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Page Revision: 2012/10/16 11:24

Defining Instruments

The Security Definition message (Tag 35=d) is used to define the characteristics of exchanges, contracts and specific instruments (markets). 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).
200	MaturityMonthYear	N	Specifies the month and year of maturity.
562	MinTradeVol	N	The minimum trading volume for the security.
5770	Price Ratio	N	Price Ratio as a fraction of Numerator to Denominator. Reduced Ticks Spreads also provide ratios as delineated with the RTS acronym.
1146	MinPriceIncrementAmount	N	The minimum increment for prices. If appropriate, Variable Tick Tables are also provided (e.g. 5;P<-500=25;p>500=25 indicates a minimum price increment of 5 except when prices are below -500 and above 500 for which a minimum price increment of 25 is applied).
201	PutOrCall	N	Put Or Call identifier (for Options Security Type). The following values can be used:
			0 = Put
			1 = Call
167	SecurityType	N	Indicates type of security. Valid values are:
			FUT = Futures
			OPT = Options
			STK = Stock
			SYN = Synthetic
			BIN = Binary Option
762	SecuritySubType	N	Security SubType that further describes the security. The following values can be used:
			0 = None
			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 the T4 Contract ID for this leg. It must be the first tag of this group.
623	LegRatioQty	N	Individual leg Quantity Ratio. A negative value indicates a LegSide of Sell.
624	LegSide	N	Individual leg Side. Valid Values are:
			1 = Buy
			2 = Sell
609	LegSecurityType	N	Individual leg Security Type. Valid values are:
			FUT = Futures
			OPT = Options
602	LegSecurityID	N	Individual leg Security (Market) indentifier for multi-leg instrument. This is T4 Market ID for this leg.
556	LegCurrency	N	Individual leg Currency for multi-leg instrument.
612	LegStrikePrice	N	Individual leg strike (for Options Security Type).
1358	LegPutOrCall	N	Individual leg Put or Call (for Options Security Type). Valid values are:
			0 = Put
			1 = Call
616	LegSecurityExchange	N	Individual leg Exchange. This is the T4 Exchange ID for this leg.
	End Repeating Group
	Standard Trailer	Y

Sample Messages


Sample Message for an Outright

<< 10/15/2012 4:39:54 PM  [fixsecuritydefinition] 34=62|49=T4|56=T4Example|50=T4FIX|52=20121015-21:39:53.211|320=sc-10/15/2012 4:39:53 PM|322=sd-10/15/2012 4:39:53 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 = 62
[SenderCompID] 49 = T4
[TargetCompID] 56 = T4Example
[SenderSubID] 50 = T4FIX
[SendingTime] 52 = 20121015-21:39:53.211
[SecurityReqID] 320 = sc-10/15/2012 4:39:53 PM
[SecurityResponseID] 322 = sd-10/15/2012 4:39:53 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 4:22:45 PM  [fixsecuritydefinition] 34=245|49=T4|56=T4Example|50=T4FIX|52=20121015-21:22:45.785|320=sc-10/15/2012 4:22:45 PM|322=sd-10/15/2012 4:22:45 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|609=FUT|602=CME_20121200_ESZ2|556=USD|616=CME_Eq|600=ES|623=1|624=1|609=FUT|602=CME_20130300_ESH3|556=USD|616=CME_Eq|
[FIXSECURITYDEFINITION]
[MsgSeqNum] 34 = 245
[SenderCompID] 49 = T4
[TargetCompID] 56 = T4Example
[SenderSubID] 50 = T4FIX
[SendingTime] 52 = 20121015-21:22:45.785
[SecurityReqID] 320 = sc-10/15/2012 4:22:45 PM
[SecurityResponseID] 322 = sd-10/15/2012 4:22:45 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)
[LegSecurityType] 609 = FUT
[LegSecurityID] 602 = CME_20121200_ESZ2
[LegCurrency] 556 = USD
[LegSecurityExchange] 616 = CME_Eq
[LegSymbol] 600 = ES
[LegRatioQty] 623 = 1
[LegSide] 624 = 1 (BUY)
[LegSecurityType] 609 = FUT
[LegSecurityID] 602 = CME_20130300_ESH3
[LegCurrency] 556 = USD
[LegSecurityExchange] 616 = CME_Eq

Sample Message for a (Call) Option

<< 10/15/2012 4:23:24 PM  [fixsecuritydefinition] 34=822|49=T4|56=T4Example|50=T4FIX|52=20121015-21:23:23.521|320=sc-10/15/2012 4:23:22 PM|322=sd-10/15/2012 4:23:23 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 = 822
[SenderCompID] 49 = T4
[TargetCompID] 56 = T4Example
[SenderSubID] 50 = T4FIX
[SendingTime] 52 = 20121015-21:23:23.521
[SecurityReqID] 320 = sc-10/15/2012 4:23:22 PM
[SecurityResponseID] 322 = sd-10/15/2012 4:23:23 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 4:23:07 PM  [fixsecuritydefinition] 34=327|49=T4|56=T4Example|50=T4FIX|52=20121015-21:23:04.442|320=sc-10/15/2012 4:23:03 PM|322=sd-10/15/2012 4:23:04 PM|323=4|55=ES|107=E-mini S&P 500 Straddle +Jan13 42500C+42500P|48=CME_33~EqOp,ES,2,201301,42500,1,0~,,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|609=OPT|602=CME_20130100_ESF3 C0425|556=USD|612=42500|1358=1|616=CME_EqOp|600=ES|623=1|624=1|609=OPT|602=CME_20130100_ESF3 P0425|556=USD|612=42500|1358=0|616=CME_EqOp|
[FIXSECURITYDEFINITION]
[MsgSeqNum] 34 = 327
[SenderCompID] 49 = T4
[TargetCompID] 56 = T4Example
[SenderSubID] 50 = T4FIX
[SendingTime] 52 = 20121015-21:23:04.442
[SecurityReqID] 320 = sc-10/15/2012 4:23:03 PM
[SecurityResponseID] 322 = sd-10/15/2012 4:23:04 PM
[SecurityResponseType] 323 = 4 (LIST_OF_SECURITIES_RETURNED_PER_REQUEST)
[Symbol] 55 = ES
[SecurityDesc] 107 = E-mini S&P 500 Straddle +Jan13 42500C+42500P
[SecurityID] 48 = CME_33~EqOp,ES,2,201301,42500,1,0~,,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)
[LegSecurityType] 609 = OPT
[LegSecurityID] 602 = CME_20130100_ESF3 C0425
[LegCurrency] 556 = USD
[LegStrikePrice] 612 = 42500
[LegPutOrCall] 1358 = 1 (CALL)
[LegSecurityExchange] 616 = CME_EqOp
[LegSymbol] 600 = ES
[LegRatioQty] 623 = 1
[LegSide] 624 = 1 (BUY)
[LegSecurityType] 609 = OPT
[LegSecurityID] 602 = CME_20130100_ESF3 P0425
[LegCurrency] 556 = USD
[LegStrikePrice] 612 = 42500
[LegPutOrCall] 1358 = 0 (PUT)
[LegSecurityExchange] 616 = CME_EqOp

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