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Derivatives FIX Drop Copy Messages

The FIX Drop Copy session sends Execution Report (35=8) messages to the executing parties and client who might want a record of the trade.

Drop Copy Message Types

Customers can choose to receive Execution Reports over Drop Copy at two levels: Trade Execution and Order Status.

Trade Execution
Trade Execution Reports
Order Status
Order Status Reports

Parties Repeating Group (453)

TagNameFIX TypeReqDescription
453NoPartyIDsNumInGroupYNumber of PartyIDs in repeating group: Always 453=4.
→ 448PartyIDString(20)YParty identifier/code
→ 447PartyIDSourceCharY447 = D (Proprietary)
→ 452PartyRoleIntY1 - Subfirm Code
4 - Clearing Firm Code
11 - Order Originating Trader
55 - Session ID

Trade Execution

Trade (150=F)

Sent by the Coinbase Derivatives Exchange system to report a trade.

TagNameFIX TypeReqDescription
1AccountString(12)YUnique ID representing the account.
453
NoPartyIDsNumInGroupYRepresents the Parties repeating group. See Parties Repeating Group (453).
11ClOrdIDString(20)YUnique client ID representing the order. Client system must maintain uniqueness of this value for the life of the order.
14CumQtyInt(9)YCumulated traded quantity throughout lifespan of an order.
17ExecIDString(40)YUnique exchange ID representing the trade execution.
880TrdMatchIDString (20)YUnique exchange ID representing a match event that results in multiple executions or trades.
31LastPxPrice(20)YPrice at which order was filled.
32LastQtyInt(9)YQuantity filled.
37OrderIDString(17)YUnique exchange ID representing the order.
38OrderQtyInt(9)COrder quantity.
39OrdStatusChar(1)YRepresents order status, "Partial Fill" (1) or "Complete Fill" (2). See OrdStatus (39) code set.
40OrdTypeChar(1)YOrder type such as market, limit, etc. See OrdType (40) code set.
41OrigClOrdIDString(20)NLast accepted ClOrdID in the order chain.
44PricePrice(20)CPrice per single contract unit.

For Execution Report messages sent in response to Market or Stop orders (with protection), Price is the Protection Price Limit (best available price +/- protection points).
If the order is not completely filled, the remaining open quantity rests on the order book at the Protection Price Limit.
Note: For spread trade Execution Reports, Price (44) is sent in the Execution Report – Fill Notice (35=8, 39=1 or 2) for the spread only and not the legs of the spread.
54SideChar(1)YSide of order. See Side (54) code set.
55SymbolString(24)YRepresents details of an instrument. Future Example: EUM20.
167SecurityTypeString(6)NRepresents security type. See SecurityType (167) code set.
59TimeInForceChar(1)NRepresents how long the order remains in effect. Default is 59=0 (TimeInForce="Day"). For 59=3 (TimeInForce="FAK"), MinQty can also be specified. See TimeInForce (59) code set.
60TransactTimeUTCTimeStamp(21)YTime when the order message was submitted. UTC format YYYYMMDD-HH:MM:SS.sss in microseconds.
Example: 20091216-19:21:41.109
75TradeDateLocalMktDate(8)YIndicates date of trade reference in this message in YYYYMMDD format.
150ExecTypeChar(1)YRepresents execution type, "Trade" (150=F). See ExecType (150) code set.
151LeavesQtyInt(9)CNumber of contracts remaining for execution after this fill.
393TotalNumSecuritiesInt(3)NNumber of leg fill acknowledgment messages sent with spread summary. Sent for spread fill messages only.
442MultiLegReportingTypeInt(1)NRepresents acknowledgment of Outright, Leg of Spread, and Spread. See MultiLegReporting (442) code set.
527SecondaryExecIDString(40)CUnique exchange ID representing link between spread summary fill notice with leg fill notice and trade cancel messages.
528OrderCapacityInt(1)YRepresents the type of business conducted:
  • 528=0 = Customer/Agency
  • 528=1 = Principal
1028ManualOrderIndicatorBoolean(1)YRepresents whether or not the order was generated manually (Y) or automatically (N) with trading software. See ManualOrderIndicator (1028) code set.
1031CustOrderHandlingInstString(1)YSource of the original order. See CustOrderHandlingInst (1031) code set.
1057AggressorIndicatorChar(1)CRepresents the order as incoming or resting for the match event. See AggressorIndicator (1057) code set.
5979RequestTimeInt(20)NTime when the request was received by the exchange. UTC format in microseconds: YYYYMMDD-HH:MM:SS.sss.

