Drop Copy

The drop copy FIX session provides read-only visibility into order and trade activity for authorized client identifiers. Clients initiate delivery by sending a TradeCaptureReportRequest; the gateway responds with a TradeCaptureReportRequestAck. Once a request is accepted, the session streams the relevant ExecutionReport messages (35=8) and continues to fan out live updates until the subscription is cleared.

Typical flow:

1. Client sends TradeCaptureReportRequest (35=AD) identifying the client IDs to monitor.
2. Gateway replies with TradeCaptureReportRequestAck (35=AQ) indicating whether the subscription is active or rejected.
3. When accepted, historical executions are replayed followed by live drop copy ExecutionReport traffic for the subscribed clients.
4. Sending another request with SubscriptionRequestType (263)=2 clears the subscription and stops delivery.

TradeCaptureReportRequest (35=AD)

Used to start or adjust a drop copy subscription. At least one party entry with PartyRole (452)=3 must be supplied, and each PartyID (448) must be a decimal client identifier that is authorized for the FIX session.

TAG	NAME	TYPE	REQ	DESCRIPTION
568	TradeRequestID	string	N	Correlation identifier supplied by the client. Returned in the acknowledgement.
569	TradeRequestType	int	N	Scope of data requested. Only 0 = ALL_TRADES is supported; other values are ignored and treated as ALL_TRADES.
263	SubscriptionRequestType	char	N	Controls subscription lifecycle: 0 — Snapshot (processed as snapshot + updates) 1 — Snapshot + Updates (default) 2 — Disable previous subscription (clears any active client list)
453	NoPartyIDs	int	Y	Number of party entries. Must be greater than zero and include at least one client identifier.
↳448	PartyID	string	Y	Decimal client identifier to authorize for drop copy delivery. Multiple entries are permitted.
↳452	PartyRole	int	Y	Role of the party entry. Must be 3 = Client ID. Entries with other roles are ignored.
55	Symbol	string	N	Optional symbol filter. Currently ignored.
167	SecurityType	string	N	Optional security type filter. Currently ignored.
54	Side	char	N	Optional side filter. Currently ignored.

If the request cannot be parsed or contains unauthorized client identifiers, the session rejects the subscription and clears the in-memory client list.

TradeCaptureReportRequestAck (35=AQ)

Returned for every trade capture request, indicating whether the subscription is active. The acknowledgement echoes identifiers from the request when they are present.

TAG	NAME	TYPE	REQ	DESCRIPTION
568	TradeRequestID	string	N	Echoes the value from the request.
569	TradeRequestType	int	N	Echoes the value from the request.
263	SubscriptionRequestType	char	N	Echoes the value from the request.
911	TotNumTradeReports	int	N	Total number of trade reports in the snapshot. Not populated for the current implementation.
749	TradeRequestResult	int	Y	Outcome of the request: 0 — Successful 3 — Invalid parties (missing or malformed client identifiers) 8 — TradeRequestType not supported 9 — Unauthorized for trade capture report request 99 — Other (unexpected error)
750	TradeRequestStatus	int	Y	Subscription state: 0 — Accepted 1 — Completed 2 — Rejected
58	Text	string	N	Human-readable reason (e.g., “Trade capture subscription accepted”, “No authorized client party provided”, or “Unauthorized trade capture client identifier”).

Clients must consider the request rejected when TradeRequestStatus (750)=2 or when TradeRequestResult (749) is any value other than 0. When the gateway acknowledges a disable request (SubscriptionRequestType=2), the result is 0 with text “Trade capture subscription cleared” and no further drop copy data is sent until a new subscription is established.

ExecutionReport (35=8)

After a subscription is accepted, the gateway replays and streams execution reports for the authorized clients. The payload mirrors the execution reports documented in the Order Entry section; key fields are summarized below.

TAG	NAME	TYPE	REQ	DESCRIPTION
6	AvgPx	decimal128	C	Present when ExecType (150)=F (Trade). Average execution price across fills for the order.
11	ClOrdID	string	Y	Client order identifier from the originating order flow.
14	CumQty	decimal128	Y	Total quantity filled on this order.
15	Currency	string	N	Currency for price and fee fields.
17	ExecID	string	Y	Unique identifier assigned by the exchange for this execution event.
18	ExecInst	string	C	Execution instructions for the order, when present on the order.
31	LastPx	decimal128	C	Present when ExecType (150)=F (Trade). Price of the most recent execution.
32	LastQty	decimal128	C	Present when ExecType (150)=F (Trade). Quantity of the most recent execution.
37	OrderID	string	Y	Exchange-assigned order identifier.
38	OrderQty	decimal128	C	Original order quantity. Always present on accepted execution reports; on a NewOrderSingle reject, only included when the inbound request set OrderQty.
39	OrdStatus	char	Y	Current order status: 0 — New 1 — Partially Filled 2 — Filled 4 — Canceled 5 — Replaced 6 — Pending Cancel 8 — Rejected 9 — Suspended A — Pending New E — Pending Replace C — Expired
40	OrdType	char	Y	Order type: 1 — Market 2 — Limit
41	OrigClOrdID	string	C	Previous client order identifier for replace or cancel flows; unset for new orders.
44	Price	decimal128	C	Limit price for the order. Market orders report the internally stored price. Always present on accepted execution reports; on a NewOrderSingle reject, only included when the inbound request set Price.
54	Side	char	Y	Side of order: 1 — Buy 2 — Sell
55	Symbol	string	Y	Ticker symbol. Human-readable representation of the security.
58	Text	string	C	Human-readable reason text. Populated when ExecType (150)=8 (Rejected) with the rejection reason, and when ExecType (150)=4 (Canceled) if the matching engine reports a cancel reason. Not sent on other execution types.
59	TimeInForce	char	Y	Specifies how long the order remains in effect: 1 — Good Till Cancel (GTC) 3 — Immediate Or Cancel (IOC)
60	TransactTime	utc timestamp	Y	Time the execution report was generated.
150	ExecType	char	Y	Execution type, matching the values documented for order entry (e.g., 0 = New, 4 = Canceled, F = Trade).
151	LeavesQty	decimal128	Y	Quantity open for further execution.
453	NoPartyIDs	int	Y	Number of PartyID (448) and PartyRole (452) entries.
↳448	PartyID	string	Y	Start of a new party group entryParty identifier/code.
↳452	PartyRole	int	Y	Identifies the type or role of the PartyID (448) specified: 3 — Client ID
851	LastLiquidityInd	int	C	Present when ExecType (150)=F (Trade). Indicates whether this execution added or removed liquidity: 1 — Added Liquidity 2 — Removed Liquidity 4 — Unknown Liquidity
880	TrdMatchID	string	C	Present when ExecType (150)=F (Trade). Exchange-assigned identifier for the match that produced this execution.
136	NoMiscFees	int	C	Present when ExecType (150)=F (Trade). Number of miscellaneous fee entries.
↳137	MiscFeeAmt	decimal128	C	Start of a new misc fee group entry. Fee amount for this execution.
↳139	MiscFeeType	string	C	Type of miscellaneous fee: 4 — Exchange Fees
2964	SelfMatchPreventionInst	int	C	Specifics how this order should handle self matches. Present when self-match prevention was set on the order. 1 — Cancel Aggressor 3 — Cancel Both

All other fields present in the order entry execution reports may also appear and retain their original semantics. Drop copy sessions never originate ExecutionReport messages; they only mirror activity generated by the matching engine for the subscribed client identifiers.