar price in case of order rejection due to collar breach.
Price without decimal separator: decimal places provided by CollarRejPxScale.
Format Int
Length 4
Possible values Price
Conditions Filled only in case of rejection due to collar logic.
Used in Order Cancel/Replace Reject (8)
COLLARREJPXSCALE
Field name CollarRejPxScale
Description Number of decimals for CollarRejPx.
Format Char
Length 1
Possible values ‘0’..’4’
MS MTF Field Description
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Field name CollarRejPxScale
Conditions Provided when CollarRejPx provided.
Used in Order Cancel/Replace Reject (8)
COLLARREJTYPE
Field name CollarRejType
Description Hit collar type in case of rejection.
Hit collar (high or low) in case of order rejection due to collar breach.
Format Char
Length 1
Possible values ‘L’ Low collar
‘H’ High collar
Conditions Filled only in case of rejection due to collar logic.
Used in Order Cancel/Replace Reject (8)
CONTRABROKER
Field name ContraBroker
Description Counterpart Firm ID in case of internalization.
Identifier of the counterpart firm if the trade is a result of the Internal Matching Service (IMS).
Format String
Length 11
Possible values Firm ID
Conditions Filled in case of IMS only.
Used in Order Fill (2)
Extended Response (x)
CROSSTYPE
Field name CrossType
Description Type of cross trade. Currently not used.
Format Char
Length 1
Possible values ‘0’ Not significant (default)
‘P’ Put-through Cross
Conditions Always provided.
Used in
Order Fill (2)
Bust/Correct (C)
Extended Response (x)
MS MTF Field Description
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CUMQTY
Field name CumQty
Description
Cumulated quantity.
Total number of shares filled. If an order is partially filled for a quantity q1 then partially filled for a quantity q2, in the first execution report message CumQty = q1 and in the second execution report message CumQty = q1 + q2.
Format Int
Length 4
Possible values Quantity
Conditions Always provided. Set to ‘0’ if the order has never been executed yet.
Used in Extended Response (x)
CURRENCY
Field name Currency
Description
Currency code.
Identifies currency used for price. This field is not validated for the purpose of trading product identification.
Future use ►Ignored in inbound messages, not provided in outbound messages. Absence of this field is interpreted as the default currency for the instrument. It is recommended that systems provide the currency value whenever possible.
Format String
Length 3
Possible values ISO 4217 standard
Conditions Inbound messages: optional.
Outbound messages: conditionally provided.
Used in
New Order (D)
Order Cancel Request (F)
Cancel/Replace (G)
Order Ack (a)
Order Fill (2)
Cancel Request Ack (6)
Order Killed (4)
Bulk Cancel Ack/Report (K)
Cancel/Replace Request Ack (E)
Order Replaced (5)
Order Cancel/Replace Reject (8)
Bust/Correct (C)
Extended Response (x)
MS MTF Field Description
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D
DEAINDICATOR
Field name DEAIndicator
Description Indicates whether the order was submitted via a DEA connection or not. It must be set to 1 for DEA access.
Format Char
Length 1
Possible values ‘0’ No
‘1’ Yes
Conditions Mandatory
Used in New Order (D)
DELIVERTOCOMPID
Field name DeliverToCompID
Description
ID of the targeted firm.
Identifier of the firm to which the order belongs in outbound message.
In other words, ID of the firm targeted to receive the message. This field holds the same information as the one held by OnBehalfOfCompID in inbound messages.
Format String
Length 11
Possible values
(see message structures)
■ Inbound messages: ignored
■ Outbound messages: Firm ID
Conditions Outbound messages: always provided with the reference identifier of the Firm (mandatory OnBehalfOfCompID field in inbound application messages).
Used in
Order Ack (a)
Order Fill (2)
Cancel Request Ack (6)
Order Killed (4)
Bulk Cancel Ack/Report (K)
Cancel/Replace Request Ack (E)
Order Replaced (5)
Order Cancel/Replace Reject (8)
Bust/Correct (C)
Extended Response (x)
DELIVERTOLOCATIONID
Field name DeliverToLocationID
Description
ID of the targeted firm’s front-end server.
Identifier of a firm’s front-end server targeted to receive a response message (may differ from the DeliverToCompID field that identifies the targeted firm).
MS MTF Field Description
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Field name DeliverToLocationID
Format String
Length 11
Possible values Front-end server ID
Conditions Outbound messages: always provided with the identifier of the front-end server.
Used in Extended Response (x)
E
EBBIDPX
Field name EBBidPx
Description Field used to identify the EBBO quote bid at time of auction initiation.
Format Int
Length 4
Possible values Price
Conditions Conditionally required
Field mandatory in case BookIndicator is Auction (BookIndicator = ‘A’), else not provided.
Used in Order Fill (2)
Extended Response (x)
EBBIDPXSCALE
Field name EBBidPxScale
Description Number of decimals for EBBidPx.
Format Char
Length 1
Possible values ‘0’..’6’
Conditions Mandatory field when EBBidPx is provided.
