True Trade Ltd. reserves the right to change the specification of the FIX interface.

Introduction

Overview

BBO operates FIX Market Data Gateways which allow users to receive Market Data using standard FIX 4.4 messages.

Messages sizes

Inbound message size limit

The BBO FIX Trading Gateways have a maximum inbound message limit of 32768 bytes. If a message is received which exceeds this size, the client will be logged off.

Outbound message size

The BBO FIX Trading Gateway will never publish messages greater than 16384 bytes.

Session Resetting

In case of quotes connection, FIX Session sequence numbers are reset with each client's login/logout.

Messages

Supported Messages

BBO supports the following FIX message types.

Type	Name	Description
0	Heartbeat	Message sent during quite intervals on the connection to ensure that connection is still alive.
1	TestRequest	Message used to request a HeartBeat from the counterparty to allow round trip testing of the connection.
2	ResendRequest	Message used to request a replay of messages from the counter party.
3	Reject	Sent in response to a message which is structurally invalid (i.e. invalid or missing tag or ill-formed tag-value).
4	SequenceReset	SequenceReset.
5	Logout	Message used to terminate a FIX connection. Can be sent by the client or the BBO FIX Gateway.
A	Logon	Message used to establish a connection between a client and the BBO FIX Gateway.
V	MarketDataRequest	Message sent by the client to request market data.
W	MarketDataSnapshotFullRefresh	Message sent by BBO containing changes in market data

Standard Message Components

StandardHeader

Tag	Tag Name	Description	Required	Data Type
8	BeginString	The FIX version number identifier. Always 'FIX.4.4'	Y	String
9	BodyLength	Length of the FIX Message.	Y	Length
35	MsgType	The type of the message.	Y	String
49	SenderCompID	Identifier for the sender of the message.	Y	String
56	TargetCompID	Identifier for the receiver of the message.	Y	String
34	MsgSeqNum	The unique sequence number for the message within current FIX session.	Y	SeqNum
43	PossDupFlag	Always required for retransmitted messages, whether prompted by the sending system or as the result of a resend request. Set to 'Y' if this is a resent message.	N	Boolean
52	SendingTime	Time message was sent.	Y	UTCTimestamp
122	OrigSendingTime	Timestamp when message was originally sent. Required for message resent as a result of a ResendRequest.	N	UTCTimestamp

StandardTrailer

Tag	Tag Name	Description	Required	Data Type
10	CheckSum	Checksum for message contents.	Y	String

Instrument

Tag	Tag Name	Description	Required	Data Type
48	SecurityID	Must contain the BBO orderbook id.	Y	String
22	SecurityIDSource	Must contain the value '8' (Exchange Symbol)	Y	String

InstrmtMDReqGrp

Tag	Tag Name	Description	Required	Data Type
146	NoRelatedSym	Specifies the number of repeating symbols specified.	Y	NumInGroup
Instrument			Y

MDReqGrp

Tag	Tag Name	Description	Required	Data Type
267	NoMDEntryTypes	Number of MDEntryType (269) fields requested.	Y	NumInGroup
269	MDEntryType	Type Market Data entry. BBO supported values: 0 = Bid 1 = Offer BBO only allows subscription to both bid and ask at the same time. If only 0 or 1 is specified individually for a Market Data Request, then the request will be rejected.	Y	char

MDFullGrp

Tag	Tag Name	Description	Required	Data Type
268	NoMDEntries	Number of entries in Market Data message.	Y	NumInGroup
269	MDEntryType	Type Market Data entry. BBO supported values: 0 = Bid 1 = Offer	Y	char
270	MDEntryPx	Price of the Market Data Entry.	N	Price
271	MDEntrySize	Quantity or volume represented by the Market Data Entry.	N	Qty
272	MDEntryDate	Date of Market Data Entry. This tag will only be present on the first entry in the repeating group	N	UTCDateOnly
273	MDEntryTime	Time of Market Data Entry. This tag will only be present on the first entry in the repeating group	N	UTCTimeOnly
282	MDEntryOriginator	Originator of a Market Data Entry.	N	String

Message Descriptions

Heartbeat

Message sent during quite intervals on the connection to ensure that connection is still alive.

Tag	Tag Name	Description	Required	Data Type
StandardHeader			Y	MsgType= 0
112	TestReqID	Required when the heartbeat is the result of a Test Request message.	N	String
StandardTrailer			Y

TestRequest

Message used to request a HeartBeat from the counterparty to allow round testing trip of the connection.