Green Check Return to Drop Copy Message Types.


Trade Correction (150=G)

TagNameFIX TypeReqDescription
1AccountString(12)YUnique ID representing the account.
453
NoPartyIDsNumInGroupYRepresents the Parties repeating group. See Parties Repeating Group (453).
11ClOrdIDString(20)YUnique client ID representing the order. Client system must maintain uniqueness of this value for the life of the order.
14CumQtyInt(9)YCumulated traded quantity throughout lifespan of an order.
17ExecIDString(40)YUnique exchange ID representing the trade execution.
19ExecRefIDString(40)YUnique ID representing the trade being corrected.
31LastPxPrice(20)YPrice at which order was filled.
32LastQtyInt(9)YQuantity filled.
37OrderIDString(17)YUnique exchange ID representing the order.
39OrdStatusChar(1)YRepresents order status, "Partial Fill" (1) or "Complete Fill" (2). See OrdStatus (39) code set.
41OrigClOrdIDString(20)NLast accepted ClOrdID in the order chain.
54SideChar(1)YSide of order. See Side (54) code set.
55SymbolString(24)YRepresents details of an instrument. Future Example: EUM20.
167SecurityTypeString(6)NRepresents security type. See SecurityType (167) code set.
60TransactTimeUTCTimeStamp(21)YTime when the order message was submitted. UTC format YYYYMMDD-HH:MM:SS.sss in microseconds.
Example: 20091216-19:21:41.109
75TradeDateLocalMktDate(8)YIndicates date of trade reference in this message in YYYYMMDD format.
150ExecTypeChar(1)YRepresents execution type, "Trade Correct" (150=G). See ExecType (150) code set.
393TotalNumSecuritiesInt(3)NNumber of leg fill acknowledgment messages sent with spread summary. Sent for spread fill messages only.
442MultiLegReportingTypeInt(1)NRepresents acknowledgment of Outright, Leg of Spread, and Spread. See MultiLegReporting (442) code set.
527SecondaryExecIDString(40)CUnique exchange ID representing link between spread summary fill notice with leg fill notice and trade cancel messages.
1028ManualOrderIndicatorBoolean(1)YRepresents whether or not the order was generated manually (Y) or automatically (N) with trading software. See ManualOrderIndicator (1028) code set.
1031CustOrderHandlingInstString(1)YSource of the original order. See CustOrderHandlingInst (1031) code set.
5979RequestTimeInt(20)NTime when the request was received by the exchange. UTC format in microseconds: YYYYMMDD-HH:MM:SS.sss.
880TradeMatchIdString(20)YUnique exchange identifier to identify both sides of a match

Green Check Return to Drop Copy Message Types.


Trade Cancel (150=H)

TagNameFIX TypeReqDescription
1AccountString(12)YUnique ID representing the account.
453
NoPartyIDsNumInGroupYRepresents the Parties repeating group. See Parties Repeating Group (453).
11ClOrdIDString(20)YUnique client ID representing the order. Client system must maintain uniqueness of this value for the life of the order.
14CumQtyInt(9)YCumulated traded quantity throughout lifespan of an order.
17ExecIDString(40)YUnique exchange ID representing the trade execution.
880TrdMatchIDString (20)YUnique exchange ID representing a match event that results in multiple executions or trades.
19ExecRefIDString(40)YUnique ID representing the trade being corrected.
31LastPxPrice(20)YPrice at which order was filled.
32LastQtyInt(9)YQuantity filled.
37OrderIDString(17)YUnique exchange ID representing the order.
39OrdStatusChar(1)YRepresents order status, "Partial Fill" (1) or "Complete Fill" (2). See OrdStatus (39) code set.
41OrigClOrdIDString(20)NLast accepted ClOrdID in the order chain.
54SideChar(1)YSide of order. See Side (54) code set.
55SymbolString(24)YRepresents details of an instrument. Future Example: EUM20.
167SecurityTypeString(6)NRepresents security type. See SecurityType (167) code set.
60TransactTimeUTCTimeStamp(21)YTime when the order message was submitted. UTC format YYYYMMDD-HH:MM:SS.sss in microseconds.
Example: 20091216-19:21:41.109
75TradeDateLocalMktDate(8)YIndicates date of trade reference in this message in YYYYMMDD format.
150ExecTypeChar(1)YRepresents execution type, "Trade Cancel" (150=H). See ExecType (150) code set.
393TotalNumSecuritiesInt(3)NNumber of leg fill acknowledgment messages sent with spread summary. Sent for spread fill messages only.
442MultiLegReportingTypeInt(1)NRepresents acknowledgment of Outright, Leg of Spread, and Spread. See MultiLegReporting (442) code set.
527SecondaryExecIDString(40)CUnique exchange ID representing link between spread summary fill notice with leg fill notice and trade cancel messages.
1028ManualOrderIndicatorBoolean(1)YRepresents whether or not the order was generated manually (Y) or automatically (N) with trading software. See ManualOrderIndicator (1028) code set.
1031CustOrderHandlingInstString(1)YSource of the original order. See CustOrderHandlingInst (1031) code set.
5979RequestTimeInt(20)NTime when the request was received by the exchange. UTC format in microseconds: YYYYMMDD-HH:MM:SS.sss.

