Custom Tags
Saxo's FIX API is using the following custom tags.
| Tag | Field Name | Used in messages |
|---|---|---|
| 12108 | CancellationIfReduction | New Order Single |
| 12115 | AdditionalTransactionCosts | Execution Report |
| 12109 | AllocCumQty | Allocation Report |
| 12110 | CashAllocQty | New Order Single, Allocation Instruction |
| 12121 | ExtendedTradingHours(ETH) | New Order Single |
Use of Component Block ''Parties''
The Parties block is used by Saxo’s FIX API to identify the sender/trader, the client and the account the message/order is intended for.
The Parties block must be sent on all messages of the following types:
- New Order Single
- Order Cancel Request
- Order Cancel Replace Request
The Parties block will be returned by Saxo FIX’s API in the following message types:
- Execution Report
- Order Cancel Reject
| [ Component Block - <Parties> ] | |||
|---|---|---|---|
| 453 | NoPartyIDs | Y | Number of parties provided. '3' for Futures, '2' or '3' for all other products. |
| =>448 | PartyID | Y | Used to specify Client and Account (provided by Saxo Bank) as well as Trader (provided by client) Note that Trader can contain alphanumerical characters only and maximum length is 16. |
| =>447 | PartyIDSource | Y | Must be 'D' (Proprietary/Custom Code), |
| =>452 | PartyRole | Y | '3' Client ID (mandatory for all products) '11' Order Origination Trader (mandatory for Futures, but recommended for all products) '38' Account (mandatory for all products) |
Use of Component Block ''ALLOCGRP''
The component block AllocGrp is used only when placing a block order, to be allocated to one or more accounts. The AllocGrp block can be sent as part of the following message types:
- New Order Single
- Allocation Instruction (mainly used for large allocations)
The AllocGrp block will be returned by Saxo’s FIX API in the Allocation Report message.
| [ Component Block - <AllocGrp> ] | |||
|---|---|---|---|
| 78 | NoAllocs | N | No of allocations |
| =>79 | AllocAccount | N | Required if NoAllocs > 0 |
| =>80 | AllocQty | N | Required if NoAllocs > 0 and OrderQty is specified, otherwise not allowed |
| =>12110 | CashAllocQty | N | Required if NoAllocs > 0 and CashOrderQty is specified, otherwise not allowed |
| =>467 | IndividualAllocID | N | Unique identifier of allocation as assigned by the Client. If provided by the client, the same value will be returned in the Allocation Report. If not provided, Saxo FIX API will return a Saxo generated ID in this tag. |
Trading Session Status (35=h)
This message will be sent by Saxo's FIX API immediately after Logon is acknowledged.
A subsequent message will be sent if the trading session status changes whilst connected.
If Trading Session Status halted (340=1), new orders will not be accepted on the trading session, thus, orders should be submitted on the trading session only when Trading Session Status open (340=2).
Saxo FIX API persists execution reports that are generated while the FIX Client is disconnected.
| Tag | Field Name | Required | Description |
|---|---|---|---|
| Standard Header, MsgType 35=h | |||
| 336 | TradingSessionID | Y | Session ID assigned by Saxo Bank |
| 340 | TradSessStatus | Y | ‘1’ = Halted ‘2’ = Open |
| Standard Trailer | |||
NewOrderSingle (35=D)
NewOrderSingle messages are used to submit order requests to Saxo Bank.
