Standard Header

Y

MsgType = AB

1

Account

String(256)

Y*

Account ID (managed by the CQG gateway).

11

ClOrdID

String(64)

Y

Unique identifier of the order as order request originator. Its uniqueness must be guaranteed within a single trading day for day orders and across days for multi-day orders as defined by FIX 4.2 spec.

18

ExecInst

Multiple

ValueString

N

Execution instructions. If this tag is blank, then no instructions exist.

Valid values (definitions):

G = All or none (AON)

i = Iceberg

q = Quantity Triggered Stop (QTS)

S = Parked

c = Order comment

f = Funari

t = Market If Touched

l = Market Limit

R = Trailing (Primary peg)

b = Market To Limit

u = Auction

6 = Post Only (Participate don’t initiate) (Only Available via NASDAQ FIXED INCOME)

21

HandlInst

Char

N

Instructions for order handling on broker trading floor.

Valid values:

1 = Automated execution order, private, no broker intervention

3 = Manual order, best execution

22

IDSource

String

N

Reserved for contract identification used by custom  FIX Connect vendor contract symbol mappings. It should not appear for FIX vendors that do not have it explicitly configured.

38

OrderQty

Qty

Y*

Quantity of order submitted by client. The quantity must be an unsigned integer number greater than zero. Orders with zero or negative quantity are rejected.

40

OrdType

Char

Y

Sets the type of order.

Valid values:

1 = Market

2 = Limit

3 = Stop

4 = Stop limit

44

Price

Price

C

Limit price. Conditionally required for Limit and Stop Limit orders.

Using Price (44) tag for Market and Stop orders results in Reject (3) message.

48

SecurityID

String

N

Reserved for contract identification used by custom FIX Connect vendor contract symbol mappings. It should not appear for FIX vendors that do not have it explicitly configured.

54

Side

Char

Y

Indicates the side of the order.

Valid values:

1 = Buy

2 = Sell

5 = Sell Short

6 = Sell Short Exempt

55

Symbol

String(64)

N

An identifier for an instrument that can be traded on a CQG system.

CQG has established symbols to represent each issue traded at the various international exchanges. When possible CQG symbols correspond to those used by the individual exchanges. However, exchange symbols may conflict with symbols and data formats used by other exchanges.

When this occurs, alternative CQG symbols are used. Custom symbols can be used when symbol mapping is enabled for FIX vendor and appropriate conversion algorithm is selected. See Syntax for Symbol (tag 55).

58

Text

String

N

Custom user-supplied text.

59

TimeInForce

Char

N

Specifies how long the order remains in effect. If not present, DAY is the default. If the value of this tag is GTD, then ExpireDate (tag 432) is required.
If the value of this tag is GTT, then ExpireTime (tag 126) is required.

Valid values:

0 = DAY (assumed when absent)

1 = Good Till Cancel (GTC)

2 = At the Opening (OPG)

3 = Immediate or Cancel (IOC)

4 = Fill or Kill (FOK)

6 = Good Till Date (GTD)

7 = At the Close

A = Good Till Time(GTT)

B = Good For Auction(GFA)

60

TransactTime

UTC Timestamp

Y

Time this order request was initiated/released by the trader or trading system.

77

OpenClose

Char

C

Indicates whether the resulting position after a trade should be an opening position or closing position.

Valid values:

O = Open

C = Close

P = Close previous day

Use O as a default value for orders submitted on exchanges that do not support this field.

Start of component block, expanded in line < AllocsGrp >

78

NoAllocs

Int

N

Number of repeating groups for pre-trade allocation.

➔

79

AllocAccount

String(256)

N

Subaccount ID (managed by CQG gateway).

Required if NoAllocs > 0.  Must be the first field in repeating group.

➔

80

AllocShares

Qty

N

Order quantity allocated to this subaccount. Sum of all AllocShares must be equal to OrderQty.

➔

20192

AllocAccountRequired

Boolean

N

Indicates whether this allocated account is required.

When set (‘Y’), the order will be rejected if this account fails validation checks.

When not set (‘N’), this account will be removed from the allocation list if it fails validation checks. Default =N.

End of component block, expanded in line < AllocsGrp >

99

StopPx

Price

C

Stop price. Conditionally required for Stop and Stop Limit orders. Using StopPx (99) tag for Market and Limit orders result in Reject (3) message.

