FIX 4.2 Specification

FIX Spec

This document details the specification of OneChronos FIX, a modern variant of the FIX (Financial Interface eXchange) Protocol based on the FIX 4.2 protocol specification. Note that the FIX protocol includes support for many message types, fields, and field values that are not supported by OneChronos. Any message referenced in the FIX 4.2 specification but not referenced by OneChronos is unsupported.

Those who are not familiar with FIX can refer to the FIX Primer for background information before proceeding.

Expressive Bidding

OneChronos exposes Expressive Bidding functionality in a way that fits within existing workflows. The corresponding order entry FIX tags are ExpressiveBidURI and associated argument tags (e.g. ExpressiveBidArgument1). Expressive Bidding is entirely optional.

OneChronos documents such as Subscriber Agreements, Expressive Bidding Terms of Service agreements, regulatory filings, API documentation, and other collateral may make reference to “Target Orders” for Expressive Bidding. For the purpose of this specification, any order which contains an “Expressive Bid URI” tag is considered a Target Order.

OneChronos FIX

All aspects of OneChronos FIX are strictly FIX 4.2 compliant with three exceptions:

We do not support sending messages with tag #97 (PossResend) set to Y.
We expose (optional) custom message types to simplify Expressive Bidding.
We (optionally) report trade breaks to Subscriber via a custom message type: TradeCancelCorrect=UCC.

Within the FIX 4.2 specification we note that:

The replay of application level FIX messages (especially orders) as part of an application recovery plan is strongly discouraged. Best practice dictates that recovery scenarios are not left to the FIX engine alone. Applications should handle order cancellation and retransmission explicitly, sending corrective messages instead of replaying (potentially stale) ones.
Our logon and logout procedures follow FIX protocol recommendations in additional to the minimum session protocol requirements. This is detailed in Logon Procedures.

Any field required by FIX 4.2 is required by OneChronos but not every field required by OneChronos is required by (or included in) FIX. Our documentation denotes Required fields as (Y) and Optional fields as (N). These marks are defined as:

Required (Y): A field that is always required for the referenced message type. Messages without the field will be rejected. Example: ClOrdID (tag #11) is required for all NewOrderSingle messages.
Optional (N): A field that is not always required but may be required in certain contexts, e.g. Price (tag #44) when sending a limit order. Please see message field and message wide validations to determine when a field is conditionally required or needs to take a fixed value.

Connectivity

Please contact [email protected] to discuss market connectivity. We offer a testing environment via WireGuard or IPsec VPN; certification and production connections must be made via private cross connect in one of our data centers. All FIX connections are made via TCP/IP.

Market Hours

OneChronos supports trading during “normal” US equities market hours (9:30am-4pm EST). A pre-market order entry period runs from 9:15am-9:30am during which Subscribers can enter orders that will participate in the first auction of the trading day, at or after 9:30am EST. Open FIX sessions are logged out and disconnected at 5:00pm. Subscribers can reestablish a session at or after 8am EST the following day. Incoming and outgoing sequence numbers are reset to one nightly.

All times EST, and on the half-closed interval [Start Time, End Time)
Phase	Start Time	End Time
FIX connections / Sessions Accepted (No Order Entry)	8:00am	9:15am
Pre-Market Order Entry	9:15am	9:30am
Regular Market Session	9:30am	4:00pm
Post-Market (ExecutionReport and TradeCancelCorrect only)	4:00pm	5:00pm
FIX Session Logout/Sequence Reset	5:00pm	5:01pm

Identifiers

Identifiers in FIX are fields such as ClOrdID (tag #11), an identifier supplied by Subscriber as part of any new order. FIX itself places few restrictions on the format of such identifiers (beyond the standard ASCII character requirement).

When interfacing with OneChronos there are two types of identifier: OneChronos assigned and Subscriber assigned. Identifiers assigned by OneChronos contain a more restrictive character set than what we accept. Subscriber assigned identifiers must comply with the standards below; messages containing invalid identifiers will be rejected.

Permitted Identifier Characters

From Subscriber to OneChronos

Any string with 1 ≦ length ≦ 32 comprised solely of characters from the ASCII range 0x21-0x7e exclusive of comma (ASCII 0x2c), semicolon (ASCII 0x3b), and pipe (ASCII 0x7c) is considered a valid identifier. Stated in terms of a regular expression strings accepted by ^(?!.*[,;|])[\x21-\x7E]{1,32}$ are valid identifiers.

From OneChronos to Subscriber

OneChronos will only use:

Strings where 1 ≦ length ≦ 32
Upper and lowercase characters from the alphabet (ASCII 0x41-0x7a)
Digits (ASCII 0x30-0x39)
Symbol in the set {#, -, ., :, _} (ASCII 0x23, 0x2d, 0x2e, 0x3a, 0x5f)

Identifiers sent/assigned by OneChronos will always be accepted by the regular expression ^[a-zA-Z0-9#\-\.:_]\{1,32\}$

ClOrdID Requirements

The ClOrdID (tag #11) and OrigClOrdID (tag #41) sent by Subscriber must be compliant with the character restrictions outlined in the permitted identifier characters section. It is highly recommended that every ClOrdID sent be unique within a trading day but OneChronos will not validate uniqueness unless a ClOrdID is “live.”

Ideally, any ClOrdID sent by Subscriber should:

Remain unique across FIX sessions (if the customer has multiple SenderCompIDs assigned) and never be reused even across trading days. This can be accomplished by prepending the trade day and a session identifier to any compliant ClOrdID, e.g. 20160710S10000000001, 20160710S10000000002, etc.
Contain only characters from the character set that OneChronos uses as outlined in permitted identifier characters.

Identifier Types

Assigned by OneChronos

Tag	Name	Description
17	ExecID	Type: `string` Description: A unique ID for each execution report sent from OneChronos to Subscriber.
37	OrderID	Type: `string` Description: An identifier assigned by OneChronos to all orders entered via `NewOrderSingle`. In contexts where an `OrderID` is required but not available, e.g., when sending an `OrderCancelReject` in response to an unknown order, OrderID will be populated with `NONE`.
49	SenderCompID	Type: `string` Description: OneChronos will assign this identifier as part of customer onboarding. Messages sent to OneChronos must always include Subscriber's assigned `SenderCompID`.
56	TargetCompID	Type: `string` Description: The logical mirror of SenderCompID. Messages received from OneChronos will always have this field set to the SenderCompID assigned to you by us.
112	TestReqID	Type: `string` Description: An identifier for use with `TestRequest` and `Heartbeat` messages.

Assigned by Subscriber

Tag	Name	Description
1	Account	Type: `string` Description: A client supplied account identifier.
11	ClOrdID	Type: `string` Description: A Subscriber provided order ID satisfying the requirements for Subscriber provided IDs.
41	OrigClOrdID	Type: `string` Description: The `ClOrdID` of the previous order in a FIX cancel/replace chain. Clients should always set `OrigClOrdID` to the most recent non-rejected `ClOrdID` sent; when populating `OrigClOrdID` OneChronos will always use the last accepted `ClOrdID`.
112	TestReqID	Type: `string` Description: An identifier for use with `TestRequest` and `Heartbeat` messages.
115	OnBehalfOfCompID	Type: `string` Description: Must be a valid NSCC MPID if present. Populating `OnBehalfOfCompID` will override the default port level MPID.

Order Types

OneChronos supports limit and pegged order types; only limit orders with ExpressiveBidURI field are eligible for Expressive Bidding.

A detailed explanation of OneChronos order types is available in ATS-N; the OneChronos FAQ and Nexus FAQ (please ask your sales representative for access) are additional resources on order types and Expressive Bidding.

All Messages

General Notes

To ensure correctness and an easy interop OneChronos uses a FIX engine and order management system programmatically generated from a formal specification. The specification is written in Imandra Protocol Language (IPL). Excerpts of the model that pertain to field and message validation are included in this documentation.

Standard Header

The "Standard Header" is included at the beginning of every FIX message. The first three tags (BeginString, BodyLength, and type) must appear in that exact order.

