FIX 4.4 Interface Specification

Introduction

The Nanoconda FIX gateway gives FIX-capable trading systems, algorithmic trading platforms and institutional back offices standard FIX access to a Nanoconda trading account on CME Group markets.

This document is the complete reference for the Nanoconda FIX interface. It covers session behaviour, supported messages, every tag the gateway reads or sends, enumerations, and differences from the FIX 4.4 standard. It assumes the reader already knows the FIX protocol.

The interface supports two main use cases:

• Trading: order entry, order management, market data, reference data, positions and trade capture for trading clients and algorithms.
• Drop copy: real-time, read-only visibility into all account activity for clearing firms, FCMs and risk desks. See Drop Copy.

All orders submitted over FIX pass through the Nanoconda Pre-Trade Risk System before they are sent to the exchange.

Contents

1. Connectivity
2. Supported Messages
3. Session Layer
4. Authentication & Roles
5. Order Entry
6. Execution Reports & Cancel Rejects
7. Market Data
8. Reference Data
9. Positions
10. Trade Capture
11. Rejects & Error Handling
12. Drop Copy
13. Message Flows
14. Reconnection & Recovery
15. Differences from FIX 4.4 & Unsupported Features
16. Appendix A: Tag Reference
17. Appendix B: Enumerations

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1. Connectivity

Item	Specification
Transport	TCP
Protocol	FIX tag=value, SOH (0x01) delimited
FIX version	FIX.4.4 (recommended and certified). The gateway replies with the BeginString(8) the client sent on Logon, but all message content follows FIX 4.4 semantics.
Encryption	None at the FIX layer (EncryptMethod(98)=0)
Host / port	Provided per account by your Nanoconda account representative. The FIX gateway shares its host and port with the other Nanoconda remote interfaces; the protocol is detected automatically (see Interfaces).
Credentials, SenderCompID / TargetCompID	Provided per account by your Nanoconda account representative.

Standard header and trailer

Every message sent by the gateway carries:

Tag	Name	Notes
8	BeginString	The value the client sent on Logon.
9	BodyLength
35	MsgType
49	SenderCompID	The client's TargetCompID(56) from Logon.
56	TargetCompID	The client's SenderCompID(49) from Logon.
34	MsgSeqNum	Starts at 1 for each session and increments by one.
52	SendingTime	UTC.
10	CheckSum	Standard FIX checksum.

Client messages must carry a standard FIX header and trailer with a valid BodyLength(9) and CheckSum(10).

Conventions

• Tags not listed for a message in this specification are not used by the gateway.
• "Account-wide" means an operation covers every order and fill on the account, whichever session or interface created them. "Session-scoped" means it covers only orders submitted or amended on the current FIX session.
• Tag numbers appear in parentheses after field names, e.g. ClOrdID(11). Message types appear as 35=X or in parentheses after the message name.

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2. Supported Messages

Session messages

MsgType	Message	Direction
A	Logon	Client ↔ Nanoconda
0	Heartbeat	Client ↔ Nanoconda
1	TestRequest	Client ↔ Nanoconda
2	ResendRequest	Client → Nanoconda
3	Reject	Nanoconda → Client
4	SequenceReset	Client ↔ Nanoconda
5	Logout	Client ↔ Nanoconda

Application messages: client to Nanoconda

MsgType	Message	Purpose	Scope
D	NewOrderSingle	Submit an order
F	OrderCancelRequest	Cancel an order	Session
G	OrderCancelReplaceRequest	Modify an order's price and/or quantity	Session
H	OrderStatusRequest	Query one order	Account
AF	OrderMassStatusRequest	Query all open orders	Account
q	OrderMassCancelRequest	Cancel multiple orders	Session
V	MarketDataRequest	Subscribe / unsubscribe to market data
x	SecurityListRequest	List tradeable instruments
c	SecurityDefinitionRequest	Instrument definition
AN	RequestForPositions	Positions snapshot or subscription	Account
AD	TradeCaptureReportRequest	Fill history	Account

Application messages: Nanoconda to client

MsgType	Message	Purpose
8	ExecutionReport	Order state changes, fills, rejects, status responses
9	OrderCancelReject	Rejection of a cancel or cancel/replace request
j	BusinessMessageReject	Application-level reject
W	MarketDataSnapshotFullRefresh	Initial book snapshot
X	MarketDataIncrementalRefresh	Book updates
Y	MarketDataRequestReject	Market data request rejected
y	SecurityList	Instrument list
d	SecurityDefinition	Instrument definition
AP	PositionReport	Position and P&L per instrument
AE	TradeCaptureReport	Fill detail
AQ	TradeCaptureReportRequestAck	No matching fills, or trade history unavailable

Any other MsgType is rejected with BusinessMessageReject(j), BusinessRejectReason(380)=3 (Unsupported Message Type).

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3. Session Layer

Logon (35=A)

Client → Nanoconda

Tag	Name	Req'd	Format	Description
49	SenderCompID	Y	String	Header field. Used as the login username when Username(553) is absent.
56	TargetCompID	Y	String	Header field.
98	EncryptMethod	Y	Int	Send 0 (None). The gateway always replies with 0.
108	HeartBtInt	Y	Int (seconds)	Heartbeat interval for the session. If absent, 30 is used. 0 disables heartbeats and liveness checks. See Session liveness.
553	Username	N	String	Account username. If absent, SenderCompID(49) is used as the username.
554	Password	Y	String	Account password.

Username via SenderCompID

Many FIX engines do not expose Username(553). You can instead set your account username as SenderCompID(49) and omit tag 553.

Nanoconda → Client (logon accepted): Logon(A) with EncryptMethod(98)=0 and the client's HeartBtInt(108) echoed back.

Logon rejected: the gateway sends Logout(5) with a descriptive Text(58) and then closes the TCP connection. No numeric reject code is provided. Text(58) is one of:

Text (58)	Cause
Username not found	Unknown username
Incorrect Password	Wrong password
User Already Logged in	This username already has an active FIX session

Concurrent sessions: each username can have one active FIX session at a time. A second Logon with the same username is rejected until the first session logs out or times out. Different usernames on the same account can be connected at the same time, for example a TRADER login for order entry and a VIEWER login for drop copy. Connections through other Nanoconda interfaces (such as the Real-Time GUI) are not affected by this limit.