Used in Order Fill (2)
Extended Response (x)
EBOFFERPX
Field name EBOfferPx
Description Field used to identify the EBBO quote ask at time of auction initiation.
Format Int
Length 4
MS MTF Field Description
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Field name EBOfferPx
Possible values Price
Conditions Conditionally required
Field mandatory in case BookIndicator is Auction (BookIndicator = ‘A’), else not provided.
Used in Order Fill (2)
Extended Response (x)
EBOFFERPXSCALE
Field name EBOfferPxScale
Description Number of decimals for EBOfferPx.
Format Char
Length 1
Possible values ‘0’..’6’
Conditions Mandatory field when EBOfferPx are provided.
Used in Order Fill (2)
Extended Response (x)
ERRORCODE
Field name ErrorCode
Description Error code in case of rejection.
Provides the engine error code when a request is rejected for functional reason.
Format Int
Length 2
Possible values Numerical
Conditions Always provided, significant (>0) only in case of rejection, else defaults to ‘0’ (no error).
Used in Order Cancel/Replace Reject (8)
Extended Response (x)
EXECID
Field name ExecID
Description
Execution report ID.
Unique identifier for Execution Report assigned by UTP by Member (OnBehalfOfCompID) and by Trading Unit of the UTP trading engine. Uniqueness per Firm and TU will be guaranteed within a single trading day only.
Note: this field is an Execution Report identifier, with “Execution Report” term to be understood as the message type and not only as a report of an order execution/trade (hence it includes also Execution Reports for cancellation for example). On the other side, fields ExecRefID and UTPExID are reference identifiers of order executions/trades.
Format Int
Length 8
MS MTF Field Description
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Field name ExecID
Possible values Sequential
Conditions Always provided. Set to ‘0’ for ExecTransType = ‘3’.
Used in Extended Response (x)
EXECINST
Field name ExecInst
Description Execution instruction.
Field used as instruction for order handling on exchange trading floor.
Format Char
Length 1
Possible values ‘M’ Mid-price Peg
Conditions
In New Order (D) and Cancel/Replace Order (G): authorized only if OrderType = ‘P’ (Pegged).
In Extended Response (x): provided in case of order execution reports (partial fill or fill) with the value corresponding to the book where the fill occurred. Else not provided.
Used in
New Order (D)
Cancel/Replace (G)
Extended Response (x)
EXECREFID
Field name ExecRefID
Description
Trade reference ID by trading unit and day.
Field used as a reference identifier of a trade, for all instruments listed on a given Trading Unit of the UTP trading engine on a given day. This field is provided in the case of a fill or partial fill order execution, or of a trade cancellation. For example, let x be the reference identifier of a given trade, x is reported in the 2 Execution Report sent for the 2 sides of the trade, and if this trade is cancelled, x is again reported in the 2 Execution Report sent for the 2 sides of the trade.
Note #1: this field is a Trade Reference Identifier unique for all instruments for a given day on a given Trading Unit; on the other side, UTPExID is a Trade Reference Identifier unique for a given instrument and for a given day.
Note #2: this field is a Trade Reference Identifier; on the other side, ExecID is an Execution Report (to be understood as the message type and not as a “trade report”) Reference Identifier.
Format String
Length 24
Possible values Alphanumerical
Conditions
In Order execution report and Trade cancellation report: provided with the identifier of the concerned execution, unique for the current day and for all instruments listed on a given Trading Unit.
Not provided in other cases.
Used in Extended Response (x)
MS MTF Field Description
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EXECTRANSTYPE
Field name ExecTransType
Description Transaction type.
Format Char
Length 1
Possible values
‘0’ Order execution (partial fill or fill)
‘1’ Trade cancellation
‘3’ Order book retransmission
Conditions In Extended Response (x): always provided, with ‘3’ in Order Status Request response, ‘1’ in Trade cancellation report, and ‘0’ in other cases.
Used in Extended Response (x)
EXECTYPE
Field name ExecType
Description
Execution type.
Field used to describe the execution type in case ExecTransType = ‘0’.
If case ExecTransType = ‘1’, ExecType is always equal to ‘2’, even if the order associated to the trade cancellation is in the ‘Partial fill’ state (in this case, OrdStatus = ‘1’).
Format Char
Length 1
Possible values ‘1’ Partial fill
‘2’ Fill or Trade cancellation
Conditions Always provided.
Used in Extended Response (x)
EXECUTIONWITHINFIRMSHORTCODE (EXECUTIONWITHINFIRMSHORTCODE_2)
Field Name ExecutionWithinFirmShortCode
Description Code used to identify the person or algorithm within the member or participant of the trading venue who is responsible for the execution of the transaction.
ExecutionWithinFirmShortCode_2 is only used for the sell side of a cross order.
Format Int
Length 4
Possible Values The shortcode value must be between 4 and 4,294,967,295. Mapping files specifications for the data corresponding to this shortcode will be provided in a different document.