| Tag | Field Name | Required | Description |
|---|---|---|---|
| Standard Header, MsgType 35=D | |||
| 11 | ClOrdID | Y | Unique identifier for Order as assigned by the Client. Uniqueness must be guaranteed across all orders entered through the Trade session. If orders with duration of more than one trading session are used, the sender needs to cater for uniqueness across those. Must not exceed 64 characters. |
| 21 | HandlInst | Y | 1 = Automated execution order, private, no Broker intervention |
| 54 | Side | Y | 1 = BUY 2 = SELL |
| 38 | OrderQty | Y | Quantity ordered. Must be zero if CashOrderQty is specified. For some instruments, orders can be placed with fractional amounts in Tag 38 and 152. Please consult with Saxo FIX API service team for details of how to use this, and for which instruments it supported. |
| 152 | CashOrderQty | N | Quantity ordered in monetary units, using the Currency of tag 15. Only supported for Mutual Funds instruments (167=MF). |
| 15 | Currency | C | Dealt Currency. Required for instruments (with same ISIN), traded in multiple currencies. Also required if CashOrderQty is specified. FX orders (167 = ‘FOR’) can be placed in 2. currency amounts in several crosses. Tag 15 identifies the currency for the order amount specified in tag 38. If tag 15 is not supplied, the system will assume tag 15 = CCY1. If tag 15 is neither CCY1 nor CCY2 (tag 55) the order will be rejected. Tag 54 (Side) indicates whether the order is to buy or sell the currency stated in tag 15. Some instruments, traded on London Stock Exchange (XLON) and Johannesburg Stock Exchange (XJSE), are quoted in pence/cents. When setting order prices in Tag 44 and 99, Saxo’s FIX API expects clients to place orders in such instruments converted to GBP/ZAR. The currency in Tag 15 must be set to GBP/ZAR. |
| 40 | OrdType | Y | 1 = MARKET |
| 44 | Price | C | Price per unit of Quantity. Required for Limit and Stop order |
| 59 | TimeInForce | N | 0 = DAY 1 = GOOD_TILL_CANCEL 3 = IMMEDIATE_OR_CANCEL 4 = FILL_OR_KILL 6 = GOOD_TILL_DATE |
| 60 | TransactTime | Y | Time this order request was initiated/released by the trading system. Format: YYYYMMDD-HH:MM:SS.sss (ms is optional). |
| 99 | StopPx | C | Price per unit of Quantity. Required for Stop |
| 22 | SecurityIDSource | C | Required if tag 55 is not set (for 167='CS', 'INDEX', 'FUT', 'MF', 'BONDS', 'OPT'). 4 = ISIN |
| 167 | SecurityType | C | Optional for:
|
| 775 | BookingType | N | To indicate if order is for 'Regular booking', or as a CFD. If tag is not set, it is considered a "Regular booking" (as if 775=0). 0 = Regular booking 1 = CFD (Contract for Difference) |
| 48 | SecurityID | C | Value of Security Identifier. Required if tag 22 is set. Invalid if tag 22 is not set. |
| 100 | ExDestination | C | Execution destination. ISO 10383 code for exchange. Required for instruments (with same ISIN), traded on multiple exchanges. |
| 55 | Symbol | C | Required if tag 22 and tag 48 are not set (for 167='INDEX', 'FOR' and 167='FUT' with 775=1). ‘CCY1/CCY2’ convention for 167 = ‘FOR’ |
| 12121 | ExtendedTradingHours(ETH) | N | 'R' = Regular Trading Hours only 'A' = All Trading Hours including pre-market, regular hours and post-market hours. (Only limit order is supported when 12121=A. Check with Saxo on which markets/instruments/products supports ExtendedTradingHours) When not present, treat as default value R. |
| 48 | SecurityID | C | Conditionally required for Exchange Traded Products. ISIN number for CFD, Equities, symbol for futures, Contract Options |