Green Check Return to Drop Copy Message Types.


Order Status

New/Canceled/Replaced Order (35=8, 150=0/4/5)

New (150=0), Canceled (150=4), and Replaced (150=5) reports share the same subset of Execution Report tags.

  • New (150=0): Confirms new order in response to NewOrderSingle message. Sent for every new order, even those matched immediately.
  • Canceled (150=4): Confirms order is canceled in response to OrderCancelRequest, or is an unsolicited cancel. A separate message is not sent for the canceled order itself.
  • Replaced (150=5): Confirms order is replaced in response to OrderCancel/ReplaceRequest. A separate message is not sent for the replaced order itself.
note

These reports were formerly grouped as "Accepted" in the PDF docs.

TagNameFIX TypeReqDescription
1AccountString(12)YUnique ID representing the account.
453
NoPartyIDsNumInGroupYRepresents the Parties repeating group. See Parties Repeating Group (453).
11ClOrdIDString(20)YUnique client ID representing the order. Client system must maintain uniqueness of this value for the life of the order.
14CumQtyInt(9)YCumulated traded quantity throughout lifespan of an order.
17ExecIDString(40)YUnique exchange ID representing the trade execution.
37OrderIDString(17)YUnique exchange ID representing the order.
38OrderQtyInt(9)YOrder quantity.
39OrdStatusChar(1)YRepresents order status, "New", "Canceled", or "Modify" (replaced). See OrdStatus (39) code set.
  • 0 = New
  • 4 = Canceled
  • 5 = Modify
40OrdTypeChar(1)YOrder type. Market orders are not accepted during opening auction. See OrdType (40) code set.
41OrigClOrdIDString(20)NLast accepted ClOrdID in the order chain.
44PricePrice(20)CPrice per single contract unit. Required for limit or stop-limit orders.
54SideChar(1)YSide of order. See Side (54) code set.
55SymbolString(24)YRepresents details of an instrument. Future Example: EUM20
167SecurityTypeString(6)NRepresents security type. See SecurityType (167) code set.
59TimeInForceChar(1)NRepresents how long the order remains in effect. Default is 59=0 (TimeInForce="Day"). For 59=3 (TimeInForce="FAK"), MinQty can also be specified. See TimeInForce (59) code set.
60TransactTimeUTCTimestamp(21)YTime when the order message was submitted. UTC format YYYYMMDD-HH:MM:SS.sss in microseconds.
Example: 20091216-19:21:41.109
99StopPxPrice(20)CStop price of the order. Required for stop and stop-limit orders.
110MinQtyInt(9)NMinimum quantity of an order to be executed. Used only when 59=3 (TimeInForce)="Fill and Kill").
150ExecTypeChar(1)YRepresents execution type, New (150=0), Canceled (150=4), or Replaced (150=5). See ExecType (150) code set.
151LeavesQtyint(9)YNumber of contracts remaining for execution.
210MaxShowQty(9)NMaximum quantity within an order to be shown in the order book at any given time.
378ExecRestatementReasonInt(3)NReason why the order was canceled by the system (e.g., cancel on disconnect, self-match prevention, etc.). See ExecRestatementReason (378) code set.
432ExpireDateLocalMktDate(8)COrder expiration date, or the last day the order could trade.
528OrderCapacityInt(1)CPass through field from/when present in NewOrder. Identifies origin of order (i.e., capacity of firm placing the order). See OrderCapacity (528) code set.
582CustOrderCapacityChar(1)CPass through field from/when present in NewOrder. Customer Type Indicator as defined by NFA. See CustOrderCapacity (582) code set.
1028ManualOrderIndicatorBoolean(1)YRepresents whether or not the order was generated manually (Y) or automatically (N) with trading software. See ManualOrderIndicator (1028) code set.
1031CustOrderHandlingInstString(1)YSource of the original order. See CustOrderHandlingInst (1031) code set.
5979RequestTimeInt(20)NTime when the request was received by the exchange. UTC format in microseconds: YYYYMMDD-HH:MM:SS.sss.
7928SelfMatchPreventionIDInt(8)CUnique ID (per executing firm) representing two orders that should not match. Required when market participants enable SelfMatch Prevention. Max length is 8 digits.
8000SelfMatchPreventionStrategyChar(1)NRepresents type of cancel instruction when SelfMatch Prevention is triggered. Client systems must also include SelfMatchPreventionID (7928) on the originating message. See SelfMatchPreventionStrategy (8000) code set.