Tag	Tag Name	Description	Required	Data Type
StandardHeader			Y	MsgType= 1
112	TestReqID	Identifier included in Test Request message to be returned in resulting Heartbeat	Y	String
StandardTrailer			Y

ResendRequest

Message used to request a replay of messages from the counter party.

Tag	Tag Name	Description	Required	Data Type
StandardHeader			Y	MsgType= 2
7	BeginSeqNo	Message sequence number of first message in range to be resent	Y	SeqNum
16	EndSeqNo	Message sequence number of last message in range to be resent. If request is for a single message BeginSeqNo (7) = EndSeqNo. If request is for all messages subsequent to a particular message, EndSeqNo = “0” (representing infinity).	Y	SeqNum
StandardTrailer			Y

Reject

Sent in response to a message which is structurally invalid (i.e. invalid or missing tag or ill-formed tag-value).

Tag	Tag Name	Description	Required	Data Type
StandardHeader			Y	MsgType= 3
45	RefSeqNum	MsgSeqNum of rejected message	Y	SeqNum
373	SessionRejectReason	Code to identify reason for a session-level Reject message.	N	int
58	Text	Where possible, message to explain reason for rejection	N	String
StandardTrailer			Y

SequenceReset

Tag	Tag Name	Description	Required	Data Type
StandardHeader			Y	MsgType= 4
123	GapFillFlag	Indicates that the Sequence Reset message is replacing administrative or application messages which will not be resent. Valid values: Y = Gap Fill message, MsgSeqNum field valid N = Sequence Reset, ignore MsgSeqNum	N	Boolean
36	NewSeqNo	New sequence number	Y	SeqNum
StandardTrailer			Y

Logout

Message used to terminate a FIX connection. Can be sent by the client or the BBO FIX Gateway.

Tag	Tag Name	Description	Required	Data Type
StandardHeader			Y	MsgType= 5
58	Text	If BBO logs out a client this may contain a text description for the reason for the logout.	N	String
StandardTrailer			Y

Logon

The Logon message must be the first message Client sends after establishing a TCP connection on the port agreed upon with BBO. Client must wait for a Logon from BBO before sending other messages and beginning gap fill operations.

Tag	Tag Name	Description	Required	Data Type
StandardHeader			Y	MsgType= A
98	EncryptMethod	Always '0' - None	Y	int
108	HeartBtInt	Always '30' - 30 seconds.	Y	int
141	ResetSeqNumFlag	Indicates both sides of a FIX session should reset sequence numbers. This is default for quote connection.	N	Boolean
553	Username	BBO username. This is required on the login message sent by the client!	Y	String
554	Password	BBO Password or passphrase. This is REQUIRED on the login message sent by the client	Y	String
StandardTrailer			Y

MarketDataRequest

Message sent by the client to request market data. Currently top of book bid and ask prices and volumes are available.

Tag	Tag Name	Description	Required	Data Type
StandardHeader			Y	MsgType= V
262	MDReqID	ID of Market Data Request.	Y	String
263	SubscriptionRequestType	SubcriptionRequestType indicates to the other party what type of response is expected. BBO supported values: 1 - Snapshot + Updates (Subscribe)	Y	char
264	MarketDepth	Depth of market for Book Snapshot BBO supported values: 0 = Full Depth (BBO supports a maximum of 20 levels of depth) 1 = Top of Book 2-20 = Report best N price tiers of data, up to 20 levels.	Y	int
265	MDUpdateType	Required if SubscriptionRequestType = Snapshot + Updates (1). BBO supported values 0 - Full Refresh.	N	int
MDReqGrp			Y
InstrmtMDReqGrp			Y
StandardTrailer			Y

MarketDataSnapshotFullRefresh

Tag	Required	Data Type
StandardHeader	Y	MsgType= W
Instrument	Y
MDFullGrp	Y
StandardTrailer	Y