Sequence numbers

• Outbound MsgSeqNum(34) starts at 1 for each new session. Configure your FIX engine to reset sequence numbers on every logon.
• The gateway does not enforce inbound sequence continuity. An inbound gap produces no ResendRequest and no reject; the gateway continues from the MsgSeqNum it receives.
• Messages are not persisted for replay across sessions. See Reconnection & Recovery.

Heartbeat (35=0)

Either side can send one. The gateway sends a Heartbeat when its outbound side has been idle for HeartBtInt seconds, and in reply to a TestRequest. TestReqID(112) is included only when the heartbeat answers a TestRequest.

TestRequest (35=1)

Either side can send one. TestReqID(112) is required. The gateway answers a client TestRequest with a Heartbeat echoing the same TestReqID.

ResendRequest (35=2)

Client → Nanoconda. BeginSeqNo(7) is accepted. The gateway does not store or retransmit messages. It always responds with SequenceReset(4) in Reset mode: GapFillFlag(123)=N, with NewSeqNo(36) set to its next outbound sequence number. Your engine should set its next expected inbound sequence number to NewSeqNo.

No message replay

Messages in the requested range are not resent and are not marked as gap-filled. They may include ExecutionReports. To recover missed order and fill activity, use the account-wide query messages described in Reconnection & Recovery.

SequenceReset (35=4)

• Nanoconda → Client: sent only in Reset mode (GapFillFlag(123)=N) in response to a ResendRequest.
• Client → Nanoconda: NewSeqNo(36) sets the next inbound sequence number the gateway expects. No response is sent.

Logout (35=5)

Either side can send one. When the client sends Logout, the gateway replies with Logout and closes the TCP connection. Releasing the account's FIX session can take a short time, so a client that logs on again straight after logging out should retry the Logon briefly if it is rejected.

Session liveness

Condition	Gateway action
Nothing sent to the client for HeartBtInt seconds	Sends Heartbeat(0)
Nothing received from the client for 1.5 x HeartBtInt seconds	Sends TestRequest(1)
Nothing received from the client for 2 x HeartBtInt seconds	Disconnects the session

There is no minimum or maximum HeartBtInt. With HeartBtInt=0 the gateway sends no heartbeats and never disconnects an idle session. Choose a value that suits your network conditions, because very small intervals can cause disconnects when there is network jitter.

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4. Authentication & Roles

The gateway authenticates each session with the username (Username(553), or SenderCompID(49) if 553 is absent) and Password(554). Every username has a role, and the role decides which requests the session may send. Requests the role does not permit are always rejected explicitly with the reject message for that request type. They are never dropped silently.

Capability	TRADER	VIEWER	CLEARER / ADMIN
Market data (MarketDataRequest)	Yes	No (MarketDataRequestReject(Y))	No (MarketDataRequestReject(Y))
Order entry: new, cancel, replace, mass cancel	Yes	No (rejected)	Yes
Order status, positions, trade capture, reference data	Yes	Yes	Yes
Real-time ExecutionReports for all account activity	Yes	Yes	Yes

VIEWER is the recommended role for clearing firms, risk desks and drop-copy consumers. It has full read access to all account activity and cannot enter orders or change the account. See Drop Copy.

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5. Order Entry

NewOrderSingle (35=D)

Client → Nanoconda

Tag	Name	Req'd	Format	Description
11	ClOrdID	Y	String	Client-assigned order identifier. Must be unique.
55	Symbol	Y	String	Instrument symbol, as returned in SecurityList(y).
54	Side	Y	Char	1=Buy, 2=Sell.
38	OrderQty	Y	Int	Must be greater than 0.
40	OrdType	Y	Char	See supported order types.
44	Price	C	Price	Required for Limit (2) and Stop Limit (4).
99	StopPx	C	Price	Required for Stop (3) and Stop Limit (4).
59	TimeInForce	N	Char	0=Day (default), 3=Immediate or Cancel. All other values are rejected.
1138	DisplayQty	N	Int	Iceberg display quantity. Must be greater than 0. Omit for a fully displayed order.
110	MinQty	N	Int	Minimum fill quantity. Must be greater than 0.
1028	ManualOrderIndicator	N	Boolean	Y=Manual (entered by a person), N=Automated (generated by a trading system). If omitted, the order is submitted as automated. Any other value is rejected. See Manual and automated orders.
21	HandlInst	N	Char	Accepted but not validated.
60	TransactTime	N	UTCTimestamp	Accepted but not used. The gateway applies its own timestamp.

Supported order types

OrdType (40)	TimeInForce (59)	Order type	Required fields
1	0 or 3	Market. IOC is accepted and has no additional effect.
2	0	Limit	Price
3	0	Stop (stop market)	StopPx
4	0	Stop Limit	Price, StopPx
2	3	Limit IOC (Fill-and-Kill): executes immediately for any available quantity, and the unfilled remainder is cancelled. The order never rests on the book.	Price

Every other combination is rejected, including IOC with Stop or Stop Limit. GTC, GTD, OPG, GTX and all-or-none FOK are not supported. Day orders expire at the end of the trading session.

Manual and automated orders

CME requires every order to be identified as either manual or automated. Nanoconda sets this flag on the order it sends to CME from ManualOrderIndicator(1028):

ManualOrderIndicator (1028)	Submitted to CME as
N	Automated
Y	Manual
Absent	Automated

Send 1028=Y only for orders a person enters manually, for example from a manual order-entry screen. Orders generated by an algorithm or other trading software must be sent with 1028=N or with the tag omitted.

The flag is set when the order is submitted and applies to the order for its lifetime. Cancel and cancel/replace requests do not change it.

Every ExecutionReport for an accepted order, and every TradeCaptureReport, returns the flag in ManualOrderIndicator(1028). This includes drop-copy reports for orders entered through other sessions or interfaces, such as the Real-Time GUI.