Tag	Name	Required?	Description
8	BeginString	Y	Type: `string` Description: A delimiter identifying the start of a new FIX message. `BeginString` must be the first field present in every FIX message. Required: `Y`
9	BodyLength	Y	Type: `int` Description: Message length, in bytes, of all characters up to and including the delimiter preceding the `CheckSum` field. `BodyLength` must be the second field present in every FIX message. Required: `Y`
34	MsgSeqNum	Y	Type: `int` Description: The message sequence number, per the rules governing message sequence numbers. Required: `Y`
35	MsgType	Y	Type: `string` Description: The type of the FIX message. `MsgType` must be the third field present in every FIX message. Required: `Y` Enum values: `HEARTBEAT: 0` Message is a `Heartbeat`. `TEST_REQUEST: 1` Message is a `TestRequest`. `RESEND_REQUEST: 2` Message is a `ResendRequest`. `REJECT: 3` Message is a `Reject`. `SEQUENCE_RESET: 4` Message is a `SequenceReset`. `LOGOUT: 5` Message is a `Logout`. `EXECUTION_REPORT: 8` Message is a `ExecutionReport`. `ORDER_CANCEL_REJECT: 9` Message is an `OrderCancelReject`. `LOGON: A` Message is a `Logon`. `ORDER_SINGLE: D` Message is a `NewOrderSingle`. `ORDER_CANCEL_REQUEST: F` Message is a `OrderCancelRequest`. `ORDER_CANCEL_REPLACE_REQUEST: G` Message is a `OrderCancelReplaceRequest`. `BUSINESS_MESSAGE_REJECT: j` Message is a `BusinessMessageReject`. `TRADE_BUST: UCC` Message is a `TradeBust`.
43	PossDupFlag	N	Type: `boolean` Description: A flag indicating whether a message is a possible session level retransmission, per the message delivery rules. Required: `N` Enum values: `POSSIBLE_DUPLICATE: Y` Message is a possible retransmission. `ORIGINAL_TRANSMISSION: N` Message is guaranteed to be an original transmission.
49	SenderCompID	Y	Type: `string` Description: OneChronos will assign this identifier as part of customer onboarding. Messages sent to OneChronos must always include Subscriber's assigned `SenderCompID`. Required: `Y`
52	SendingTime	Y	Type: `utctimestamp` Description: The time of message transmission (always in UTC). OneChronos supports UTC timestamps at second, millisecond, or microsecond precision. Required: `Y`
56	TargetCompID	Y	Type: `string` Description: The logical mirror of SenderCompID. Messages received from OneChronos will always have this field set to the SenderCompID assigned to you by us. Required: `Y`
97	PossResend	N	Type: `boolean` Description: A flag indicating whether a message is a possible business level retransmission, per the message delivery rules. For messages sent to OneChronos, any value other than 'N' will trigger a rejection. OneChronos will never populate this field. Required: `N` Enum values: `POSSIBLE_DUPLICATE: Y` Message is a possible retransmission. `ORIGINAL_TRANSMISSION: N` Message is guaranteed to be an original transmission.
115	OnBehalfOfCompID	N	Type: `string` Description: Must be a valid NSCC MPID if present. Populating `OnBehalfOfCompID` will override the default port level MPID. Required: `N`
122	OrigSendingTime	N	Type: `utctimestamp` Description: Required by the FIX spec for orders where `PossDupFlag=Y`. Required: `N`
128	DeliverToCompID	N	Type: `string` Description: When a Subscriber populates `OnBehalfOfCompId` any message sent in response by OneChronos will populate this field with the value of `OnBehalfOfCompId` specified by Subscriber. Required: `N`

Standard Trailer

The "Standard Trailer" is included at the end of every FIX message. CheckSum must appear as the last field.

Tag	Name	Required?	Description
10	CheckSum	Y	Type: `int` Description: A message checksum per the checksum calculation instructions. Required: `Y`

Administrative Messages

Heartbeat (0)

Heartbeat messages should be sent whenever the HeartBtInt agreed to via login procedures has elapsed without another another message being sent. See the section on bidirectional heartbeats for additional information.

Tag	Name	Required?	Description
112	TestReqID	N	Type: `string` Description: Must be present if sent in response to a TestRequest message. Required: `N`

TestRequest (1)

TestRequest messages are used to explicitly request a Heartbeat from the counterparty when none is received. Applications should send a TestRequest whenever the agreed upon heartbeat interval plus one second (HeartBtInt+1) has elapsed without the receipt of a message, Heartbeat or otherwise. If a Heartbeat is not received promptly thereafter, the FIX session should be disconnected on the network level without attempting to send another message. Logon and message recovery procedures can proceed thereafter. A TestRequest can be sent by Subscriber to OneChronos, or by OneChronos to Subscriber.

Tag	Name	Required?	Description
112	TestReqID	Y	Type: `string` Description: An identifier for use with `TestRequest` and `Heartbeat` messages. Required: `Y`

ResendRequest (2)

Request that one or more messages be retransmitted, per the procedures outlined in the section on FIX message Recovery. A ResendRequest can be sent by Subscriber to OneChronos, or by OneChronos to Subscriber.

Tag	Name	Required?	Description
7	BeginSeqNo	Y	Type: `int` Description: Message sequence number of first message in range to be resent. Required: `Y`
16	EndSeqNo	Y	Type: `int` Description: Message sequence number of last message in range to be resent. If request is for a single message BeginSeqNo = EndSeqNo. If request is for all messages subsequent to a particular message, EndSeqNo = "0" (representing infinity). Required: `Y`

Reject (3)

Reject messages are used by OneChronos to indicate that a message received from Subscriber is invalid on the session level. Whereas business level rejections via ExecutionReport-BusinessReject are typical, Reject messages should not be received outside of FIX certification. Transmitting additional messages without further investigation is not recommended.

Tag	Name	Required?	Description
45	RefSeqNum	Y	Type: `int` Description: The sequence number of the message being referenced. Required: `Y`
58	Text	N	Type: `string` Description: Free form text. Subscribers can populate this field for internal use; OneChronos may populate this field to provide additional context to Subscriber when sending a rejection. Required: `N`
371	RefTagID	N	Type: `int` Description: Always present when the rejection was triggered by a specific tag. If multiple tags are invalid, `RefTagID` will be populated for the first invalid tag. Required: `N`
372	RefMsgType	N	Type: `string` Description: Always present when `type` is parsable on the message being rejected. Required: `N`
373	SessionRejectReason	Y	Type: `int` Description: An error code indicating why a message was rejected on the session level. Required: `Y` Enum values: `INVALID_TAG_NUMBER: 0` One or more tag numbers fall outside of the legal tag range [1, 29999]. `REQUIRED_TAG_MISSING: 1` A required tag is missing. `TAG_NOT_DEFINED_FOR_MESSAGE: 2` A tag that is valid for some message types but invalid for the given message type was present. `UNDEFINED_TAG: 3` An unknown tag was included in the message. `TAG_WITHOUT_VALUE: 4` A tag was present without a value. `VALUE_IS_INCORRECT: 5` The referenced value is of the correct data type, but invalid. `INCORRECT_DATA_FORMAT: 6` The referenced value does not have the correct data type. `COMP_ID_PROBLEM: 9` Either the `SenderCompID` or `TargetCompID` is invalid. `SENDING_TIME_ACCURACY_PROBLEM: 10` The differential between `SendingTime` and message receipt by OneChronos is too large. `INVALID_MESSAGE_TYPE: 11` The message specifies a `type` outside of the OneChronos FIX specification.

SequenceReset (4)

Used by the sending application to modify the incoming sequence number of the application facing the sender. Further details are available in the section on sequence resets.

Tag Name Required? Description

NewSeqNo

Type:

int

Description: The next expected sequence number, per the rules governing message sequence numbers.

Required:

123

GapFillFlag

Type:

boolean

Description: Indicates whether a SequenceReset is of type SequenceReset-Gap-Fill or SequenceReset-Reset. See Message Delivery for additional details.

Required:

Enum values:

```
GAP_FILL_MESSAGE_MSGSEQNUM_FIELD_VALID: Y
```
Message is a SequenceReset-Gap-Fill; this is the correct value to use for message recovery/non disaster situations.
```
SEQUENCE_RESET_IGNORE_MSGSEQNUM: N
```
Message is a SequenceReset-Reset; reset the counterparty's sequence expected incoming sequence number, without performing message recovery.

Logout (5)

Logout messages are used to initiate or acknowledge the orderly termination of a FIX session. Subscribers can initiate a logout at will. Under normal operating conditions OneChronos will only initiate a logout as part of the daily sequence number reset. See Logout for additional information.

Tag	Name	Required?	Description
58	Text	N	Type: `string` Description: Free form text. Subscribers can populate this field for internal use; OneChronos may populate this field to provide additional context to Subscriber when sending a rejection. Required: `N`

Logon (A)

Clients must send a Logon message to OneChronos immediately after establishing a TCP connection and before sending any other messages. If the Logon request is valid OneChronos will reply with a reciprocal Logon and wait one second before sending additional messages to ensure that no ResendRequest messages from Subscriber are in-flight. Clients should not send any business messages during this one second period. After the synchronization period has elapsed OneChronos will send a Heartbeat to indicate that the waiting period has ended. See the section on Login Procedures for additional information.

Tag Name Required? Description

EncryptMethod

Type:

int

Description: An enum value representing the type of Layer 6 encryption that should be used for the FIX dialogue. Required by the FIX standard, but not used by OneChronos.

