Page History: Security Definition
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Page Revision: 2012/10/15 14:46
Definition of a SecurityThe Security Definition message (Tag 35=d) is used to define the characteristics of exchanges, contracts and securities. The T4 FIX API returns this message as a result of queries performed with the
Security Definition Request message.
The Security definition message includes a complete description of securities by providing Exchange identifier, Contract identifier, Market identifier, pricing, minimum trading volumes, minimum price amount (including Variable Tick Tables), quantity leg ratios, buy/sell sides, put/call type, strikes, etc. This message also enumerates lists of exchanges, contracts within an exchange and markets for a specific contract.
Message Dictionary| Tag | Field Name | Req'd | Comments |
|---|
| Standard Header | Y | MsgType = d |
| 320 | SecurityReqID | Y | Security Definition Request identifier. Must be unique to distinguish security definition requests. |
| 322 | SecurityResponseID | Y | ID of current Security Definition message. |
| 323 | SecurityResponseTye | Y | Type of Security Definition message response. Always Set to 4 (List of Securities returned per request). |
| 207 | SecurityExchange | N | Exchange. This is the T4 Exchange ID. |
| 55 | Symbol | N | Contract within an Exchange. This is the T4 Contract ID. |
| 48 | SecurityID | N | Market (i.e. Security) for a given Contract. This is the T4 Market ID. |
| 107 | SecurityDesc | N | Security Description. The description may also refer to Contracts (for Get Contract IDs requests) or Exchanges (for Get Exchange IDs requests). |
| 201 | PutOrCall | N | Put Or Call identifier (for Options Security Type). The following values can be used: |
| | | 1 = Calendar Spread |
| | | 2 = RT Calendar Spread |
| | | 3 = Inter Contract Spread |
| | | 4 = Butterfly |
| | | 5 = Condor |
| | | 6 = Double Butterfly |
| | | 7 = Horizontal |
| | | 8 = Bundle |
| | | 9 = Month vs Pack |
| | | 10 = Pack |
| | | 11 = Pack Spread |
| | | 12 = Pack Butterfly |
| | | 13 = Bundle Spread |
| | | 14 = Strip |
| | | 15 = Crack |
| | | 16 = Treasury Spread |
| | | 17 = Crush |
| | | 18 = None |
| | | 19 = Threeway |
| | | 20 = Threeway Straddle vs Call |
| | | 21 = Threeway Straddle vs Put |
| | | 22 = Box |
| | | 23 = Christmas Tree |
| | | 24 = Conditional Curve |
| | | 25 = Double |
| | | 26 = Horizontal Straddle |
| | | 27 = Iron Condor |
| | | 28 = Ratio 1x2 |
| | | 29 = Ratio 1x3 |
| | | 30 = Ratio 2x3 |
| | | 31 = Risk Reversal |
| | | 32 = Straddle Strip |
| | | 33 = Straddle |
| | | 34 = Strangle |
| | | 35 = Vertical |
| | | 36 = Jelly Roll |
| | | 37 = Iron Butterfly |
| | | 38 = Guts |
| | | 39 = Generic |
| | | 40 = Diagonal |
| | | 41 = Covered Threeway |
| | | 42 = Covered Threeway Straddle vs Call |
| | | 43 = Covered Threeway Straddle vs Put |
| | | 44 = Covered Box |
| | | 45 = Covered Christmas Tree |
| | | 46 = Covered Conditional Curve |
| | | 47 = Covered Double |
| | | 48 = Covered Horizontal Straddle |
| | | 49 = Covered Iron Condor |
| | | 50 = Covered Ratio 1x2 |
| | | 51 = Covered Ratio 1x3 |
| | | 52 = Covered Ratio 2x3 |
| | | 53 = Covered Risk Reversal |
| | | 54 = Covered Straddle Strip |
| | | 55 = Covered Straddle |
| | | 56 = Covered Strangle |
| | | 57 = Covered Vertical |
| | | 58 = Covered Jelly Roll |
| | | 59 = Covered Iron Butterfly |
| | | 60 = Covered Guts |
| | | 61 = Covered Generic |
| | | 62 = Covered Diagonal |
