Used to report changes in position, primarily in equity options, due to modifications to the underlying due to corporate actions

The Allocation Instruction message provides the ability to specify how an order or set of orders should be subdivided amongst one or more accounts. In versions of FIX prior to version 4.4, this same message was known as the Allocation message. Note in versions of FIX prior to version 4.4, the allocation message was also used to communicate fee and expense details from the Sellside to the Buyside. This role has now been removed from the Allocation Instruction and is now performed by the new (to version 4.4) Allocation Report and Confirmation messages.,The Allocation Report message should be used for the Sell-side Initiated Allocation role as defined in previous versions of the protocol.

This message is used in a 3-party allocation model where notification of group creation and group updates to counterparties is needed. The mssage will also carry trade information that comprised the group to the counterparties.

The Allocation Report Ack message is used to acknowledge the receipt of and provide status for an Allocation Report message.

This message is used to request a retransmission of a set of one or more messages generated by the application specified in RefApplID (1355).

Assignment Reports are sent from a clearing house to counterparties, such as a clearing firm as a result of the assignment process.

The Bid Response message can be used in one of two ways depending on which market conventions are being followed.

In the "Non disclosed" convention the Bid Response message can be used to supply a bid based on the sector, country, index and liquidity information contained within the corresponding bid request message. See "Program/Basket/List Trading" for an example.

In the "Disclosed" convention the Bid Response message can be used to supply bids based on the List Order Detail messages sent in advance of the corresponding Bid Request message.

Used to assign collateral to cover a trading position. This message can be sent unsolicited or in reply to a Collateral Request message.

Used to respond to a Collateral Inquiry in the following situations:

• When the CollateralInquiry will result in an out of band response (such as a file transfer).

• When the inquiry is otherwise valid but no collateral is found to match the criteria specified on the Collateral Inquiry message.

• When the Collateral Inquiry is invalid based upon the business rules of the counterparty.

An initiator that requires collateral from a respondent sends a Collateral Request. The initiator can be either counterparty to a trade in a two party model or an intermediary such as an ATS or clearinghouse in a three party model. A Collateral Assignment is expected as a response to a request for collateral.

The Confirmation messages are used to provide individual trade level confirmations from the sell side to the buy side. In versions of FIX prior to version 4.4, this role was performed by the allocation message. Unlike the allocation message, the confirmation message operates at an allocation account (trade) level rather than block level, allowing for the affirmation or rejection of individual confirmations.

The Confirmation Request message is used to request a Confirmation message.

Used to modify a cross order previously submitted using the New Order - Cross message. See Order Cancel Replace Request for details concerning message usage.

The Derivative Security List message is used to return a list of securities that matches the criteria specified in a Derivative Security List Request.

The Derivative Security List Update Report message is used to send updates to an option family or the strikes that comprise an option family.

The email message is similar to the format and purpose of the News message, however, it is intended for private use between two parties.

The execution report message is used to:

1. confirm the receipt of an order

2. confirm changes to an existing order (i.e. accept cancel and replace requests)

3. relay order status information

4. relay fill information on working orders

5. relay fill information on tradeable or restricted tradeable quotes

6. reject orders

7. report post-trade fees calculations associated with a trade

Indication of interest messages are used to market merchandise which the broker is buying or selling in either a proprietary or agency capacity. The indications can be time bound with a specific expiration value. Indications are distributed with the understanding that other firms may react to the message first and that the merchandise may no longer be available due to prior trade.

Indication messages can be transmitted in various transaction types; NEW, CANCEL, and REPLACE. All message types other than NEW modify the state of the message identified in IOIRefID.

The List Execute message type is used by institutions to instruct the broker to begin execution of a previously submitted list. This message may or may not be used, as it may be mirroring a phone conversation.

The list status request message type is used by institutions to instruct the broker to generate status messages for a list.

The logon message authenticates a user establishing a connection to a remote system. The logon message must be the first message sent by the application requesting to initiate a FIX session.

The Market Data message for incremental updates may contain any combination of new, changed, or deleted Market Data Entries, for any combination of instruments, with any combination of trades, imbalances, quotes, index values, open, close, settlement, high, low, and VWAP prices, trade volume and open interest so long as the maximum FIX message size is not exceeded. All of these types of Market Data Entries can be changed and deleted.

The Market Data Request Reject is used when the broker cannot honor the Market Data Request, due to business or technical reasons. Brokers may choose to limit various parameters, such as the size of requests, whether just the top of book or the entire book may be displayed, and whether Full or Incremental updates must be used.

The Market Definition message is used to respond to Market Definition Request. In a subscription, it will be used to provide the initial snapshot of the information requested. Subsequent updates are provided by the Market Definition Update Report.

In a subscription for market structure information, this message is used once the initial snapshot of the information has been sent using the Market Definition message.

Mass Quote Acknowledgement is used as the application level response to a Mass Quote message.

This message is send either immediately after logging on to inform a network (counterparty system) of the type of updates required or to at any other time in the FIX conversation to change the nature of the types of status updates required. It can also be used with a NetworkRequestType of Snapshot to request a one-off report of the status of a network (or counterparty) system. Finally this message can also be used to cancel a request to receive updates into the status of the counterparties on a network by sending a NetworkRequestStatusMessage with a NetworkRequestType of StopSubscribing.