Required:

Validation:

it == EncryptMethod.NONE

Enum values:

```
NONE: 0
```
Do not use encryption.

108

HeartBtInt

Type:

int

Description: The desired interval, in seconds, between heartbeats. See Heartbeats for additional details.

Required:

Validation:

it >= 5 && it <= 180

BusinessMessageReject (j)

BusinessMessageReject messages are sent when a field validation is violated in a FIX message. (e.g. field length constraint)

Tag	Name	Required?	Description
45	RefSeqNum	N	Type: `int` Description: The sequence number of the message being referenced. Required: `N`
58	Text	N	Type: `string` Description: Free form text. Subscribers can populate this field for internal use; OneChronos may populate this field to provide additional context to Subscriber when sending a rejection. Required: `N`
372	RefMsgType	Y	Type: `string` Description: Always present when `type` is parsable on the message being rejected. Required: `Y`
380	BusinessRejectReason	Y	Type: `int` Description: An error code indicating why a message was rejected by a BusinessMessageReject Required: `Y` Enum values: `OTHER: 0` Order violates one or more aspects of the venue order entry field specification `APPLICATION_NOT_AVAILABLE: 4` In production and UAT environments, this status code indicates that the FIX gateway is temporarily unavailable and not accepting business messages. In certification, this status code and Tag 58 indicate what FIX business logic validations failed. `THROTTLE_LIMIT_EXCEEDED: 99` Throttle limit exceeded

From Subscriber

NewOrderSingle (D)

NewOrderSingle messages are sent by Subscriber to OneChronos to initiate a new order. OneChronos supports OrdType=LIMIT and OrdType=PEGGED orders.

Tag	Name	Required?	Description
1	Account	N	Type: `string` Description: A client supplied account identifier. Required: `N` Validation: `case it {None: true} {Some account: strLen(account) <= 32}`
11	ClOrdID	Y	Type: `string` Description: A Subscriber provided order ID satisfying the requirements for Subscriber provided IDs. Required: `Y` Validation: `strLen(it) > 0 && strLen(it) <= 32`
18	ExecInst	N	Type: `ExecInst` Description: Order handling instructions; multiple instructions can be specified in a space delimited list. Required: `N` Validation: `case it {None: true} {Some execInst: subset(execInst, {\| MidPricePeg, PrimaryPeg, MarketPeg, Conditional, FirmUp, OptInTriggerConditionalInvite, OptOutMatchWithFirmUp \|})}` Enum values: `MID_PRICE_PEG: M` Execute at a price equal to or more favorable than the midpoint of the NBBO. `PRIMARY_PEG: R` Execute at a price equal to or more favorable than the NBB in the case of a buy order or the NBO in the case of a sell order. `MARKET_PEG: P` Execute at a price equal to or more favorable than the NBO in the case of a buy order or the NBB in the case of a sell order. `CONDITIONAL: c` Conditional indication. `FIRM_UP: u` Firm up associated with a conditional invitation. `OPT_IN_TRIGGER_CONDITIONAL_INVITE: d` Opt-in to triggering conditional invitations. Can only be used on firm orders targeting a user defined Nexus, not base. `OPT_OUT_MATCH_WITH_FIRM_UP: j` Opt-out of matching with firm up orders in OneChronos auctions. Can only be used on firm orders.
21	HandlInst	Y	Type: `HandlInst` Description: `HandlInst` is required by FIX, but not used by OneChronos. Required: `Y` Enum values: `AUTOMATED_EXECUTION_NO_INTERVENTION: 1` Required by FIX, but not used by OneChronos.
38	OrderQty	Y	Type: `Qty` Description: The number of shares for the order. Required: `Y` Validation: `it > 0.0`
40	OrdType	Y	Type: `OrdType` Description: The type of an order. Required: `Y` Enum values: `LIMIT: 2` Order is eligible for execution at a price equal to or more favorable than `Price`. `PEGGED: P` Order is eligible for execution at a price equal to or more favorable than a computed price per the peg instructions given in `ExecInst` and `PegDifference`.
44	Price	N	Type: `Price` Description: The limit price of an order. Required: `N` Validation: `case it {None: true} {Some price: price > 0.0}`
47	Rule80A	Y	Type: `Rule80A` Description: The capacity of an order. For US equities, order capacity is in reference to Rule 80A. Required: `Y` Enum values: `AGENCY_SINGLE_ORDER: A` Broker is executing in an pure agency capacity. `PRINCIPAL: P` Broker is executing as a principal in the transaction. `RISKLESS_PRINCIPAL: R` Broker is executing as a riskless principal in the transaction.
54	Side	Y	Type: `Side` Description: The side of an order. Required: `Y` Enum values: `BUY: 1` Order is a buy. `SELL: 2` Order is a long sell. `SELL_SHORT: 5` Order is a short sell. `SELL_SHORT_EXEMPT: 6` Order is a short sell, exempt from restrictions such as Reg 201 in the case of US equities.
55	Symbol	Y	Type: `string` Description: The symbol (ticker) of the instrument being traded. See Symbology for additional details. Required: `Y` Validation: `strLen(it) > 0 && strLen(it) <= 32`
59	TimeInForce	Y	Type: `TimeInForce` Description: A field governing how long an order will remain active for. Required: `Y` Enum values: `DAY: 0` Order will remain active throughout the regular trading session. `IMMEDIATE_OR_CANCEL: 3` Order will be canceled after participating in one auction. `FILL_OR_KILL: 4` Order will be canceled unless it can be filled in entirety in one auction; partial fills are not allowed. `GOOD_TILL_DATE: 6` Order will remain active until the time specified by `ExpireTime`.
60	TransactTime	Y	Type: `UTCTimestamp` Description: A UTC timestamp indicating when a transaction occurred. Internally, OneChronos logs events at microsecond or higher precision but disseminates time msgFields with millisecond precision. Subscribers desiring microsecond precision timestamps can enable them on a port level. Required: `Y`
65	SymbolSfx	N	Type: `string` Description: A suffix for the symbol (ticker) being traded, when applicable. See Symbology for additional details. Required: `N` Validation: `case it {None: true} {Some symbolSfx: strLen(symbolSfx) <= 32}`
110	MinQty	N	Type: `Qty` Description: The minimum permissible fill quantity for an order. Required: `N` Validation: `case it {None: true} {Some qty: qty > 0.0}`
114	LocateReqd	N	Type: `LocateReqd` Description: A boolean flag indicating whether a locate is required when selling short. For US equities orders, any order where `LocateReqd` is absent or set to `Y` will result in a rejection if `Side=SELL_SHORT` or `Side=SELL_SHORT_EXEMPT`. Required: `N` Enum values: `YES: Y` Broker attests that a locate is required for the name being traded. `NO: N` Broker attests that a locate is not required for the name being traded.
126	ExpireTime	N	Type: `UTCTimestamp` Description: When `TimeInForce=GOOD_TILL_DATE` `ExpireTime` must be populated with the desired expiry time. Required: `N`
211	PegDifference	N	Type: `PriceOffset` Description: Amount (signed) added to the price of the peg for a pegged order. Required: `N`
2362	SelfMatchPreventionID	N	Type: `int` Description: An integer value that mediates anti-internalization (self match prevention) behavior. When set to `0` the order containing this field will not match against another order from the same Subscriber. When set to `1` the order will not match against an order from the same MPID as determined by `OnBehalfOfCompID` or the port level default MPID. When set to `2` the order will not match against an order from the same `SenderCompID`. When set to any value in the interval `[3,65535]` the order will not match against an order with the same value for `SelfMatchPreventionID`. Required: `N` Validation: `case it {None: true} {Some id: id >= 0 && id <= 65535}`
20001	AnalyticsTags	N	Type: `string` Description: An optional Subscriber/Customer supplied comma separated list of identifiers. Tags are echoed back on fills and used as filter/query parameters in analytics reports. If specified, the rules outlined in the section on Identifiers apply. Required: `N` Validation: `case it {None: true} {Some analyticsTags: strLen(analyticsTags) <= 32}`
20004	ExpressiveBidURI	N	Type: `string` Description: The Expressive Bid URI. Required: `N`
20009	ExpressiveBidArgument1	N	Type: `string` Description: Expressve Bid argument 1. Required: `N`
20010	ExpressiveBidArgument2	N	Type: `string` Description: Expressve Bid argument 2. Required: `N`
20011	ExpressiveBidArgument3	N	Type: `string` Description: Expressve Bid argument 3. Required: `N`
20012	ExpressiveBidArgument4	N	Type: `string` Description: Expressve Bid argument 4. Required: `N`
20028	LegID	N	Type: `int` Description: The ID associated with a multi-symbol expressive bid. Required: `N` Validation: `case it {None: true} {Some id: id < 255}`
20029	BasketID	N	Type: `string` Description: The ID associated with a multi-symbol expressive bid. Required: `N` Validation: `case it {None: true} {Some id: strLen(id) <= 32}`
20030	InvitationID	N	Type: `int` Description: The ID associated with a conditional invite. Required: `N`

