FIX Messaging - FS - Introduction to FIX Messaging

Table of Contents

The ASX provides the capability for AMOs to report trades using the Financial Information Exchange (FIX) Protocol.

FIX Protocol

FIX is based on FIX 5.0 SP2 and user defined fields created by ASX. This protocol is published by the FIX Trading Community.

FIX Messages

Trade Capture Report

The Trade Capture Report (Type AE) enables an AMO to submit or cancel a trade so that the trade (or cancellation) can be validated for acceptance into the clearing and settlement facilities (refer to Market Trade Overview).

The AMO will be advised if the Trade Capture Report (Type AE) was accepted or rejected through the receipt of a Trade Capture Report Ack (Type AR).

The instrument types accepted by the CSP are covered in Appendix B of FIX Messaging - MC - Appendix.

For further details on the Trade Capture process, refer to Trade Capture (New) Process and Trade Capture (Cancel) Process.

For further details on the UML and messages, refer to FIX Messaging - FS - Message Flow Diagrams and FIX Messaging - Message Catalogue (MC).

AMO Pricing Data

Prices are required for input into Cash Market Margining, Risk Management calculation and for application of SSP in settlement failure. As part of the Batch Settlement algorithm the CSP determines which novated settlement instruction should be removed in full or in part from the aggregated net unit position in the settlement cycle when there are not enough units available in the Settlement Participants' designated delivering Account (HIN) to satisfy their Novated Gross Market Trades or Novated Rescheduled Instructions (NRI). The mark-to-market value of the novated settlement instructions which fail in full or in part are calculated using the closing price.

The prices for all assets are provided by the AMOs.

The Market Data Snapshot Full Refresh (Type W) enables an AMO to report price information.

The AMO will be advised if the Market Data Snapshot Full Refresh (Type W) was accepted or rejected through the receipt of a Confirmation Ack (Type AU).

The Market Data Snapshot Full Refresh (Type W) message provides a complete snapshot of a price confirmation for the applicable instrument types outlined in Appendix B. The message includes data on the:

  • Opening Price;

  • Last Traded Price;

  • Trading Session High;

  • Trading Session Low;

  • On-Market Volume;

  • Off-Market Volume;

  • Market Bid; and
  • Market Offer.

The Market Bid and Market Offer market data entry types are not required to be populated under MDEntryType (269) for Day 1.

AMOs should send the Market Data Snapshot Full Refresh daily at EOD. Once sent, AMOs will receive a Confirmation Ack (Type AU) which provides an affirmation or rejection of the Market Data Snapshot Full Refresh (Type W).

EOD frequency is currently only for Day 1. AMOs should note potential future requirements where this may be required on a more frequent basis (i.e. intraday basis), should the clearing house move to intraday margining cycles.

Common Message Structure

The messages within the Common Message Structure section covers messaging that is sent or received during FIX sessions. For information on each message and their purpose, refer to the relevant messaging page from the list below.

Message Rules

The following rules apply to FIX messages:

  • Unless specifically stated, FIX messages must adhere to the specification above.
  • Outgoing messages must only contain fields and values defined in the specification. 
  • Incoming messages containing fields and messages that are not defined in the specification are ignored. 
  • Outgoing messages containing invalid fields and/or values will result in a rejection message being sent containing an error code. Refer to Reject Handling and FIX Messaging - MC - Error Code List for further details.

Reject Handling - Session level and Business level Rejections

The Reject (Type 3) message is used when a message is received but cannot be properly processed due to a session level violation during syntex checking. Some example include:

  • a required tag missing in a message sent; or
  • a tag being specified without a value.

Where an application-level message passes the syntax checking at the session level, it is then processed at the business level.

The Business Message Reject (Type j) is used when an application-level message cannot be properly processed due to a business level violation. Some examples include:

  • In the event a business message is received, fulfills session-level rules, however, the message cannot be communicated to the business-level processing system. In this situation a BusinessMessageReject with BusinessRejectReason = “Application not available at this time” can be issued;
  • In the event a valid business message is received, fulfills session-level rules, however, the message type is not supported by the recipient. In this situation a BusinessMessageReject message with BusinessRejectReason=”Unsupported Message Type” can be issued; and
  • In the event a business message is received, fulfills session level-rules, but lacks a field conditionally required by the FIX specification. However, a BusinessMessageReject message must not be used to enforce proprietary rules more restrictive than those explicit in the FIX specification, such as requiring a Trade Capture Report to contain a TradeReportTransType, which the FIX specification considers to be optional.

Some business level messages have specific reject messages that will be used (i.e. reject messages for Trade Capture Report and AMO Pricing Data) instead of the Business Message Reject (Type J) message. Refer to Trade Capture Report and AMO Pricing Data above for further details.

Connectivity

Refer to FIX Connectivity Overview for details on connectivity.

Data Dictionary

The FIX Data Dictionary is available from http://fiximate.fixtrading.org/.



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