Categories
Alerts and Notices Trader Alerts

TraderAlert 22-08: Updated Fix Drop, MEMO FIX and MEMO SBE Specifications as well as Specification Version validations for March 28, 2022

On March 23, 2022, MEMX released new versions of its MEMO FIX, MEMO SBE, and Fix Drop specifications. Version 1.9 of MEMO and FIX Drop can be found here using the “Upcoming version” link. This specification update includes addition of a new LnkID and ExtendedRestatementReason fields as well as version validations for MEMO and Fix Drop. Note: the MEMX MDE test environment already has this update and the production environment will include this update starting Monday March 28, 2022. Additionally these new versions of the specification will be available for this weekend’s testing; please reach out to mops@memx.com if you would like your accounts to be configured for version 1.9.

Version Validation –

  • This release has no effect on current or previous specification versions. A Member must request that their account(s) be configured for MEMO or FIX Drop version 1.9.
  • Current specification versions will not be validated, only MEMO 1.9 and Fix Drop 1.9 will be, if configured.
  • In order to receive the new restatement messages indicated by the new ExtendedRestatementReason field, Members need to opt into this functionality by account which can only be configured if the MEMO version is set to 1.9.
  • Once configured for version 1.9, if a Member either logs in with an incorrect version (ie., not 1.9) on MEMO FIX or FIX Drop or sends an invalid version (ie., not 1.9) on MEMO SBE, MEMX will drop the connection.

LnkID – Is a 4 character user defined field added to the order entry protocol as an identifier to link/aggregate groups of orders when using shared MPIDS and accounts. This field will be passed through from the MEMO order entry session to Fix Drop. (note: While MEMO and FIX Drop versions are configured independently by account, Members would need to request that both MEMO and FIX Drop be configured for version 1.9.)

ExtendedRestatementReason – Provides additional details regarding orders and whether a given order set, joined, or had no effect on the NBBO. (note: In order to receive the new restatement messages, Members need to opt into this functionality by account which can only be configured if the MEMO and FIX Drop version is set to 1.9.)

MEMO FIX Version 1.9

  • Added new tag 583 (LnkID) to the following messages:
    • OrderCancelReject
    • ExecutionReport – Pending New
    • ExecutionReport – New Order Acknowledge
    • ExecutionReport – Rejected Order
    • ExecutionReport – Trade
    • ExecutionReport – Pending Replace
    • ExecutionReport – Replaced
    • ExecutionReport – Pending Cancel
    • ExecutionReport – Canceled
    • ExecutionReport – Restatement
    • ExecutionReport – Trade Cancel/Correct
    • NewOrderSingle
    • OrderCancelReplaceRequest
  • Added new CxlRejReason: 131 – InvalidLnkId
  • Added new RejectReason: 179 – InvalidLnkId
  • In the ExecutionReport – Restatement message, for tag 378, added the new ExecRestatementReason – 99 (Other)
  • In the ExecutionReport – Restatement message, added custom tag 21022 ExtendedRestatementReason with following values:
    • 0 – None
    • 1 – SetNBBO
    • 2 – JoinedNBBO
  • Added information about MEMX validating the version specified in the Logon message and dropping the client connection if the version is not the expected version.
  • Added information about when a new optional ExecutionReport – Restatement message will be sent.

MEMO SBE Version 1.9

  • Added new field LnkID (tag 583) to the following messages:
    • NewOrderSingle
    • OrderCancelReplaceRequest
    • ExecutionReport_PendingNew
    • ExecutionReport_New
    • ExecutionReport_Rejected
    • ExecutionReport_Trade
    • ExecutionReport_PendingCancel
    • ExecutionReport_Canceled
    • ExecutionReport_PendingReplace
    • ExecutionReport_Replaced
    • ExecutionReport_TradeCorrection
    • ExecutionReport_TradeBreak
    • ExecutionReport_Restatement
    • OrderCancelReject
  • Added new OrderRejectReasonCode: InvalidLnkId – 90
  • Added new CancelRejectReasonCode: InvalidLnkId – 35
  • In the ExecutionReport_Restatement message, for the field ExecRestatementReason (tag 378), added the new ExecRestatementReason – 99 (Other)
  • In the ExecutionReport_Restatement message, added new field ExtendedRestatementReason (custom tag 21022) with the following values:
    • 0 – None
    • 1 – SetNBBO
    • 2 – JoinedNBBO
  • Added information about MEMX validating the version specified in the SBE header of each message and dropping the client connection if the version is not the expected version.
  • Added information about when a new optional ExecutionReport – Restatement message will be sent.

Fix Drop Version 1.9

Microsoft Word – Specification Errata.docx

  • Added mandatory field 1408 – DefaultCstmApplVerID to the Logon (MsgType ‘A’) message
  • Added new tag 583 (LnkID) to all Application Messages From Exchange to Client
  • Added new CxlRejReason: 130 – InvalidClOrdId
  • Added new CxlRejReason: 131 – InvalidLnkId
  • Added new RejectReason: 179 – InvalidLnkId
  • In the Restatement message, for tag 378, added the new ExecRestatementReason – 99 (Other)
  • In the Restatement message, added custom tag 21022 ExtendedRestatementReason with the following values:
    • 0 – None
    • 1 – SetNBBO
    • 2 – JoinedNBBO
  • Added information about MEMX validating the version specified in the Logon message and dropping the client connection if the version is not the expected version.
  • Added information about when a new optional ExecutionReport – Restatement message will be sent.

Our Market Operations and Member Experience teams are here for any of your questions.  

MEMX Market Operations

mops@memx.com

1-833-415-6677  

MEMX Member Experience

memberx@memx.com

1-833-415-6369