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Knight Link FIX 4.2 Specification

Knight Equity Markets, LP Knight Capital Markets, LP

Version 2.2_07012008



Confidential Knight Link FIX 4.2 Specification v2.2_07012008

Table of Contents

Table of Contents ..................................................................................................................................... 2Overview.................................................................................................................................................... 3

General Structure ..................................................................................................................................... 3

Knight Link IOC......................................................................................................................................... 3

Knight Link Daily Volumes ...................................................................................................................... 3

FIX Tags by Purpose ............................................................................................................................... 4

Knight Link Standard Header ................................................................................................................. 4

Knight Link Standard Trailer ................................................................................................................... 4

Knight Link Logon - from Client.............................................................................................................. 4

Knight Link Logon – from Knight Link ................................................................................................... 4Knight Link HeartBeat – to and from Client.......................................................................................... 4Knight Link Test Request – to and from Client .................................................................................... 5Knight Link Resend – to and from Client .............................................................................................. 5Knight Link Reject – to and from Client ................................................................................................ 5

Knight Link Sequence Reset / Gap Fill – to and from Client ............................................................. 5Knight Link Logout – to and from Client ............................................................................................... 5

Knight Link Specific FIX Tag requirements .......................................................................................... 5

Knight Link Order Single ......................................................................................................................... 6

Knight Link Execution Report (Cancelled) ........................................................................................... 7

Knight Link Execution Report (Partial / Full fill) ................................................................................... 8

Knight Link Execution Report (Order Single Acknowledgement – Optional).................................. 9

Additional Information............................................................................................................................ 10




FIX Tags by Purpose

Knight Link Standard Header

TAG FieldName Format Req’d Comments

8 BeginString string Y Protocol Version FIX.4.2

9 BodyLength int Y Length of Message Body

35 MsgType string Y Types 0 = HeartBeat1 = TestRequest2 = ResendRequest3 = Reject4 = SequenceReset5 = Logout6 = Indication of Interest8 = ExecutionReportA = LogonD = NewOrderSingle

34 MsgSeqNum int Y Message Sequence Number (Resets to 1 at the start of eachtrading day)

49 SenderCompID string Y Sender Company ID (MMID of message sender)

56 TargetCompID string Y Target Company ID (MMID of message receiver)

43* PossDupFlag Boolean N Indicates possible retransmission of this seq num

97* PossResend Boolean N Indicates possible retransmission of msg under a New sequencenumber

52 SendingTime UTCTimestamp Y GMT Date/Time Message was sent

Knight Link Standard Trailer


10 CheckSum string Y Integer byte count of message length without the CheckSumfield

Knight Link Logon - from Client

TAG FieldName Format Req’d Comments35 MsgType string Y A=Logon

98 EncryptMethod int Y 0=None / Other

108 HeartBtInt int Y Knight Link Heartbeat Interval is 60 seconds. Clients should usea 60 second Heartbeat Interval.

Knight Link Logon – from Knight Link


35 MsgType string Y A=Logon

98 EncryptMethod int Y 0=None / Other

108 HeartBtInt int Y Knight Link Heartbeat Interval is 60 seconds. Clients should usea 60 second Heartbeat Interval.

Knight Link HeartBeat – to and from Client


35 MsgType string Y 0=HeartBeat

112* TestReqID string N Required in response to a Test Request




Knight Link Test Request – to and from ClientTAG FieldName Format Req’d Comments

35 MsgType int Y 1=TestRequest

112 TestReqID string N Auto-Generated Request ID

Knight Link Resend – to and from Client


35 MsgType string Y 2=ResendRequest

7 BeginSeqNo int Y

16 EndSeqNo int Y 0 means +infinity

Knight Link Reject – to and from Client


35 MsgType string Y 3=Reject

45 RefSeqNum int Y MsgSeqNo of Rejected Message

371* RefTagID int Y

372* RefMsgType string Y

373* SessionRejectReason

int Y

58* Text string N

Knight Link Sequence Reset / Gap Fill – to and from Client


35 MsgType string Y 4=SequenceReset36 NewSeqNo int Y Next expected Sequence Number

123* GapFillFlag Boolean ‘Y’ or ‘N’(‘Y’ is required)

The use of ‘Y’ is required for common resequencing. ‘N’ is notrecommended, and should only be used in emergencysituations that require manual intervention. ‘N’ causes theSeqNo of the SequenceReset message to be ignored, creatinga high possibility of message loss.