| 200 | MaturityMonthYear | C | Expiry Date of an option. Required for 167='OPT' (except when placing orders with 22=100) YYYYMM YYYYMMDD (DD is optional for stock options and index options). |
| 201 | PutOrCall | C | Required for 167='OPT' (except when placing orders with 22=100) 0 = Put 1 = Call |
| 202 | StrikePrice | C | Strike price of an option. Required for 167='OPT' (except when placing orders with 22=100) |
| 77 | PositionEffect | C | Indicates if the position is opening or closing. Required for 167='OPT. |
| 202 | StrikePrice | C | Strike price of an option. Required for 167='OPT' (except when placing orders with 22=100) |
| 1028 | ManualOrderIndicator | C | Required for 167='FUT' and 775=0. |
| [ Component Block - <Parties> ] | |||
| 453 | NoPartyIDs | Y | Number of parties provided. '3' for Futures, '2' or '3' for all other products. |
| =>448 | PartyID | Y | Used to specify Client and Account (provided by Saxo Bank) as well as Trader (provided by client) Note that Trader can contain alphanumerical characters only and maximum length is 16. |
| =>447 | PartyIDSource | Y | Must be 'D' (Proprietary/Custom Code), |
| =>452 | PartyRole | Y | '3' Client ID (mandatory for all products) '11' Order Origination Trader (mandatory for Futures, but recommended for all products) '38' Account (mandatory for all products) |
| 70 | AllocID | c | Allocation ID, mandatory if order is going to be placed with allocations. AllocID must be unique within the same trading day. |
| 12108 | CancellationIfReduction | N | If set to 'Y', cancels order if there is an issue with any of the allocations. If not set or set to 'N', continues ignoring affected allocations. Must only be used together with tag 70. |
| [ Component Block - <AllocGrp> ] – only to be used if allocations are provided as part of the New Order Single message | |||
| 78 | NoAllocs | N | No of allocations |
| =>79 | AllocAccount | N | Required if NoAllocs > 0 |
| =>80 | AllocQty | N | Required if NoAllocs > 0 and OrderQty is specified, otherwise not allowed |
| =>12110 | CashAllocQty | N | Required if NoAllocs > 0 and CashOrderQty is specified, otherwise not allowed |
| =>467 | IndividualAllocID | N | Unique identifier of allocation as assigned by the Client. If provided by the client, the same value will be returned in the Allocation Report. If not provided, Saxo FIX API will return a Saxo generated ID in this tag. |
ExecutionReport (35=8)
ExecutionReports provide information about the state of an order sent via NewOrderSingle.
| Tag | Field Name | Required | Description |
|---|---|---|---|
| Standard Header, MsgType 35=8 | |||
| 150 | ExecType | Y | 0 = NEW |
| 39 | OrdStatus | Y | 0 = NEW 1 = PARTIALLY_FILLED 2 = FILLED 3 = DONE_FOR_DAY 4 = CANCELED 5 = REPLACED 6 = PENDING_CANCEL 8 = REJECTED A = PENDING_NEW C = EXPIRED E = PENDING_REPLACE |
| 40 | OrdType | N | From original order |
| 37 | OrderID | Y | Unique Identifier for Order assigned by Saxo Bank except for OrdStatus: Pending Cancel, Rejected, Pending New, Pending Replace. The OrderID will be either NONE or the value provided by the client for this status. |
| 11 | ClOrdID | Y | From original order |
| 41 | OrigClOrdID | C | Conditionally required for response to a OrderCancelRequest <F> or OrderCancelReplaceRequest <G> request, where 5 Replaced, or 4 Canceled. ClOrdID (11) of the previous accepted order when cancelling or replacing an order. |
| 17 | ExecID | Y | Unique identifier of this execution report message |
