MB Trading 1926 East Maple Avenue 1 st Floor El Segundo, CA

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1 MB Trading FIX MB Trading 1926 East Maple Avenue 1 st Floor El Segundo, CA Reference Number Version Last Updated 05/01/11

2 Table of Contents GENERAL...4 MBTFIX Gateway Introduction...4 Connection...4 DROP COPY Offering...5 Hours of Operation...5 Destinations...6 Client Trading Platform...6 Additional Documentation...6 Alerts...6 Certification...6 TRADING INFORMATION...7 Order Types...7 GTC Orders...7 Suspended/Pending Order Status...7 Stop Orders...7 Forex Trading...8 Plus Orders...8 TTO Order...8 Multi-Leg Option Orders...8 Option Orders...8 Order Group Tag...9 Trade Breaks...9 Orders via Client Trading Platform...9 FIX SESSION MESSAGING...10 Basic Session Information...10 Standard Header...11 Log On...12 Resend Request...13 Administrative Reject Message...13 Log Out...14 Heartbeat...14 Test Request...14 CLIENT/INBOUND APPLICATION MESSAGES...15 Pre-Trade Messages...15 Trading Session Status Request...15 Trading Messages...16 New Order Single Request...16 Cancel Request...20 Cancel/Replace Request...20 New Order Multi-Leg...22

3 Order Mass Status Request...24 Post Trade Messages...25 Collateral Request (Balance Request)...25 Request for Positions...25 SERVER/OUTBOUND APPLICATION MESSAGES...26 Pre-Trade Messages...26 Trading Session Status...26 News Message...26 Trading Messages...28 Business Message Reject...28 Order Cancel Reject...28 Execution Report...29 Post Trade Messages...33 Collateral Report...33 Collateral Inquiry Acknowledgment...34 Position Report...34 Request for Position Acknowledgment...36 APPENDIX A ORDER FORMATTING GRID...37 APPENDIX B EXAMPLE FIX MESSAGES...39 Logon Request...39 Logon Response...39 Trading Session Status...39 Collateral Request...39 Position Request...39 New Order-Single and Responses...39 New Order Cancel Request...40 APPENDIX C MBT FIX GATEWAY SYMBOLOGY...41 APPENDIX D PROPRIETARY DEFINED FIELDS...43 APPENDIX E XML DATA...44 APPENDIX F TESTING IN DEMO...44

4 GENERAL MBT FIX Gateway Introduction This document details the expected and supported fields used when connecting to the MBT FIX Server. MBT FIX follows the standards defined in the FIX 4.4 protocol. FIX supports: Trading messages for order placement, management, and post trading messages for account balance and position information. Post trading messages can query for a snapshot or snapshot & subscribe, to receive real time updates. Client requests accepted are: Trading New Order Single, Cancel Request, Cancel/Replace Request Post Trading Collateral Request (for Balance Information), Position Request Pre Trade Trading Session Status Request This document assumes the reader understands the FIX 4.4 (and earlier) protocol available at This document is intended to ensure that a firm s FIX client, constructed according to the FIX 4.4 protocol, will be compatible with the FIX Host on the ambiguous details of the FIX Specification. This document is broken down into specific sections; General information for the FIX client, specific advanced trading information and FIX messages by FIX category: General session level messaging, Client inbound request and server outbound request by pre-trade, post-trade and trade messaging. MB Trading refers collectively to Manhattan Beach Trading Financial Services, Inc. ( MBTFS ) and MB Trading Futures, Inc. ( MBTF ). Securities products are offered though MBTFS, a member of FINRA and the Securities Investor Protection Corporation ( SIPC ). MBTF, a CFTC registered FCM and member of the NFA, offers execution and settlement services for futures based products, as well as off-exchange foreign currency (Forex) products. Connection MBT FIX Gateway accepts TCP/IP SSL connections. Data will be accepted and transmitted, as per the FIX protocol, along this connection. You may request via a demo FIX connection to mbtfix@mbtrading.com for your development and testing. A production IP/Port pair, along with a SenderCompID and TargetCompID, will be assigned to the connecting firm after testing and certification has been completed. It is required that all connections established through us over the internet are SSL. If you have a direct line established with us we can setup a plain text port. There is a free production tunnel which can easily be used to do the SSL encryption.

5 MBT FIX Gateway Special Offering DROP COPY MB Trading FIX users can request connections to receive duplicate execution reports, through MB Trading's special 'DROP COPY' via an alternative server connection. The Drop Copy service is available by subscribing through our FIX connection for a copy of all executions done in your account(s). These orders may also be placed through other MB Trading systems, such as: MBT Desktop, MBT Desktop Pro, MBT Mobile. FIX users interested in setting up 'DROP COPY' connections, are to mbtfix@mbtrading.com providing their request. Hours of Operation Equities (orders not restricted to these hours): Options (trading during core session only): Session 1 (pre-market) - 7:30AM EST through 9:30AM EST Session 2 (core session) - 9:30AM EST through 4:00PM EST Session 3 (post-market) - 4:00PM EST through 8:00PM EST FOREX: Sunday 5:00PM EST through Friday 5:00PM EST. There will be a pause daily for rollover/server maintenance between 5:00PM and 5:05PM EST. NOTE: FIX users may elect to have their MBT FIX server maintenance at either 5:00PM EST or 12:00 AM EST. Please communicate with your FIX Support Representative to submit your preferred server maintenance time. Futures: CBOT: 11:55PM EST to 12:30AM EST CME: 11:55PM EST to 12:30AM EST (Please check out website for the most current updated times) FIX Support Hours: Monday through Friday 7:30AM to 4:00PM EST Contact Information: Phone: (866) mbtfix@mbtrading.com

6 Destinations The MBT FIX Gateway Server will use a proprietary routing algorithm to direct order messages. Direct ECN connections are also available upon request. Client Trading Platform Execution Reports are returned on all orders received through the MBT FIX Gateway, as well as any order placed through the client trading platform on any specific SenderCompId s linked accounts. It is highly suggested that FIX clients use the client trading platform during their demo testing as it can be used to validate all orders being sent to the account through the MBT FIX Gateway. Additional Documentation Additional FIX documentation would include our Third Party Software Provider Implementation Guide and Sample FIX Messages. Please contact your MBT FIX Support Representative to receive copies of the above documentation. Alerts Alerts that clients may receive in their client trading platform are also available through the MBT FIX connection. These are sent via the NEWS message. These news alerts will inform the client to specific system critical issues. As of this version, alerts have been added as a required support tool for our MBT FIX certification. Certification All MBT FIX clients must complete certification before obtaining a live production connection. If the client has tested the demo environment efficiently and all information is supported properly, then this should take no longer than one hour. Certification will be done over the phone with a MBT FIX Support Representative. It will confirm that your connection successfully handles Session Level situations; including multiple resend instances, effectively receives news alerts and ensures that all order types have been formatted correctly. If the client does not plan to support certain order types that are offered, it may be noted at this time. Pre-trade and post-trade messages are not requirements of the certification.

