Appendix E. LSE ITCH to FIX Conversion

Owned by Iouri_Jaryi (Unlicensed)
Nov 17, 2014
3 min read

Symbol Directory -> Security Definition

 

            Instrument ID -> SecurityID

            "8 instrument identifier" -> SecurityIdSource

            Symbol Status -> SecurityStatus

            "2" -> NoSecurityAltID

ISIN -> SecurityAltID [0]     

"4 ISIN" -> SecurityAltIDSource [0]

Symbol -> SecurityAltID [1]

"8 Exchange Symbol" -> SecurityAltIDSource [1]

            "1" -> NoMarketSegments

Segment -> MarketSegmentID [0]

            Corporate Action -> CorporateAction

           

Symbol Status -> Security Status

 

            Instrument ID -> SecurityID

            "8 instrument identifier" -> SecurityIdSource

            Trading Status -> SecurityTradingStatus

            Halt Reason -> HaltReason

            Session Change Reason -> SecurityTradingEvent

            New End Time -> Text

            Book Type -> MDSubBookType

            Flags -> MDQuoteType

 

Add Order -> Market Data Incremental Refresh

           

            "0 New" -> MDUpdateAction          

            Side, Flags -> MDEntryType

            Nanosecond -> MDEntryTime

            Order ID -> MDEntryID

            New Quantity -> MDEntrySize

            Instrument ID -> SecurityID

            "8 instrument identifier" -> SecurityIdSource

            New Price -> MDEntryPx     

 

Add Attributed Order -> Market Data Incremental Refresh

           

            "0 New" -> MDUpdateAction          

            Side, Flags -> MDEntryType

            Nanosecond -> MDEntryTime

            Order ID -> MDEntryID

            New Quantity -> MDEntrySize

            Instrument ID -> SecurityID

            "8 instrument identifier" -> SecurityIdSource

            New Price -> MDEntryPx     

 

Order Modified -> Market Data Incremental Refresh

 

            "1 Change" -> MDUpdateAction

            Nanosecond -> MDEntryTime

            Instrument ID -> SecurityID

            "8 instrument identifier"  -> SecurityIdSource          

            Order ID -> MDEntryID

            New Quantity -> MDEntrySize

            New Price -> MDEntryPx

            Flags -> MDQuoteType

 

Order Deleted -> Market Data Incremental Refresh

 

            "2 Delete" -> MDUpdateAction

            Nanosecond -> MDEntryTime

            Instrument ID -> SecurityID

            "8 instrument identifier"  -> SecurityIdSource          

            Order ID -> MDEntryID

 

Order Executed -> Market Data Incremental Refresh

 

            "0 New" -> MDUpdateAction

            "2 Trade" -> MDEntryType

            Nanosecond -> MDEntryTime

            Instrument ID -> SecurityID

            "8 instrument identifier"  -> SecurityIdSource          

            Order ID -> OrderID

            Executed Quantity -> MDEntrySize

            Trade ID -> MDEntryID

 

Order Executed With Price/Size -> Market Data Incremental Refresh

 

            "0 New" -> MDUpdateAction

            "2 Trade" -> MDEntryType

            Instrument ID -> SecurityID

            "8 instrument identifier"  -> SecurityIdSource          

            Nanosecond -> MDEntryTime

            Order ID -> OrderID

            Executed Quantity -> MDEntrySize

            Display Quantity -> none

            Trade ID -> MDEntryID

            Price -> MDEntryPx

 

Order Book Clear -> Market Data Incremental Refresh

 

            "0 New" -> MDUpdateAction

            "J Empty Book" -> MDEntryType

            Nanosecond -> MDEntryTime

            Instrument ID -> SecurityID 

            "8 instrument identifier" -> SecurityIdSource

            Flags -> MDQuoteType

 

Auction Info -> Market Data Incremental Refresh

 

            "0 New" -> MDUpdateAction

            "Q Auction Clearing Price" -> MDEntryType

            "0 Indicative" -> MDQuote Type

            Nanosecond -> MDEntryTime

            Paired Quantity -> MDEntrySize

            Instrument ID -> SecurityID

            "8 instrument identifier" -> SecurityIdSource

            Price -> MDEntryPx

 

Trade -> Market Data Incremental Refresh

           

            "0 New" -> MDUpdateAction

            "2 Trade" -> MDEntryType

            Nanosecond -> MDEntryTime

            Executed Quantity -> MDEntrySize

            Instrument ID -> SecurityID

            "8 instrument identifier" -> SecurityIdSource

            Price -> MDEntryPx

            Trade ID -> MDEntryID

 

Auction Trade -> Market Data Incremental Refresh

 

            "0 New" -> MDUpdateAction

            "2 Trade" -> MDEntryType

            "5 Auction" -> MatchType

            Nanosecond -> MDEntryTime

            Quantity -> MDEntrySize

            Instrument ID -> SecurityID

            "8 instrument identifier" -> SecurityIdSource

            Price -> MDEntryPx

            Trade ID -> MDEntryID

            Auction Type -> TradeCondition

           

Off Book Trade -> Market Data Incremental Refresh

 

            "0 New" -> MDUpdateAction

            "2 Trade" -> MDEntryType

            Executed Quantity -> MDEntrySize

            Instrument ID -> SecurityID

            "8 instrument identifier" -> SecurityIdSource

            Price -> MDEntryPx

            Trade ID -> MDEntryID

            Off Book Trade Type -> TrdSubType

            Trade Time -> MDEntryTime

            Trade Date -> MDEntryDate

                       

Trade Break -> Market Data Incremental Refresh

 

            "2 Delete" -> MDUpdateAction

            "2 Trade" -> MDEntryType   

            Nanosecond -> MDEntryTime

            Trade ID -> MDEntryID

            Instrument ID -> SecurityID

            "8 instrument identifier" -> SecurityIdSource

 

Statistics -> Market Data Incremental Refresh

 

            "0 New" -> MDUpdateAction

            Statistic Type -> MDEntryType

            Nanosecond -> MDEntryTime

            Instrument ID -> SecurityID

            "8 instrument identifier" -> SecurityIdSource           

            Price -> MDEntryPx

            Open Close Indicator -> OpenCloseIndicator (30002)         

 

Conversion Error -> User Notification

 

            "104" -> UserStatus

            Error Message -> Text

            ITCH Message -> EncodedText

            ITCH Message Size -> EncodedTextLen

 

Note:

ITCH order execution messages are converted to FIX trade entries with non-empty OrderID field