| 54 | Side | Y | 1 = BUY 2 = SELL 7 = Undisclosed if the side cannot be determined. (Eg. on pending order cancellation message when client doesnot sent tag 54 in the order cancel request) |
| 31 | LastPx | C | Price at |
| 32 | LastQty | C | Quantity filled in specific execution. Required for 150=F |
| 14 | CumQty | Y | Cumulative Quantity filled (including all fills for the order) |
| 151 | LeavesQty | Y | Quantity of order currently unfilled. Set to 0 when CashOrderQty is specified. |
6 | AvgPx | Y | Quantity weighted average price of all fills for this order. Set to ‘0’ when CumQty=0. |
| 527 | SecondaryExecID | C | Contains Saxo Position ID. Required for 150=F. Set to ‘0’ when 167=’FOR’. |
38 | OrderQty | N | From original order, if specified and not zero. |
| 152 | CashOrderQty | N | For 150=F: Obtained quantity in monetary units, using the Currency of tag 15. Otherwise: From original order, if specified and not zero. Can be expressed in decimals. |
| 44 | Price | N | Original limit price |
| 99 | StopPx | N | Original stop loss price |
| 15 | Currency | N | From original order |
| 64 | FutSettDate | Y | Settlement Date of trade. Required for 150=F |
| 60 | TransactTime | Y | Time of trade acceptance, cancel or fill. Format YYYYMMDD-HH:MM:SS.sss. |
| 59 | TimeInForce | N | From original order |
| 432 | ExpiryDate | N | From original order |
| 30 | LastMkt | N | For Fill and Partial Fill only. Market of execution for last fill |
| 155 | SettlCurrFxRate | N | For Fill and Partial Fill only, for cash products. Foreign exchange rate used to convert amount from the currency of the instrument, to the currency of the account. |
| 58 | Text | N | Free Text |
| 103 | OrdRejReason | N | 0 = NACK 1 = Unknown Symbol/Instrument 2 = Trading Closed or Server busy 3 = Order Exceeds Limit 4 = Too late to enter 5 = Unknown Order 6 = Duplicate Order 8 = Stale Order/message 11 = Unsupported order characteristics 13 = Incorrect Qty 15 = Unknown Account(s) 99 = Other |
75 | TradeDate | N | Trade Date |
| 22 | SecurityIDSource | N | From original order |
| 167 | SecurityType | N | From original order |
| 775 | BookingType | N | From original order |
| 55 | Symbol | C | From original order. Required for 167='INDEX', 'FOR' and 'FUT' with 775=1 |
| 48 | SecurityID | N | From original order |
| 77 | PositionEffect | C | From original order. Required for 167='OPT' |
| [ Component Block - <Parties> ] | |||
| 453 | NoPartyIDs | N | From original order |
| =>448 | PartyID | N | From original order |
| =>447 | PartyIDSource | N | From original order |
| =>452 | PartyRole | N | From original order |
| 12115 | AdditionalTransactionCosts | C | Italian Financial Transaction Tax (IFTT), if applicable |
| Standard Trailer | |||
OrderCancelReplaceRequest (35=G)
OrderCancelReplaceRequests are used to change valid attributes of an open order, such as reduce/increase the quantity, change limit price, stop price or duration. Change of ExtendedTradingHours(ETH) tag 12121 value is not supported.
The request will only be accepted if the order can successfully be replaced (which may not be possible if it is in the process of being filled or cancelled).
Client should not send a new Order Cancel/Replace Request (or an Order Cancel Request) until receiving a response to a previous Order Cancel/Replace Request for the same order.
This message type is not supported for orders with allocations. To modify an order with allocations, the block order should be cancelled (using the Order Cancel Request message) and a new order should be submitted, with new allocation instructions.