Tags

Tag	Tag Name	Type	Description
1	Account	String	Account mnemonic as agreed between buy and sell sides, e.g. broker and institution or investor/intermediary and fund manager.
6	AvgPx	Price	Not supported by BBO - always 0
7	BeginSeqNo	SeqNum	Message sequence number of first message in range to be resent
8	BeginString	String	Identifies beginning of new message and protocol version. ALWAYS FIRST FIELD IN MESSAGE. (Always unencrypted). Valid values: * FIX.4.4
9	BodyLength	Length	Message length, in bytes, forward to the CheckSum field. ALWAYS SECOND FIELD IN MESSAGE. (Always unencrypted)
10	CheckSum	String	Three byte, simple checksum (see Volume 2: “Checksum Calculation” for description). ALWAYS LAST FIELD IN MESSAGE; i.e. serves, with the trailing <SOH>, as the end-of-message delimiter. Always defined as three characters. (Always unencrypted)
16	EndSeqNo	SeqNum	Message sequence number of last message in range to be resent. If request is for a single message BeginSeqNo (7) = EndSeqNo. If request is for all messages subsequent to a particular message, EndSeqNo = “0” (representing infinity).
22	SecurityIDSource	String	Identifies class or source of the SecurityID (48) value. Required if SecurityID is specified. BBO Supported values are: 8 = Exchange Symbol
34	MsgSeqNum	SeqNum	Integer message sequence number.
35	MsgType	String	Defines message type ALWAYS THIRD FIELD IN MESSAGE. (Always unencrypted) Valid values: * Note the use of lower case letters * 0 = Heartbeat 1 = Test Request 2 = Resend Request 3 = Reject 4 = Sequence Reset 5 = Logout A = Logon V = Market Data Request W = Market Data-Snapshot/Full Refresh Y = Market Data Request Reject
36	NewSeqNo	SeqNum	New sequence number
43	PossDupFlag	Boolean	Indicates possible retransmission of message with this sequence number Valid values: Y = Possible duplicate N = Original transmission
45	RefSeqNum	SeqNum	Reference message sequence number
48	SecurityID	String	BBO Security identifier. Requires SecurityIDSource=8. This is usualy the symbol name as you can see it in BBO GUI.
49	SenderCompID	String	Assigned value used to identify firm sending message.
52	SendingTime	UTCTimestamp	Time of message transmission (always expressed in UTC (Universal Time Coordinated, also known as “GMT”)
56	TargetCompID	String	Assigned value used to identify receiving firm.
58	Text	String	Free format text string (Note: this field does not have a specified maximum length)
89	Signature	data	Electronic signature
93	SignatureLength	Length	Number of bytes in signature field.
95	RawDataLength	Length	Number of bytes in raw data field.
96	RawData	data	Unformatted raw data, can include bitmaps, word processor documents, etc.
97	PossResend	Boolean	Indicates that message may contain information that has been sent under another sequence number. Valid Values: Y=Possible resend N=Original transmission BBO will never populate this tag with any value other than 'N' on messages sent by BBO. BBO will ignore this tag on any messages received by BBO and the treat the message as having been sent with PossResend='N'.
98	EncryptMethod	int	Method of encryption. Valid values: 0 = None / other BBO does not support encryption at the FIX layer. All messages are sent over an SSL encrypted connection. Supported values:
108	HeartBtInt	int	Heartbeat interval (seconds)
112	TestReqID	String	Identifier included in Test Request message to be returned in resulting Heartbeat
122	OrigSendingTime	UTCTimestamp	Original time of message transmission (always expressed in UTC (Universal Time Coordinated, also known as “GMT”) when transmitting orders as the result of a resend request.
123	GapFillFlag	Boolean	Indicates that the Sequence Reset message is replacing administrative or application messages which will not be resent. Valid values: Y = Gap Fill message, MsgSeqNum field valid N = Sequence Reset, ignore MsgSeqNum
141	ResetSeqNumFlag	Boolean	Indicates that the both sides of the FIX session should reset sequence numbers. Valid values: Y = Yes, reset sequence numbers N = No
146	NoRelatedSym	NumInGroup	Specifies the number of repeating symbols specified.
262	MDReqID	String	Unique identifier for Market Data Request. MDReqId is restricted to a maximum of 16 lowercase hexadecimal characters [0123456789abcdef] with no leading 0 characters (this is a positive 64bit number represented in hexadecimal excluding 0). Must be unique for all current Market Data Requests. If a new Market Data Request (excluding unsubscribtion requests) is received with the same MDReqId as a current Market Data Request then the new request will be rejected as a duplicate.
263	SubscriptionRequestType	char	Subscription Request Type Valid values: 0 = Snapshot; 1 = Snapshot + Updates (Subscribe); 2 = Disable previous Snapshot + Update Request (Unsubscribe);
264	MarketDepth	int	Depth of market for Book Snapshot BBO supported values: 0 = Full Depth (BBO supports a maximum of 20 levels of depth) 1 = Top of Book 2-20 = Report best N price tiers of data, up to 20 levels.
265	MDUpdateType	int	Specifies the type of Market Data update. BBO supported values: 0 = Full Refresh
267	NoMDEntryTypes	NumInGroup	Number of MDEntryType (269) fields requested.
268	NoMDEntries	NumInGroup	Number of entries in Market Data message.
269	MDEntryType	char	Type Market Data entry. BBO supported values: 0 = Bid 1 = Offer
270	MDEntryPx	Price	Price of the Market Data Entry.
271	MDEntrySize	Qty	Quantity or volume represented by the Market Data Entry.
272	MDEntryDate	UTCDateOnly	Date of Market Data Entry.
273	MDEntryTime	UTCTimeOnly	Time of Market Data Entry.
281	MDReqRejReason	char	Reason for the rejection of a Market Data request. Valid values: 0 = Unknown symbol 1 = Duplicate MDReqID 2 = Insufficient Bandwidth 3 = Insufficient Permissions 4 = Unsupported SubscriptionRequestType 5 = Unsupported MarketDepth 6 = Unsupported MDUpdateType 7 = Unsupported AggregatedBook 8 = Unsupported MDEntryType 9 = Unsupported TradingSessionID A = Unsupported Scope B = Unsupported OpenCloseSettleFlag C = Unsupported MDImplicitDelete
354	EncodedTextLen	Length	Unused by BBO. Byte length of encoded (non-ASCII characters) EncodedText (355) field.
355	EncodedText	data	Unused by BBO. Encoded (non-ASCII characters) representation of the Text (58) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the Text field.
371	RefTagID	int	The tag number of the FIX field being referenced.
372	RefMsgType	String	The MsgType (35) of the FIX message being referenced.
373	SessionRejectReason	int	Code to identify reason for a session-level Reject message. Valid values: 0 = Invalid tag number 1 = Required tag missing 2 = Tag not defined for this message type 3 = Undefined Tag 4 = Tag specified without a value 5 = Value is incorrect (out of range) for this tag 6 = Incorrect data format for value 7 = Decryption problem 8 = Signature problem 9 = CompID problem 10 = SendingTime accuracy problem 11 = Invalid MsgType 12 = XML Validation error 13 = Tag appears more than once 14 = Tag specified out of required order 15 = Repeating group fields out of order 16 = Incorrect NumInGroup count for repeating group 17 = Non “data” value includes field delimiter (SOH character) 99 = Other
383	MaxMessageSize	Length	Maximum number of bytes supported for a single message.
384	NoMsgTypes	NumInGroup	Number of MsgTypes (35) in repeating group.
385	MsgDirection	char	Specifies the direction of the messsage. Valid values: S = Send R = Receive
464	TestMessageIndicator	Boolean	Not supported by BBO.
553	Username	String	BBO username. This is required on the login message sent by the client
554	Password	String	BBO Password or passphrase. This is required on the login message sent by the client
789	NextExpectedMsgSeqNum	SeqNum	Not supported by BBO.