Message Validations

state.orderEntry.isConnected

state.portSettings.dropCopyDisconnect.rejectNew ==>
    state.orderEntry.isDropCopyConnected

isUnusedClOrdId(this.ClOrdID)

isMarketHours()

contains_peg_exec_inst(this.ExecInst) <==> this.OrdType == OrdType.Pegged

isValidSymbol(this.Symbol, this.SymbolSfx)

this.OrdType == OrdType.Limit ==> present(this.Price)

this.Side == SellShort || this.Side == SellShortExempt ==> present(this.LocateReqd) && this.LocateReqd in [LocateReqd.No]

this.TimeInForce == GoodTillDate ==> present(this.ExpireTime)

this.TimeInForce != GoodTillDate ==> !present(this.ExpireTime)

this.TimeInForce in [FillOrKill] ==> !present(this.MinQty) ||
    (case this.MinQty
     {None: true}
     {Some x: x == this.OrderQty})

isValidExpireTime(this.ExpireTime)

present(this.SymbolSfx) ==> state.portSettings.symbologyType == CMSSuffix

present(this.MinQty) ==> (case this.MinQty
                              {Some minQty: minQty <= this.OrderQty }
                              {None: true })

present(this.PegDifference) ==> contains_peg_exec_inst(this.ExecInst)

present(internalNexusState(
      this.ExpressiveBidURI, this.ExpressiveBidArgument1, this.ExpressiveBidArgument2)) ==>
        (case state.nexusConfiguration
          {None: !present(this.AnalyticsTags) }
          {Some config: this.AnalyticsTags == (Some config.allowed_analytics_tag)}
        )

validNexusFields(this.ExpressiveBidURI, this.ExpressiveBidArgument1, this.ExpressiveBidArgument2)

this.Side in [SellShort, SellShortExempt] ==>
    state.portSettings.allowShortSales

!isMaxOrderSizeExceeded(this.OrderQty)

validExecInst(this.ExecInst)

contains_firm_up_exec_inst(this.ExecInst)
      <==> present(this.InvitationID)

contains_firm_up_exec_inst(this.ExecInst) ==> this.Symbol == state.Symbol

contains_firm_up_exec_inst(this.ExecInst) ==>
      (state.Side == Side.Buy && this.Side == Side.Buy) ||
        (state.Side != Side.Buy && this.Side != Side.Buy)

(case this.InvitationID
      {None: true}
      {Some invitationID: (Some invitationID) == state.conditionalState.conditionalInvitationID})

state.conditionalState.firmupRequired ==> contains_firm_up_exec_inst(this.ExecInst)

state.portSettings.allowConditionalOrders && contains_opt_in_conditional_invite_exec_inst(this.ExecInst) ==> 
      validNexusFields(this.ExpressiveBidURI, this.ExpressiveBidArgument1, this.ExpressiveBidArgument2)

!state.portSettings.allowExpressiveBidding ==> !present(this.ExpressiveBidArgument3) && !present(this.ExpressiveBidArgument4)
      && !present(this.LegID) && !present(this.BasketID)

OrderCancelRequest (F)

Subscribers may request that an order entered via NewOrderSingle be canceled by sending OneChronos an OrderCancelRequest. Cancellations are accepted via an ExecutionReport message and rejected via OrderCancelReject.

Tag	Name	Required?	Description
11	ClOrdID	Y	Type: `string` Description: A Subscriber provided order ID satisfying the requirements for Subscriber provided IDs. Required: `Y` Validation: `strLen(it) > 0 && strLen(it) <= 32`
37	OrderID	N	Type: `string` Description: An identifier assigned by OneChronos to all orders entered via `NewOrderSingle`. In contexts where an `OrderID` is required but not available, e.g., when sending an `OrderCancelReject` in response to an unknown order, OrderID will be populated with `NONE`. Required: `N` Validation: `case it {None: true} {Some orderId: strLen(orderId) > 0 && strLen(orderId) <= 32}`
38	OrderQty	N	Type: `Qty` Description: The number of shares for the order. Required: `N`
41	OrigClOrdID	N	Type: `string` Description: The `ClOrdID` of the previous order in a FIX cancel/replace chain. Clients should always set `OrigClOrdID` to the most recent non-rejected `ClOrdID` sent; when populating `OrigClOrdID` OneChronos will always use the last accepted `ClOrdID`. Required: `N` Validation: `case it {None: true} {Some orderId: strLen(orderId) > 0 && strLen(orderId) <= 32}`
54	Side	Y	Type: `Side` Description: The side of an order. Required: `Y` Validation: `it == state.Side` Enum values: `BUY: 1` Order is a buy. `SELL: 2` Order is a long sell. `SELL_SHORT: 5` Order is a short sell. `SELL_SHORT_EXEMPT: 6` Order is a short sell, exempt from restrictions such as Reg 201 in the case of US equities.
55	Symbol	Y	Type: `string` Description: The symbol (ticker) of the instrument being traded. See Symbology for additional details. Required: `Y` Validation: `it == state.Symbol`
60	TransactTime	Y	Type: `UTCTimestamp` Description: A UTC timestamp indicating when a transaction occurred. Internally, OneChronos logs events at microsecond or higher precision but disseminates time msgFields with millisecond precision. Subscribers desiring microsecond precision timestamps can enable them on a port level. Required: `Y`
65	SymbolSfx	N	Type: `string` Description: A suffix for the symbol (ticker) being traded, when applicable. See Symbology for additional details. Required: `N` Validation: `it == state.SymbolSfx`
114	LocateReqd	N	Type: `LocateReqd` Description: A boolean flag indicating whether a locate is required when selling short. For US equities orders, any order where `LocateReqd` is absent or set to `Y` will result in a rejection if `Side=SELL_SHORT` or `Side=SELL_SHORT_EXEMPT`. Required: `N` Enum values: `YES: Y` Broker attests that a locate is required for the name being traded. `NO: N` Broker attests that a locate is not required for the name being traded.
20001	AnalyticsTags	N	Type: `string` Description: An optional Subscriber/Customer supplied comma separated list of identifiers. Tags are echoed back on fills and used as filter/query parameters in analytics reports. If specified, the rules outlined in the section on Identifiers apply. Required: `N`

Message Validations

state.orderEntry.isConnected

isUnusedClOrdId(this.ClOrdID)

isLegalCancelOrder(this.OrderID, this.OrigClOrdID)

isMarketHours()

isLegalStateForCancelOrModify(state.OrdStatus)

this.Side == SellShort || this.Side == SellShortExempt ==>
    (case this.LocateReqd
      {None: true}
      {Some locateReqd: locateReqd == LocateReqd.No})

OrderCancelReplaceRequest (G)

Subscribers may request that an order entered via NewOrderSingle be modified by sending OneChronos an OrderCancelReplaceRequest. Modifications are accepted via an ExecutionReport message and rejected via OrderCancelReject. Only a subset of the Order's fields can be modified. See the field validations below to determine which fields are eligible for modification.

