Knight Link FIX 4.

2 Specification

Knight Equity Markets, LP

Knight Capital Markets, LP

Version 2.2_07012008
Table of Contents

Table of Contents ..................................................................................................................................... 2

Overview.................................................................................................................................................... 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 ................................................................................................... 4
Knight Link HeartBeat – to and from Client.......................................................................................... 4
Knight Link Test Request – to and from Client.................................................................................... 5
Knight Link Resend – to and from Client.............................................................................................. 5
Knight Link Reject – to and from Client ................................................................................................ 5
Knight Link Sequence Reset / Gap Fill – to and from Client............................................................. 5
Knight 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

Confidential Knight Link FIX 4.2 Specification v2.2_07012008

Overview
Get access to Knight’s off-exchange liquidity in a new way.

Knight Link can be integrated into your smart order router, dark liquidity seeking algorithms or OMS systems as
an additional access point to liquidity. Knight Link is ideal for those looking for immediate execution, little or no
market impact, and liquidity in thin- and difficult-to-trade securities. Knight Link can also reduce your execution
costs.

Knight is at the forefront of electronic trading innovation. With Knight Link, we can adapt our systems to the
different trading architectures and capacity requirements of our very sophisticated clients, as Knight Link is fully
customizable.

Learn more about how you can gain access over to 100 million shares per day.

General Structure
FIX connectivity is based on the FIX 4.2 specification. Knight will also accommodate customers using FIX 4.0
and 4.1. Any customized message traffic relies solely on custom FIX tags to convey the additional information
required for Knight Link order flow; no nonstandard message types or custom values for standard FIX tags are
introduced.

Knight Link IOC

Customer sends Knight an IOC order prior to routing to an exchange or ECN
Knight responds by either immediately filling or canceling the order.
Orders are executed through Knight Link at the inside market, with the potential for price improvement and
without market impact.

Knight Link Daily Volumes

To see our daily volume by symbol:

ftp://ftp.knight.com
User: alpdata
Pswrd: da7a-alp

Confidential Knight Link FIX 4.2 Specification v2.2_07012008

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 = HeartBeat
1 = TestRequest
2 = ResendRequest
3 = Reject
4 = SequenceReset
5 = Logout
6 = Indication of Interest
8 = ExecutionReport
A = Logon
D = NewOrderSingle

34 MsgSeqNum int Y Message Sequence Number (Resets to 1 at the start of each

trading 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 sequence
number
52 SendingTime UTCTimestamp Y GMT Date/Time Message was sent

Knight Link Standard Trailer

TAG FieldName Format Req’d Comments

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

Knight Link Logon - from Client

TAG FieldName Format Req’d Comments

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 use
a 60 second Heartbeat Interval.

Knight Link Logon – from Knight Link

TAG FieldName Format Req’d Comments

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 use
a 60 second Heartbeat Interval.

Knight Link HeartBeat – to and from Client

TAG FieldName Format Req’d Comments

35 MsgType string Y 0=HeartBeat

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

Confidential Knight Link FIX 4.2 Specification v2.2_07012008

Knight Link Test Request – to and from Client

TAG 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

TAG FieldName Format Req’d Comments

35 MsgType string Y 2=ResendRequest
7 BeginSeqNo int Y
16 EndSeqNo int Y 0 means +infinity

Knight Link Reject – to and from Client

TAG FieldName Format Req’d Comments

35 MsgType string Y 3=Reject
45 RefSeqNum int Y MsgSeqNo of Rejected Message
371* RefTagID int Y
372* RefMsgType string Y
373* SessionRejectReas int Y
on
58* Text string N

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

TAG FieldName Format Req’d Comments

35 MsgType string Y 4=SequenceReset
36 NewSeqNo int Y Next expected Sequence Number
123* GapFillFlag Boolean ‘Y’ or ‘N’ The use of ‘Y’ is required for common resequencing. ‘N’ is not
(‘Y’ is required) recommended, and should only be used in emergency
situations that require manual intervention. ‘N’ causes the
SeqNo of the SequenceReset message to be ignored, creating
a high possibility of message loss.

Knight Link Logout – to and from Client

TAG FieldName Format Req’d Comments

35 MsgType string Y 5=Logout
58* Text string N Indicates reason for logout

Knight Link Specific FIX Tag requirements

TAG FieldName Format Req’d Comments

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

Confidential Knight Link FIX 4.2 Specification v2.2_07012008

Knight Link Order Single
TAG FieldName Format Req’d Comments
115 onBehalfOfCompID String Req’d when MPID
acting as a
service bureau
55 Symbol String Y Identifies instrument to trade
22 IDSource String N 1=CUSIP
2=SEDOL
4=ISIN
5=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=Buy
2=Sell
5=Sell Short
21 HandlInst Char Y 1=Automate execution order, private, no Broker intervention
59 TimeInForce Char Y 0=Day *Used for ELB orders only
3=Immediate or Cancel (IOC)
40 OrdType Char Y 1=Market
2=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 the
ClordID (OATS RoutedOrderID), must be limited to 20 characters
in length and unique for a given day.