115

OnBehalfOfCompID

String(32)

N

A firm name of a trader on whose behalf this order request should be sent. This field is currently ignored by the CQG gateway. Part of Standard Header.

116

OnBehalfOfSubID

String(32)

N

CQG username of the trader on whose behalf this order request should be sent. That trader needs to be authorized for trading on the same account specified in tag 1. Part of Standard Header.

126

ExpireTime

UTCTimestamp

C

Conditionally required if TimeInForce = GTT.

128

DeliverToCompID

String(32)

C

Trading firm that the trader specified in tag 116 (DeliverToSubID) belongs to. Part of Standard Header.

167

SecurityType

String

N

Indicates type of security.

Reserved for contract identification used by custom FIX Connect vendor contract symbol mappings. It should not appear for FIX vendors that do not have it explicitly configured. Indicates type of security.

200

MaturityMonthYear

MonthYear

N

Month and year of the maturity.

Format: YYYYMM.

Reserved for contract identification used by custom FIX Connect vendor contract symbol mappings. It should not appear for FIX vendors that do not have it explicitly configured.

For FIX message consistency, CQG defines maturity as contract last trading date.

205

MaturityDay

Int

N

Day of the maturity.

Reserved for contract identification used by custom FIX Connect vendor contract symbol mappings. It should not appear for FIX vendors that do not have it explicitly configured.

For FIX message consistency, CQG defines maturity as contract last trading date.

207

SecurityExchange

String

N

Market used to help identify a security.

Reserved for contract identification used by custom FIX Connect vendor contract symbol mappings. It should not appear for FIX vendors that do not have it explicitly configured. Market used to help identify a security.

210

MaxShow

Qty

C

Conditionally required if ExecInst contains i (Iceberg). Maximum number of shares within an order to be shown to other customers.

211

PegDifference

Price

C

Conditionally required if ExecInst includes R (Trailing).

Maximum offset between market and stop prices (and limit price for stop limit and limit orders). Always expressed as a positive number with units the same as StopPx (99) and Price (44).

388

DiscretionInst

Char

C

Code to identify the price a DiscretionOffset is related to and should be mathematically added to. Required if DiscretionOffset is specified.

Valid values:

0 = Related to displayed price

389

DiscretionOffset

Float

N

Amount (signed) added to the "related to" price specified via DiscretionInst, in the context of DiscretionOffsetType.

432

ExpireDate

LocalMktDate

C

Conditionally required if TimeInForce = GTD. Orders expire at the end of the trading session.

541

MaturityDate

LocalMktDate

N

Date of maturity.

Reserved for contract identification used by custom FIX Connect vendor contract symbol mappings. It should not appear for FIX vendors that do not have it explicitly configured.

For FIX message consistency, CQG defines maturity as contract last trading date.

847

TargetStrategy

Int

N

The target strategy of the order.

Valid values:

1000 - CQG ARRIVALPRICE

1001 - CQG PAYUP

1002 - CQG RICEBERG

1003 - CQG RTWAP

1004 - CQG SLICEBERG

1005 - CQG SLSNIPE

1006 - CQG SNIPE

1007 - CQG TICK

1008 - CQG TWAP

1009 - CQG VWAP

1010 - CQG OFFSETPAYUP

1011 - CQG PEG

1012 - CQG ROLL

1013 - CQG SLARRIVAL

1014 - CQG ICESLICER

1015 - CQG OFFSETTICK

1016 - CQG ICEPEGGER

1017 - CQG SLSWEEPER

1018 - CQG POSITIONBRKT

1019 - CQG SLSNIPEBERG

1020 - CQG POV

Algo strategy parameters block, expanded in paragraph <Algo-engine support>

1028

ManualOrderIndicator

Boolean

N

Indicates whether the order was sent manually (as opposed to being generated by automated trading logic).

Default =Y.

51031

CustOrderHandlingInst

Char

N

FIA Execution Source Code value for this request. Overrides the value CQG would otherwise automatically assign to the request based on trader-account configuration.

Possible values:

W – Desk

Y – Electronic (Default)

C – Vendor-provided Platform billed by Executing Broker

G - Sponsored Access via Exchange API or FIX provided by Executing Broker

H - Premium Algorithmic Trading Provider billed by Executing Broker

D - Other, including Other-provided Screen

20004

TriggerQty

Qty

C

Trigger quantity. Conditionally required for QTS orders, i.e. required when ExecInst contains q.