Response

• Accepted: ExecutionReport(8) with ExecType=A (Pending New), followed by ExecType=0 (New) once the exchange acknowledges the order. See Message Flows.
• Rejected: ExecutionReport(8) with ExecType=8 and OrdStatus=8 (Rejected), with the reason in Text(58). Reasons include:
  • Validation failures (Text(58) only): unsupported TimeInForce, unsupported OrdType/TimeInForce combination, missing Side, OrderQty not greater than 0, ManualOrderIndicator not Y or N, or a role not permitted to trade (VIEWER).
  • Pre-trade risk failures (Text(58) and OrdRejReason(103)): price outside the instrument's price band, price not on a valid tick, or size/exposure/capital limits exceeded.
  • Rejection by the exchange (OrdRejReason(103)).
• Unknown symbol: BusinessMessageReject(j), BusinessRejectReason(380)=2 (Unknown Security). No ExecutionReport is sent.

OrderCancelRequest (35=F)

Client → Nanoconda

Tag	Name	Req'd	Description
11	ClOrdID	Y	Identifier for this cancel request. After a successful cancel it becomes the order's current ClOrdID.
37	OrderID	C	Nanoconda order identifier. Takes precedence when present. Required if OrigClOrdID is not sent.
41	OrigClOrdID	C	The order's current ClOrdID. Used only when OrderID is absent. Required if OrderID is not sent.

Scope: session-scoped. You can cancel only orders that were submitted or last amended on the same FIX session.

Response: ExecutionReport(8) (ExecType=4 Canceled, which may be preceded by 6 Pending Cancel) on success. OrderCancelReject(9) if the order is unknown to this session, the role is not permitted, or the cancel is rejected.

OrderCancelReplaceRequest (35=G)

Client → Nanoconda

Tag	Name	Req'd	Description
11	ClOrdID	Y	Identifier for this replace request. After a successful replace it becomes the order's current ClOrdID.
37	OrderID	C	Nanoconda order identifier. Takes precedence when present. Required if OrigClOrdID is not sent.
41	OrigClOrdID	C	The order's current ClOrdID. Used only when OrderID is absent. Required if OrderID is not sent.
44	Price	N	New limit price. If omitted, the price is unchanged.
38	OrderQty	N	New total order quantity. If omitted, the quantity is unchanged.

Only Price and OrderQty can be modified. TimeInForce, StopPx, ManualOrderIndicator and other order attributes are not changed even if they are sent.

Scope: session-scoped, the same as OrderCancelRequest.

Response: ExecutionReport(8) (ExecType=5 Replaced, which may be preceded by E Pending Replace) on success. OrderCancelReject(9) on failure.

OrderStatusRequest (35=H)

Client → Nanoconda

Tag	Name	Req'd	Description
37	OrderID	C	Takes precedence when present.
11	ClOrdID	C	Used if OrderID is absent or not found.

Scope: account-wide for open orders. It returns any working order on the account, including orders submitted by other sessions or interfaces and by earlier, disconnected sessions. Orders that are no longer working (filled, cancelled or rejected) are not available and return Unknown ID. Use TradeCaptureReportRequest(AD) for fills.

Response: ExecutionReport(8) with the order's current state, or BusinessMessageReject(j), BusinessRejectReason(380)=1 (Unknown ID) if no working order matches.

OrderMassStatusRequest (35=AF)

Client → Nanoconda

Tag	Name	Req'd	Description
584	MassStatusReqID	N	Accepted and not used.
585	MassStatusReqType	N	Accepted and not used. Selection is controlled only by the filters below.
55	Symbol	N	Filter by instrument.
54	Side	N	Filter by side (1/2).

Scope: account-wide. It returns every open order on the account that matches the optional filters.

Response: one ExecutionReport(8) per matching order.

Note

If no orders match, no response is sent. Treat the absence of ExecutionReports as a zero-result response.

OrderMassCancelRequest (35=q)

Client → Nanoconda

Tag	Name	Req'd	Description
55	Symbol	N	Filter by instrument.
54	Side	N	Filter by side (1/2).

MassCancelRequestType(530) is not used. Selection is controlled only by the filters above.

Scope: session-scoped. It cancels only open orders that were submitted or last amended on the current FIX session.

Response: one ExecutionReport(8) per matching order, showing its status after the cancel was submitted. If the cancel was accepted, the order shows 6 (Pending Cancel) and a 4 (Canceled) report follows when the exchange confirms. If the cancel failed for that order, its OrdStatus is unchanged. If no orders match, no response is sent. A VIEWER role receives BusinessMessageReject(j), BusinessRejectReason(380)=6 (Not authorized).

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6. Execution Reports & Cancel Rejects

ExecutionReport (35=8)

Nanoconda → Client

Tag	Name	Presence	Description
1	Account	Always
37	OrderID	Always	Nanoconda order identifier. NONE if the order was rejected before it was assigned an ID.
11	ClOrdID	Usually	The order's current ClOrdID. Omitted only if no ClOrdID is on record for the order.
17	ExecID	Always
150	ExecType	Always	See the table below.
39	OrdStatus	Always	See the table below.
103	OrdRejReason	Conditional	On pre-trade risk and exchange rejects (ExecType=8). Not sent on order validation rejects. See OrdRejReason.
55	Symbol	Always
54	Side	Always
40	OrdType	Always
59	TimeInForce	Always	0 or 3.
38	OrderQty	Always
44	Price	Conditional	Limit, Stop Limit and Limit IOC orders.
99	StopPx	Conditional	Stop and Stop Limit orders.
1138	DisplayQty	Conditional	If the order was submitted with it.
110	MinQty	Conditional	If the order was submitted with it.
1028	ManualOrderIndicator	Conditional	Y=Manual, N=Automated: how the order was flagged when it was submitted to CME. Present on every report for an order accepted by Nanoconda, whichever session or interface entered it. Omitted when OrderID is NONE.
151	LeavesQty	Always
14	CumQty	Always
6	AvgPx	Always	0 until the first fill.
32	LastQty	On fills	Quantity of this fill.
31	LastPx	On fills	Price of this fill.
60	TransactTime	Always	UTC.
58	Text	Conditional	Reason for a new-order reject.

ExecType (150) and OrdStatus (39)

ExecType and OrdStatus carry the same value, except for an exchange-rejected cancel or replace (see below).