Knight Link Logout – to and from Client


35 MsgType string Y 5=Logout

58* Text string N Indicates reason for logout

Knight Link Specific FIX Tag requirements


59 TimeInForce char Y 3=Immediate or Cancel (IOC)




Knight Link Order Single


115 onBehalfOfCompID String Req’d whenacting as aservice bureau

MPID

55 Symbol String Y Identifies instrument to trade

22 IDSource String N 1=CUSIP2=SEDOL4=ISIN5=RIC

48 SecurityID String N Security identifier, stated in tag 22

100 exDestination String N Execution destination

15 Currency String N Identifies the price currency

38 OrderQty Qty Y Number of shares in the order

54 Side Char Y 1=Buy2=Sell5=Sell Short

21 HandlInst Char Y 1=Automate execution order, private, no Broker intervention

59 TimeInForce Char Y 0=Day *Used for ELB orders only3=Immediate or Cancel (IOC)

40 OrdType Char Y 1=Market2=Limit

44 Price Price Y

11 ClOrdID String Y Uniqueness must be guaranteed within a single trading day.Due to OATS reporting requirements, please note that theClordID (OATS RoutedOrderID), must be limited to 20 charactersin length and unique for a given day.

18 ExecInst MultipleValueString

Y 1=Not Held5=Held

58 Text String N Free format text string

47 Rule80a String Y A= Agency SingleP=Principal

114 LocateReqd char Required whenOrderSide isShort from anon-FINRAmember firm

Y = Indicates the broker is responsible for locating the stock

N = Indicates the broker is not required to locate

5700 LocateSource String Required whenOrderSide isShort from anon-FINRAmember firm

Entity that has guaranteed the borrow ofsecurity in the short sell transaction




Knight Link Execution Report (Cancelled)


128 deliverToCompID String Req’d whenacting as aservice bureau

MPID

32 LastShares Qty Y 0

31 LastPx Price Y 0.000000

14 CumQty Qty Y 0

6 AveragePx Price Y 0.000000





15 Currency String N Identifies the price currency17 ExecID String Y Unique identifier of execution message as assigned by broker

20 ExecTransType Char Y 0=New

39 OrdStatus Char Y 4=Cancelled

150 ExecType Char Y 4=Cancelled




59 TimeInForce Char Y 3=Immediate or Cancel (IOC)


44 Price Price Y

11 ClOrdID String Y Uniqueness must be guaranteed within a single trading day.Due to OATS reporting requirements, please note that the

ClordID (OATS RoutedOrderID), must be limited to 20 charactersin length and unique for a given day.


Y 1=Not Held5=Held

37 OrderID String Y Unique identifier for Order as assigned by broker. Uniquenessmust be guaranteed within a single trading day.

60 TransactTime UTCTimestamp Y Time of execution/order creation

58 Text String Y CANCELED BY TRADER




Knight Link Execution Report (Partial / Full fill)



MPID

32 LastShares Qty Y Qty executed

31 LastPx Price Y Price of execution

14 CumQty Qty Y Cumulative qty executed

6 AveragePx Price Y Average price of executions






20 ExecTransType Char Y 1=Cancel

39 OrdStatus Char Y 1=Partially Filled2=Filled

150 ExecType Char Y 1=Partially Filled2=Filled






44 Price Price Y Limit price of the order

151 LeavesQty Qty N Amount of shares open for further execution11 ClOrdID String Y Uniqueness must be guaranteed within a single trading day.

Due to OATS reporting requirements, please note that theClordID (OATS RoutedOrderID), must be limited to 20 charactersin length and unique for a given day.


Y 1=Not Held5=Held

37 OrderID String Y Unique identifier for Order as assigned by broker. Uniquenessmust be guaranteed within a single trading day.

75 TradeDate LocalMktDate Y YYYYMMDD

76 ExecBroker String Y NASDAQ listed = NITENYSE/AMEX listed = TRIM


58 Text String Y CANCELED BY TRADER




Knight Link Execution Report (Order Single Acknowledgement – Optional)



MPID

32 LastShares Qty Y 0

31 LastPx Price Y 0.000000

14 CumQty Qty Y Cumulative qty executed

6 AveragePx Price Y Average price of executions






20 ExecTransType Char Y 0=New

39 OrdStatus Char Y 0=New

150 ExecType Char Y 0=New






44 Price Price Y Limit price of the order

151 LeavesQty Qty N Amount of shares open for further execution

11 ClOrdID String Y Uniqueness must be guaranteed within a single trading day. Due

to OATS reporting requirements, please note that the ClordID(OATS RoutedOrderID), must be limited to 20 characters in lengthand unique for a given day.


Y 1=Not Held5=Held

37 OrderID String Y Unique identifier for Order as assigned by broker. Uniqueness mustbe guaranteed within a single trading day.

75 TradeDate LocalMktDate Y YYYYMMDD





Additional Information

This document contains proprietary and confidential information, and is not intended for distribution.

All reasonable care has been taken in the preparation of this document. No liability is accepted by the author or authors for any errors, omissions, or misstatements it may contain, or for any loss or damage,

howsoever occasioned, to any person relying on any statement

Any questions regarding this document may be sent to the Electronic Services Group:

Electronic Services Knight Equity Markets, LP.

545 Washington Blvd 4

th Floor

Jersey City, New Jersey 07310

Phone: 888.302.9197 FAX: 201.356.2254

Email: [email protected]

www.knight.com/ourLiquidity/connectivity.asp

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