Data Types

Data Type	Description
Boolean	char field containing one of two values: 'Y' = True/Yes 'N' = False/No
char	Char value, can include any alphanumeric character or punctuation except the delimiter. All char fields are case sensitive (i.e. l != L).
data	Binary (non-ASCII) data.
int	Sequence of digits without commas or decimals and optional sign character (ASCII characters - and 0 - 9). The sign character utilizes one byte (i.e. positive int is 99999 while negative int is -99999). Note that int values may contain leading zeros (e.g. 00023 = 23).
Length	Representing the length in bytes. Value must be positive.
NumInGroup	Value that represents the number of repeating values in a group.
Price	Value representing a price. Note the number of decimal places may vary.
Qty	Value capable of storing either a whole number (no decimal places) of shares (securities denominated in whole units) or a decimal value containing decimal places for non-share quantity asset classes (securities denominated in fractional units).
SeqNum	Representing a message sequence number. Value must be positive.
String	Alpha-numeric free format strings; can include any character or punctuation except the delimiter. All char fields are case sensitive (i.e. lmax != BBO).
UTCDateOnly
UTCTimeOnly
UTCTimestamp	Representing Time/date combination represented in UTC (Universal Time Coordinated, also known as GMT ) only accepted in this format : YYYYMMDD-HH:MM:SS (whole seconds). For example 20120321-17:15:03.