7 Trading Information This section provides more detail regarding specific MB Trading features that are important for all MBT FIX users to understand. - Order Types MBT FIX Gateway supports all of the MB Trading s order types: Market, Limit, Stops, Trailing Stop, Orders on Time, Threshold Triggered Orders (TTO) and Plus orders. Also included, when supported by product type, are Reserve, Pegged, and Pegged plus offset orders. The Trading Messaging section define all FIX tags required for New Order and New Order Multi-leg Requests. Appendix A provides a chart specifying which FIX tags are necessary for each order type. - Advanced Orders MBT FIX Gateway supports all of the MB Trading's advanced order types: Conditional Trigger Orders (CTO), One Cancels All (OCA), Cancel and Close, One Triggers Other (OTO). Appendix A provides a chart specifying which FIX tags are necessary for each order type. - GTC Orders All GTC orders require that the ClOrdID remain the same throughout the life of the order. MB Trading GTC orders are currently good for 60 days (90 for Forex) from the initial order placement. The expiration time of that order is provided in the new order acknowledgment. GTC orders are restated to the client daily via FIX Execution Reports; included with the pending acknowledgment, ExecType will be sent to clients upon their initial daily log on for all prior day s GTC orders. Also, if there had been any partial fills on an order, an Execution Report restating the partial fills will be sent each day after the initial pending acknowledgment. The ExecType of this rollover partial fill is specified as D (Restated). Once each GTC hits its applicable market start time for the day, another Execution Report (New) will be sent on the order to confirm it is Live for that day. - Suspended/Pending Order Status Suspended/Pending Order Status is used with every GTC order. It is possible, though rare, that they may be provided on a Day order as well. An order status of Suspended means that your order is currently held by our system, however, not Live at the market. An order status of Resume means your order has been sent to the market, and is typically followed by an order status of Live. It is up to the MBT FIX user s discretion as to whether they would like to display these states to their client. - Stop Orders There are two different triggers for stop orders we support: Default and Trade Through (applicable to Options and Forex only). An MBT FIX user can specify this type via the ExecInst tag 18. The default

8 setting in the client trading platform is the Default stop method. In order to specify a Trade Through, set the ExecInst tag 18 to w. - Forex Trading Forex orders require the currency pairs be specified in the symbol and defined by base-currency / crosscurrency formatting, i.e. EUR/USD, USD/JPY, EUR/CHF. Forex orders support a Time In Force (TIF) of GTC and IOC. See Appendix C for more details on symbology. - Plus Orders The MBT FIX Plus Order types allow you, when entering an order, to specify an order to close the position. This order will trigger and be automatically placed by the system when any part of the opening order executes. - TTO Order This is our proprietary Threshold Triggered Order. The user may enter a price above the market and a price below the market as part of one single order. Once one of those prices has hit, a market order is sent for execution. This is similar to what is known as an One Cancels the Other (OCO) order. - Multi-Leg Option Orders The New Order Multi-Leg Request is supported for certain advanced options strategies. The MBT FIX Gateway does not support any change requests on multi-leg orders. The options root symbol, required in the leg symbol tag, is the same as the ticker symbol., i.e. Option symbol: +SPY C (Call SPY September 10 30), the options root is: SPY. Multi-leg orders are posted to the market where they are eligible for execution; if the multi-leg order is not a valid strategy in the market it will be rejected. Multi-leg orders may be canceled using the standard Cancel Request. Executions on multi-leg orders will be reported back to the client with individual Execution Reports per each leg, identifying the leg by LegRefID tag Options Orders Closing Options orders, FIX new order message to MBT FIX Gateway; Sell should only be used when that new order is closing a position of the same option's symbol. Options order for writing, covered calls and CSEP Cash Secured equity puts, etc., is to be sent to MBT FIX Gateway as a sell short.

9 - Order Group Tag Clients may use this tag to facilitate the grouping of orders together on their end. This tag will be returned with all execution reports per each order that it was specified on. - Trade Breaks Trade breaks seen in the client trading platform are also returned to the FIX client. The ExecType of trade breaks is H (Trade Cancel). - Orders via Client Trading Platform MBT FIX clients will receive execution reports on all orders of the accounts that are linked to their SenderCompID. For example, if an order is entered via the client trading platform, an execution report is returned through the MBT FIX Gateway. Pending acknowledgments are the first messages returned to clients on orders not received through the MBT FIX Gateway, i.e. client trading platform orders, and plus orders that have triggered. The ClOrdID on these orders will be set by the system. All subsequent execution reports on these orders will contain this ClOrdID. Your MBT FIX connection can then send a cancel or cancel/replace on that order.