| | | 63 = Covered Butterfly |
| | | 64 = Covered Condor |
| | | 65 = Covered Horizontal |
| | | 66 = Covered Strip |
| | | 67 = Covered Option |
| | | 68 = Balanced Strip |
| | | 69 = Unbalanced Strip |
| | | 70 = Inter Contract Strip |
| | Start Repeating Group | |
| 555 | NoLegs | N | Number of legs of multi-legged strategy. Must be provided if number of legs is greater than 1. |
| 600 | LegSymbol | N | Individual leg Contract for multi-leg instrument. This is T4 Contract ID for this leg. It must be the first tag of this group. |
| 602 | LegSecurityID | N | Individual leg Security (Market) for multi-leg instrument. This is T4 Market ID for this leg. |
| 556 | LegCurrency | N | Individual leg Currency for multi-leg instrument. |
| 609 | LegSecurityType | N | Individual leg Security Type. Valid values are: |
| | | FUT = Futures |
| | | OPT = Options |
| | | STK = Stock |
| | | SYN = Synthetic |
| | | BIN = Binary Option |
| 616 | LegSecurityExchange | N | Individual leg Exchange. This is the T4 Exchange ID for this leg. |
| 1358 | LegPutOrCall | N | Individual leg Put or Call for Options. Valid values are: |
| | | 0 = Put |
| | | 1 = Call |
| 612 | LegStrikePrice | N | Individual leg strike (for Options security Type). |
| 623 | LegRatioQty | N | Individual leg Price Ratio (for Options Security Type). A negative value indicates a LegSide of Sell. |
| 624 | LegSide | N | Individual leg Side. Valid Values are: |
| | | 1 = Buy |
| | | 2 = Sell |
| | End Repeating Group | |
| | Standard Trailer | Y |
Sample MessagesSample Message for an Outright
<< 10/15/2012 12:27:33 PM [fixsecuritydefinition] 34=311|49=test|56=T4Test|50=T4FIX|52=20121015-17:27:33.433|320=sc-10/15/2012 12:27:33 PM|322=sd-10/15/2012 12:27:33 PM|323=4|55=ES|107=E-mini S&P 500 Dec12|48=CME_20121200_ESZ2|207=CME_Eq|200=20121200|167=FUT|762=0|562=1|15=USD|1146=12.5|5770=25/1|
[FIXSECURITYDEFINITION]
[MsgSeqNum] 34 = 311
[SenderCompID] 49 = test
[TargetCompID] 56 = T4Test
[SenderSubID] 50 = T4FIX
[SendingTime] 52 = 20121015-17:27:33.433
[SecurityReqID] 320 = sc-10/15/2012 12:27:33 PM
[SecurityResponseID] 322 = sd-10/15/2012 12:27:33 PM
[SecurityResponseType] 323 = 4 (LIST_OF_SECURITIES_RETURNED_PER_REQUEST)
[Symbol] 55 = ES
[SecurityDesc] 107 = E-mini S&P 500 Dec12
[SecurityID] 48 = CME_20121200_ESZ2
[SecurityExchange] 207 = CME_Eq
[MaturityMonthYear] 200 = 20121200
[SecurityType] 167 = FUT (FUTURE)
[SecuritySubType] 762 = 0 (NONE)
[MinTradeVol] 562 = 1
[Currency] 15 = USD
[MinPriceIncrementAmount] 1146 = 12.5
[PriceRatio] 5770 = 25/1
Sample Message for a Calendar Spread
<< 10/15/2012 12:27:40 PM [fixsecuritydefinition] 34=313|49=test|56=T4Test|50=T4FIX|52=20121015-17:27:40.297|320=sc-10/15/2012 12:27:40 PM|322=sd-10/15/2012 12:27:40 PM|323=4|55=ES|107=E-mini S&P 500 -Dec12+Mar13|48=CME_20121200_ESZ2-ESH3|207=CME_Eq|200=20121200|167=FUT|762=1|562=1|15=USD|1146=2.5|5770=5/1|555=2|600=ES|623=-1|624=2|602=CME_20121200_ESZ2|556=USD|616=CME_Eq|600=ES|623=1|624=1|602=CME_20130300_ESH3|556=USD|616=CME_Eq|
[FIXSECURITYDEFINITION]
[MsgSeqNum] 34 = 313
[SenderCompID] 49 = test
[TargetCompID] 56 = T4Test
[SenderSubID] 50 = T4FIX
[SendingTime] 52 = 20121015-17:27:40.297
[SecurityReqID] 320 = sc-10/15/2012 12:27:40 PM
[SecurityResponseID] 322 = sd-10/15/2012 12:27:40 PM
[SecurityResponseType] 323 = 4 (LIST_OF_SECURITIES_RETURNED_PER_REQUEST)
[Symbol] 55 = ES
[SecurityDesc] 107 = E-mini S&P 500 -Dec12+Mar13
[SecurityID] 48 = CME_20121200_ESZ2-ESH3
[SecurityExchange] 207 = CME_Eq