| Tag | Field Name | Required | Description |
|---|---|---|---|
| Standard Header, MsgType = G | |||
| 11 | ClOrdID | Y | Unique ID of the OrderCancelReplaceRequest. Must not exceed 64 characters |
| 41 | OrigClOrdID | Y | ClOrdID <11> from the order to being amended. Clients can submit modification requests by using the OrigClOrdID as unique identifier, i.e. the value of the ClOrdID as submitted previously with the original order. In case of duplicates, the inbound request is rejected with the associated error code. If both OrigClOrdID and OrderID <37> are provided in a modification request, the OrigClOrdID is totally ignored and the request is performed on OrderID only. |
| 37 | OrderID | N | OrderID of the order being cancelled. Use tag 37 from last Execution Report. If both OrigClOrdID and OrderID <37> are provided in a modification request, the OrigClOrdID is totally ignored and the request is performed on OrderID only. |
| 54 | Side | Y | 1 = BUY 2 = SELL Must be same as that on original order |
| 38 | OrderQty | Y | Quantity ordered. Must be zero if CashOrderQty is specified. |
| 152 | CashOrderQty | N | Quantity ordered in monetary units, using the currency specified in tag 15. Only allowed for Mutual Funds (167=MF). Can be expressed in decimals. |
| 15 | Currency | C | Dealt Currency. Mandatory if CashOrderQty is specified. |
| 21 | HandlInst | Y | '1' Automated execution order, private, no Broker intervention. Optional, value will not be validated against the original order. |
| 40 | OrdType | Y | 1 = MARKET Depending on the asset class, different restrictions apply when changing from one order type to another. |
| 44 | Price | C | Price per unit of Quantity. Required for Limit |
| 59 | TimeInForce | Y | 0 = DAY |
| 60 | TransactTime | Y | Time this order request was initiated/released by the trading system. Format YYYYMMDD-HH:MM:SS.sss (ms optional). |
| 99 | StopPx | C | Price per unit of Quantity. Required for Stop |
| 22 | SecurityIDSource | N | Optional, value will not be validated against the original order. |
| 167 | SecurityType | N | Optional, value will not be validated against the original order. |
| 775 | BookingType | N | Optional, value will not be validated against the original order. |
| 100 | ExDestination | N | Conditionally required for Exchange Traded Products |
| 55 | Symbol | N | Optional, value will not be validated against the original order. |
| 12121 | ExtendedTradingHours(ETH) | N | Value will be validated against the original order. |
| 48 | SecurityID | N | Optional, value will not be validated against the original order. |
| 432 | ExpiryDate | C | Required if TimeInForce is 'GTD'. i.e. if tag 59=6. Format: YYYYMMDD i.e. 20210824 if Expire date is 24th of August 2021. |
| 200 | MaturityMonthYear | N | Optional, value will not be validated against the original order. |
| 201 | PutOrCall | N | Optional, value will not be validated against the original order. |
| 202 | StrikePrice | N | Optional, value will not be validated against the original order. |
| 77 | PositionEffect | N | Optional, value will not be validated against the original order. |
| 58 | Text | N | Optional, value will not be validated against the original order. |
| 1028 | ManualOrderIndicator | C | Required for 167='FUT' and 775=0. 'Y' if order was sent manually 'N' if order was sent by automated trading logic |
| [ Component Block - <Parties> ] | |||
| 453 | NoPartyIDs | Y | From original order |
| =>448 | PartyID | Y | From original order |
| =>447 | PartyIDSource | Y | From original order |
| =>452 | PartyRole | Y | From original order |
| Standard Trailer | |||
OrderCancelRequest (35=F)
OrderCancelRequests are used to cancel the remaining quantity of an existing order.
Tag 41 must contain the ClOrderID from the original order, and tag 37 optional.
The request will only be accepted if the order can successfully be cancelled (which may not be possible if it is in the process of being filled). A cancel request is assigned a ClOrdID (11) and is treated as a separate entity. If rejected, the ClOrdID of the cancel request will be sent in the Cancel Reject (9) message, as well as the ClOrdID of the actual order in the OrigClOrdID (41) tag.
Cancelling an order will automatically cancel any allocations associated with the order.