Reserved shortcode:
‘3’ ‘CLIENT’ – Execution decision has been taken by the client
Conditions Mandatory
Used in New Order (D)
Extended Response (x)
MS MTF Field Description
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EXECUTIONWITHINFIRMALGOORDERFLAG
Field Name ExecutionWithinFirmAlgoOrderFlag
Description Indicates whether the order execution within the member or participant of the trading venue is generated by a computer algorithm.
Format Char
Length 1
Possible Values 0: Order not generated by an algorithm
1: Order generated by an algorithm
Conditions Mandatory
Used in New Order (D)
Extended Response (x)
F
FREETEXT (FREETEXT_2)
Field name FreeText
Description
Free text.
Manually entered by the trader issuing the order.
FreeText_2 is only used for the sell side of a cross order.
Format String
Length 18
Possible values Any
Conditions
In New Order (D) and Cancel/Replace Order (G): optional.
In Extended Response (x): provided with the value associated to the concerned order, if any. Else not provided.
Used in
New Order (D)
Cancel/Replace (G)
Extended Response (x)
I
IMPTIMESTAMP
Field name IMPTimestamp
Description IMP creation timestamp. Indicates the time the Indicative Matching Price was set.
Format String
MS MTF Field Description
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Field name IMPTimestamp
Length 15
Possible values hh:mm:ss.dddddd
(Blank) Not Provided
Conditions Always provided when BookIndicator = ‘A’.
Blank when BookIndicator = ‘R’.
Used in Order Fill (2)
INVESTMENTDECISIONALGOORDERFLAG
Field name InvestmentDecisionAlgoOrderFlag
Description Indicates whether the investment decision is generated by a computer algorithm.
Format Char
Length 1
Possible values 0: Order not generated by an algorithm
1: Order generated by an algorithm
Conditions Mandatory if InvestmentDecisionShortCode field is filled.
Used in New Order (D)
Extended Response (x)
INVESTMENTDECISIONSHORTCODE (INVESTMENTDECISIONSHORTCODE_2)
Field name InvestmentDecisionShortCode
Description Code used to identify the person or the algorithm within the member or participant of the trading venue who is responsible for the investment decision within the firm.
InvestmentDecisionShortCode_2 is only used for the sell side of a cross order.
Format Int
Length 4
Possible values The shortcode value must be between 4 and 4,294,967,295. Mapping files specifications for the data corresponding to this shortcode will be provided in a different document.
Conditions
‘0’ or blank when the investment decision was not made by a person or algorithm within the member or participant of the trading venue.
Mandatory if Rule80A = 2 (House) and DEA indicator must be 0.
Used in New Order (D)
Extended Response (x)
MS MTF Field Description
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L
LASTMSGSEQNUM
Field name LastMsgSeqNum
Description Last message sequence number.
Format Int
Length 4
Possible values Sequential
Conditions Always provided (see Logon (A) message description).
Used in Logon (A)
LASTMSGSEQNUMRCVD
Field name LastMsgSeqNumRcvd
Description Last internal message sequence number received by the server.
Format Int
Length 4
Possible values Sequential
Conditions Always provided (see Logon (A) message description).
Used in Logon Reject (I)
LASTMSGSEQNUMSENT
Field name LastMsgSeqNumSent
Description Last internal message sequence number sent by the server.
Format Int
Length 4
Possible values Sequential
Conditions Always provided (see Logon (A) message description).
Used in Logon Reject (I)
LASTPX
Field name LastPx
Description Price of last fill.
Price without decimal separator: decimal places provided by LastPxScale.
Format Int
Length 4
MS MTF Field Description
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Field name LastPx
Possible values Price
Conditions Always provided.
Used in
Order Fill (2)
Bust/Correct (C)
Extended Response (x)
LASTPXSCALE
Field name LastPxScale
Description Number of decimals for LastPx.
Format Char
Length 1
Possible values ‘0’..’6’
Conditions Mandatory field when LastPx is provided.
Used in
Order Fill (2)
Bust/Correct (C)
Extended Response (x)
LASTSHARES
Field name LastShares
Description Quantity of last fill.
Quantity of shares bought/sold on the last fill.
Format Int
Length 4
Possible values Quantity
Conditions Always provided.
Used in
Order Fill (2)
Bust/Correct (C)
Extended Response (x)
LEAVESQTY
Field name LeavesQty
Description
Remaining quantity.
Amount of shares open for further execution.
If OrdStatus is ‘Canceled’, ‘DoneForTheDay’, ‘Expired’, ‘Calculated’ or ‘Rejected’ (in which case the order is no longer active), then LeavesQty could be ‘0’, otherwise LeavesQty = OrderQty – CumQty.
Format Int
MS MTF Field Description
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Field name LeavesQty
Length 4
Possible values Quantity
Conditions Always provided, with ‘0’ if the order has no remaining quantity.
Used in Extended Response (x)
LIQUIDITYINDICATOR
Field name LiquidityIndicator
Description
Effect indicator on liquidity.
Indicates whether a trade adds liquidity (A) or removes liquidity (R) from the marketplace.
This is a configurable setting that is turned on at the request of the customer.