20124

ClientRegulatoryAlgorithmID

Int

N

Regulatory Algorithm ID for algo-orders.

20128

OmnibusAccount

String(256)

N

Omnibus Account ID (managed by the CQG gateway).

20154

SpeculationType

Char

C

Specifies a speculation type for an order.

Valid values:

S = Speculation

H = Hedge

A = Arbitrage

20176

MifidAlgorithmID

String

C

Must be supplied if the order execution decision was made by an algorithm under MiFID II definitions.

20177

MifidAlgorithmIDType

Int

C

Specified the type of MifidAlgorithmID (20176).

Valid values:

1 = External Mifid Algorithm ID

2 = CQG Mifid Algorithm ID

20181

MifidForceExecutionDecision

Boolean

C

When set ('Y'), it means MiFID Execution Within Firm should be CLIENT (or its configured short code) for an order not flagged with any MiFID Algorithm.

Default = ‘N’

20185

NoExtraAttributes

NumInGroup

N

Extra attributes repeating group

à

20186

ExtraAttributeName

String(32)

Y

Extra attribute name

à

20187

ExtraAttributeValue

String(64)

Y

Extra attribute value

20188

MifidInvestmentDecisionID

String

C

May be supplied to override value of MiFID Investment Decision Within Firm associated with this order.

20189

MifidInvestmentDecisionIDType

Int

C

Specifies the type of MifidInvestmentDecisionID (20188).

Valid values:

1 = Trader short code

2 = External Mifid Algorithm ID

3 = CQG Mifid Algorithm ID

20607

ContractDate

LocalMktDate

N

Contract date of the symbol.

Reserved for contract identification used by custom FIX API Vendor contract symbol mappings. It should not appear for FIX vendors which do not have it explicitly configured

20608

ContractDay

Int

N

Contract day of the symbol.

Reserved for contract identification used by custom FIX API Vendor contract symbol mappings. It should not appear for FIX vendors which do not have it explicitly configured

20609

ContractMonthYear

MonthYear

N

Contract month and year of the symbol.

Format: YYYYMM.

Reserved for contract identification used by custom FIX API Vendor contract symbol mappings. It should not appear for FIX vendors which do not have it explicitly configured

20618

ExternalAccountNumber

String

C

Secondary FCMAccountNumber specified by a broker. Completely overridde the value of tag Account (1) when the order gets sent to the execution system.

20619

TrailPeg

Char

C

Conditionally required if ExecInst includes R (Trailing) for limit orders only.

Valid values:

1 = Best Bid

2 = Best Ask

3 = Last Trade

Start of component block, expanded in line < PartyIDsGrp >

50453

NoPartyIDs

NumInGroup

C

Repeating group below should contain unique combinations of PartyRole, CQGTraderFIDType and PartyID.

➔

50452

PartyRole

Int

C

Identifies the type or role of the PartyID (50448) specified.

Valid values:

2000 = CQG Trader FID

2001 = CQG Customer FID

2002 = Giveup Member

2003 = Exchange Account Type

2004 = Exchange Account Origin

2101 = Small Exchange Subscriber Token

➔

20171

CQGTraderFIDType

String

C

Flexible Identifier Type. Describes the value being provided in PartyID (tag 50448).

Valid values:

•      FID_TraderShortCode

•      FID_ClientDecisionMakerShortCode

•      FID_ClientDecisionMakerShortCodeType

•      FID_PersonalTraderID

Valid value if PartyRole (50452) = 2001 (CQG Customer FID):

•      FID_ClientIDShortCode

➔

50448

PartyID

String

C

Identification of the party.

End of component block, expanded in line < PartyIDsGrp >

Start of component block, expanded in line < LegsGrp >

50555

NoLegs

NumInGroup

C

Number of legs repeating group instances.

➔

50600

LegSymbol

String(64)

Y

Multi-leg instrument’s individual security symbol. Must be the first field in repeating group.

➔

50602

LegSecurityID

String

N

Reserved for contract identification used by custom FIX Connect vendor contract symbol mappings. It should not appear for FIX vendors that do not have it explicitly configured.

