Date

Description

Jun 07, 2024

Coinbase bracket order type changes:

1.   Added new possible value ‘O’ (OCO) for OrdType(40) field supporting in NewOrderSingle (D).

2.   Added new tag ExtraLimitPx(20632) to NewOrderSingle (D), ExecutionReport: Order Status (8), Execution Report: Confirmation/Acknowledgement (8), ExecutionReport: Reject message (8).

Added missed fields to NoLegs group in New Order Multileg (AB), Order Cancel/Replace Multileg (AC) messages,

Fixed List Status message description.

(Changes should be available in stage on July 29, expect to be available in production on Aug 5)

Mar 19, 2024

Reworked ALL reject codes to avoid intersection with standard codes.

Added information about CustomerInfo and SelfTradeProtectionKey ExtraAttributes support for external/arbitrary account for SGX.

Changed field mandatory status to false for OpenTradeEquity (20018) field in FCM-Confirmed Positions: Position Report (UAP).

Mar 18, 2024

Added bracket order parameters to New Order List (E) message:

-     ProfitOffset (tag 20624)

-     LossOffset (tag 20625)

-     StopLimitOffset (tag 20626)

-     IsBracket (tag 20627)

-     NestedProfitOffset (tag 20628)

-     NestedLossOffset (tag 20629)

-     NestedStopLimitOffset (tag 20630)

-     NestedIsBracket (tag 20631)

Feb 20, 2024

Added section about algo features which currently contains duration and order size override description available for several algos at once.

Added section telling which types of instruments are supported and with table listing available Exchanges with notes about exceptions for every Exchange.

Added a section telling which order types are supported for CQG algos in general and what those types mean.

Remade algos section so that now a well-known name is used (CQG PAYUP instead of Payup), also each algo now has it's own heading so it's easier to navigate the document.

Updated description for StartTime, EndTime, MaxDurationInMinutes and OrderSizeOverrideParameters to reflect recent changes in CQG Algo Engine.

Added notes for parameters which could not be updated (mostly related to CQG VWAP algo)

Removed confusing 'instruments' mention for each algo as now it's located in dedicated section; particular algo description now contains exceptions from common list.

Added a value of TargetStrategy for each algo in the list of parameters.

Expanded description of CQG POSITIONBRKT algo to tell that it launches stop orders on same side as algo's.

Jan 04, 2024

Fixed description of FCM Currency Rate Report (UZT).

Added ‘Disconnected’ status for the OrdStatus field (tag 39).

Dec 15, 2023

Changed currency code description. Fixed Order Cancel Reject (9) description.

Sep 14, 2023

Fixed type of the OrderPlacementTime field (tag 20111).

Aug 28, 2023

Added mention about support of external/arbitrary account for APEX.

Aug 10, 2023

Update algo-engine support section:

•      reordered PriceType enumeration value to be increasing;

•      added SizeFactor parameter for SLSnipe, Snipe algos;

•      added TowardSizeRaw parameter to Tick and OffsetTick algos;

•      removed BucketIntervalMinutes parameter from VWAP algo;

•      added AveragingMethod parameter to VWAP algo;

•      updated description of WakeIntervalSeconds and MaxUncertaintyWidth parameters of VWAP algo;

•      added IcePegger, SLSweeper, PositionBRKT, SLSnipeBerg and POV algos;

•      added a table where all currently available algo parameters are listed;

updated default value of PercentOfVolume for several algos;

Jun 19, 2023

Added SpeculationType (20154) to both Current Day Fills: Position Report (UAP) and FCM-Confirmed Positions: Position Report (UAP) messages. Fixed modification ability for parked orders.

Changed type of Account (1) field from String(32) to String(256) in all messages that support that tag.

Changed type of all “MonthYear” fields from String to MonthYear. Added format description.

Mar 13, 2023

Added mention about instrument tags to the features section.

Jan 05, 2023

Changed description for tags MarketValue (20017), OpenTradeEquity (20018) and UnrealizedPL(20021) for FCM-Confirmed Positions: Position Report (UAP)

Aug 25, 2022

Added TodayCutoff and OpenClose to the Current Day Fills: Position Report (UAP).

Jul 15, 2022

Added all supported strategy types.

Added ContractDay(20608), ContractMonthYear(20609) and ContractDate(20607) tags to the New Order Single(D), New Order Multileg (AB), Order Cancel/Replace Multileg (AC), Allocation (J), Security Definition Request (c), Order Mass Status Request (UAF)

Added some notes about non-tradable UDS to Security Definition (d)

Added CQG algo strategies fields.

Apr 21, 2022

Updated CQG algo strategies fields, added new algos.

Jan 27, 2022

Added CQG algo strategies fields.

Nov 05, 2021

Updated all supported strategy types for UDS

Sep 10, 2021

Added trail limit orders support. Added tag TrailPeg(20619) to NewOrderSingle (D), NewOrderMultileg (AB), ExecutionReport: Order Status (8), Execution Report: Confirmation/Acknowledgement (8), ExecutionReport: Reject message (8).

Updated description of PegDifference(211) and PeggedPrice(50839) tags.

Updated price fields description in Automatic Order Update (UZV).

Updated Appendix A: Reject codes.

Updated description of SenderLocationID(142) field in DirectOnBehalfOfSubID mode.

Added new user defined strategy types for UserStrategyType (tag 20049) enumeration

Added Account tag to the SecurityDefinitionRequest(c)

Added LegOptionDelta and LegPrice tags to the SecurityDefinitionRequest(c), SecurityDefinition(d), New Order Multileg(AB), Order Cancel/Replace Multileg(AC), New Order List(E), ExecutionReport: Order Status (8), Execution Report: Confirmation/Acknowledgement (8), ExecutionReport: Reject message (8).