Tag	Name	Required?	Description
1	Account	N	Type: `string` Description: A client supplied account identifier. Required: `N` Validation: `case it {None: true} {Some account: strLen(account) > 0 && strLen(account) <= 32}`
11	ClOrdID	Y	Type: `string` Description: A Subscriber provided order ID satisfying the requirements for Subscriber provided IDs. Required: `Y` Validation: `strLen(it) > 0 && strLen(it) <= 32`
18	ExecInst	N	Type: `ExecInst` Description: Order handling instructions; multiple instructions can be specified in a space delimited list. Required: `N` Validation: `it == state.ExecInst` Enum values: `MID_PRICE_PEG: M` Execute at a price equal to or more favorable than the midpoint of the NBBO. `PRIMARY_PEG: R` Execute at a price equal to or more favorable than the NBB in the case of a buy order or the NBO in the case of a sell order. `MARKET_PEG: P` Execute at a price equal to or more favorable than the NBO in the case of a buy order or the NBB in the case of a sell order. `CONDITIONAL: c` Conditional indication. `FIRM_UP: u` Firm up associated with a conditional invitation. `OPT_IN_TRIGGER_CONDITIONAL_INVITE: d` Opt-in to triggering conditional invitations. Can only be used on firm orders targeting a user defined Nexus, not base. `OPT_OUT_MATCH_WITH_FIRM_UP: j` Opt-out of matching with firm up orders in OneChronos auctions. Can only be used on firm orders.
21	HandlInst	Y	Type: `HandlInst` Description: `HandlInst` is required by FIX, but not used by OneChronos. Required: `Y` Enum values: `AUTOMATED_EXECUTION_NO_INTERVENTION: 1` Required by FIX, but not used by OneChronos.
38	OrderQty	N	Type: `Qty` Description: The number of shares for the order. Required: `N` Validation: `isLegalModifyQty(it)`
40	OrdType	Y	Type: `OrdType` Description: The type of an order. Required: `Y` Validation: `it == state.OrdType` Enum values: `LIMIT: 2` Order is eligible for execution at a price equal to or more favorable than `Price`. `PEGGED: P` Order is eligible for execution at a price equal to or more favorable than a computed price per the peg instructions given in `ExecInst` and `PegDifference`.
41	OrigClOrdID	Y	Type: `string` Description: The `ClOrdID` of the previous order in a FIX cancel/replace chain. Clients should always set `OrigClOrdID` to the most recent non-rejected `ClOrdID` sent; when populating `OrigClOrdID` OneChronos will always use the last accepted `ClOrdID`. Required: `Y` Validation: `strLen(it) > 0 && strLen(it) <= 32`
44	Price	N	Type: `Price` Description: The limit price of an order. Required: `N`
47	Rule80A	Y	Type: `Rule80A` Description: The capacity of an order. For US equities, order capacity is in reference to Rule 80A. Required: `Y` Validation: `it == state.Rule80A` Enum values: `AGENCY_SINGLE_ORDER: A` Broker is executing in an pure agency capacity. `PRINCIPAL: P` Broker is executing as a principal in the transaction. `RISKLESS_PRINCIPAL: R` Broker is executing as a riskless principal in the transaction.
54	Side	Y	Type: `Side` Description: The side of an order. Required: `Y` Validation: `it == state.Side` Enum values: `BUY: 1` Order is a buy. `SELL: 2` Order is a long sell. `SELL_SHORT: 5` Order is a short sell. `SELL_SHORT_EXEMPT: 6` Order is a short sell, exempt from restrictions such as Reg 201 in the case of US equities.
55	Symbol	Y	Type: `string` Description: The symbol (ticker) of the instrument being traded. See Symbology for additional details. Required: `Y` Validation: `it == state.Symbol`
59	TimeInForce	Y	Type: `TimeInForce` Description: A field governing how long an order will remain active for. Required: `Y` Validation: `it == state.TimeInForce` Enum values: `DAY: 0` Order will remain active throughout the regular trading session. `IMMEDIATE_OR_CANCEL: 3` Order will be canceled after participating in one auction. `FILL_OR_KILL: 4` Order will be canceled unless it can be filled in entirety in one auction; partial fills are not allowed. `GOOD_TILL_DATE: 6` Order will remain active until the time specified by `ExpireTime`.
60	TransactTime	Y	Type: `UTCTimestamp` Description: A UTC timestamp indicating when a transaction occurred. Internally, OneChronos logs events at microsecond or higher precision but disseminates time msgFields with millisecond precision. Subscribers desiring microsecond precision timestamps can enable them on a port level. Required: `Y`
65	SymbolSfx	N	Type: `string` Description: A suffix for the symbol (ticker) being traded, when applicable. See Symbology for additional details. Required: `N` Validation: `it == state.SymbolSfx`
110	MinQty	N	Type: `Qty` Description: The minimum permissible fill quantity for an order. Required: `N` Validation: `case it {None: true} {Some qty: qty > 0.0}`
114	LocateReqd	N	Type: `LocateReqd` Description: A boolean flag indicating whether a locate is required when selling short. For US equities orders, any order where `LocateReqd` is absent or set to `Y` will result in a rejection if `Side=SELL_SHORT` or `Side=SELL_SHORT_EXEMPT`. Required: `N` Enum values: `YES: Y` Broker attests that a locate is required for the name being traded. `NO: N` Broker attests that a locate is not required for the name being traded.
126	ExpireTime	N	Type: `UTCTimestamp` Description: When `TimeInForce=GOOD_TILL_DATE` `ExpireTime` must be populated with the desired expiry time. Required: `N` Validation: `it == state.ExpireTime`
211	PegDifference	N	Type: `PriceOffset` Description: Amount (signed) added to the price of the peg for a pegged order. Required: `N`
20001	AnalyticsTags	N	Type: `string` Description: An optional Subscriber/Customer supplied comma separated list of identifiers. Tags are echoed back on fills and used as filter/query parameters in analytics reports. If specified, the rules outlined in the section on Identifiers apply. Required: `N` Validation: `case it {None: true} {Some _analyticsTags: it == state.AnalyticsTags}`
20004	ExpressiveBidURI	N	Type: `string` Description: The Expressive Bid URI. Required: `N`
20009	ExpressiveBidArgument1	N	Type: `string` Description: Expressve Bid argument 1. Required: `N`
20010	ExpressiveBidArgument2	N	Type: `string` Description: Expressve Bid argument 2. Required: `N`
20011	ExpressiveBidArgument3	N	Type: `string` Description: Expressve Bid argument 3. Required: `N`
20012	ExpressiveBidArgument4	N	Type: `string` Description: Expressve Bid argument 4. Required: `N`
20028	LegID	N	Type: `int` Description: The ID associated with a multi-symbol expressive bid. Required: `N` Validation: `case it {None: true} {Some _: it == state.LegID}`
20029	BasketID	N	Type: `string` Description: The ID associated with a multi-symbol expressive bid. Required: `N` Validation: `case it {None: true} {Some _: it == state.BasketID}`

Message Validations

state.orderEntry.isConnected

isUnusedClOrdId(this.ClOrdID)

this.OrigClOrdID == state.ClOrdID

isMarketHours()

isLegalStateForCancelOrModify(state.OrdStatus)

this.OrdType == OrdType.Limit ==> present(state.Price)

present(this.MinQty) ==> (
            case this.MinQty
            { None: true }
            { Some minQty: minQty <= this.OrderQty })

present(this.PegDifference) ==> contains_peg_exec_inst(this.ExecInst)

!isMaxOrderSizeExceeded(this.OrderQty)

this.Side == SellShort || this.Side == SellShortExempt ==>
    (case this.LocateReqd
      {None: true}
      {Some locateReqd: locateReqd == LocateReqd.No})

present(internalNexusState(
      this.ExpressiveBidURI, this.ExpressiveBidArgument1, this.ExpressiveBidArgument2)) ==>
        (case state.nexusConfiguration
          {None: !present(this.AnalyticsTags) }
          {Some config: this.AnalyticsTags == (Some config.allowed_analytics_tag)}
        )

present(this.ExpressiveBidURI) ==> present(state.validatedNexusState)

validNexusFields(
        this.ExpressiveBidURI, this.ExpressiveBidArgument1, this.ExpressiveBidArgument2)

!contains_firm_up_exec_inst(this.ExecInst)

!state.portSettings.allowExpressiveBidding ==> !present(this.ExpressiveBidArgument3) && !present(this.ExpressiveBidArgument4)

To Subscriber

ExecutionReport (8)

Execution reports are sent by OneChronos to Subscriber to acknowledge order entry and cancellation, communicate fills (both partial and complete), and notify Subscriber when the state of an order changes due to venue or order specific lifecycle events. The following msgFields are common to all execution reports. Order state specific reports contain additional msgFields, as indicated below this section.