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11 FIX Session Messaging Basic Session Information An MBT FIX Gateway session is created once a FIX logon message is received and validated. A logon is required each day to activate the session for each customer. The sequence number used in the daily logon must be equal to 1; if any other number is received the session will not be opened. It assumes a 30 second heartbeat interval; as per the FIX Specification, a heartbeat will only be sent if a message has not been received or sent within a 30 second period. The FIX ResetSeqNumFlag (Tag 141) is supported. A FIX client may set this tag to =Y on a new logon and FIX sequence numbers will be reset for both sides. According to FIX Specs we recommend only using this in cases of emergency. The server will only accept requests from a client after it has sent the Trading Session Status message. Any application level requests received by the server before the Trading Session Status message has been sent will be rejected. MBT FIX Gateway will reset inbound and outbound numbers to 1 at a designated time daily. Standard reset is 12AM EST. Upon request, a 5PM EST sequence number reset time is available and recommended for a Forex FIX client. Although FIX 4.4 supports 24-hour connections, we do not implement the FIX hour connections. The client will be disconnected from the server at the designated reset time. The client may also set the ResetSeqNumFlag field to =Y in order to force the sequence number reset on this initial log on. All messages are validated before the message is handled. Validations include: the sequence number (must be the next expected number), the body length (the message length must equal the body length specified in the message), and fields sent (each message must include all fields detailed below). If a message does not pass these validations, the server will reject the message using an Administrative Reject message containing a text field with the reason it was rejected. This message will not increment the incoming sequence number. Thus, if the next message received is out of sequence, the MBT FIX Gateway will send a resend request to recover the lost messages. All messages must contain the Standard Header defined below. Header fields are not detailed in each specific message definition; it is assumed the standard header is included.

12 Standard Header Tag FIXFieldName Required Description 8 BeginString Y FIX Identifies beginning of new message and protocol version. 9 BodyLength Y Message length, forward to the checksum field 35 MsgType Y Defined in each message description 49 SenderCompID Y Assigned value used to identify the firm sending the message 56 TargetCompID Y Provided to the customer by MB Trading 34 MsgSeqNum Y Integer message sequence number - should not be repeated 52 SendingTime Y Time of message transmission (expressed in UTC) 43 PossDupFlag N 116 OnBehalfOfSubID N Indicates possible retransmission of message with this sequence number. Valid values: Y = Possible duplicate; N = Original transmission May be used to send a Sub-Account. Assigned value used to identify specific message originator (i.e. trader) if the message was delivered by a third party. 129 DeliverToSubID N May be used to specify broker MPID 142 SenderLocationID N Used on certain collateral request to specify IP of end user. 10 CheckSum Y Three byte, simple checksum. Always last field in message; i.e. serves with the trailing, as the end-of-message delimiter. Always defined as three characters. (Always unencrypted)

13 Log On The log on message must be the first message you send after establishing a TCP connection with the MBT FIX Gateway. Your firm must wait for a log on acknowledgment from the MBT FIX Gateway before sending any other messages. If a FIX session is disconnected and reconnects again, the log on you will receive may have a higher sequence number than expected. It is critical that your client detects this condition and issues a resend request to retrieve any missed executions. If the initial log on response is out of sequence the server will reply with a resend request to the client. This must be responded to before the client sends any resend requests. This is done in order to avoid an endless loop situation. If a log on message is sent to MBT FIX with an invalid password, then MBT FIX will return a log off message (35=5) providing the text tag 58 reason: Bad Logon Password. Other bad log on attempts, will result in MBT FIX disconnecting the user. Tag FIXFieldName Required Description 35 MsgType Y Type: A 98 EncryptMethod Y Value = 0. No encryption 108 HeartBtInt Y Number of seconds between heartbeats - should be ResetSeqNumFlag N Optional; client may use if they cannot recover old seqno - they start the seqno with one, set this flag to =Y and server will reset seqno to 1. If used, MBTFIX will return tag 141=Y within the log on acknowledgment. 347 MessageEncoding Y Value = 554_H1 (required with hashed password) 554 Password Y A password is required in your log on message for additional security. This field should be hashed according to SHA-256. (ASCII string of 64 hex digits)

14 Resend Request All resend requests sent by the client will be processed appropriately, re-transmitting any missed application level messages. Gap Fill sequence messages will be sent in place of missed Administrative messages. The client must check for dupes of any resent executions in their system. As detailed in the session information, upon log on the client must respond (with tag 35=4) to an the MBT FIX Gateway resend request first before issuing their own resend request. Tag FIXFieldName Required Description 35 MsgType Y Type: 2 7 BeginSeqNo Y The beginning sequence number to be resent 16 EndSeqNo Y The last sequence number to be resent Administrative Reject Message All administrative reject messages will include the sequence number of the message that is rejected, and whenever possible a text field indicating the reason for the rejection. It is strongly recommended that your firm keep a record of all reject messages and NOT resend them. Additional reject examples can be obtained from your MBT FIX Support Representative. In compliance with the FIX specifications, any messages your firm rejects will not be resent. Tag FIXFieldName Required Description 35 MsgType Y Type: 3 45 RefSeqNum Y Reference message sequence number of rejected message. 58 Text Y Possible values: "duped ClOrderID" = a duplicate ClOrderID was sent - ClOrderID's must be unique. "Msg length incorrect" = the message did not have the proper length as specified in the header. "Req field Num Missing" = the required field is missing. 373 SessionRejectReason Y Code which identifies reason for rejection. Valid values 0-11 based on FIX.4.4 Specs

15 Log Out Your firm must log out at the end of each day before the midnight Eastern Standard Time (or depending when your FIX server maintenance is scheduled). You must verify, prior to log out, that there are no pending orders, otherwise your firm may miss trade reports. No pending order will be canceled automatically upon log out or abnormal disconnect. The party initiating the log out must be the party that breaks the TCP connection to the MBT FIX Gateway. This requirement allows for both sides to issue a Resend Request should the log out or its reply arrive with a sequence gap. If you receive a log out with a sequence gap, as per the protocol specification, issue a Resend Request and then your own log out. Tag FIXFieldName Required Description 35 MsgType Y Type: 5 58 Text N Reason for logout message Heartbeat Tag FIXFieldName Required Description 35 MsgType Y Type: HeartBtInt N Heartbeat interval (30 seconds) Test Request Tag FIXFieldName Required Description 35 MsgType Y Type: TestReqID N Identifier included in Test Request message to be returned in resulting Heartbeat