Green Check Return to Drop Copy Message Types.


Rejected Order (150=8)

Message notifies client system of a rejected order.

TagNameFIX TypeReqDescription
1AccountString(12)YUnique ID representing the account.
453
NoPartyIDsNumInGroupYRepresents the Parties repeating group. See Parties Repeating Group (453).
11ClOrdIDString(20)YUnique client ID representing the order. Client system must maintain uniqueness of this value for the life of the order.
14CumQtyInt(9)YCumulated traded quantity throughout lifespan of an order.
17ExecIDString(40)YUnique exchange ID representing the trade execution.
37OrderIDString(17)YUnique exchange ID representing the order.
38OrderQtyInt(9)COrder quantity.
39OrdStatusChar(1)YRepresents order status, "Rejected" (8). See OrdStatus (39) code set.
40OrdTypeChar(1)YOrder type such as market, limit, etc. See OrdType (40) code set.
41OrigClOrdIDString(20)NLast accepted ClOrdID in the order chain.
44PricePrice(20)CPrice per single contract unit.
54SideChar(1)YSide of order. See Side (54) code set.
55SymbolString(20)YRepresents details of an instrument. Future Example: EUM20.
167SecurityTypeString(6)NRepresents security type. See SecurityType (167) code set.
58TextString(200)NError code message. See OrdRejReason (103) code set.
59TimeInForceChar(1)NRepresents how long the order remains in effect. Default is 59=0 (TimeInForce="Day"). For 59=3 (TimeInForce="FAK"), MinQty can also be specified. See TimeInForce (59) code set.
60TransactTimeUTCTimeStamp(21)YTime when the order message was submitted. UTC format YYYYMMDD-HH:MM:SS.sss in microseconds.
Example: 20091216-19:21:41.109
103OrdRejReasonInt(6)NError code. See OrdRejReason (103) code set.
150ExecTypeChar(1)YRepresents execution type, "Rejected" (150=8). See ExecType (150) code set.
1028ManualOrderIndicatorBoolean(1)YRepresents whether or not the order was generated manually (Y) or automatically (N) with trading software. See ManualOrderIndicator (1028) code set.
1031CustOrderHandlingInstString(1)YSource of the original order. See CustOrderHandlingInst (1031) code set.

Green Check Return to Drop Copy Message Types.


Done for Day (150=3)

Reports with execution type Done for Day (150=3) are sent by the exchange to the firms that need the status of their open orders after the trading session is closed.

TagNameFIX TypeReqDescription
1AccountString(12)YUnique ID representing the account.
453
NoPartyIDsNumInGroupYRepresents the Parties repeating group. See Parties Repeating Group (453).
11ClOrdIDString(20)YUnique client ID representing the order. Client system must maintain uniqueness of this value for the life of the order.
14CumQtyInt(9)YCumulated traded quantity throughout lifespan of an order.
17ExecIDString(40)YUnique exchange ID representing the trade execution.
37OrderIDString(17)YUnique exchange ID representing the order.
38OrderQtyInt(9)COrder quantity.
39OrdStatusChar(1)YRepresents order status, "Done for the Day" (39=3). See OrdStatus (39) code set.
40OrdTypeChar(1)YOrder type such as market, limit, etc. See OrdType (40) code set.
41OrigClOrdIDString(20)NLast accepted ClOrdID in the order chain.
44PricePrice(20)CPrice per single contract unit.
54SideChar(1)YSide of order. See Side (54) code set.
55SymbolString(24)YRepresents details of an instrument. Future Example: EUM20.
167SecurityTypeString(6)NRepresents security type. See SecurityType (167) code set.
59TimeInForceChar(1)NRepresents how long the order remains in effect. Default is 59=0 (TimeInForce="Day"). For 59=3 (TimeInForce="FAK"), MinQty can also be specified. See TimeInForce (59) code set.
60TransactTimeUTCTimeStamp(21)YTime when the order message was submitted. UTC format YYYYMMDD-HH:MM:SS.sss in microseconds.
Example: 20091216-19:21:41.109
75TradeDateLocalMktDate(8)YDate of trading day, local time in YYYYMMDD format. When absent, represents the current day.
150ExecTypeChar(1)YRepresents execution type, "Done for Day" (150=3). See ExecType (150) code set.
151LeavesQtyInt(9)CNumber of contracts remaining for execution.
1028ManualOrderIndicatorBoolean(1)YRepresents whether or not the order was generated manually (Y) or automatically (N) with trading software. See ManualOrderIndicator (1028) code set.
1031CustOrderHandlingInstString(1)YSource of the original order. See CustOrderHandlingInst (1031) code set.
5979RequestTimeInt(20)NTime when the request was received by the exchange. UTC format in microseconds: YYYYMMDD-HH:MM:SS.sss.