➔

50603

LegSecurityIDSource

String

N

Reserved for contract identification used by custom FIX Connect vendor contract symbol mappings. It should not appear for FIX vendors that do not have it explicitly configured.

➔

50608

LegCFICode

String

N

Indicates the type of security as per ISO 10962 standard.

For futures: FXXXXX;

For options: OPXXXX, OCXXXX;

For spreads: MXXXXX;

For other instruments: XXXXXX.

Reserved for contract identification used by custom FIX Connect vendor contract symbol mappings. It should not appear for FIX vendors that do not have it explicitly configured.

➔

50609

LegSecurityType

String

N

Indicates type of security.

Reserved for contract identification used by custom FIX Connect vendor contract symbol mappings. It should not appear for FIX vendors that do not have it explicitly configured.

➔

50610

LegMaturityMonthYear

MonthYear

N

Month and year of the maturity.

Format: YYYYMM.

Reserved for contract identification used by custom FIX Connect vendor contract symbol mappings. It should not appear for FIX vendors that do not have it explicitly configured.

For FIX message consistency, CQG defines maturity as contract last trading date.

➔

50611

LegMaturityDate

LocalMktDate

N

Date of maturity.

Reserved for contract identification used by custom FIX Connect vendor contract symbol mappings. It should not appear for FIX vendors that do not have it explicitly configured.

For FIX message consistency, CQG defines maturity as contract last trading date.

➔

50616

LegSecurityExchange

String

N

Market used to help identify a security.

Reserved for contract identification used by custom FIX Connect vendor contract symbol mappings. It should not appear for FIX vendors that do not have it explicitly configured.

➔

50623

LegRatioQty

Qty

C

Ratio of quantity for this individual leg relative to the entire multileg security.

➔

50624

LegSide

Char

Y

Side of this individual leg (multi-leg security).

Valid values:

1 = Buy

2 = Sell

Required if NoLegs (50555) > 0.

➔

50654

LegRefID

String

Y

Unique indicator for a specific leg (Uniqueness is guaranteed within a particular order request).

➔

50588

LegFutSettDate

LocalMktDate

N

Specific date of trade settlement (SettlementDate) in YYYYMMDD format.

à

50564

LegOpenClose

Char

C

Indicates whether the resulting position after a trade should be an opening position or closing position.

Valid values:

O = Open

C = Close

P = Close previous day

Use O as a default value for orders submitted on exchanges that do not support this field.

à

20155

LegSpeculationType

Char

C

Specifies a speculation type for an order.

Valid values:

S = Speculation

H = Hedge

A = Arbitrage

à

20610

LegContractDate

LocalMktDate

N

Сontract date of the leg symbol.

Remember that contract date may not match contract LTD, e.g. a June monthly contract may have LTD during May, while the first/last weekly contracts for a given month may have LTD in the prior/following month.

Month and Day portions follow the same rules described in LegContractMonthYear and LegContractDay.

à

20611

LegContractDay

Int

N

Contract day of the leg symbol. Contains day of month (1-31).

For products with weekly listings, Contract Day identifies the day within the week according to product-specific conventions, e.g. some options use Friday's date to identify the week, while some weekly power contracts use Monday's date to identify the week.

For products with monthly or yearly listings, Contract Day is always 1.

à

20612

LegContractMonthYear

MonthYear

N

Contract month and year of the leg symbol. Format: YYYYMM.

Remember that contract month/year may not match LTD month/year, e.g. a June contract may have LTD during May.

For products with yearly listings, month portion is always 01.

à

50566

LegPrice

Price

N

Price of covering futures contract. Send only for a Covered options UDS.

à

51017

LegOptionDelta

Float

C

Delta used to calculate the quantity of futures used to cover the option or options spread.

If this tag is present when RatioQty tag is specified for the same repeating group, message will be rejected.

Value range depends on specific exchange rules.

End of component block, expanded in line < LegsGrp >

50842

DiscretionOffsetType

Int

C

Type of Discretion Offset value. Required if DiscretionOffset is specified.

Valid values:

2 = Ticks

50934

ParentChainOrderID

String(32)

N

Unique identifier of the first order in parent's order chain as assigned by the CQG gateway. This ID may only be present in a message related to a child order.

Standard Trailer

Y