Format Char
Length 1
Possible values
‘A’ Add liquidity - passive
‘R’ Remove liquidity - aggressive
‘P’ Periodic Auction
(Blank) Uncrossing
Conditions Always provided.
Used in Order Fill (2)
Extended Response (x)
LIQUIDITYPROVISION
Field name LiquidityProvision
Description Indication as to whether an order is submitted to a trading venue as part of a market making strategy pursuant to Articles 17 and 48 of Directive 2014/65/EU or other activity in accordance with Article 3 of ESMA annex I on MiFID II and MiFIR.
Format Char
Length 1
Possible values ‘N’ Not a Liquidity Provision Activity order.
‘Y’ Liquidity Provision Activity order.
Conditions Optional. If blank/not provided then default value is ‘N’
Used in New Order (D)
M
MS MTF Field Description
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MIC
Field name MIC
Description Market identification code.
Identifier for a market place as defined by the ISO 10383 standard.
Format String
Length 4
Possible values ISO 10383 standard
Conditions
Inbound messages: optional.
If the MIC is filled in the New Order then the system will validate it against the MIC of the instrument present in the MS MTF universe.
Outbound messages: conditionally provided.
Used in
New Order (D)
Order Cancel Request (F)
Cancel/Replace (G)
Order Ack (a)
Order Fill (2)
Cancel Request Ack (6)
Order Killed (4)
Bulk Cancel Ack/Report (K)
Cancel/Replace Request Ack (E)
Order Replaced (5)
Order Cancel/Replace Reject (8)
Bust/Correct (C)
Extended Response (x)
MINQTY
Field name MinQty
Description
Minimum quantity to be executed.
Persistent constraint for MS MTF (checked at each execution). Adjusted to the remaining quantity when the latter falls below the initial minimum quantity.
Format Int
Length 4
Possible values Quantity
Conditions ■ Optional;
■ Authorized in continuous mode only.
Used in New Order (D)
MKTPHASECHGTIME
Field name MktPhaseChgTime
Description Time of market phase change.
MS MTF Field Description
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Field name MktPhaseChgTime
Format Int
Length 8
Possible values Microseconds since 01/01/1970 00:00, ‘-1’ or ‘0’ if not significant.
Conditions Conditionally provided.
Used in Trading Session Status (h)
MSGLEN
Field name MsgLen
Description Binary message length.
Format Int
Length 2
Possible values 0..216-1
Conditions Inbound messages: mandatory.
Outbound messages: always provided.
Used in
Logon (A)
Logon Reject (I)
New Order (D)
Order Cancel Request (F)
Cancel/Replace (G)
Order Ack (a)
Order Fill (2)
Cancel Request Ack (6)
Order Killed (4)
Bulk Cancel Ack/Report (K)
Cancel/Replace Request Ack (E)
Order Replaced (5)
Trading Session Status (h)
Order Cancel/Replace Reject (8)
Bust/Correct (C)
Extended Response (x)
MSGSEQNUM
Field name MsgSeqNum
Description Message sequence number.
Internal message sequence number.
Format Int
Length 4
Possible values Sequential.
MS MTF Field Description
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Field name MsgSeqNum
Conditions Inbound messages: mandatory.
Outbound messages: always provided.
Used in
New Order (D)
Order Cancel Request (F)
Cancel/Replace (G)
Order Ack (a)
Order Fill (2)
Cancel Request Ack (6)
Order Killed (4)
Bulk Cancel Ack/Report (K)
Cancel/Replace Request Ack (E)
Order Replaced (5)
Trading Session Status (h)
Order Cancel/Replace Reject (8)
Bust/Correct (C)
Extended Response (x)
N
NRAUCTIONS
Field name NrAuctions
Description Maximum number of auctions available for new orders. This field allows members to specify the number of auctions that the order should take part in.
Format Int
Length 4
Possible values ‘1’..’100’
Conditions
Applicable only to New Order Single (D) message: Conditionally required
■ Field mandatory in case time in force validity is Good for Auction (TimeInForce = ‘B’)
■ Field ignored in case time in force validity is different than Good for Auction (TimeInForce = ‘B’)
Used in New Order (D)
NONEXECUTINGBROKERSHORTCODE (NONEXECUTINGBROKERSHORTCODE_2)
Field name NonExecutingBrokerShortCode
Description Code used to identify the non-executing broker.
NonExecutingBrokerShortCode_2 is only used for the sell side of a cross order.
Format Int
Length 4
Possible values The shortcode value must be between 4 and 4,294,967,295. Mapping files specifications for the data corresponding to this shortcode will be provided in a different document.
Conditions ‘0’ or blank when not relevant.
MS MTF Field Description
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Field name NonExecutingBrokerShortCode
Used in New Order (D)
Extended Response (x)
O
ONBEHALFOFCOMPID
Field name OnBehalfOfCompID
Description ID of the issuing firm.
Identifier of the firm to which the order belongs in inbound messages.
Format String
Length 11
Possible values Firm ID
Conditions
Mandatory in inbound messages, except in case of Bulk Cancellation where it is an optional criterion.
When responding to a message, this information is sent back by the trading engine in the DeliverToCompID field.