16 Client/Inbound Application Messages Pre-Trade Messages Trading Session Status Request Tag FIXFieldName Required Description 35 MsgType Y Type: g 263 SubscriptionRequestType Y Values: 0=Snapshot, 1=SnapShot +Updates, 2=Disable 335 TradSesReqID Y Unique ID making the Trading Session Status request 336 TradingSessionID Y Values: TSSTATE (back end trading connection status), GTC - updates on current GTC status (i.e. Spun (Live) or Suspended)

17 Trading Messages New Order Single Request Tag FieldName Required Description 35 MsgType Y Type: D 1 Account Y The account which the order is placed in. 11 ClOrdId Y A unique identifier for an order within the trading day. 18 ExecInst N 21 HandInst Y 38 OrderQty Y 40 OrdType Y 44 Price N String field, can contain multiple values delimited by a space. Trade through stop setting: Value = w. Required on plus orders. Values: p=plus Trail, s=plus Stop, t= plus TTO, 6=Post No Preference (PNP Orders for Forex Only) Instructions on how to handle this order; the only valid value is 1 (automated execution). The total number of shares to be traded. (Forex set to true size., 1 standard lot is equal to 38=100000) The type of order which is placed; valid values are: 1=Market, 2=Limit, 3=Stop,4=StopLimit, P=TrailingStop, T=TTO Required for all orders which are limit, stop limit, and stop orders. 47 Rule80A (No Longer Used) Y No longer used as of FIX.4.4. Included here for reference to prior versions. 52 SendingTime Y The time this order was sent 54 Side Y The action to take on the order. Valid entries are: 1=Buy, 2=Sell, 5=Sell Short, and 6=Sell Short Exempt. 55 Symbol Y Stock, Options. Futures Symbol or Currency Pair 59 TimeInForce Y Orders are assumed to be Day orders unless specified otherwise. Valid values are: 0 = Day, 1 = GTC (required for all Forex orders), 2 = At the open, 3 = Immediate or

18 Cancel (IOC), 4 = Fill or Kill (FOK), 6 = Good Till Date (GTD), 9 = Day + (only available for ARCA route touching pre-market, intraday regular market hours and after hours trading. 60 TransactTime Y Time of order initiation (expressed in UTC). 99 StopPrice N Required on Stop and Stop Limit orders. 100 ExecDestination Y MBTX or ECN when alternate destinations are permitted 111 MaxFloor N 114 LocateReqd C Max volume of order to be shown to the market; if exists, the order is assumed to be a reserve order (and the OrdType must be limit). Required on sell short orders, not required on FOREX, when 167=FOR 126 ExpireTime C Required when TIF = GTD 167 SecurityType N Value FOR for FOREX trades 168 EffectiveTime N Indicates time for order to go live, on a time triggered order. 200 MaturityMonthYear N 201 PutorCall N Month and year of the maturity, required when trading options. Format: YYYYMM Indicates if option is put or call, required when trading options. Values: 0=Put, 1 = Call 202 StrikePrice N Strike Price of an option, required when trading options. 211 PegDifference N 376 ComplainceID N 388 DiscretionInst N Required on TrailingStop orders (40=P). This is the trail offset. Required on all new orders. Enter OATS id for order. (Required on Equities) Required on a Discretionary Order. Should be set to 0: Related to displayed price. 389 DiscretionOffset N Required on a Discretionary Order. 526 SecondaryClOrdID N Optional and applicable to plus orders only. When set this

19 will be used as a ClOrdID of the plus portion when triggered 529 OrderRestrictions N Required on a plus order - (Value = 1) 553 Username Y 566 LegPrice N 583 ClOrdLinkID N 640 Price2 N 768 NoTrdRegTimestamps N 769 TrdRegTimestamp N 770 TrdRegTimeStampType N End user who entered the trade should have their username specified here. Required on plus TTO orders. It is the stop price of the TTO Permits order originators to tie together groups of orders in which trades resulting from orders are associated for a specific purpose, for example, One Cancels All request. Required on plus TTO orders. It is the target price of the TTO Optional, only 1 supported, must be specified if Timestamps specified below Optionally required, for OATS reporting, when 60 is not time received from client Required when above specified supported: 4 Broker Receipt 771 TrdRegTimestampOrigin N Required when above specified supported: OrderRecd 839 PeggedPrice N 847 TargetStrategy N MBTX Aggressive N OrderGroupId1 N MultiSymbol N The price the order is currently pegged at, included when sending Initial Trail Stop order type. Required on Conditional Trigger Order (CTO), must have values of 1001(cond >=) or 1002(cond <=). Value from 1-10 which instructs MBTX to work towards getting you a better price or faster fill. Default is 0, for best price. *Not applicable with Forex orders May be set on New Order requests, when set will be returned on all execution reports related to that order. Can be used to group trades for managed accounts. Required on Conditional Trigger Order (CTO), must have value.

20 10066 MultiPrice N MBTMultifunction N TriggerFromOrderID N Required on Conditional Trigger Order (CTO), must have value. Required when sending a Cancel and Close order, side would be the proper side as if sending a closing order, cancel is handled first, value supported =1. Required when sending One Triggers Other order type, references OrderID of order to trigger other. If set on an order, the order won't go live until that OrderID listed fully executes. If the OrderID listed is canceled, that order will get canceled also.

21 Cancel Request Tag FIXFieldName Required Description 35 MsgType Y Type: F 1 Account Y Account number 11 ClOrdID Y A unique identifier for an order within the trading day 41 OrigClOrdID Y The ClOrdID of the order which is attempted to be canceled. 54 Side Y This must match the side on the original order. 55 Symbol Y This must match the symbol on the original order. 60 TransactTime Y This is the time the cancel is sent 553 Username Y End user who entered the trade should have their username specified here. Cancel/Replace Request Tag FIXFieldName Required Description 35 MsgType Y Type: G 1 Account Y Account number 11 ClOrdID Y A unique identifier for an order within the trading day. 21 HandlInst Y Instructions on how to handle this order; the only valid value is 1 (automated execution) 38 OrderQty Y The new volume for the order. 40 OrdType Y The type of order which is placed; valid values are: 1=Market, 2=Limit, 3=Stop,4=StopLimit, P=TrailingStop 41 OrigClOrdID Y The ClOrdID of the order which is attempted to be canceled.