Value	Meaning	Description
A	Pending New	Order received by Nanoconda and awaiting exchange acknowledgement.
0	New	Order acknowledged by the exchange and working.
1	Partially Filled
2	Filled	Also used for trade corrections.
6	Pending Cancel	Cancel sent and awaiting confirmation.
4	Canceled	Also used for trade cancellations (busts).
E	Pending Replace	Replace sent and awaiting confirmation.
5	Replaced
8	Rejected	New order rejected (OrdStatus=8), or a cancel/replace rejected by the exchange (OrdStatus=0). In the second case the order is still working.

Cancel/replace rejections: two forms

A rejected cancel or cancel/replace request can arrive in either of two forms:

1. Rejected by Nanoconda (immediately, before the request reaches the exchange): OrderCancelReject(9) with CxlRejReason(102).
2. Rejected by the exchange (after the request was forwarded, for example because the order had already been filled): an unsolicited ExecutionReport(8) with ExecType=8, OrdStatus showing that the order is still working, and OrdRejReason(103) carrying the exchange's reason code.

Warning

To detect every failed cancel or replace, watch for both OrderCancelReject(9) and ExecutionReport(8) with ExecType=8 on a working order.

OrderCancelReject (35=9)

Nanoconda → Client

Tag	Name	Description
1	Account
37	OrderID	NONE if the order is unknown.
11	ClOrdID	ClOrdID of the rejected request.
41	OrigClOrdID
39	OrdStatus	Always 8.
434	CxlRejResponseTo	1=OrderCancelRequest, 2=OrderCancelReplaceRequest.
102	CxlRejReason	See CxlRejReason.
58	Text	Always present. Human-readable reason.

OrderCancelReject is always sent to the session that made the request. If the account's risk controls or order management reject a cancel or replace on a working order, the OrderCancelReject also goes to every other FIX session on the account (see Drop Copy). Rejects for an unknown order or an unauthorized role go only to the requesting session.

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7. Market Data

Market data is available to the TRADER role only.

MarketDataRequest (35=V)

Client → Nanoconda

Tag	Name	Req'd	Description
262	MDReqID	Y	Subscription identifier. Included in every response for this subscription.
263	SubscriptionRequestType	Y	1=Subscribe, 2=Unsubscribe. 0 (Snapshot) is treated as 1. Snapshot-only requests are not supported.
264	MarketDepth	N	1=Top of book only. Any other value, or absent, gives top of book plus full depth.
267	NoMDEntryTypes	N
→ 269	MDEntryType	N	0=Bid, 1=Offer. If absent, both sides are sent.
146	NoRelatedSym	N
→ 55	Symbol	Y	One or more instruments. Every Symbol in the message is subscribed.

Response:

• Subscribe: one MarketDataSnapshotFullRefresh(W) per symbol, followed by MarketDataIncrementalRefresh(X) updates.
• Unsubscribe: no response.
• Rejected: MarketDataRequestReject(Y) for an unauthorized role, an unknown symbol, or a request with no symbol.

MarketDataRequestReject (35=Y)

Nanoconda → Client

Tag	Name	Description
262	MDReqID
58	Text	Reason, e.g. Not authorized, Unknown symbol, No Symbol specified.

MDReqRejReason(281) is not sent.

MarketDataSnapshotFullRefresh (35=W)

Nanoconda → Client. Sent once per symbol when the subscription starts. Contains the best bid and best offer only. A side with no orders is omitted, so NoMDEntries can be 0. Full-depth levels are not included; they arrive as MarketDataIncrementalRefresh entries with MDUpdateAction=0 (New) immediately after the snapshot.

Tag	Name	Description
262	MDReqID
55	Symbol
268	NoMDEntries
→ 269	MDEntryType	0=Bid, 1=Offer.
→ 270	MDEntryPx
→ 271	MDEntrySize

MarketDataIncrementalRefresh (35=X)

Nanoconda → Client. The gateway checks each subscribed book every millisecond and sends an update for anything that changed since the last check. Updates are conflated: several changes within the same millisecond arrive as one update showing the latest state. Each subscription produces two update streams:

• Top of book: always active. One message per change, with an entry for each side that changed.
• Full depth: active unless MarketDepth(264)=1 was requested. Up to 10 price levels per side. One message per changed level. Each entry also carries MDPriceLevel(1023).

Tag	Name	Description
262	MDReqID
268	NoMDEntries
→ 279	MDUpdateAction	0=New, 1=Change, 2=Delete.
→ 269	MDEntryType	0=Bid, 1=Offer.
→ 55	Symbol
→ 270	MDEntryPx	Omitted on Delete.
→ 271	MDEntrySize	Omitted on Delete.
→ 1023	MDPriceLevel	Full-depth entries only. 1-based.

Depth is maintained by level position, not by price. MDUpdateAction refers to the level number in MDPriceLevel: 0 (New) means the level was previously empty. 1 (Change) means the level had quantity before and after the update; its price may also have changed. 2 (Delete) means the level is now empty. When a price level is added or removed, the levels below it shift and are each sent as a Change.

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8. Reference Data

SecurityListRequest (35=x)

Client → Nanoconda

Tag	Name	Req'd	Description
320	SecurityReqID	Y	Included in the response.
559	SecurityListRequestType	N	0 with Symbol(55) returns that single instrument, or NoRelatedSym=0 if it is unknown. Any other value, or absent, returns every tradeable instrument.
55	Symbol	C	Used with SecurityListRequestType=0.

SecurityList (35=y)

Nanoconda → Client

Tag	Name	Description
320	SecurityReqID
146	NoRelatedSym
→ 55	Symbol
→ 207	SecurityExchange	Exchange MIC, e.g. XCME.

SecurityDefinitionRequest (35=c)

Client → Nanoconda

Tag	Name	Req'd	Description
320	SecurityReqID	Y	Included in the response.
55	Symbol	Y	Single instrument.

