QuickFIX Filtering Layers

This document defines how incoming FIX execution data is filtered before it enters our system.

Layer 1: BornTech Feed Filter (Upstream)

Applied by BornTech before messages are sent downstream:

• Include: ExecType=Trade,Cancel
• Exclude: LastQty=0
• Exclude: SecurityType=0
• Exclude: if Platform=TT and X_OrderID is empty (CC_X_OrderID, tag 30037)

Layer 2: QuickFIX Fills Client Filter/Handling (Downstream)

Applied in the consuming QuickFIX fills client:

• Accept only ExecutionReport (35=8) business messages.
• Route by ExecType:
• Fill / Partial Fill are processed as fill events.
• New / Cancel / Reject are treated as status events (logged/handled separately).
• TT-specific logic is a transformation path (price scaling), not a drop filter.
• No additional hard excludes for LastQty=0, SecurityType=0, or empty TT X_OrderID unless explicitly added.