22 44 Price C The new price for the order 54 Side Y This must match the side on the original order. 55 Symbol Y This must match the symbol on the original order. 59 TimeInForce Y Must match TIF on initial order, TIF is not changeable 60 TransactTime Y This is the time the cancel is sent 553 Username Y End user who entered the trade should have their Username specified here.

23 New Order Multi-Leg Tag FIXFieldName Required Description 35 MsgType Y Type: AB 1 Account Y The account which the order is placed in. 11 ClOrdID Y A unique identifier for an order within the trading day. 18 ExecInst N G=All or None, is the only value supported 21 HandInst Y 1=Automated Execution, the only valid value 38 OrderQty Y Number of times the spread is available 40 OrderType Y 1=Market, 2=Limit, etc. 44 Price N The Net price of the spread - Debit (positive) is willing to pay - Credit (negative) wants cash back. 54 Side Y 1= As defined, the only valid value 59 TimeInForce Y 0=Day 60 TransactTime Y Time this order was sent by the trader 77 PositionEffect N 100 ExecDestination Y Stated whether this order or fill results in opening a position or closing a position. Supported values: O (Open),C (Closed). MBTX or MBTR (based on commission plan) or ECN when alternate destinations are permitted 167 SecurityType Y MLEG = multi-leg order, the only valid value 553 Username Y End user who entered the trade should have their Username specified here 555 NoLegs Y Number of legs, valid value is: NoTrdRegTimestamps N Optional, only 1 supported, must be specified if timestamps specified below

24 769 TrdRegTimestamp N 770 TrdRegTimestampType N Optionally required, for OATS reporting, when 60 is not time received from client Required when above specified supported: 4 Broker Receipt 771 TrdRegTimestampOrigin N Required when above specified supported: OrderRecd Instrument Leg Repeating Group Tag FIXFieldName Required Description 564 LegPositionEffect Y Options Only: Valid Values: O=Open, C=Close 600 LegSymbol Y 608 LegCFICode Y 610 LegMaturityMoYear Y For Options Legs: option root symbol must be first tag in each repeating group. Multi-leg instruments individual CFI code, Valid Values: OC=Option Call, OP=Option Put Options Only: Expiration month and year in the format: YYYYMM 612 LegStrikePrice Y Options Only: Strike price for the option 623 LegRatioQty Y The ratio of quantity for this leg, relative to the entire multileg order 624 LegSide Y Valid Values: 1=Buy, 2=Sell 654 LegRefID Y Unique ClOrdID value for each leg. Must be last tag in each repeating group.

25 Order Mass Status Request Tag FIXFieldName Required Description 35 MsgType Y Type: AF 1 Account C Required, if no Username and Password provided. 17 ExecID Y First ExecID to send from - client can cache Execution Reports on his side, and request only from last msg received. 347 MessageEncoding C Value = 554_H1 (required with hashed password) 553 Username C 554 Password C Required with password if account not provided. Will provide all execution reports for this username. Required with Username if account not provided. A password is required in your logon message for additional security. This field should be hashed according to SHA (ASCII string of 64 hex digits) 584 MassStatusReqID Y ID of status request. 585 MassStatusReqType Y 7 - Status All Orders

26 Post Trade Messages Collateral Request (Balance Request) Tag FIXFieldName Required Description 35 MsgType Y Type: BB 1 Account C Required, if no Username and Password provided. 142 SenderLocationID N Used on certain collateral request to specific IP of end user. 263 SubscriptionReqType N 0=Snapshot, 1=Snapshot+Updates, 2=Disable 347 MessageEncoding C Value = 554_H1 (required with hashed password) 553 Username C 554 Password C 909 CollInquiryID N Required with password if account not provided, will provide all execution reports for this Username. Required with Username if account not provided. A password is required in your logon message for additional security. This field should be hashed according to the SHA-256 format. (ASCII string of 64 hex digits) Identifier of inquiry, will be provided back to the client on snapshot request. Request for Positions Tag FIXFieldName Required Description 35 MsgType Y Type: AN 1 Account C Required, if no Username and Password provided. 263 SubscriptionReqType N 0=Snapshot, 1=Snapshot+Updates, 2=Disable (default =0) 347 MessageEncoding C Value = 554_H1 (required with hashed password) 553 Username C Required with password if account not provided. Will provide all execution reports for this Username.

27 554 Password C Required with Username if account not provided. A password is required in your log on message for additional security. This field should be hashed according to SHA-256. (ASCII string of 64 hex digits) 710 PosReqID Y Unique identifier for this request 724 PosReqType Y 0=Positions (current), 9=Positions (BOD only applicable to snapshot) Server/Outbound Application Messages Pre Trade Messages Trading Session Status This message is sent once the client has logged in and the server is ready to accept client requests. Tag FixFieldName Required Description 35 MsgType Y Type: h 335 TradeSesReqID N Unique ID of a trading session status message 336 TradingSessionID N Values: STANDARD (on auto response, when your log on is ready for requests), GTC updates on current GTC status (i.e. spun (live) or suspended, TSSTATE 340 TradingSessionStatus Y 2 (Open), 3 (Closed), 0 (Unknown) 625 TradingSessionSubID N Provided when Trading SessionID is: GTC, will list exchange GTC status is applicable to News Message These messages will be sent to alert clients to any urgent ECN/trading issues. Tag FixFieldName Required Description 35 MsgType Y Type: B 33 LinesOfText Y Will normally be set to 1 42 OrigTime N The time the alert originated. 58 Text Y Contains the actual news alert message

28 61 Urgency N 148 Headline Y Code indicating the severity of the message, possible values: 0 (Normal), 1 (Flash - most urgent) Describes message as a news alert, will contain the text: "MBT NEWS ALERT"