SecurityDefinition (35=d)

Nanoconda → Client

Tag	Name	Description
320	SecurityReqID
322	SecurityResponseID	Assigned by Nanoconda.
393	TotNoRelatedSym	1=found, 0=not found.
55	Symbol
207	SecurityExchange	Exchange MIC.
167	SecurityType	FUT, OPT or MLEG.
969	MinPriceIncrement	Tick size.
231	ContractMultiplier
1148	LowLimitPrice	Lower price band for the current trading day. Omitted if no band applies.
1149	HighLimitPrice	Upper price band for the current trading day. Omitted if no band applies.
58	Text	Unknown symbol when not found. Only SecurityReqID, TotNoRelatedSym=0, Symbol (as requested) and Text are sent.

LowLimitPrice and HighLimitPrice are the price band that pre-trade risk checks on NewOrderSingle. An order priced outside the band is rejected with OrdRejReason(103)=16.

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9. Positions

RequestForPositions (35=AN)

Client → Nanoconda

Tag	Name	Req'd	Description
710	PosReqID	N	Included in every response for this request.
724	PosReqType	N	Accepted and not used.
263	SubscriptionRequestType	N	See below.

SubscriptionRequestType (263)	Behaviour
0 or absent	Snapshot. Returns current positions once.
1	Snapshot + Updates. Returns current positions, then sends a new PositionReport for an instrument each time a fill changes its position, until you unsubscribe or the session ends.
2	Unsubscribe. No response.

Position updates are sent only to sessions that subscribed with SubscriptionRequestType=1.

Scope: account-wide.

PositionReport (35=AP)

Nanoconda → Client. One report per instrument with activity.

Tag	Name	Description
710	PosReqID	From the request. For subscription updates, the PosReqID of the original subscription.
721	PosMaintRptID	Unique report identifier.
728	PosReqResult	0=Valid request, 2=No positions found.
727	TotalNumPosReports	Number of reports in this response. 1 on subscription updates.
325	UnsolicitedIndicator	N=response to a request, Y=subscription update caused by a fill.
55	Symbol
715	ClearingBusinessDate	YYYYMMDD, current UTC date.
702	NoPositions	1
→ 703	PosType	TOT (Total Transaction Qty).
→ 704	LongQty	Gross filled long quantity.
→ 705	ShortQty	Gross filled short quantity.
753	NoPosAmt	1
→ 707	PosAmtType	FMTM (Final Mark-to-Market).
→ 708	PosAmt	Open (unrealized) P&L.

Gross quantities

LongQty and ShortQty are gross filled quantities and are not netted against each other. For example, buying 2 and selling 2 of the same instrument reports LongQty=2 and ShortQty=2. Net position = LongQty minus ShortQty.

If the account has no positions, a single PositionReport is sent with PosReqResult=2, TotalNumPosReports=0, and no instrument, position or amount fields.

Each session has one position subscription. A new RequestForPositions with SubscriptionRequestType=1 replaces the previous subscription and its PosReqID.

Margin and risk-limit figures are not available over FIX.

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10. Trade Capture

TradeCaptureReportRequest (35=AD)

Client → Nanoconda

Tag	Name	Req'd	Description
568	TradeRequestID	N	Included in every response.
569	TradeRequestType	N	Accepted and not used.
55	Symbol	N	Filter by instrument.
37	OrderID	N	Filter by order.

Scope: account-wide. Returns every fill on the account that matches the filters, whichever session or interface placed the order. A new session can retrieve the account's full trade history without having placed any orders itself.

TradeCaptureReport (35=AE)

Nanoconda → Client. One report per matching fill.

Tag	Name	Description
568	TradeRequestID
571	TradeReportID	Unique report identifier.
487	TradeReportTransType	0 (New).
748	TotNumTradeReports	Total number of reports in this response.
912	LastRptRequested	Y on the last report of the response, otherwise N.
17	ExecID
37	OrderID
55	Symbol
54	Side
1028	ManualOrderIndicator	Y=Manual, N=Automated: how the order behind this fill was flagged when it was submitted to CME.
31	LastPx	Fill price.
32	LastQty	Fill quantity.
60	TransactTime	UTC.

TradeCaptureReportRequestAck (35=AQ)

Nanoconda → Client. Sent instead of TradeCaptureReport when no fills match or trade history is unavailable.

Tag	Name	Description
568	TradeRequestID
748	TotNumTradeReports	0
912	LastRptRequested	Y
58	Text	Trade log not available when trade history cannot be retrieved.

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11. Rejects & Error Handling

Reject (35=3)

Session-level reject. It is sent for any application message received before Logon has completed.

Tag	Name	Description
45	RefSeqNum	MsgSeqNum of the rejected message.
373	SessionRejectReason	99 (Other).
58	Text	Not logged on.

BusinessMessageReject (35=j)

Application-level reject for problems not tied to a specific order's fields.

Tag	Name	Description
45	RefSeqNum	MsgSeqNum of the rejected message.
372	RefMsgType	MsgType of the rejected message.
380	BusinessRejectReason	See below.
58	Text	Human-readable reason.

Condition	BusinessRejectReason (380)
Unsupported MsgType	3 Unsupported Message Type
Unknown Symbol on NewOrderSingle	2 Unknown Security
OrderStatusRequest for an unknown order	1 Unknown ID
OrderMassCancelRequest from a VIEWER role	6 Not authorized
Unsolicited exchange-side error related to an account order	Exchange reason code, passed through unchanged. Values above 7 are exchange-defined (for example throttle limits, kill switch, risk controls).

Where to find reject reasons

Rejected request	Response	Reason field
Message before logon	Reject(3)	SessionRejectReason(373)
Logon	Logout(5)	Text(58)
New order	ExecutionReport(8), ExecType=8	Text(58), and OrdRejReason(103) for risk and exchange rejects
Cancel / replace, rejected by Nanoconda	OrderCancelReject(9)	CxlRejReason(102), Text(58)
Cancel / replace, rejected by exchange	ExecutionReport(8), ExecType=8	OrdRejReason(103)
Market data	MarketDataRequestReject(Y)	Text(58)
Other application messages	BusinessMessageReject(j)	BusinessRejectReason(380), Text(58)

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12. Drop Copy

This section is for clearing firms, FCMs and risk desks that need real-time, read-only visibility into account activity without order entry. It gathers in one place the relevant behaviour described elsewhere in this document.