Used in
New Order (D)
Order Cancel Request (F)
Cancel/Replace (G)
OPENCLOSE (OPENCLOSE_2)
Field name OpenClose
Description
Posting action.
Indicates whether the resulting position after a trade should be an opening or closing position.
OpenClose_2 is only used for the sell side of a cross order.
Format Char
Length 1
Possible values ‘0’ Open
‘C’ Close
Conditions
Optional in New Order (D) and Cancel/Replace Order (G) requests.
In Extended Response (x) message:
• In Order information report and Trade cancellation report: provided with the OpenClose value associated with the order (if any).
• In New order Request rejection response: provided with the OpenClose value of the request, if any.
Used in
New Order (D)
Cancel/Replace (G)
Extended Response (x)
MS MTF Field Description
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ORDENTRYALLOWED
Field name OrdEntryAllowed
Description
Order entry allowed indicator.
Indicator whether order entry is allowed or not for the instrument class or the instrument, and in case order entry is forbidden, whether the indicator has been set automatically or manually via UTM.
Format Char
Length 1
Possible values
‘0’ Order entry automatically forbidden
‘1’ Order entry allowed
‘2’ Order entry manually forbidden
Conditions Always provided.
Used in Trading Session Status (h)
ORDERID
Field name OrderID
Description
Engine order ID.
Field used to identify an order. Unique number assigned by the Trading Engine upon successful validation of an incoming order.
Format Int
Length 8
Possible values Alphanumerical
Conditions
In inbound requests: ignored
In Extended Response (x) message:
■ Provided in Order information report and in Trade cancellation report.
■ Not provided In New order Request rejection response and Order status request rejection response:
Populated in outbound responses with the value provided in the corresponding request.
Used in
Order Cancel Request (F)
Cancel/Replace (G)
Order Ack (a)
Order Fill (2)
Cancel Request Ack (6)
Order Killed (4)
Bulk Cancel Ack/Report (K)
Cancel/Replace Request Ack (E)
Order Replaced (5)
Extended Response (x)
MS MTF Field Description
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ORDERQTY
Field name OrderQty
Description Total order quantity.
Number of shares ordered (or number of orders cancelled in case of Bulk Cancel Ack).
Format Int
Length 4
Possible values Quantity
Conditions
Mandatory in New Order (D) and Cancel/Replace Order (G) requests.
In Extended Response (x) message:
■ Populated in Order information report and in Trade cancellation report.
■ Populated in New order request rejection response except in case of rejection for “OrderQty not valuated” reason.
Used in
New Order (D)
Cancel/Replace (G)
Extended Response (x)
ORDERTYPE
Field name OrderType
Description Order type.
Format Char
Length 1
Possible values ‘2’ Limit
‘P’ Pegged
Conditions
Mandatory in New Order (D) and Cancel/Replace Order (G) requests.
Always populated in Extended Response (x) message, except in New Order Request rejection response in case of rejection for “OrdType not valuated” reason.
Order Type Limit is only valid for Auction (BookIndicator = ‘A’)
Used in
New Order (D)
Cancel/Replace (G)
Extended Response (x)
ORDSTATUS
Field name OrdStatus
Description Order status.
Format Char
Length 1
MS MTF Field Description
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Field name OrdStatus
Possible values
‘0’ New
‘1’ Partially filled
‘2’ Filled
‘3’ Done for Day
‘4’ Cancelled
‘5’ Replaced
‘6’ Pending Cancel
‘8’ Rejected
‘C’ Expired
‘E’ Pending Replace
‘S’ Cancelled by Market Operation
Conditions Always provided.
Used in Extended Response (x)
ORIGCLORDID
Field name OrigClOrdID
Description
Original client order ID.
Field used to identify the order to modify or cancel in an order Cancel/Replace or Cancel request. It refers to the ClOrdID of the order to modify or cancel.
Format Int
Length 8
Possible values ClOrdID of the order to be modified / cancelled
Conditions
Conditionally required in Order Cancel Request (F): Mandatory in case of single cancellation and ignored in case of bulk cancellation.
Mandatory in Cancel/Replace Order (G) requests.
Populated in Order Cancel/Replace Reject (8) response if provided in the corresponding request.
Used in
Order Cancel Request (F)
Cancel/Replace (G)
Order Cancel/Replace Reject (8)
P
PRICE
Field name Price
Description Instrument price per unit of quantity (share).
Price without decimal separator: decimal places provided by PriceScale.
Format Int
Length 4
Possible values Price
MS MTF Field Description
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Field name Price
Conditions
In New Order (D) and Cancel/Replace Order (G) requests: optional if OrderType set to ‘P’ (Pegged), mandatory if OrderType set to ‘2’ (Limit).
In Extended Response (x): provided with the value associated to the concerned order, if any.
Used in
New Order (D)
Cancel/Replace (G)
Extended Response (x)
PRICESCALE
Field name PriceScale
Description Number of decimals for Price.
Format Char
Length 1
Possible values ‘0’..’6’
Conditions Always provided when Price provided.