29 Trading Messages Business Message Reject Tag FixFieldName Required Description 35 MsgType Y Type: j 45 RefSeqNum Y MsgSeqNum of rejected message 58 Text Y Reason for Rejection 372 RefMsgType Y The MsgType of the FIX message being referenced 379 BusinessRejectRefID N Supplies the ClOrdID of the message this is rejecting, if the ClOrdID was provided in the original message. 380 BusinessRejectReaso n Y Code which identifies reason for rejection: 3= Unsupported Message Type 710 PosReqID Y References ID in original Request for Position (35=AN) 909 CollInquiryID Y References ID in original Collateral Inquiry (35=AF) Order Cancel Reject Tag FixFieldName Required Description 35 MsgType Y Type: 9 1 Account Y Account specified for this order 11 ClOrdID Y The client assigned ID to which this reject refers. 37 OrderID Y Order id of order to cancel, if unknown then "NONE" 39 OrdStatus Y 41 OrigClOrdID Y Status of Cancel or Replace request to which this reject applies. The client assigned ID to original order to which could not be canceled or replaced. 58 Text N Description of reason for rejection 65 SymbolSfx N Symbol suffix

30 102 Treasonable Y Code which identifies reason for rejection 434 CxlRejResponseTo Y 1 = Order Cancel request, 2 = Order Cancel/Replace Request Execution Report These messages will be sent in response to every orders state change, i.e., when an order is Accepted, when an order is Filled, or when an order is Canceled. Tag FixFieldName Required Description 35 MsgType Y Type: 8 1 Account Y Account specified for this order 6 AvgPx Y Average price of executed shares to this point 11 ClOrdID Y The client assigned ID to which this Execution report refers 12 Commission N On trades - the amount of commission that is charged 14 CumQty Y Total number of shares filled to this point 17 ExecID Y Unique String value 18 ExecInst N Exec instructions entered on order 31 LastPX N Price for the shares executed 32 LastShares N Number of shares completed in this Partial Fill and/or Fill 37 OrderID Y Unique OrderID given to the execution 38 OrderQty N Quantity entered on order 39 OrdStatus Y Status of the Order: Possible Default Values: 0, 1, 2, 3, 4, 5 (Replaced), 6, 8, 9, A, E Custom Values: H (Break), I (Status), R (Resumed) 40 OrdType N Type of order submitted.

31 41 OrigClOrdId C 44 Price N Price entered on order Returned when applicable i.e. Pending change/cancel request 54 Side Y Side of trade, as defined above 55 Symbol Y Stock Symbol, or Currency Pair 58 Text N String description 59 TIF N Time In Force of the order 60 TransactTime N Time of the Execution, expressed in UTC 77 PositionEffect N Stated whether this order or fill results in opening a position or closing a position. Supported values: O (Open ), C (Closed) 99 StopPrice N Stop Price 100 ExDestination N 103 OrdRejReason N 109 ClientID Y 111 MaxFloor N MBTX, Execution destination as defined by institution when order is entered. Code to identify reason for order rejection where 0=BrokerOpt and reasons for rejections can be determined through tag 58 in the text message. Represents the Username who has made the initial request, i.e. new order, cancel or change request, etc. Maximum quantity (e.g. number of shares) within an order to be shown on the exchange floor at any given time. 126 ExpireTime N Provided on a GTC order 150 ExecType Y Y 151 LeavesQty N 167 SecurityType Describes the specific ExecutionRpt Possible Default Values: 0, 1 (Partial fill), 2 (Fill), 3, 4, 5, 6, 8, 9, A, D, E, F Custom Values: H (Break), I (Status), R (Resumed) Amount of shares still live in the Order Indicates type of security

32 168 EffectiveTime N Time the details within the message should take effect (always expressed in UTC, Universal Time Coordinated, also known as 'GMT') 198 SecondaryOrderId N 311 UnderlyingSymbol N 376 ComplianceID N 388 DiscretionInst N 389 DiscretionOffsetValue N 442 MultiLegReportingType N 460 Product N May be returned with OrderID from the secondary destination on acceptance of order. Underlying securities symbol, see symbol (tag 55) field for description. Required on all new orders. Enter OATS ID for order. (Required with Equities). Code to identify the price a DiscretionOffsetValue (tag 389) is related to and should be mathematically added to. Amount (signed) added to the 'related to' price specified via DiscretionInst (tag 388), in the context of DiscretionOffsetType (tag 842). Applicable to multi-leg orders only, values: 1=Single Security, 2=Individual Leg, 3=Multi-leg Security. Returned on pending acknowledgment of the order. Supported values are: 2=Commodity(Futures), 4=Currency(Forex), 5=Equity, 12=Other(Options) 529 OrdRestrictions N Order restriction value entered on order. 555 NoLegs N Number of legs, valid value is: LegPrice N 583 FN_CLORD_LINK_ID Y 584 MassStatusReqID C 600 LegSymbol N Required on plus TTO orders, it is the stop price of the TTO order. Permits order originators to tie together groups of orders in which trades resulting from orders are associated for a specific purpose, for example, One Cancels All request. Value assigned by issuer of Mass Status Request to uniquely identify the request (GTS) For options legs: Option Root Symbol, must be the first tag in each repeating group.

33 607 LegProduct N Multi-leg instruments individual securities products. See Product (tag 460) field for description 612 LegStrikePrice N Options only: Strike price for the option 623 LegRatioQty N 624 LegSide N Valid values: 1=Buy, 2=Sell The ratio of quantity for this leg, relative to the entire Multileg order. 640 Price2 N 654 LegRefID N 839 Pegged Price N Required on plus TTO orders, it is the limit price of the TTO order. Applicable to Multi-leg orders only, contains LegRefID from Multi-leg order to which this execution report applies. The price the order is currently pegged at, included when sending Initial Trail Stop order type. 912 LastRptRequest N In response to mass order status last report returned 9730 LiquidityTag N PosRealizedPNL N When provided indicates whether order was adding or removing liquidity, A=Add, R, X or anything else =Remove On closing trades the amount of profit/loss incurred by the trade MBTInternalOrderId N MBT internal ordered: varchar value OrderGroupId1 N Trigger From Order ID N If provided on the new order request it will be returned on all execution reports for that order. Required when sending One Triggers Other order type, references OrderID of order to trigger other. If set on an order, the order won't go live until that OrderID listed fully executes. If the OrderID listed is canceled, that order will get canceled also.