18 ExecInst MultipleValueStri Y 1=Not Held

ng 5=Held
58 Text String N Free format text string
47 Rule80a String Y A= Agency Single
P=Principal
114 LocateReqd char Required when Y = Indicates the broker is responsible for locating the stock
OrderSide is
Short from a
N = Indicates the broker is not required to locate
non-FINRA
member firm
5700 LocateSource String Required when Entity that has guaranteed the borrow of
OrderSide is security in the short sell transaction
Short from a
non-FINRA
member firm

Confidential Knight Link FIX 4.2 Specification v2.2_07012008

Knight Link Execution Report (Cancelled)
TAG FieldName Format Req’d Comments
128 deliverToCompID String Req’d when MPID
acting as a
service bureau
32 LastShares Qty Y 0
31 LastPx Price Y 0.000000
14 CumQty Qty Y 0
6 AveragePx Price Y 0.000000
55 Symbol String Y Identifies instrument to trade
22 IDSource String N 1=CUSIP
2=SEDOL
4=ISIN
5=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
17 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
38 OrderQty Qty Y Number of shares in the order
54 Side Char Y 1=Buy
2=Sell
5=Sell Short
21 HandlInst Char Y 1=Automate execution order, private, no Broker intervention
59 TimeInForce Char Y 3=Immediate or Cancel (IOC)
40 OrdType Char Y 1=Market
2=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 the
ClordID (OATS RoutedOrderID), must be limited to 20 characters
in length and unique for a given day.

18 ExecInst MultipleValueStri Y 1=Not Held

ng 5=Held
37 OrderID String Y Unique identifier for Order as assigned by broker. Uniqueness
must be guaranteed within a single trading day.
60 TransactTime UTCTimestamp Y Time of execution/order creation
58 Text String Y CANCELED BY TRADER

Confidential Knight Link FIX 4.2 Specification v2.2_07012008

Knight Link Execution Report (Partial / Full fill)
TAG FieldName Format Req’d Comments
128 deliverToCompID String Req’d when MPID
acting as a
service bureau
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
55 Symbol String Y Identifies instrument to trade
22 IDSource String N 1=CUSIP
2=SEDOL
4=ISIN
5=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
17 ExecID String Y Unique identifier of execution message as assigned by broker
20 ExecTransType Char Y 1=Cancel
39 OrdStatus Char Y 1=Partially Filled
2=Filled
150 ExecType Char Y 1=Partially Filled
2=Filled
38 OrderQty Qty Y Number of shares in the order
54 Side Char Y 1=Buy
2=Sell
5=Sell Short
21 HandlInst Char Y 1=Automate execution order, private, no Broker intervention
59 TimeInForce Char Y 3=Immediate or Cancel (IOC)
40 OrdType Char Y 1=Market
2=Limit
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 length and unique for a given day.

18 ExecInst MultipleValueStri Y 1=Not Held

ng 5=Held
37 OrderID String Y Unique identifier for Order as assigned by broker. Uniqueness
must be guaranteed within a single trading day.
75 TradeDate LocalMktDate Y YYYYMMDD
76 ExecBroker String Y NASDAQ listed = NITE
NYSE/AMEX listed = TRIM
60 TransactTime UTCTimestamp Y Time of execution/order creation
58 Text String Y CANCELED BY TRADER

Confidential Knight Link FIX 4.2 Specification v2.2_07012008

Knight Link Execution Report (Order Single Acknowledgement – Optional)
TAG FieldName Format Req’d Comments
128 deliverToCompID String Req’d when MPID
acting as a
service bureau
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
55 Symbol String Y Identifies instrument to trade
22 IDSource String N 1=CUSIP
2=SEDOL
4=ISIN
5=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
17 ExecID String Y Unique identifier of execution message as assigned by broker
20 ExecTransType Char Y 0=New
39 OrdStatus Char Y 0=New
150 ExecType Char Y 0=New
38 OrderQty Qty Y Number of shares in the order
54 Side Char Y 1=Buy
2=Sell
5=Sell Short
21 HandlInst Char Y 1=Automate execution order, private, no Broker intervention
59 TimeInForce Char Y 3=Immediate or Cancel (IOC)
40 OrdType Char Y 1=Market
2=Limit
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 length
and unique for a given day.

18 ExecInst MultipleValueStri Y 1=Not Held

ng 5=Held
37 OrderID String Y Unique identifier for Order as assigned by broker. Uniqueness must
be guaranteed within a single trading day.
75 TradeDate LocalMktDate Y YYYYMMDD
60 TransactTime UTCTimestamp Y Time of execution/order creation

Confidential Knight Link FIX 4.2 Specification v2.2_07012008

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
th
4 Floor
Jersey City, New Jersey 07310

Phone: 888.302.9197
FAX: 201.356.2254
Email: esg@knight.com

www.knight.com/ourLiquidity/connectivity.asp

Confidential Knight Link FIX 4.2 Specification v2.2_07012008