ECN Fix Specifications

	Introduction............................................................................................................................................................	3
	Order Handling Procedure...........................................................................................................................	3
	Order Matching and Routing...............................................................................................................................	3
	Posting to the Book...............................................................................................................................................	3
	Fix Protocol.............................................................................................................................................................	4
	SESSION PROTOCOL.................................................................................................................................................	4
	Message header......................................................................................................................................................	4
	Message trailer.......................................................................................................................................................	5
	ADMINISTRATIVE MESSAGES..............................................................................................................................	5
	Heartbeat.................................................................................................................................................................	5
	Logon Message.......................................................................................................................................................	5
	Test Request.............................................................................................................................................................	5
	Resend Request.......................................................................................................................................................	6
	Reject........................................................................................................................................................................	6
	Sequence Reset / Gap Fill....................................................................................................................................	6
	Logout......................................................................................................................................................................	6
	APPLICATION MESSAGES......................................................................................................................................	7
	New Order – Single................................................................................................................................................	7
	Execution Report....................................................................................................................................................	9
	Order Cancel Request.........................................................................................................................................	11
	Order Cancel Reject............................................................................................................................................	11
	Appendix A.................................................................................................................................................................	12
	Symbol Suffixes.................................................................................................................................................	12

Introduction

Track ECN offers a highly competitive alternate method for routing orders. We have built a very fast, reliable system that can both match and route orders. If we cannot immediately match an order, we use a proprietary algorithm to determine the next best ECN or Market Maker for matching the order. Our direct connections to other ECNs and Nasdaq allow us to fill the order without the need for our subscribers to have additional connections to other ECNs. Because of our ability to match and route, we are a One-Stop-Shop. There is no need to route anywhere else.

Order Handling Procedure

Order Matching and Routing

An order is generally matched against the best price on the Market, whether on the Track Order Book or elsewhere, unless the incoming order is flagged for special handling as decribed later in this document.

Limit orders are first matched against the Order Book at a price equal to or better than the given price, if the price is the equal to the BBO. Market orders are first matched against the Order Book at the current market price.

If no matching order is available on the Book at the best price, the ECN will attempt to route the order to another venue for execution. At each price level the ECN will first look at the Book for a match, and only if no such match exists will it attempt to route the order out.

There are certain scenarios that will cause an order not to be matched or routed (see “Non-Routed Orders” and “Intermarket Sweep Orders” in the “New Order – Single” description).

Posting to the Book

Any quantity of a non-marketable order (ie, an order that is worse than the best price and thus could not be routed or matched) that remains unfilled will be added to the Book at the given limit price.

Marketable orders (ie, a market order or limit order that is equal to or better than the best price on the market) are normally matched or routed to Market Makers and/or ECNs that can fill the order. However, if the order is flagged as a Keep On Book (add liquidity) order (see “Non-Routed Orders” in the “New Order – Single” description), or it is a Short Sale order on a down tick, we will not match or route the order, leaving us with a marketable order that is to be put on the book. These will be quoted on Nasdaq Level II at a penny worse than the current market on the opposite side of the order, thereby positioning the order at the inside of the market. That is, an order to buy will display at one penny below the current “best” offer price, and an order to sell will display at one penny above the current “best” bid price. As the market moves, the ECN will update the displayed price, up to the limit specified on the order, to keep the order on the inside.

Immediate-or-Cancel orders and Intermarket Sweep Orders are never posted to the Book.

Fix Protocol

SESSION PROTOCOL

Message header

A standard header precedes each administrative or application message. The header identifies the message type, length, destination, sequence number, origination point and time.

Two fields help with re-sending messages. The PossDupFlag is set to Y when re-sending a message as the result of a session level event (i.e. the retransmission of a message reusing a sequence number). The PossResend is set to Y when reissuing a message with a new sequence number (e.g. re-sending an order). The receiving application should process these messages as follows:

PossDupFlag - if a message with this sequence number has been previously received, ignore message, if not, process normally.

PossResend - forward message to application and determine if previously received (i.e. verify order id and parameters).

Message trailer

ADMINISTRATIVE MESSAGES

The administrative messages are utility needs of the protocol. The following section describes each message and provides the message layout.

Whenever possible, it is strongly recommended that the cause of the failure be described in the Text field (e.g. INVALID DATA - FIELD 35).

Tag	Field Name	Req'd	Comments
8	BeginString	Y	FIX.4.1
9	BodyLength	Y
35	MsgType	Y
49	SenderCompID	Y
56	TargetCompID	Y
115	OnBehalfOfCompID	N	Trading partner company ID used when sending messages via a third party
128	DeliverToCompID	N	Trading partner company ID used when sending messages via a third party.
34	MsgSeqNum	Y
50	SenderSubID	N	Not used.
57	TargetSubID	N	“ADMIN” reserved for administrative messages not intended for a specific user. Not used.
116	OnBehalfOfSubID	N	Trading partner SubID used when delivering messages via a third party. Not used.
129	DeliverToSubID	N	Trading partner SubID used when delivering messages via a third party. Not used.
43	PossDupFlag	N	Always required for retransmitted messages, whether prompted by the sending system or as the result of a resend request.
97	PossResend	N	Required when message may be duplicate of another message sent under a different sequence number.
52	SendingTime	Y
122	OrigSendingTime	N	Required for message resends. If data is not available set to same value as SendingTime

Tag	Field Name	Req'd	Comments
10	CheckSum	Y

Tag	Field Name	Req'd	Comments
	Standard Header	Y	MsgType = 0
112	TestReqID	N	Required when the heartbeat is the result of a Test Request message.
	Standard Trailer	Y

Tag	Field Name	Req'd	Comments
	Standard Header	Y	MsgType = A
98	EncryptMethod	Y	Value = 0 (Zero)
108	HeartBtInt	Y	Value = 30 or 60 (seconds)
	Standard Trailer	Y

Tag	Field Name	Req'd	Comments
	Standard Header	Y	MsgType = 1
112	TestReqID	Y
	Standard Trailer	Y

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