Setup

1. Log on with a VIEWER username (see Logon). VIEWER cannot enter orders or change the account, so the drop-copy connection is read-only.
2. No subscription is needed for order and fill activity. Every FIX session on the account automatically receives real-time ExecutionReports for all account activity, whichever session or interface created it.
3. Optional: subscribe to position updates with RequestForPositions(AN), SubscriptionRequestType(263)=1.

Real-time unsolicited messages

Message	Content
ExecutionReport(8)	Every order lifecycle event on the account: acknowledgements, partial and full fills, cancels, replaces, new-order rejects, and cancel/replace rejects from the exchange (ExecType=8). Each report shows whether the order was submitted to CME as manual or automated in ManualOrderIndicator(1028).
OrderCancelReject(9)	Cancel/replace requests on working orders rejected by Nanoconda risk controls or order management.
BusinessMessageReject(j)	Exchange-side errors related to an account order.
PositionReport(AP)	Position and P&L updates after fills, only if subscribed.

Reconciliation

These account-wide requests return complete, current state whichever session created the activity. Use them to reconcile at start of day, after a disconnect, or at any other time:

Request	Returns
OrderStatusRequest(H) / OrderMassStatusRequest(AF)	Current state of a single working order / all working orders
TradeCaptureReportRequest(AD)	Full fill history, optionally filtered by Symbol or OrderID
RequestForPositions(AN)	Current positions and open P&L per instrument

Messages missed while disconnected are not replayed. See Reconnection & Recovery.

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13. Message Flows

Session establishment

#	Direction	Message
1	Client → Nanoconda	Logon(A)
2	Nanoconda → Client	Logon(A)

Instrument discovery

#	Direction	Message
1	Client → Nanoconda	SecurityListRequest(x)
2	Nanoconda → Client	SecurityList(y)
3	Client → Nanoconda	SecurityDefinitionRequest(c) (optional, per instrument)
4	Nanoconda → Client	SecurityDefinition(d)

Market data subscription

#	Direction	Message
1	Client → Nanoconda	MarketDataRequest(V), SubscriptionRequestType=1
2	Nanoconda → Client	MarketDataSnapshotFullRefresh(W), one per symbol
3	Nanoconda → Client	MarketDataIncrementalRefresh(X), repeated on each book change

Limit order through fill

#	Direction	Message
1	Client → Nanoconda	NewOrderSingle(D), OrdType=2
2	Nanoconda → Client	ExecutionReport(8), ExecType=A (Pending New)
3	Nanoconda → Client	ExecutionReport(8), ExecType=0 (New)
4	Nanoconda → Client	ExecutionReport(8), ExecType=1 (Partially Filled) and/or 2 (Filled)

Modify and cancel a working order

#	Direction	Message
1	Client → Nanoconda	OrderCancelReplaceRequest(G), OrderID of the working order
2	Nanoconda → Client	ExecutionReport(8), ExecType=5 (Replaced), which may be preceded by E (Pending Replace)
3	Client → Nanoconda	OrderCancelRequest(F), OrderID (or OrigClOrdID = the replace request's ClOrdID)
4	Nanoconda → Client	ExecutionReport(8), ExecType=4 (Canceled), which may be preceded by 6 (Pending Cancel)

Order status after reconnect

#	Direction	Message
1	Client → Nanoconda	Logon(A)
2	Client → Nanoconda	OrderStatusRequest(H) or OrderMassStatusRequest(AF)
3	Nanoconda → Client	ExecutionReport(8) per order (no response from AF if there are no open orders)

Trade history

#	Direction	Message
1	Client → Nanoconda	TradeCaptureReportRequest(AD), optional Symbol / OrderID filter
2	Nanoconda → Client	TradeCaptureReport(AE) x N, or TradeCaptureReportRequestAck(AQ) if none

Positions snapshot and subscription

#	Direction	Message
1	Client → Nanoconda	RequestForPositions(AN), SubscriptionRequestType=0 (snapshot) or 1 (snapshot + updates)
2	Nanoconda → Client	PositionReport(AP) x N, one per instrument, or one with PosReqResult=2 if there are none
3	Nanoconda → Client	PositionReport(AP), UnsolicitedIndicator=Y, after each fill (subscription only)
4	Client → Nanoconda	RequestForPositions(AN), SubscriptionRequestType=2 (end subscription)

Drop copy

#	Direction	Message
1	Client → Nanoconda	Logon(A), VIEWER role
2	Nanoconda → Client	ExecutionReport(8) / OrderCancelReject(9) / BusinessMessageReject(j), unsolicited, as account activity occurs

Logout

#	Direction	Message
1	Client → Nanoconda	Logout(5)
2	Nanoconda → Client	Logout(5), then the connection is closed

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14. Reconnection & Recovery

FIX sessions do not persist across a disconnect. Messages are not replayed (ResendRequest is answered with a sequence reset only), and order modification requests are session-scoped. After a reconnect:

Capability	Behaviour on the new session
OrderStatusRequest, OrderMassStatusRequest	Available for all orders still working, including those submitted before the disconnect.
RequestForPositions, TradeCaptureReportRequest	Fully available. Account-wide, including all activity from before the disconnect.
OrderCancelRequest, OrderCancelReplaceRequest, OrderMassCancelRequest	Apply only to orders submitted or amended on the new session. Orders from the previous session cannot be cancelled or modified over FIX from the new session.
Messages sent while disconnected	Not replayed. Recover state with the account-wide queries above.

Recommended reconnect sequence

1. Logon(A)
2. OrderMassStatusRequest(AF): get every working order and its LeavesQty / CumQty. Any order you hold as open that is not returned is no longer working.
3. RequestForPositions(AN): confirm positions against your own records.
4. TradeCaptureReportRequest(AD): retrieve fill detail for the disconnected period, if needed.

If your workflow needs to cancel or modify orders from a previous session, contact your Nanoconda account representative.