[MaturityMonthYear] 200 = 20121200
[SecurityType] 167 = FUT (FUTURE)
[SecuritySubType] 762 = 1 (CALENDAR_SPREAD)
[MinTradeVol] 562 = 1
[Currency] 15 = USD
[MinPriceIncrementAmount] 1146 = 2.5
[PriceRatio] 5770 = 5/1
[NoLegs] 555 = 2
[LegSymbol] 600 = ES
[LegRatioQty] 623 = -1
[LegSide] 624 = 2 (SELL)
[LegSecurityID] 602 = CME_20121200_ESZ2
[LegCurrency] 556 = USD
[LegSecurityExchange] 616 = CME_Eq
[LegSymbol] 600 = ES
[LegRatioQty] 623 = 1
[LegSide] 624 = 1 (BUY)
[LegSecurityID] 602 = CME_20130300_ESH3
[LegCurrency] 556 = USD
[LegSecurityExchange] 616 = CME_Eq
Sample Message for a (Call) Option
<< 10/15/2012 12:31:22 PM [fixsecuritydefinition] 34=892|49=test|56=T4Test|50=T4FIX|52=20121015-17:31:06.625|320=sc-10/15/2012 12:31:05 PM|322=sd-10/15/2012 12:31:06 PM|323=4|55=ES|107=E-mini S&P 500 Dec12 143000C|48=CME_20121200_ESZ2 C1430|207=CME_EqOp|200=20121200|167=OPT|762=0|201=1|202=143000|562=1|15=USD|1146=5;P<-500=25;P>500=25;|5770=5/1|
[FIXSECURITYDEFINITION]
[MsgSeqNum] 34 = 892
[SenderCompID] 49 = test
[TargetCompID] 56 = T4Test
[SenderSubID] 50 = T4FIX
[SendingTime] 52 = 20121015-17:31:06.625
[SecurityReqID] 320 = sc-10/15/2012 12:31:05 PM
[SecurityResponseID] 322 = sd-10/15/2012 12:31:06 PM
[SecurityResponseType] 323 = 4 (LIST_OF_SECURITIES_RETURNED_PER_REQUEST)
[Symbol] 55 = ES
[SecurityDesc] 107 = E-mini S&P 500 Dec12 143000C
[SecurityID] 48 = CME_20121200_ESZ2 C1430
[SecurityExchange] 207 = CME_EqOp
[MaturityMonthYear] 200 = 20121200
[SecurityType] 167 = OPT (OPTION)
[SecuritySubType] 762 = 0 (NONE)
[PutOrCall] 201 = 1 (CALL)
[StrikePrice] 202 = 143000
[MinTradeVol] 562 = 1
[Currency] 15 = USD
[MinPriceIncrementAmount] 1146 = 5;P<-500=25;P>500=25;
[PriceRatio] 5770 = 5/1
Sample Message for multileg strategy (Straddle)
<< 10/15/2012 12:28:00 PM [fixsecuritydefinition] 34=394|49=test|56=T4Test|50=T4FIX|52=20121015-17:27:57.646|320=sc-10/15/2012 12:27:57 PM|322=sd-10/15/2012 12:27:57 PM|323=4|55=ES|107=E-mini S&P 500 Straddle +Jan13 96000C+96000P|48=CME_33~EqOp,ES,2,201301,96000,1,0~,,3,,,,|207=CME_EqOp|200=20130100|167=OPT|762=33|562=1|15=USD|1146=5;P<-500=25;P>500=25;|5770=5/1|555=2|600=ES|623=1|624=1|602=CME_20130100_ESF3 C0960|556=USD|612=96000|1358=1|616=CME_EqOp|600=ES|623=1|624=1|602=CME_20130100_ESF3 P0960|556=USD|612=96000|1358=0|616=CME_EqOp|
[FIXSECURITYDEFINITION]
[MsgSeqNum] 34 = 394
[SenderCompID] 49 = test
[TargetCompID] 56 = T4Test
[SenderSubID] 50 = T4FIX
[SendingTime] 52 = 20121015-17:27:57.646
[SecurityReqID] 320 = sc-10/15/2012 12:27:57 PM
[SecurityResponseID] 322 = sd-10/15/2012 12:27:57 PM
[SecurityResponseType] 323 = 4 (LIST_OF_SECURITIES_RETURNED_PER_REQUEST)
[Symbol] 55 = ES
[SecurityDesc] 107 = E-mini S&P 500 Straddle +Jan13 96000C+96000P
[SecurityID] 48 = CME_33~EqOp,ES,2,201301,96000,1,0~,,3,,,,
[SecurityExchange] 207 = CME_EqOp
[MaturityMonthYear] 200 = 20130100
[SecurityType] 167 = OPT (OPTION)
[SecuritySubType] 762 = 33 (STRADDLE)
[MinTradeVol] 562 = 1
[Currency] 15 = USD
[MinPriceIncrementAmount] 1146 = 5;P<-500=25;P>500=25;
[PriceRatio] 5770 = 5/1
[NoLegs] 555 = 2
[LegSymbol] 600 = ES
[LegRatioQty] 623 = 1
[LegSide] 624 = 1 (BUY)
[LegSecurityID] 602 = CME_20130100_ESF3 C0960
[LegCurrency] 556 = USD
[LegStrikePrice] 612 = 96000
[LegPutOrCall] 1358 = 1 (CALL)
[LegSecurityExchange] 616 = CME_EqOp
[LegSymbol] 600 = ES
[LegRatioQty] 623 = 1
[LegSide] 624 = 1 (BUY)
[LegSecurityID] 602 = CME_20130100_ESF3 P0960
[LegCurrency] 556 = USD
[LegStrikePrice] 612 = 96000
[LegPutOrCall] 1358 = 0 (PUT)
[LegSecurityExchange] 616 = CME_EqOp