34 Post Trade Messages Collateral Report Tag FixFieldName Required Description 35 MsgType Y Type: BA 1 Account Y Account sent in original message request 12 Commission N Total Commission charged to the account 15 Currency N Currency account funds are held in 263 SubscriptionReqType N 0=Snapshot, 1=Snapshot+Updates, 2=Disable 898 MarginRatio N Margin rate of Forex account 899 MarginExcess Y Total current Excess Equity in account (Excess Equity field in the MBT Desktop Account Balances). 900 TotalNetValue Y Total current value of Account (total equity) 908 CollRptID Y Unique Identifier for collateral report 909 CollInquiryID N Identifier of collateral inquiry to which this is a reply 910 CollStatus Y N/A in our usage, defaulted to MorningBuyingPower Y BOD buying power of the account MBTAccountType Y MBT Account Type values: 1=cash, 2=US Margin, 6=DVP, 20=Forex OvernightBuyingPower N BOD, May be different than intraday in case of equities RealizedPnL N Total realized Profit/loss in the account MorningAccountValue N Account value at start of the trading day MorningExcessEquity N BOD excess equity of the account AccountCredit N Amount by which account value has been adjusted (+/-) AcctBasedPerms Bit Map N MorningExcessEquity N Provided when validated Username/Password on Collateral Inquiry request. Morning Excess Equity value at the start of day (Morning

35 Excess field in the MBT Desktop) OvernightExcess N Overnight Excess Equity for account (Overnight Excess field in the MBT Desktop or Desktop Pro Account Balances window BODOvernightExcessEq N Overnight Excess Equity value at the start of the day CompanyID N Only returned if Collateral Inquiry contained client Username and Password AccountBank N Returned if Collateral Inquiry contained either Account Number or Username and Password AccountBranch N Returned if Collateral Inquiry contained either Account Number or Username and Password FLID N MBT Four Letter ID code provided to each account USER_SESSION_ID N MBT Internal Tag Related to Session Token. Collateral Inquiry Acknowledgment Tag FixFieldName Required Description 35 MsgType Y Type: BG 909 CollInquiryID N Identifier of collateral inquiry to which this is a reply. 911 TotNumReports Y Total number of collateral reports that will be returned to this inquiry (snapshot only) 945 CollInquiryStatus Y 0 (Accepted), 4 (Rejected) status returned when collateral request cannot be processed. 946 CollInquiryResult N Returned when Collateral Inquiry Status = Rejected USER_SESSION_ID N MBT Internal Tag Related to Session Token Quote Perm Bitmap Value N Provided when validated Username/Password on collateral inquiry request User Route Perm Y CompanyID N Equities Only. Provides customer order route permissions. MBTX = MBTR = Returned with Collateral Inuquiry with the client Username and Password.

36 Position Report Tag FixFieldName Required Description 35 MsgType Y Type: AP 1 Account Y Account 12 Commission N Total commissions charged on all trades on this symbol. 54 Side N 1 = Long, 5 = Short 55 Symbol N Position symbol, only not provided if PosReqResult is TradeDate N Last date of purchase of this position (YYYYMMDD) by EST. 200 MaturityMonthYear N Required for Options only. 201 PutorCall N Required for Options only. Valid Values: 0=Put, 1=Call 202 StrikePrice N Required for Options only. 263 SubscriptionReqType N 0=Snapshot, 1=Snapshot+Updates, 2=Disable (default =0) 325 UnsolictedIndicator N Set to Y is result of subscription request 640 Price2 N Secondary average price calculation used on this position, for equities is running cost basis price. 704 LongQty N Quantity of a long position. 705 ShortQty N Quantity of a short position. 710 PosReqID N 715 ClearingBusinessDate Y Provided on snapshot reports, is PosReqID from initial request. System trading date of this position data (YYYYMMDD) by EST. 721 PosMaintRptID Y Unique identifier for this position report 727 TotalNumPosReports N Total number of position reports returned on snapshot request.

37 728 PosReqResult Y 0 = Valid Request, 2 = No Position Found 730 SettlPrice Y Cost basis of this position PosPendBuy N The pending quantity on current buy orders PosPendSell N The pending quantity of current sell orders PosBuyPowerUsed N The amount of buying power needed for this position PosRealizedPNL N Today's closed profit or loss on this symbol PosEquityUsed N The amount of equity required for this position OptionStrategyCode N Applicable to Options Only. 0=None, 1=CoveredCall, 2=CoveredPut, 3=ProtectiveCall, 4=ProtectivePut, 5=LongStraddle, 6=Collar, 7=CSEPID, 8=DebitCallSpread, 9=DebitPutSpread, 10=CreditCallSpread, 11=CreditPutSpread, 12=LongCallButterfly, 13=LongPutButterfly, 14=LongCallCondor, 15=LongPutCondor, 16=LongIronButterfly, 17=LongIronCondor, 18=ShortIronButterfly, 19=ShortIronCondor, 20=LongBoxSpread, 21=ShortBoxSpread, 22=ShortStraddle, 23=ShortCallButterfly, 24=ShortPutButterly, 25=ShortCallCondor, 26=ShortPutCondor, 27=Freestyle, 28=ForwardConversion, 29=ReverseConversion, 30=ShortStraddleLev Today_Realized_PNL2 N Today's Basis Closed Profit/Loss. Request for Position Acknowledgment This message is sent in response to a request for positions from the client, only when the request was for a snapshot only. This indicates the end of the position snapshot. Tag FixFieldName Required Description 35 MsgType Y Type: AO 1 Account Y Account 52 SendingTime Y Time of message transmission (expressed in UTC) 58 Text Y End of snapshot - for this account 710 PosReqID Y

38 Provided from PosReqID in client request 721 PosMaintRptID Y Unique identifier for this position report 727 TotalNumPosReport Y 0 - end of snapshot reached no more position snapshot data 728 PosReqResult Y 9 - End Of Positions