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15. Differences from FIX 4.4 & Unsupported Features

Area	Nanoconda behaviour
TimeInForce	Only Day (0) and IOC (3, Limit orders only). GTC, GTD, OPG, GTX and FOK are rejected.
Order modification	OrderCancelReplaceRequest modifies only Price and OrderQty.
Order management scope	Cancel, replace and mass cancel are session-scoped. Status, positions and trade capture are account-wide.
Mass requests	OrderMassStatusRequest and OrderMassCancelRequest filter only by Symbol and Side. MassStatusReqType(585) and MassCancelRequestType(530) are not used.
Mass request results	OrderMassStatusRequest and OrderMassCancelRequest send no response when no orders match.
Sequence numbers	Inbound gaps are not enforced. ResendRequest is answered with SequenceReset in Reset mode (GapFillFlag=N), with no message replay.
Logon reject	Sent as Logout(5) with Text(58). No numeric code.
Market data	Only snapshot + updates (SubscriptionRequestType=0 is treated as 1). Bid and Offer entries only. No MDReqRejReason(281).
DisplayQty / MinQty	Passed through to the exchange as submitted and echoed on ExecutionReport.
Party identification	Parties component (PartyID/PartyRole), SenderSubID(50) and TargetSubID(57) are not used. Each FIX session is bound to one account.
Margin / risk limits	Not available over FIX.
Not supported	Multi-leg order entry (NewOrderMultileg), cross orders (NewOrderCross), quoting (MassQuote, QuoteCancel), allocations, and any message not listed in Supported Messages. These are rejected with BusinessMessageReject(j), BusinessRejectReason=3.

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Appendix A: Tag Reference

Every tag read or sent by the Nanoconda FIX gateway, in numeric order.

Tag	Name	Messages
1	Account	ExecutionReport, OrderCancelReject
6	AvgPx	ExecutionReport
7	BeginSeqNo	ResendRequest
8	BeginString	Header (all)
9	BodyLength	Header (all)
10	CheckSum	Trailer (all)
11	ClOrdID	NewOrderSingle, OrderCancelRequest, OrderCancelReplaceRequest, OrderStatusRequest, ExecutionReport, OrderCancelReject
14	CumQty	ExecutionReport
15	Currency	Accepted and not used
17	ExecID	ExecutionReport, TradeCaptureReport
21	HandlInst	NewOrderSingle (accepted and not used)
31	LastPx	ExecutionReport, TradeCaptureReport
32	LastQty	ExecutionReport, TradeCaptureReport
34	MsgSeqNum	Header (all)
35	MsgType	Header (all)
36	NewSeqNo	SequenceReset
37	OrderID	OrderCancelRequest, OrderCancelReplaceRequest, OrderStatusRequest, TradeCaptureReportRequest, ExecutionReport, OrderCancelReject, TradeCaptureReport
38	OrderQty	NewOrderSingle, OrderCancelReplaceRequest, ExecutionReport
39	OrdStatus	ExecutionReport, OrderCancelReject
40	OrdType	NewOrderSingle, ExecutionReport
41	OrigClOrdID	OrderCancelRequest, OrderCancelReplaceRequest, OrderCancelReject
44	Price	NewOrderSingle, OrderCancelReplaceRequest, ExecutionReport
45	RefSeqNum	Reject, BusinessMessageReject
49	SenderCompID	Header (all)
52	SendingTime	Header (all)
54	Side	NewOrderSingle, OrderMassStatusRequest, OrderMassCancelRequest, ExecutionReport, TradeCaptureReport
55	Symbol	Order, market data, reference data, position and trade capture messages
56	TargetCompID	Header (all)
58	Text	ExecutionReport, Logout, Reject, BusinessMessageReject, OrderCancelReject, MarketDataRequestReject, SecurityDefinition, TradeCaptureReportRequestAck
59	TimeInForce	NewOrderSingle, ExecutionReport
60	TransactTime	NewOrderSingle (accepted and not used), ExecutionReport, TradeCaptureReport
98	EncryptMethod	Logon
99	StopPx	NewOrderSingle, ExecutionReport
102	CxlRejReason	OrderCancelReject
103	OrdRejReason	ExecutionReport
108	HeartBtInt	Logon
110	MinQty	NewOrderSingle, ExecutionReport
112	TestReqID	TestRequest, Heartbeat
123	GapFillFlag	SequenceReset
146	NoRelatedSym	MarketDataRequest, SecurityList
150	ExecType	ExecutionReport
151	LeavesQty	ExecutionReport
167	SecurityType	SecurityDefinition
207	SecurityExchange	SecurityList, SecurityDefinition
231	ContractMultiplier	SecurityDefinition
262	MDReqID	MarketDataRequest, MarketDataSnapshotFullRefresh, MarketDataIncrementalRefresh, MarketDataRequestReject
263	SubscriptionRequestType	MarketDataRequest, RequestForPositions
264	MarketDepth	MarketDataRequest
267	NoMDEntryTypes	MarketDataRequest
268	NoMDEntries	MarketDataSnapshotFullRefresh, MarketDataIncrementalRefresh
269	MDEntryType	MarketDataRequest, MarketDataSnapshotFullRefresh, MarketDataIncrementalRefresh
270	MDEntryPx	MarketDataSnapshotFullRefresh, MarketDataIncrementalRefresh
271	MDEntrySize	MarketDataSnapshotFullRefresh, MarketDataIncrementalRefresh
279	MDUpdateAction	MarketDataIncrementalRefresh
320	SecurityReqID	SecurityListRequest, SecurityList, SecurityDefinitionRequest, SecurityDefinition
322	SecurityResponseID	SecurityDefinition
325	UnsolicitedIndicator	PositionReport
372	RefMsgType	BusinessMessageReject
373	SessionRejectReason	Reject
380	BusinessRejectReason	BusinessMessageReject
393	TotNoRelatedSym	SecurityDefinition
434	CxlRejResponseTo	OrderCancelReject
487	TradeReportTransType	TradeCaptureReport
553	Username	Logon
554	Password	Logon
559	SecurityListRequestType	SecurityListRequest
568	TradeRequestID	TradeCaptureReportRequest, TradeCaptureReport, TradeCaptureReportRequestAck
569	TradeRequestType	TradeCaptureReportRequest (accepted and not used)
571	TradeReportID	TradeCaptureReport
584	MassStatusReqID	OrderMassStatusRequest (accepted and not used)
585	MassStatusReqType	OrderMassStatusRequest (accepted and not used)
702	NoPositions	PositionReport
703	PosType	PositionReport
704	LongQty	PositionReport
705	ShortQty	PositionReport
707	PosAmtType	PositionReport
708	PosAmt	PositionReport
710	PosReqID	RequestForPositions, PositionReport
715	ClearingBusinessDate	PositionReport
721	PosMaintRptID	PositionReport
724	PosReqType	RequestForPositions (accepted and not used)
727	TotalNumPosReports	PositionReport
728	PosReqResult	PositionReport
748	TotNumTradeReports	TradeCaptureReport, TradeCaptureReportRequestAck
753	NoPosAmt	PositionReport
912	LastRptRequested	TradeCaptureReport, TradeCaptureReportRequestAck
969	MinPriceIncrement	SecurityDefinition
1023	MDPriceLevel	MarketDataIncrementalRefresh (full-depth entries)
1028	ManualOrderIndicator	NewOrderSingle, ExecutionReport, TradeCaptureReport
1138	DisplayQty	NewOrderSingle, ExecutionReport
1148	LowLimitPrice	SecurityDefinition
1149	HighLimitPrice	SecurityDefinition