Used in
New Order (D)
Cancel/Replace (G)
Extended Response (x)
PROTOCOLVERSION
Field name ProtocolVersion
Description CCG Binary protocol version.
Format Char
Length 1
Possible values ‘2’ Extended ClientOrderID protocol type
Conditions Always provided.
MS MTF Field Description
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Field name ProtocolVersion
Used in
Logon (A)
Logon Reject (I)
Test Request (1)
HeartBeat (0)
New Order (D)
Order Cancel Request (F)
Cancel/Replace (G)
Order Ack (a)
Order Fill (2)
Cancel Request Ack (6)
Order Killed (4)
Bulk Cancel Ack/Report (K)
Cancel/Replace Request Ack (E)
Order Replaced (5)
Trading Session Status (h)
Order Cancel/Replace Reject (8)
Bust/Correct (C)
Extended Response (x)
R
REJCODE
Field name RejCode
Description
Reject code in case of logon rejection.
■ If ‘1’, the trading system is not available.
■ If ‘2’, the last sequence number in a logon message is larger than expected.
■ If ‘3’, a user attempted to login more than once and the existing client session is still active.
■ If ‘4’, the user attempted to reconnect to a client session that has been disabled.
■ If ‘5’, the configured connection type of a session does not match the port the client connects to.
Format Int
Length 2
Possible values
‘0’ Success
‘1’ System unavailable
‘2’ Invalid sequence number
‘3’ Client session already exists
‘4’ Client session disabled
‘5’ Connection type mismatch
Conditions Always provided.
Used in Logon Reject (I)
MS MTF Field Description
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REJREASON
Field name RejReason
Description Reason for request rejection.
Format Char
Length 1
Possible values
See ‘UTP Error List’ for possible values.
Additional values for the Double Volume Caps instrument halt:
‘20709’ DVC - Proactively halted instrument
‘20710’ DVC - Threshold breached
Conditions Always provided.
Used in Order Cancel/Replace Reject (8)
REJTYPE
Field name RejType
Description Type of reject.
Origin of the reject (either new order, cancel or cancel/replace request).
Format Char
Length 1
Possible values
‘1’ Order reject
‘2’ Cancel reject
‘3’ Replace reject
Conditions Always provided.
Used in Order Cancel/Replace Reject (8)
RULE80A (RULE80A_2)
Field name Rule80A
Description
Order origin.
Indicates the account type for which the order is entered.
Rule80A_2 is only used for the sell side of a cross order.
Format Char
Length 1
Possible values
‘1’ Client (maps to ‘AOTC’)
‘2’ House (maps to ‘DEAL’)
‘3’ Riskless Principal (maps to ‘MTCH’)
Conditions
In New Order (D): mandatory.
In Order Cancel Request (F): optional for a bulk cancel, ignored (but checked) for a single cancel.
In Bulk Cancel Ack/Report (K): provided with the value indicated in the request, if any.
In Extended Response (x): always provided.
MS MTF Field Description
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Field name Rule80A
Used in
New Order (D)
Order Cancel Request (F)
Bulk Cancel Ack/Report (K)
Extended Response (x)
S
SENDERSUBID
Field name SenderSubID
Description Assigned value used to identify the subsidiary of the message originator
Format String
Length 11
Possible values DeskID
Conditions Optional in inbound messages (with no field validation). Never provided in outbound messages.
Used in
New Order (D)
Order Cancel Request (F)
Cancel/Replace (G)
SIDE
Field name Side
Description Order side.
Format Char
Length 1
Possible values
(see message structures)
‘1’ Buy
‘2’ Sell
‘8’ Cross (Only applicable for New Order D)
Conditions
In New Order (D) and Cancel/Replace Order (G): mandatory.
In Order Cancel Request (F): in case of bulk cancelation, optional criterion. Ignored (but still checked) in case of single cancellation.
In Bulk Cancel Ack/Report (K): provided with the value of the request, if any.
In Order Fill (2) and Extended Response (x): always provided. In case of entering a new cross order, two notifications are triggered for each message to provide information from each side.
Used in
New Order (D)
Order Cancel Request (F)
Cancel/Replace (G)
Order Fill (2)
Bulk Cancel Ack/Report (K)
Extended Response (x)
MS MTF Field Description
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SYMBOL
Field name Symbol
Description Instrument ID.
Identifier of the instrument involved in the order.
Format String
Length 12
Possible values ISIN or ISIN-like
Conditions
In Order Cancel Request (F): in case of bulk cancelation, mandatory if ClassID not filled, optional (but with consistency check on ClassID/Symbol pair) if ClassID filled. In case of single cancellation: mandatory.
In Cancel Request Ack (6) and Bulk Cancel Ack/Report (K): provided with the value specified in the request, if any. Else not provided.
In Order Cancel/Replace Reject (8): provided except in case of rejection for ‘Symbol not valuated’ reason.
Other inbound messages: mandatory.
Other outbound messages: always provided.