Tag	Name	Required?	Description
1	Account	N	Type: `string` Description: A client supplied account identifier. Required: `N` Validation: `it == state.Account`
6	AvgPx	Y	Type: `Price` Description: An average price computed across all fills for an order. Required: `Y`
11	ClOrdID	Y	Type: `string` Description: A Subscriber provided order ID satisfying the requirements for Subscriber provided IDs. Required: `Y` Validation: `it == state.ClOrdID`
14	CumQty	Y	Type: `Qty` Description: The aggregate filled quantity computed across all fills for an order. Required: `Y` Validation: `it >= 0.0`
17	ExecID	Y	Type: `string` Description: A unique ID for each execution report sent from OneChronos to Subscriber. Required: `Y`
18	ExecInst	N	Type: `ExecInst` Description: Order handling instructions; multiple instructions can be specified in a space delimited list. Required: `N` Validation: `it == state.ExecInst` Enum values: `MID_PRICE_PEG: M` Execute at a price equal to or more favorable than the midpoint of the NBBO. `PRIMARY_PEG: R` Execute at a price equal to or more favorable than the NBB in the case of a buy order or the NBO in the case of a sell order. `MARKET_PEG: P` Execute at a price equal to or more favorable than the NBO in the case of a buy order or the NBB in the case of a sell order. `CONDITIONAL: c` Conditional indication. `FIRM_UP: u` Firm up associated with a conditional invitation. `OPT_IN_TRIGGER_CONDITIONAL_INVITE: d` Opt-in to triggering conditional invitations. Can only be used on firm orders targeting a user defined Nexus, not base. `OPT_OUT_MATCH_WITH_FIRM_UP: j` Opt-out of matching with firm up orders in OneChronos auctions. Can only be used on firm orders.
20	ExecTransType	Y	Type: `ExecTransType` Description: Identifies the type of a transaction. Required: `Y` Validation: `it == ExecTransType.New` Enum values: `NEW: 0` A new execution report. `CANCEL: 1` Cancellation of a previously sent execution report.
30	LastMkt	N	Type: `Exchange` Description: The market of the last fill; always CGXS. Required: `N` Validation: `case it {None: true} {Some lastMkt: lastMkt == Exchange.CGXS}`
31	LastPx	N	Type: `Price` Description: The price of the last fill. Required: `N`
32	LastShares	N	Type: `Qty` Description: The quantity of the last fill. Required: `N`
37	OrderID	Y	Type: `string` Description: An identifier assigned by OneChronos to all orders entered via `NewOrderSingle`. In contexts where an `OrderID` is required but not available, e.g., when sending an `OrderCancelReject` in response to an unknown order, OrderID will be populated with `NONE`. Required: `Y` Validation: `it == state.OrderID`
38	OrderQty	Y	Type: `Qty` Description: The number of shares for the order. Required: `Y` Validation: `it == state.OrderQty`
39	OrdStatus	Y	Type: `OrdStatus` Description: The state of the order. State transitions are governed per the FIX order state transition rules. Required: `Y` Enum values: `NEW: 0` Order is acknowledged. `PARTIALLY_FILLED: 1` Order is partially filled. `FILLED: 2` Order is fully filled. `CANCELED: 4` Order was successfully canceled. `REPLACED: 5` Order was replaced. `PENDING_CANCEL: 6` Order is awaiting Cancellation. `REJECTED: 8` Order was rejected. `EXPIRED: C` Order is expired. `PENDING_REPLACE: E` Order is in a pending replace state.
40	OrdType	Y	Type: `OrdType` Description: The type of an order. Required: `Y` Validation: `it == state.OrdType` Enum values: `LIMIT: 2` Order is eligible for execution at a price equal to or more favorable than `Price`. `PEGGED: P` Order is eligible for execution at a price equal to or more favorable than a computed price per the peg instructions given in `ExecInst` and `PegDifference`.
41	OrigClOrdID	N	Type: `string` Description: The `ClOrdID` of the previous order in a FIX cancel/replace chain. Clients should always set `OrigClOrdID` to the most recent non-rejected `ClOrdID` sent; when populating `OrigClOrdID` OneChronos will always use the last accepted `ClOrdID`. Required: `N`
44	Price	N	Type: `Price` Description: The limit price of an order. Required: `N` Validation: `it == state.Price`
47	Rule80A	Y	Type: `Rule80A` Description: The capacity of an order. For US equities, order capacity is in reference to Rule 80A. Required: `Y` Validation: `it == state.Rule80A` Enum values: `AGENCY_SINGLE_ORDER: A` Broker is executing in an pure agency capacity. `PRINCIPAL: P` Broker is executing as a principal in the transaction. `RISKLESS_PRINCIPAL: R` Broker is executing as a riskless principal in the transaction.
54	Side	Y	Type: `Side` Description: The side of an order. Required: `Y` Validation: `it == state.Side` Enum values: `BUY: 1` Order is a buy. `SELL: 2` Order is a long sell. `SELL_SHORT: 5` Order is a short sell. `SELL_SHORT_EXEMPT: 6` Order is a short sell, exempt from restrictions such as Reg 201 in the case of US equities.
55	Symbol	Y	Type: `string` Description: The symbol (ticker) of the instrument being traded. See Symbology for additional details. Required: `Y` Validation: `it == state.Symbol`
58	Text	N	Type: `string` Description: Free form text. Subscribers can populate this field for internal use; OneChronos may populate this field to provide additional context to Subscriber when sending a rejection. Required: `N`
59	TimeInForce	Y	Type: `TimeInForce` Description: A field governing how long an order will remain active for. Required: `Y` Validation: `it == state.TimeInForce` Enum values: `DAY: 0` Order will remain active throughout the regular trading session. `IMMEDIATE_OR_CANCEL: 3` Order will be canceled after participating in one auction. `FILL_OR_KILL: 4` Order will be canceled unless it can be filled in entirety in one auction; partial fills are not allowed. `GOOD_TILL_DATE: 6` Order will remain active until the time specified by `ExpireTime`.
60	TransactTime	Y	Type: `UTCTimestamp` Description: A UTC timestamp indicating when a transaction occurred. Internally, OneChronos logs events at microsecond or higher precision but disseminates time msgFields with millisecond precision. Subscribers desiring microsecond precision timestamps can enable them on a port level. Required: `Y`
65	SymbolSfx	N	Type: `string` Description: A suffix for the symbol (ticker) being traded, when applicable. See Symbology for additional details. Required: `N` Validation: `it == state.SymbolSfx`
103	OrdRejReason	N	Type: `OrdRejReason` Description: An error code indicating why a `NewOrderSingle` (`type=ORDER_SINGLE`) was rejected. Required: `N` Enum values: `BROKER_OPTION: 0` Order violates one or more aspects of the venue order entry specification not enumerated by `OrdRejReason`. `UNKNOWN_SYMBOL: 1` Order references an unknown `Symbol` or `SymbolSfx`. `EXCHANGE_CLOSED: 2` Order received outside of market hours. `ORDER_EXCEEDS_LIMIT: 3` Order violates venue or user configured risk limits. `DUPLICATE_ORDER: 6` Order specifies a `ClOrdID` that is currently in use. `INVALID_EXPRESSIVE_BID_URI: 9` The expressive bid URI and/or arguments associated with an `OrderSingle` was invalid.
110	MinQty	N	Type: `Qty` Description: The minimum permissible fill quantity for an order. Required: `N` Validation: `it == state.MinQty`
126	ExpireTime	N	Type: `UTCTimestamp` Description: When `TimeInForce=GOOD_TILL_DATE` `ExpireTime` must be populated with the desired expiry time. Required: `N` Validation: `it == state.ExpireTime`
150	ExecType	Y	Type: `ExecType` Description: The type of an `ExecutionReport`. See the section on FIX order state transitions for additional details. Required: `Y` Enum values: `NEW: 0` Report is an `ExecutionReport-Acknowledgement`. `PARTIAL_FILL: 1` Report is an `ExecutionReport-PartialFill`. `FILL: 2` Report is an `ExecutionReport-Fill`. `CANCELED: 4` Execution report is an `ExecutionReport-Cancel` or `ExecutionReport-UnsolicitedCancel`. `REPLACED: 5` Execution report is an `ExecutionReport-Replace`. `PENDING_CANCEL: 6` Execution report is an `ExecutionReport-PendingCancel`. `REJECTED: 8` Execution report is an `ExecutionReport-BusinessReject`. `EXPIRED: C` Report is an `ExecutionReport-Expired`. `PENDING_REPLACE: E` Report is an `ExecutionReport-PendingReplace`.
151	LeavesQty	Y	Type: `Qty` Description: The remaining (unfilled) quantity of an order open for additional fills. If `OrdStatus` is `CANCELED`, `EXPIRED`, or `REJECTED` `LeavesQty=0`. Otherwise, `LeavesQty=OrderQty - CumQty`. Required: `Y` Validation: `it == 0.0 \|\| it == leavesQty()`
211	PegDifference	N	Type: `PriceOffset` Description: Amount (signed) added to the price of the peg for a pegged order. Required: `N` Validation: `it == state.PegDifference`
375	ContraBroker	N	Type: `string` Description: Identifies the contra broker for a transaction. Required: `N`
382	NoContraBrokers	N	Type: `NumInGroup` Description: The number of `ContraBroker` msgFields contained in the message. Required: `N`
2362	SelfMatchPreventionID	N	Type: `int` Description: An integer value that mediates anti-internalization (self match prevention) behavior. When set to `0` the order containing this field will not match against another order from the same Subscriber. When set to `1` the order will not match against an order from the same MPID as determined by `OnBehalfOfCompID` or the port level default MPID. When set to `2` the order will not match against an order from the same `SenderCompID`. When set to any value in the interval `[3,65535]` the order will not match against an order with the same value for `SelfMatchPreventionID`. Required: `N`
20001	AnalyticsTags	N	Type: `string` Description: An optional Subscriber/Customer supplied comma separated list of identifiers. Tags are echoed back on fills and used as filter/query parameters in analytics reports. If specified, the rules outlined in the section on Identifiers apply. Required: `N` Validation: `it == state.AnalyticsTags`
20003	OmniverseTags	N	Type: `string` Description: An optional string passing back the the Omniverse arguments of an order Required: `N`
20005	AuctionID	N	Type: `int` Description: A unique identifier assigned by OneChronos to each auction. Required: `N`
20006	AuctionSubID	N	Type: `int` Description: A unique identifier assigned by OneChronos to each atomic symbol within a given auction. Any given `AuctionID` can have zero or more values of `AuctionSubID` associated with it. Required: `N`
20007	CancelReason	N	Type: `CancelReason` Description: An indicator code detailing why an an order was canceled Required: `N` Enum values: `UNSPECIFIED: 0` Unspecified - no additional information is available `USER_INITIATED: 1` The user initiated the cancel `IOC: 2` The cancelation was sent as the result of an Immediate or Cancel (IOC) order expiring either partially filled or unfilled. `FOK: 3` The cancelation was sent as the result of a Fill or Kill (FOK) order expiring unfilled. `TIME_IN_FORCE: 4` The cancelation was sent as the result of an order expiring due to a time in force constraint. `HALT: 5` The cancelation was sent as the result of either a venue wide or trading symbol specific trading halt. `ORDER_ENTRY_DISCONNECT: 6` The cancelation was sent as the result of an order entry FIX session disconnect when cancel on disconnect behavior is configured. `DROP_COPY_DISCONNECT: 7` The cancelation was sent as the result of a drop copy FIX session disconnect when cancel on disconnect behavior is configured. `CONDITIONAL_INVITATION: 8` The cancelation was sent as the result of a conditional invitation.
20008	LastNexusID	N	Type: `string` Description: The NexusID associated with a fill. If the order was filled in Base, this field is left empty. Required: `N`
20030	InvitationID	N	Type: `int` Description: The ID associated with a conditional invite. Required: `N`