39 Appendix A Order Formatting Grid Tag Desc Order Type Order Rest Exc Inst Px Stop Px Trl Amt Leg Px Px2 Eff Tim e Max Flr Disc. Instr Disc. Offst TIF Peg ged Pric e Target Strateg y Target Symbol Target Price MBT Multi- Func Tag Sec. Type ClOrd LinkId Triggered FromId (chged from groupid) Tag No GroupI d User Market 1 EOCF Limit 2 Y EOCF Stop 3 Y EOCF C Stop Limit 4 Y Y EOCF C Trailing Stop P Y EOCF C C TTO T Y Y EOCF C C TTO w/trail T Y Y Y E CF C C On Open 1,2 2 E C C On Close 1,2 7 E C C Order on Time 1,2, 3,4, P C C Y EOCF C Post no Pref 2 F C Reserve 2 Y Y E F C Discretionary 2 Y Y Y E F C Disc. Reserve 2 Y Y Y Y E F C Pegged P R E F C PLUS ORDERS Market + Trail Market + TTO 1 1 p Y E CF C 1 1 t Y Y E CF C Limit + Stop 2 1 s Y Y E CF C Limit + Trail 2 1 p Y Y E CF C Limit + TTO 2 1 t Y Y Y E CF C Stop + Trail 3 1 p Y Y E CF C Stop + TTO 3 1 t Y Y Y E CF Y (group ID OCA) Stop Limit + Trail 4 1 p Y Y Y E CF Y (orderid of Triggered

40 Stop Limit + TTO Market + Stop 4 1 t Y Y Y Y E CF 1 1 s Y Stop + Limit 3 1 q Y Y C Reserve + TTO Pegged Rsv. P R Y E C E C Order) C Initial Trail Stop Advanced Order Types P Y (init ial sto p) Conditional Any 1001( cond >=), 1002 (cond <=) One Cancels All One Triggers Other Any Any C Y (en d sto p) EOCF Y Y EOCF C Y C Key Blank Y C Value Not applicable to this order. Required Conditionally required Specific value required for that order type. Security Type Key E = Equities O = Options C = Futures F = Forex

41 Appendix B Example FIX Messages Logon Request 8=FIX.4.4 9=64 35=A 49=DEMOXZVQFIX 56=MBT 34=596 52= :58:15 98=0 108=30 10=015 Logon Response 8=FIX.4.4 9=63 35=A 49=MBT 56=DEMOXZVQFIX 34=71 52= :58:17 108=30 98=0 10=212 Trading Session Status 8=FIX.4.4 9=75 35=h 49=MBT 56=DEMOXZVQFIX 34=72 52= :58:17 43=N 336=STANDARD 340=2 10=011 Collateral Request 35=BB 49=TEST 56=MBT 34=456 52= :26:44 263=0 1= =2 Position Request 35=AN 49=TEST 56=MBT 34=31 52= :40:39 263=0 1= =2 724=0 New Order Single and Responses Buy 100 Market (Executed) 8=FIX.4.4 9=153 35=D 49=DEMOXZVQFIX 56=MBT 34=609 52= :03:58 1=21= =1 100=MBTX 55=MSFT 54=1 114=N 60= :03:58 38=100 40=1 44= =0 47=A 10=042 8=FIX.4.4 9=206 35=8 49=MBT 56=DEMOXZVQFIX 34=84 52= :03:58 43=N 17=114 55=MSFT 54=1 60= :03: =1 44= =100 1= =2 37=0c7002s:09gr 10017=0c7002s:09gr 59=0 150=A 39=A 151=100 6=0 14=0 10=077 8=FIX.4.4 9=201 35=8 49=MBT 56=DEMOXZVQFIX 34=85 52= :03:58 43=N 17=115 55=MSFT 54=1 60= :03: =1 38=100 1= =2 37=0c7002s:09gr 10017=0c7002s:09gr 150=0 39=0 151=100 44= =0 14=0 10=070

42 8=FIX.4.4 9=226 35=8 49=MBT 56=DEMOXZVQFIX 34=86 52= :03:59 43=N 17=116 55=MSFT 54=1 32=100 31= = :03: = =0 1= =2 37=0c7002s:09gr 10017=0c7002s:09gr 150=F 39=2 151=0.0 44= = =100 10=254 Buy Then cancel request and order canceled 8=FIX.4.4 9=153 35=D 49=DEMOXZVQFIX 56=MBT 34=613 52= :05:12 11=7 1= =1 100=MBTX 55=MSFT 54=1 114=N 60= :05:12 38=100 40=2 44= =0 47=A 10=027 8=FIX.4.4 9=206 35=8 49=MBT 56=DEMOXZVQFIX 34=92 52= :05:12 43=N 17=120 55=MSFT 54=1 60= :05: =2 44= =100 1= =7 37=0c7002s:09hn 10017=0c7002s:09hn 59=0 150=A 39=A 151=100 6=0 14=0 10=056 8=FIX.4.4 9=201 35=8 49=MBT 56=DEMOXZVQFIX 34=93 52= :05:13 43=N 17=121 55=MSFT 54=1 60= :05: =2 44= =100 1= =7 37=0c7002s:09hn 10017=0c7002s:09hn 150=0 39=0 151=100 6=0 14=0 10=054 8=FIX.4.4 9=109 35=F 49=DEMOXZVQFIX 56=MBT 34=614 52= :05:17 41=7 11=-7-1= =MSFT 54=1 60= :05:17 10=231 8=FIX.4.4 9=203 35=8 49=MBT 56=DEMOXZVQFIX 34=94 52= :05:17 43=N 17=122 55=MSFT 54=1 60= :05: =100 1= =-7-41=7 37=0c7002s:09hn 10017=0c7002s:09hn 150=6 39=6 151=100 44= =0 14=0 10=177 8=FIX.4.4 9=201 35=8 49=MBT 56=DEMOXZVQFIX 34=95 52= :05:17 43=N 17=123 55=MSFT 54=1 60= :05: =100 1= =-7-41=7 37=0c7002s:09hn10017=0c7002s:09hn 150=4 39=4 151=0 44= =0 14=0 10=085 New Order Cancel Request: 8=FIX.4.4 9=158 35=F 49=DEMOYSVJFIX 56=MBT 34=5 52= :24:33 41=1 37=1u2ea2s:124x 11=2 41=1 1= =EUR/USD 54=2 60= :24: =1u2ea2s:124x 10=023