Used in
New Order (D)
Order Cancel Request (F)
Cancel/Replace (G)
Order Ack (a)
Order Fill (2)
Cancel Request Ack (6)
Order Killed (4)
Bulk Cancel Ack/Report (K)
Cancel/Replace Request Ack (E)
Order Replaced (5)
Order Cancel/Replace Reject (8)
Bust/Correct (C)
Extended Response (x)
T
TECHNICALORDTYPE
Field name TechnicalOrdType
Description
Order technical origin.
Indicates the nature of the order issuer; for example, it can be a manual entry, or an order coming from a Program Trading system.
Format Char
Length 1
Possible values
‘I’ Index trading arbitrage
‘P’ Portfolio strategy
‘G’ Unwind order
‘A’ Other orders (default)
‘C’ Cross margining
MS MTF Field Description
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Field name TechnicalOrdType
Conditions
In New Order (D) and Cancel/Replace Order (G): optional. Absence of this field is interpreted as ‘A’ (Other orders).
In Order Cancel Request (F): in case of bulk cancellation, optional criterion. In case of single cancellation, ignored (but still checked).
In Bulk Cancel Ack/Report (K) and Extended Response (x): provided with the value specified in the request, if any.
Used in
New Order (D)
Order Cancel Request (F)
Cancel/Replace (G)
Bulk Cancel Ack/Report (K)
Extended Response (x)
TEXT
Field name Text
Description Request status or error text.
Provides a status of the originating request or a textual explanation in case of request rejection.
Format String
Length 40
Possible values Alphanumerical
Conditions Always provided.
Used in
Logon Reject (I)
Order Cancel/Replace Reject (8)
Extended Response (x)
TIMEINFORCE
Field name TimeInForce
Description
Time in force validity.
Specifies how long the order remains in effect. Absence of this field is interpreted as ‘0’ (Good for Day).
Format Char
Length 1
Possible values
‘0’ GFD (Good for Day)
‘3’ IOC (Immediate Or Cancel)
‘4’ FOK (Fill Or Kill)
‘B’ GFA (Good for Auction)
Conditions
In New Order (D): optional.
In Cancel/Replace Order (G): Optional field with only two possible values ‘0’ GFD and ‘B’ GFA
In Extended Response (x): always provided.
IOC and FOK only valid for RPW / LIS order book (BookIndicator = ‘R’).
GFA only valid for Auction (BookIndicator = ‘A’).
MS MTF Field Description
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Field name TimeInForce
Used in
New Order (D)
Cancel/Replace (G)
Extended Response (x)
TOTALAFFECTEDORDERS
Field name TotalAffectedOrders
Description Number of orders cancelled upon mass cancel request.
Format Int
Length 4
Possible values ‘0’..’1010-1’ (‘-1’ upon request acknowledgement)
Conditions Provided with the actual number of cancelled orders when the Bulk Cancel Ack/Report (K) is sent at the end of the bulk cancellation.
Used in Bulk Cancel Ack/Report (K)
TRADECHANGETYPE
Field name TradeChangeType
Description Type of MO action on trade.
Indicates whether Marker Operations has busted or corrected a trade.
Format Char
Length 1
Possible values ‘1’ Trade busted
‘2’ Trade corrected
Conditions Type of MO action on trade.
Indicates whether Marker Operations has busted or corrected a trade.
Used in Bust/Correct (C)
TRADINGSESSIONID
Field name TradingSessionID
Description
Session ID or combination of session IDs for which the order is valid.
Note: For European Markets, multiple Trading Sessions in a single calendar day is not currently supported.
For this reason, this field is forced to ‘123’ (All sessions) by the UTP trading engine when processing the D and G messages, and is not provided in the Execution report.
Format String
Length 4
MS MTF Field Description
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Field name TradingSessionID
Possible values
‘1’ Early session
‘2’ Core session
‘3’ Late session
‘12’ Early and Core sessions
‘13’ Early and Late sessions
‘23’ Core and Late sessions
‘123’ All sessions
Conditions In Trading Session Status (h): always set to ‘2’ (Core session).
Used in Trading Session Status (h)
TRANSACTTIME
Field name TransactTime
Description
Transaction time.
Indicates the time the order request was initiated / released by the trader / trading system, or the time of execution or order creation.
Format Int
Length 8
Possible values Microseconds since 01/01/1970 at 00:00 UTC;
‘-1’ or ‘0’ if not significant.
Conditions Set to ‘-1’ or ‘0’ in Order Cancel/Replace Reject (8) and Bulk Cancel Ack/Report (K).
Used in
Order Ack (a)
Order Fill (2)
Cancel Request Ack (6)
Order Killed (4)
Bulk Cancel Ack/Report (K)
Cancel/Replace Request Ack (E)
Order Replaced (5)
Order Cancel/Replace Reject (8)
Bust/Correct (C)
Extended Response (x)
TRDREGPUBLICATIONREASONS
Field name TrdRegPublicationReasons
Description Indicates the pre-trade transparency waiver under which the trade was conducted in accordance with Articles 4 and 9 of Regulation (EU) 600/2014.