Expired Order (150=C)

Reports with execution type Expired (150=C) are sent by the exchange to the firms that need the track the expiration of their time-limited orders (such as DAY).

TagNameFIX TypeReqDescription
1AccountString(12)YUnique ID representing the account.
453
NoPartyIDsNumInGroupYRepresents the Parties repeating group. See Parties Repeating Group (453).
11ClOrdIDString(20)YUnique client ID representing the order. Client system must maintain uniqueness of this value for the life of the order.
14CumQtyInt(9)YCumulated traded quantity throughout lifespan of an order.
17ExecIDString(40)YUnique exchange ID representing the trade execution.
37OrderIDString(17)YUnique exchange ID representing the order.
38OrderQtyInt(9)YOrder quantity. Must be a positive integer.
39OrdStatusChar(1)YRepresents order status, "Expired" (C). See OrdStatus (39) code set.
40OrdTypeChar(1)YOrder type such as market, limit, etc. See OrdType (40) code set.
41OrigClOrdIDString(20)NLast accepted ClOrdID in the order chain.
44PricePrice(20)NPrice per single contract unit.
54SideChar(1)YSide of order. See Side (54) code set.
55SymbolString(20)YRepresents details of an instrument. Future Example: EUM20
167SecurityTypeString(6)NRepresents security type. See SecurityType (167) code set.
59TimeInForceChar(1)NRepresents how long the order remains in effect. Default is 59=0 (TimeInForce="Day"). For 59=3 (TimeInForce="FAK"), MinQty can also be specified. See TimeInForce (59) code set.
60TransactTimeUTCTimestamp(21)NTime when the order message was submitted. UTC format YYYYMMDD-HH:MM:SS.sss in microseconds.
Example: 20091216-19:21:41.109
110MinQtyInt(9)CSent in the Order Elimination message if the originating order was a FAK/FOK/MinQty that contained tag MinQty (110).
150ExecTypeChar(1)YRepresents execution type, "Expired" (150=C). See ExecType (150) code set.
151LeavesQtyInt(9)YNumber of contracts remaining for execution. Always 151=0.
378ExecRestatementReasonInt(3)NReason why the order was canceled by the system (e.g., cancel on disconnect, self-match prevention, etc.). See ExecRestatementReason (378) code set.
528OrderCapacityInt(1)CPass through field from/when present in NewOrder. Identifies origin of order (i.e., capacity of firm placing the order). See OrderCapacity (528) code set.
1028ManualOrderIndicatorBoolean(1)YRepresents whether or not the order was generated manually (Y) or automatically (N) with trading software. See ManualOrderIndicator (1028) code set.
1031CustOrderHandlingInstString(1)YSource of the original order. See CustOrderHandlingInst (1031) code set.
7928SelfMatchPreventionIDInt(8)NUnique ID (per executing firm) representing two orders that should not match. Required when market participants enable SelfMatch Prevention. Max length is 8 digits.
8000SelfMatchPreventionStrategyChar(1)NRepresents type of cancel instruction when SelfMatch Prevention is triggered. Client systems must also include SelfMatchPreventionID (7928) on the originating message. See SelfMatchPreventionStrategy (8000) code set.
5979RequestTimeInt(20)NTime when the request was received by the exchange. UTC format in microseconds: YYYYMMDD-HH:MM:SS.sss.

Green Check Return to Drop Copy Message Types.


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