Used to submit a cross order into a market. The cross order contains two order sides (a buy and a sell). The cross order is identified by its CrossID.

The New Order - Multileg is provided to submit orders for securities that are made up of multiple securities, known as legs.

The news message is a general free format message between the broker and institution. The message contains flags to identify the news item's urgency and to allow sorting by subject company (symbol). The News message can be originated at either the broker or institution side, or exchanges and other marketplace venues.

The order cancel/replace request is used to change the parameters of an existing order.

Do not use this message to cancel the remaining quantity of an outstanding order, use the Order Cancel Request message for this purpose.

The Order Mass Action Report is used to acknowledge an Order Mass Action Request. Note that each affected order that is suspended or released or canceled is acknowledged with a separate Execution Report for each order.

The Order Mass Cancel Report is used to acknowledge an Order Mass Cancel Request. Note that each affected order that is canceled is acknowledged with a separate Execution Report or Order Cancel Reject message.

The order mass status request message requests the status for orders matching criteria specified within the request.

The Position Maintenance Report message is sent by the holder of a positon in response to a Position Maintenance Request and is used to confirm that a request has been successfully processed or rejected.

The Position Report message is returned by the holder of a position in response to a Request for Position message. The purpose of the message is to report all aspects of a position and may be provided on a standing basis to report end of day positions to an owner.

The Quote Cancel message is used by an originator of quotes to cancel quotes.

The Quote Cancel message supports cancellation of:

• All quotes

• Quotes for a specific symbol or security ID

• All quotes for a security type

• All quotes for an underlying

The Quote Request Reject message is used to reject Quote Request messages for all quoting models.

The quote status report message is used:

• as the response to a Quote Status Request message

• as a response to a Quote Cancel message

• as a response to a Quote Response message in a negotiation dialog (see Volume 7 – PRODUCT: FIXED INCOME and USER GROUP: EXCHANGES AND MARKETS)

In tradeable and restricted tradeable quoting markets – Quote Requests are issued by counterparties interested in ascertaining the market for an instrument. Quote Requests are then distributed by the market to liquidity providers who make markets in the instrument. The RFQ Request is used by liquidity providers to indicate to the market for which instruments they are interested in receiving Quote Requests. It can be used to register interest in receiving quote requests for a single instrument or for multiple instruments

The Registration Instructions Response message type may be used by broker or fund manager (for CIV) in response to a Registration Instructions message submitted by an institution or retail intermediary for an order or for an allocation.

The Request For Positions message is used by the owner of a position to request a Position Report from the holder of the position, usually the central counter party or clearing organization. The request can be made at several levels of granularity.

The resend request is sent by the receiving application to initiate the retransmission of messages. This function is utilized if a sequence number gap is detected, if the receiving application lost a message, or as a function of the initialization process.

The Security Definition Request message is used for the following:

1. Request a specific Security to be traded with the second party. The request security can be defined as a multileg security made up of one or more instrument legs.

2. Request a set of individual securities for a single market segment.

3. Request all securities, independent of market segment.

The Security List message is used to return a list of securities that matches the criteria specified in a Security List Request.

The Security List Update Report is used for reporting updates to a Contract Security Masterfile. Updates could be due to Corporate Actions or other business events. Update may include additions, modifications and deletions.

The Security Status Request message provides for the ability to request the status of a security. One or more Security Status messages are returned as a result of a Security Status Request message.

The Security Type Request message is used to return a list of security types available from a counterparty or market.

The Settlement Instruction Request message is used to request standing settlement instructions from another party.

The Settlement Obligation Report message provides a central counterparty, institution, or individual counterparty with a capacity for reporting the final details of a currency settlement obligation.

This message is used to respond to the Stream Assignment Report, to either accept or reject an unsolicited assingment.

The test request message forces a heartbeat from the opposing application. The test request message checks sequence numbers or verifies communication line status. The opposite application responds to the Test Request with a Heartbeat containing the TestReqID.

The Trade Capture Report Ack message can be:

• Used to acknowledge trade capture reports received from a counterparty

• Used to reject a trade capture report received from a counterparty

The Trade Capture Request Ack message is used to:

• Provide an acknowledgement to a Trade Capture Report Request in the case where the Trade Capture Report Request is used to specify a subscription or delivery of reports via an out-of-band ResponseTransmissionMethod.

• Provide an acknowledgement to a Trade Capture Report Request in the case when the return of the Trade Capture Reports matching that request will be delayed or delivered asynchronously. This is useful in distributed trading system environments.

• Indicate that no trades were found that matched the selection criteria specified on the Trade Capture Report Request

• The Trade Capture Request was invalid for some business reason, such as request is not authorized, invalid or unknown instrument, party, trading session, etc.

The Trading Session List Request is used to request a list of trading sessions available in a market place and the state of those trading sessions. A successful request will result in a response from the counterparty of a Trading Session List (MsgType=BJ) message that contains a list of zero or more trading sessions.

The Trading Session Status provides information on the status of a market. For markets multiple trading sessions on multiple-markets occurring (morning and evening sessions for instance), this message is able to provide information on what products are trading on what market during what trading session.

The User Notification message is used to notify one or more users of an event or information from the sender of the message. This message is usually sent unsolicited from a marketplace (e.g. Exchange, ECN) to a market participant.

This message is used to respond to a user request message, it reports the status of the user after the completion of any action requested in the user request message.