Format String
Length 1
Possible values
´2´ Negotiated Trades (PRIC)
‘3’ Reference Price (RFPT)
‘9’ Large in Scale (LRGS)
‘-’ Not applied
MS MTF Field Description
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Field name TrdRegPublicationReasons
Conditions Always provided. Reference price and Large In Scale waivers are only valid for RPW / LIS order book (BookIndicator = ‘R’)
Used in Order Fill (2)
Extended Response (x)
U
USERNAME
Field name UserName
Description User name for session.
Format String
Length 11
Possible values Alphanumerical
Conditions Mandatory.
Used in
Logon (A)
Order Fill (2)
Bust/Correct (C)
Extended Response (x)
UTPEXID
Field name UTPExID
Description
Trade reference ID by instrument & day.
Field used as a reference identifier for a trade, uniqueness is guaranteed within a single trading day and for a given instrument.
This field is provided in case of fill, partial fill or trade cancellation.
For example, let x be the reference identifier of a given trade, x is reported in the 2 Order Fill (2) and the 2 Extended Response (x) sent for the 2 sides of the trade, and if this trade is cancelled, x is again reported in the Order Fill (2) and the 2 Extended Response (x) sent for the 2 sides of the trade.
Format Int
Length 8
Possible values Numerical
Conditions Always provided.
Used in
Order Fill (2)
Bust/Correct (C)
Extended Response (x)
MS MTF Appendix A: Review Log, Document History
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5. APPENDIX A: REVIEW LOG, DOCUMENT HISTORY
REVIEW LOG
DOCUMENT NAME MS MTF
PROJECT NAME
LOCATION
VERSION 1.9.1
DOCUMENT HISTORY
VERSION NO. DATE AUTHOR CHANGE DESCRIPTION
1.0 24 Jan 2018 ENX ITS - SNM First release version of this document.
1.1 19 Fev 2018 ENX ITS - SNM
- Updates after external review of the first version of the spec:
• Removal of ClientID (109) field
• Removal of Best-Bid and Best-offer peg possible values from ExecInst field
• Addition of SenderSubID field to the New Order (D), Order Cancel Request (F), Cancel/replace order (G) messages
• Addition of BestBidPx and BestOfferPx on Order Fill (2) and Extended Response (x)
1.2 21 March 2018
ENX ITS - SNM
- Removal of BrokerPrioritization field on New Order (D) message
- Correction of offset on Order Fill (2) message
- Updates to include CR001 – Negotiated Trades:
• Addition of [Field]_2 fields across New Order (D) message & update of its field descriptions
• Update Side field to support a new sinde = Cross - Updates to include CR003 – TIF for Auction:
• Addition of NrAuctions field on New Order (D) message
1.3 12 April 2018 ENX ITS - SNM
- Removal of fillers on New Order (D), Cancel/replace order (G), Order
Fill (2), Order Cancel/Replace Reject (8) and Extended Response (x)
messages
- Update of OrigClordID field description
- Update of Bust (C ) message description
- Updates on New Order (D) message:
• Message restructured & alignment
• Addition of ClearingFirm_2 & update of field description
• Addition of ClearingHandlingType_2& update of field description
• Message description - Updates on Order Fill (2) and Extended Response (x) message:
• Addition of BookIndicator field
• Addition of BestBidPxScale & BestOfferPxScale fields
• Replacement of IMSCompID by ContraBroker field
• Add new possible value for TrdRegPublicationReasons field
MS MTF Appendix A: Review Log, Document History
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1.4 16 April 2018 ENX ITS - SNM
- Updates on Extended Response (x) message:
• Addition of ClientIdentificationShortCode, InvestmentDecisionShortCode, ExecutionWithinFirmShortCode, NonExecutingBrokerShortCode fields
• Addition of ExecutionWithinFirmAlgoOrderFlag & InvestmentDecisionAlgoOrderFlag fields
- Update of Bust (C ) message description
1.5 25 May 2018 ENX ITS - SNM - Update on NrAuctions field length and description
1.6 07 Sept 2018 ENX ITS - SNM
- Addition of EBBOBidPx and EBBOOfferPx fields
- Addition of NTTransactTime field
- Update of BestBidPx, BestOfferPx, BidPxScale and OfferPxScale
fields description
1.7 11 Sept 2018 ENX ITS - SNM
- Addition of EBBidPxScale and EBOfferPxScale
- Update of EBBOBidPx and EBBOOfferPx fields names (to ‘EBBidPx’
and ‘EBOfferPx’ respectively)
- Update of BidPxScale and OfferPxScale fields description
1.8 17 Oct 2018 ENX ITS - SNM - Update of alignment of Order Fill (2) and Extended Response (x) messages
1.9
09 Aug 2019 ENX ITS
- Message New Order (D) has been updated:
• Field ‘NTTransactTime’ was not part of the message.
Please note: this is a specification update, no changes were done to the message structure.
- Section “Message Header & Trailer” has been updated:
• Clarification was added in terms of the value used to represent the end of a message (ETX)
03 Sept 2019 ENX ITS - Minor corrections such as trademark date update and bullet configuration.