Added NestedLegOptionDelta(20620) and NestedLegPrice(20621) tags to the New Order List(E)

Added description of Small Exchange features in DirectOnBehalfOfSubID mode.

Added valid ‘Tagging Short Sales’ values for Side field (tag 54). Added PartyRole (50452) for Locate ID.

Mar 18, 2021

Added ‘Abbitrary Account support’ section.

Added ExternalAccountNumber (20618) field in the following messages:

•      NewOrderSingle (D)

•      NewOrderMultileg (AB)

•      Execution Report: Reject Message (8)

•      Execution Report: Confirmation/Acknowledgement (8)

•      Execution Report: Order Status (8)

•      Current Day Fills: Position Report (UAP)

Renamed CQGTraderFIDType (20171) field name to CQGFIDType.

Added new valid values to both CQGFIDType(20171) and PartyRole(50452) fields.

Feb 19, 2021

Updated all TimeInForce(59) and NestedTimeInForce(20091) fields by adding GFA(GoodForAuction) value ‘B’ and changed enum value for GTT from ‘8’ to ‘A’

Nov 24, 2020

Updated Execution Report : Confirmation/Acknowledgement (8) by adding LegTrdMatchID (20617), TradingVenueTransactionID(20226), LegTradingVenueTransactionID(20268) and TrdMatchID(50880)

Updated Current Day Fills: Position Report (UAP) by adding TradingVenueTransactionID(20226) and TrdMatchID(50880)

Aug 28, 2020

Updated Execution Report : Order Status by adding LegCumQty(20616)
Added new valid values to New Order List(E) and List Status Request (N) for ContingencyType(51385) and NestedContingencyType(20076) fields:

5002 = Independent. This is a CQG-specific value, not supported in FIX 5.0 SP1.

Jul 17, 2020

Tags LegAggressive(50617) and LegTodayCutoff(2094) were removed from Execution Report : Order Status.

Added new valid values to Authorized Accounts Request for SubscriptionRequestType (263) field

1 = Snapshot and Subscribe

2 = Snapshot and Unsubscribe

Jan 17, 2020

Extended description for filed MultiLegReportingType(442).

Fixed field StatementDate (20023) and ClearingBusinessDate (50715) description in Execution Report: Confirmation/Acknowledgement (8) message.

Jan 10, 2020

Updated Execution Report: Confirmation/Acknowledgement (8) by adding ContractMonthYear (20609), ContractDay (20608), ContractDate (20607), SpecificContractDate (20601), SpecificContractDay (20602), SpecificContractMonthYear (20603), LegContractMonthYear (20612), LegContractDate (20610), LegMaturityDay (20199), LegContractDay (20608), LegSpecificSymbol (20195), LegSpecificMaturityMonthYear (20198), LegSpecificMaturityDay (20197), LegSpecificMaturtityDate (20196), LegSpecificContractMonthYear (20606), LegSpecificContractDay (20605), LegSpecificContractDate (20604)

Updated Execution Report: Reject Message (8), Execution Report: Order Status (8) by adding ContractMonthYear (20609), ContractDay (20608), ContractDate (20607), LegMaturityDay (20199), LegContractMonthYear (20612), LegContractDay (20611), LegContractDate(20610)

Updated Security Definition (d) by adding ContractMonthYear(20609), ContractDate(20607), ContractDay(20608), MaturityDay(205), UnderlyingContractMonthYear(20615), UnderlyingContractDay(20614), UnderlyingContractDate(20613)

Updated Current Day Fills: Position Report (UAP) by adding ContractMonthYear(20609), ContractDate(20607), ContractDay(20608), SpecificContractMonthYear(20603), SpecificContractDate(20601), SpecificContractDay(20602)

Extended description for TimeInForce field (tag 59), ExpireTime(126), ExpireDate(432).

Jan 09, 2020

Added description of daily session limit to Features section

Nov 21, 2019

Some update in titles text and fields description

Oct 22, 2019

Updated ExecutionReport: Reject Message(8) by adding NoExtraAttributes(20185), ExtraAttributeName(20186), ExtraAttributeValue(20187)

Oct 18, 2019

Updated ExecutionReport: Order Status (8), Execution Report: Confirmation/Acknowledgement (8), NewOrderSingle (D), NewOrderList(E), NewOrderMultileg (AB), Order Cancel/Replace Request (G), Parked Order Activation Request(G), Order Cancel/Replace Multileg(AC) by adding CustOrderHandlingInst(51031)

Aug 20, 2019

Updated ExecutionReport: Order Status (8), Execution Report: Confirmation/Acknowledgement (8) by adding ContingentSourceOrderID (20191), TodayCutoff (20193) and LegTodayCutoff (20194).

Updated NewOrderSingle (D), NewOrderMultileg (AB), Order Cancel/Replace Request (G) by adding AllocAccountRequired (20192).

May 22, 2019

Added new message OrderStatusRequest (H).

Mar 28, 2019

Fixed field LastFragment (50893) description in FCM Currency Rate Report (UZT) and Allowed Feature Report (UZW) messages.

Date

Description

Date

Description

June 16, 2020

Added new ExternalOrderIndicator (tag 50935) to Execution Report.

June 11, 2020

Added information of our current actual use of UnsolicitedIndicator(tag 325)

Date

Description

March 04, 2020

Standard Message Header (Login:  35=A)

added RawDataLength(tag 95) and RawData(tag 96)