Message Validations

state.orderEntry.isConnected

this.ExecType in [ExecType.PartialFill, ExecType.Fill] ==>
      present(this.LastMkt) &&
      present(this.LastPx) &&
      present(this.LastShares) &&
      (case this.ContraBroker
       {None: false}
       {Some cb: cb == "CGXS"}
      ) &&
      (case this.NoContraBrokers
       {None: false}
       {Some cb: cb == 1}
      ) &&
      present(this.AuctionID) &&
      present(this.AuctionSubID)

!(this.ExecType in [ExecType.PartialFill, ExecType.Fill]) ==>
      !(present(this.ContraBroker) ||
        present(this.NoContraBrokers) ||
        present(this.AuctionID) ||
        present(this.AuctionSubID))

this.ExecType != ExecType.New ==> !present(this.SelfMatchPreventionID)

this.ExecType == ExecType.New ==> this.AvgPx == 0.0

this.ExecType == ExecType.Replaced ==> present(this.OrigClOrdID)

this.ExecType == ExecType.Rejected ==> present(this.OrdRejReason) &&
    this.ExecType != ExecType.Rejected ==> !present(this.OrdRejReason)

this.OrdStatus in [OrdStatus.Canceled, OrdStatus.Expired,
                       OrdStatus.Rejected] ==>
      this.LeavesQty == 0.0

!(this.OrdStatus in [OrdStatus.Canceled, OrdStatus.Expired,
                         OrdStatus.Rejected]) ==>
      this.LeavesQty == this.OrderQty - this.CumQty

this.ExecType in [ExecType.New, ExecType.Canceled, ExecType.Rejected, ExecType.Replaced,
                      ExecType.PendingCancel, ExecType.PendingReplace] ==>
      this.LastPx == (Some 0.0) && this.LastShares == (Some 0.0)

this.ExecType == ExecType.Canceled ==> present(this.CancelReason) &&
    this.ExecType != ExecType.Canceled ==> !present(this.CancelReason)

present(this.OmniverseTags) ==> this.ExecType in [
      ExecType.Fill, ExecType.PartialFill,
      ExecType.New, ExecType.Replaced, ExecType.PendingReplace,
      ExecType.Canceled, ExecType.PendingCancel
    ]

present(this.LastNexusID) ==> this.ExecType in [ExecType.Fill, ExecType.PartialFill]

this.CancelReason == (Some CancelReason.ConditionalInvite) <==> present(this.InvitationID)
      && present(this.AuctionID) && present(this.AuctionSubID)

OrderCancelReject (9)

OrderCancelReject messages are sent from OneChronos to Subscriber in response to OrderCancelRequest messages that are invalid on a business logic level, or that reference orders in a non-cancelable state.

Tag	Name	Required?	Description
1	Account	N	Type: `string` Description: A client supplied account identifier. Required: `N` Validation: `it == state.Account`
11	ClOrdID	Y	Type: `string` Description: A Subscriber provided order ID satisfying the requirements for Subscriber provided IDs. Required: `Y` Validation: `it == state.ClOrdID`
37	OrderID	Y	Type: `string` Description: An identifier assigned by OneChronos to all orders entered via `NewOrderSingle`. In contexts where an `OrderID` is required but not available, e.g., when sending an `OrderCancelReject` in response to an unknown order, OrderID will be populated with `NONE`. Required: `Y`
39	OrdStatus	Y	Type: `OrdStatus` Description: The state of the order. State transitions are governed per the FIX order state transition rules. Required: `Y` Validation: `it == state.OrdStatus` Enum values: `NEW: 0` Order is acknowledged. `PARTIALLY_FILLED: 1` Order is partially filled. `FILLED: 2` Order is fully filled. `CANCELED: 4` Order was successfully canceled. `REPLACED: 5` Order was replaced. `PENDING_CANCEL: 6` Order is awaiting Cancellation. `REJECTED: 8` Order was rejected. `EXPIRED: C` Order is expired. `PENDING_REPLACE: E` Order is in a pending replace state.
41	OrigClOrdID	N	Type: `string` Description: The `ClOrdID` of the previous order in a FIX cancel/replace chain. Clients should always set `OrigClOrdID` to the most recent non-rejected `ClOrdID` sent; when populating `OrigClOrdID` OneChronos will always use the last accepted `ClOrdID`. Required: `N`
58	Text	N	Type: `string` Description: Free form text. Subscribers can populate this field for internal use; OneChronos may populate this field to provide additional context to Subscriber when sending a rejection. Required: `N`
102	CxlRejReason	Y	Type: `CxlRejReason` Description: An error code indicating why a `OrderCancelRequest` (`type=ORDER_CANCEL_REQUEST`) was rejected. Required: `Y` Enum values: `TOO_LATE_TO_CANCEL: 0` Cancellation request received after order was filled in entirety. `UNKNOWN_ORDER: 1` The `ClOrdID` referenced in the `OrderCancelRequest` is unknown. `BROKER_OPTION: 2` The request could not be processed and a more specific reason is not available. `ORDER_ALREADY_IN_PENDING_STATUS: 3` A cancellation request was already received for the order referenced. `INVALID_EXPRESSIVE_BID_URI: 4` The expressive bid URI and/or arguments was invalid; only applicable when `CxlRejResponseTo=2` (OrderCancelReplaceRequest (G)).
434	CxlRejResponseTo	Y	Type: `CxlRejResponseTo` Description: Indicates the type of order cancel request that a `OrderCancelReject` is in response to. Required: `Y` Enum values: `ORDER_CANCEL_REQUEST: 1` A response to an `OrderCancelRequest (F)` `ORDER_CANCEL_REPLACE_REQUEST: 2` A response to aa `OrderCancelReplaceRequest (G)`

Message Validations

state.orderEntry.isConnected

TradeBust (UCC)

TradeBust messages are sent to Subscriber to report trade breaks. Only full breaks (cancellations) ExecTransType=CANCEL are supported.