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Appendix B: Enumerations

OrdType (40)

Value	Meaning
1	Market
2	Limit (Limit IOC when TimeInForce=3)
3	Stop
4	Stop Limit

TimeInForce (59)

Value	Meaning	Supported
0	Day	Yes (default)
1	Good Till Cancel (GTC)	No
2	At the Opening (OPG)	No
3	Immediate or Cancel (IOC)	Yes, Limit orders only (Fill-and-Kill)
4	Fill or Kill (FOK)	No
5	Good Till Crossing (GTX)	No
6	Good Till Date (GTD)	No

ManualOrderIndicator (1028)

Value	Meaning
Y	Manual order
N	Automated order (default when absent)

Side (54)

Value	Meaning
1	Buy
2	Sell

ExecType (150) / OrdStatus (39)

Value	Meaning
A	Pending New
0	New
1	Partially Filled
2	Filled
6	Pending Cancel
4	Canceled
E	Pending Replace
5	Replaced
8	Rejected

See ExecutionReport for usage.

OrdRejReason (103)

Present on ExecutionReport with ExecType=8 for pre-trade risk and exchange rejects. Order validation rejects carry Text(58) only. It can come from two sources:

• Nanoconda (immediately, on NewOrderSingle validation and pre-trade risk checks): the values marked "Yes" below.
• Exchange (asynchronously, on an order or cancel/replace rejected by the exchange): the exchange's reject code, passed through unchanged. These codes are exchange-defined and may fall outside the standard FIX values below. Refer to CME iLink 3 documentation for their meaning.

Value	Meaning	Sent by Nanoconda
0	Broker / Exchange option	Yes (other risk or validation reject)
1	Unknown symbol	Yes
2	Exchange closed
3	Order exceeds limit	Yes (risk limit exceeded)
4	Too late to enter
5	Unknown order
6	Duplicate order
7	Duplicate of a verbally communicated order
8	Stale order
9	Trade along required
10	Invalid investor ID
11	Unsupported order characteristic	Yes
12	Surveillance option
13	Incorrect quantity	Yes
14	Incorrect allocated quantity
15	Unknown account(s)
16	Price exceeds current price band	Yes (see LowLimitPrice(1148) / HighLimitPrice(1149))
18	Invalid price increment
99	Other

CxlRejReason (102)

Present on OrderCancelReject. Sent only by Nanoconda. Cancel/replace requests rejected by the exchange are reported on ExecutionReport with OrdRejReason(103) instead (see Cancel/replace rejections).

Value	Meaning	Sent by Nanoconda
0	Too late to cancel	Yes
1	Unknown order	Yes (order not found, or not submitted/amended on this session)
2	Broker / Exchange option	Yes (other rejects)
3	Order already in Pending Cancel or Pending Replace status	Yes
4	Unable to process Order Mass Cancel Request
5	OrigOrdModTime did not match last TransactTime of order
6	Duplicate ClOrdID received	Yes
99	Other	Yes (role not authorized, and other reasons; see Text(58))

BusinessRejectReason (380)

Value	Meaning	Sent by Nanoconda
0	Other	Yes
1	Unknown ID	Yes (OrderStatusRequest for an unknown order)
2	Unknown Security	Yes (unknown Symbol on NewOrderSingle)
3	Unsupported Message Type	Yes
4	Application not available
5	Conditionally required field missing
6	Not authorized	Yes (OrderMassCancelRequest from a VIEWER role)
7	DeliverTo firm not available at this time
> 7	Exchange-defined	Yes (exchange reason codes passed through on unsolicited exchange-side errors, for example throttle limits, kill switch, risk controls)

GapFillFlag (123)

Value	Meaning
N	Reset mode. Always sent by Nanoconda in response to ResendRequest.
Y	Gap fill mode. Accepted from the client.

SessionRejectReason (373)

Value	Meaning
99	Other: application message received before logon completed. This is the only value sent.

SecurityType (167)

Value	Meaning
FUT	Future
OPT	Option
MLEG	Multi-leg instrument (spread)

SecurityListRequestType (559)

Value	Meaning
0	Single instrument, by Symbol(55)
Any other / absent	All tradeable instruments

SubscriptionRequestType (263)

Value	MarketDataRequest	RequestForPositions
0	Treated as 1	Snapshot
1	Snapshot + updates	Snapshot + updates
2	Unsubscribe	Unsubscribe

MarketDepth (264)

Value	Meaning
1	Top of book only
Any other / absent	Top of book and full depth

MDEntryType (269)

Value	Meaning
0	Bid
1	Offer

MDUpdateAction (279)

Value	Meaning
0	New
1	Change
2	Delete

PosReqResult (728)

Value	Meaning
0	Valid request
2	No positions found

PosType (703) / PosAmtType (707)

Tag	Value	Meaning
703	TOT	Total Transaction Qty
707	FMTM	Final Mark-to-Market

CxlRejResponseTo (434)

Value	Meaning
1	OrderCancelRequest
2	OrderCancelReplaceRequest

UnsolicitedIndicator (325)

Value	Meaning
N	Response to a request
Y	Subscription update

TradeReportTransType (487)

Value	Meaning
0	New