| Tag | Field Name | Required | Description |
|---|---|---|---|
| Standard Header, MsgType 35=F | |||
| 41 | OrigClOrdID | Y | ClOrdID <11> of the order requested to be cancelled. Clients can submit cancellation requests by using the OrigClOrdID as unique identifier, i.e. the value of the ClOrdID as submitted previously with the original order. In case of duplicates, the inbound request is rejected with the associated error code. If both OrigClOrdID and OrderID <37> are provided in a cancellation request, the OrigClOrdID is totally ignored and the request is performed on OrderID only. |
| 37 | OrderID | N | OrderID of the order being cancelled. Use tag 37 from last Execution Report. If both OrigClOrdID and OrderID are provided in a cancellation request, the OrigClOrdID is totally ignored and the request is performed on OrderID only. |
| 11 | ClOrdID | Y | Unique ID of the OrderCancelRequest. Must not exceed 64 characters |
| 54 | Side | N | Optional, value will not be validated against the original order. If not provided, order pending execution report will be with value 54=7 |
| 38 | OrderQty | N | Optional, value will not be validated against the original order. |
| 152 | CashOrderQty | N | Optional, value will not be validated against the original order. |
| 60 | TransactTime | Y | Time this order cancel request was initiated/released by the trading system. Format YYYYMMDD-HH:MM:SS.sss (ms optiona |
| 22 | SecurityIDSource | N | Optional, value will not be validated against the original order. |
| 167 | SecurityType | N | Optional, value will not be validated against the original order. |
| 775 | BookingType | N | Optional, value will not be validated against the original order. |
| 55 | Symbol | N | Optional, value will not be validated against the original order. |
| 12121 | ExtendedTradingHours(ETH) | N | Value will not be validated against the original order if present |
| 48 | SecurityID | N | Optional, value will not be validated against the original order. |
| 200 | MaturityMonthYear | N | Optional, value will not be validated against the original order. |
| 201 | PutOrCall | N | Optional, value will not be validated against the original order. |
| 202 | StrikePrice | N | Optional, value will not be validated against the original order. |
| 77 | PositionEffect | N | Optional, value will not be validated against the original order. |
| 58 | Text | N | Optional, value will not be validated against the original order. |
| 1028 | ManualOrderIndicator | C | Required for 167='FUT' and 775=0. 'Y' if order was sent manually 'N' if order was sent by automated trading logic |
| [ Component Block - <Parties> ] | |||
| 453 | NoPartyIDs | Y | From original order |
| =>448 | PartyID | Y | From original order |
| =>447 | PartyIDSource | Y | From original order |
| =>452 | PartyRole | Y | From original order |
| Standard Trailer | |||
OrderCancelReplacementReject (35=9)
OrderCancelRejects are returned when an order cancellation via OrderCancelRequest or amendment via OrderCancelReplaceRequest fails.
Note that the PartyID block is a part of this message, even though it is not in the standard FIX protocol.
| Tag | Field Name | Required | Description |
|---|---|---|---|
| Standard Header, MsgType = 9 | |||
| 37 | OrderID | Y | OrderID of the order |
| 11 | ClOrdID | Y | From cancel or replace request |
| 41 | OrigClOrdID | Y | Original ClOrdID of the initial request |
| 39 | OrdStatus | N | OrdStatus value after this cancel reject is applied. Until further notice, if present, this tag will always be set to 8 'Rejected', no matter what the actual order state is. |
| 60 | TransactTime | N | Time this order cancel request was initiated/released by the trading system. YYYYMMDD-HH:MM:SS.sss (ms is optional). |
| 434 | CxlRejResponseTo | Y | 1 = ORDER_CANCEL_REQUEST 2 = ORDER_CANCEL_REPLACE_REQUEST |
| 102 | CxlRejReason | N | 0 = Too late to cancel 1 = Unknown order 2 = Broker / Exchange Option 3 = Order already in Pending Cancel or Pending Replace status 4 = Unable to process Order Mass Cancel Request <q> 5 = OrigOrdModTime <586> (586) did not match last TransactTime <60> (60) of order 6 = Duplicate ClOrdID <11> received 99 = Other |
| 58 | Text | N | Free text |
| [ Component Block - <Parties> ] | |||
| 453 | NoPartyIDs | Y | From original order |
| =>448 | PartyID | Y | From original order |
| =>447 | PartyIDSource | Y | From original order |
| =>452 | PartyRole | Y | From original order |
| Standard Trailer | |||