Tag	Name	Required?	Description
1	Account	N	Type: `string` Description: A client supplied account identifier. Required: `N` Validation: `it == state.Account`
11	ClOrdID	Y	Type: `string` Description: A Subscriber provided order ID satisfying the requirements for Subscriber provided IDs. Required: `Y` Validation: `it == state.ClOrdID`
17	ExecID	Y	Type: `string` Description: A unique ID for each execution report sent from OneChronos to Subscriber. Required: `Y`
19	ExecRefID	Y	Type: `string` Description: A reference to the original `ExecID` used for messages where `ExecTransType=CANCEL` or `ExecTransType=CORRECT`. Required: `Y`
20	ExecTransType	Y	Type: `ExecTransType` Description: Identifies the type of a transaction. Required: `Y` Validation: `it == ExecTransType.Cancel` Enum values: `NEW: 0` A new execution report. `CANCEL: 1` Cancellation of a previously sent execution report.
31	LastPx	Y	Type: `Price` Description: The price of the last fill. Required: `Y`
32	LastShares	Y	Type: `Qty` Description: The quantity of the last fill. Required: `Y`
37	OrderID	Y	Type: `string` Description: An identifier assigned by OneChronos to all orders entered via `NewOrderSingle`. In contexts where an `OrderID` is required but not available, e.g., when sending an `OrderCancelReject` in response to an unknown order, OrderID will be populated with `NONE`. Required: `Y` Validation: `it == state.OrderID`
42	OrigTime	Y	Type: `UTCTimestamp` Description: The original sending time of an `ExecutionReport`. Required: `Y`
54	Side	Y	Type: `Side` Description: The side of an order. Required: `Y` Validation: `it == state.Side` Enum values: `BUY: 1` Order is a buy. `SELL: 2` Order is a long sell. `SELL_SHORT: 5` Order is a short sell. `SELL_SHORT_EXEMPT: 6` Order is a short sell, exempt from restrictions such as Reg 201 in the case of US equities.
55	Symbol	Y	Type: `string` Description: The symbol (ticker) of the instrument being traded. See Symbology for additional details. Required: `Y` Validation: `it == state.Symbol`
60	TransactTime	Y	Type: `UTCTimestamp` Description: A UTC timestamp indicating when a transaction occurred. Internally, OneChronos logs events at microsecond or higher precision but disseminates time msgFields with millisecond precision. Subscribers desiring microsecond precision timestamps can enable them on a port level. Required: `Y`
65	SymbolSfx	N	Type: `string` Description: A suffix for the symbol (ticker) being traded, when applicable. See Symbology for additional details. Required: `N` Validation: `it == state.SymbolSfx`
375	ContraBroker	Y	Type: `string` Description: Identifies the contra broker for a transaction. Required: `Y` Validation: `it == "CGXS"`
382	NoContraBrokers	Y	Type: `NumInGroup` Description: The number of `ContraBroker` msgFields contained in the message. Required: `Y` Validation: `it == 1`

Message Validations

state.orderEntry.isConnected

OrderEntry in state.portSettings.tradeBustReporting ||
    DropCopy in state.portSettings.tradeBustReporting

Order State Transitions

OneChronos uses a subset of the legal FIX order state transitions. When an order is in multiple states at once (e.g. PENDING_CANCEL and PARTIALLY_FILLED) the FIX rules of precedence are used to determine which state is reported in the OrdStatus field of an ExecutionReport.

```
PENDING_CANCEL: 12
```
(highest precedence)
```
PENDING_REPLACE: 11
```
```
FILLED: 8
```
```
CANCELED: 5
```
```
PARTIALLY_FILLED: 4
```
```
NEW: 2
```
```
REJECTED: 2
```
```
PENDING_NEW: 2
```

Note that values are non-consecutive to maintain parity with the FIX 4.2 specification.

The following are legal transitions (from the perspective of OneChronos sending ExecutionReport messages). States that can only transition to themselves and for which no further messages will be sent (with the exception of trade breaks, when configured) are labeled TERMINAL.

NEW

```
PARTIALLY_FILLED
```
```
FILLED
```
```
EXPIRED
```
```
CANCELED
```
```
PENDING_CANCEL
```

PARTIALLY_FILLED

```
PARTIALLY_FILLED
```
```
FILLED
```
```
EXPIRED
```
```
CANCELED
```
```
PENDING_CANCEL
```

```
FILLED
```
- TERMINAL
```
EXPIRED
```
- TERMINAL
```
CANCELED
```
- TERMINAL

PENDING_CANCEL

```
PENDING_CANCEL
```
```
FILLED
```
```
CANCELED
```

```
REJECTED
```
- TERMINAL
```
PENDING_NEW
```
- ```
NEW
```
- ```
REJECTED
```

Drop Copy

OneChronos offers two types of FIX drop copy:

Order-by-Order: All business level messages (including trade breaks, if configured) are forwarded to the drop copy session
Fills Only: Only ExecutionReport-Fill and ExecutionReport-PartialFill messages are forwarded to the drop copy session

Drop copy functionality is configured on the port/session level.

Port Settings

The following parameters can be configured on the FIX port/session level:

Order Entry Port Settings

Name	Enabled by Default?	Description
Allow Short Sales	Y	Allow short sales - orders where `Side=SELL_SHORT` or `Side=SELL_SHORT_EXEMPT`.
Allow Test Symbols	N	If true, orders for both test and tradable symbols will be accepted. If false, only tradable (non-test) symbols will be allowed.
Cancel On Disconnect	Y	Cancel all orders in the event of a FIX/network disconnect. Orders that are too late to cancel (actively participating in an auction) will not be canceled.
Cancel on Halt	N	Cancel all orders for halted symbols. If the halt impacts any one leg of a combinatorial order, all legs will be canceled.
Drop Copy Connection Disconnect Handling	N	Controls the handling of drop copy session disconnects. Parameters: Name: `timeout` Description: The number of seconds to wait for the drop copy connection to re-establish before taking action. Type: `integer` Default Value: `30` Validation: `this.timeout >= 30 && this.timeout <= 180` Name: `rejectNew` Description: Reject new orders if a drop copy connection is not active, or if the connection disconnects. Type: `boolean` Default Value: `False` Name: `cancelResting` Description: Cancel resting orders if a drop copy connection is not active, or if the connection disconnects. Type: `boolean` Default Value: `False`
Fat Finger Percent Delta	N	Reject orders that are more than a given percent outside of the prevailing NBBO price upon the initiation of an auction. This calculation only applies to individual legs of a combinatorial order that specify a limit price. Parameters: Name: `maxPctDelta` Description: The maximum percent delta. Type: `number` Default Value: `10.0` Validation: `this.maxPctDelta >= 0.000001 && this.maxPctDelta <= 10.0`
Maximum Notional Value	N	The maximum permissible notional value (in USD) for a single order. Parameters: Name: `maxValue` Description: Max notional value. Type: `number` Default Value: `1,000,000,000` Validation: `this.maxValue >= 1.0 && this.maxValue <= 1,000,000,000`
Maximum Order Shares	Y	The maximum number of shares allowed for a single order. Parameters: Name: `maxValue` Description: Max shares for a single order. Type: `integer` Default Value: `10,000,000` Validation: `this.maxValue >= 1 && this.maxValue <= 10,000,000`
Self-Match Prevention	N	Self-match prevention (anti-internalization) behavior. When disabled, all Subscriber orders are free to match against all other Subscriber orders. When enabled and set to `SUBSCRIBER`, orders will not match against other orders from the same Subscriber. When set to `MPID`, orders will not match against other orders from the same MPID as determined by OnBehalfOfCompID or the port level default MPID. When set to `SENDER_COMP_ID`, orders will not match against other orders from the same SenderCompID. Note that in all cases Tag 2362 `SelfMatchPreventionID` takes precedence over this port setting. Parameters: Name: `selfMatchPrevention` Type: `enum` Default Value: `SENDER_COMP_ID` Enum values: `SUBSCRIBER: 0` Subscriber-level self match prevention `MPID: 1` MPID-level self match prevention `SENDER_COMP_ID: 2` Session/SenderCompID self match prevention
Symbology Type	Y	Defines the symbology suffix convention to use for order entry. Parameters: Name: `symbologyType` Type: `enum` Default Value: `CMS_CONCATENATED` Enum values: `CMS_CONCATENATED: 0` Use CMS Concatenated symbology for symbols requiring a suffix. `CMS_SUFFIX: 1` Use CMS Suffix symbology for symbols requiring a suffix. `NASDAQ_INTEGRATED: 2` Use NASDAQ Integrated symbology for symbols requiring a suffix.
Timestamp Accuracy	Y	Controlls the accuracy of the timestamps that OneChronos will send the Subscriber in outbound messages e.g. an `ExecutionReport`. Parameters: Name: `timestampPrecision` Type: `enum` Default Value: `Milli` Enum values: `MILLI: 0` Millisecond timestamp reporting `MICRO: 1` Microsecond timestamp reporting `NANO: 2` Naonsecond timestamp reporting
Trade Break Reporting	N	Enable `TradeBreak` reporting.

Drop Copy Port Settings

Name Enabled by Default? Description

Drop Copy Type

Controls the type of drop copy reports that are sent to Subscriber.

Parameters:

Name:
```
drop_copy_type
```
Description: The type of drop copy reports that are sent.
Type:
```
enum
```
Default Value:
```
FILLS_ONLY
```
Enum values:
- ```
ORDER_BY_ORDER: 0
```
  All business level messages (including trade breaks, if configured) are forwarded to the drop copy session.
- ```
FILLS_ONLY: 1
```
  Only ExecutionReport-Fill and ExecutionReport-PartialFill messages are forwarded to the drop copy session.

Trade Break Reporting

Enable TradeBreak reporting.