Page History: Security Definition
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Page Revision: 2013/02/21 11:11
Defining InstrumentsThe 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 |
| 40 | OrderType | N | Order Types supported by this market. T4 Order Types are provided as a bitwise logically-AND-ed integer. For instance, E-mini S&P March 2013 futures returns an order type integer of 142225 (whose binary is 100010101110101111). This value represents the following T4 order types as being supported: Market, Limit, StopMarket, StopLimit, ImmediateAndCancel, StatusRequest, StopSameLimit, GoodTillCancelled, MarketModeReliable, MaxShow and RFQ. The masks for the T4 order types are: |
| | | 0 = Market is view only |
| | | 1 = Market orders |
| | | 2 = Limit |
| | | 4 = Stop Market |
| | | 8 = Stop Limit |
| | | 16 = MarketOnOpen |
| | | 32 = ImmediateAndCancel |
| | | 64 = CompleteVolume |
| | | 128 = StatusRequest |
| | | 256 = StopSameLimit. |
| | | 512 = GoodTillCancelled |
| | | 1024 = MarketOnClose |
| | | 2048 = MarketModeReliable. Whether or not the market mode values are reliable for this market. i.e. Whether activation OnMarketMode order types and similar should be allowed. |
| | | 4096 = ImpliedMatching. Whether implied orders will match at the exchange or not |
| | | 8192 = MaxShow. Iceberg order type. |
| | | 16384 = NoQuotes. This market does not provide any quotes |
| | | 32768 = NoStrategyLegFills. This market does not provide strategy leg fills |
| | | 65536 = NoDayOrders. This market does not support day orders (Time-In-Force). |
| | | 131072 = RFQ. This market supports RFQ's. |
| | 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) identifier 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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