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Page Revision: 2012/10/15 12:40


320 SecurityReqID 322 SecurityResponseID Identifier for the Security Definition message 323 SecurityResponseType 393 TotalNumSecurities 55 Symbol Symbol of the requested Security 48 SecurityID Security ID of the requested Security 167 SecurityType Type of Security

762 SecuritySubType Must be specified if a Future or Option. If a Future: Symbol, SecurityType, and MaturityMonthYear are required. If an Option: Symbol, SecurityType, MaturityMonthYear, PutOrCall, and StrikePrice are required.

Set to "?" if Security Definition Request is looking for the Security Types 200 MaturityMonthYear Specifiesthe month and year of maturity. Required if MaturityDay is specified. 201 PutOrCall For Options. 202 StrikePrice For Options. 207 SecurityExchange 107 SecurityDesc 15 Currency 58 Text Comment, instructions, or other identifying information.

Repeating Group 555 NoLegs Number of legs Component(-) InstrumentLeg Leg Must be provided if Number of legs > 0

600 LegSymbol @Sym 601 LegSymbolSfx @Sfx 602 LegSecurityID @ID 603 LegSecurityIDSource @Src Component(-) LegSecAltIDGrp LegAID

Repeating Group 604 NoLegSecurityAltID @NoLegSecAltID 605 LegSecurityAltID @SecAltID 606 LegSecurityAltIDSource @SecAltIDSrc end Repeating Group end Component

607 LegProduct @Prod 608 LegCFICode @CFI 609 LegSecurityType @SecTyp 764 LegSecuritySubType @SecSubTyp 610 LegMaturityMonthYear @MMY 611 LegMaturityDate @Mat 1212 LegMaturityTime @MatTm 248 LegCouponPaymentDate @CpnPmt 249 LegIssueDate @Issued 250 LegRepoCollateralSecurityType @RepoCollSecTyp FIX.4.4 251 LegRepurchaseTerm @RepoTrm FIX.4.4 252 LegRepurchaseRate @RepoRt FIX.4.4 253 LegFactor @Fctr 257 LegCreditRating @CrdRtg 599 LegInstrRegistry @Rgstry 596 LegCountryOfIssue @Ctry 597 LegStateOrProvinceOfIssue @StOrProvnc 598 LegLocaleOfIssue @Lcl 254 LegRedemptionDate @Redeem FIX.4.4 612 LegStrikePrice @Strk 942 LegStrikeCurrency @StrkCcy 613 LegOptAttribute @OptA 614 LegContractMultiplier @Cmult 1436 LegContractMultiplierUnit @MultTyp 1440 LegFlowScheduleType @FlowSchedTyp 999 LegUnitOfMeasure @UOM 1224 LegUnitOfMeasureQty @UOMQty 1421 LegPriceUnitOfMeasure @PxUOM 1422 LegPriceUnitOfMeasureQty @PxUOMQty 1001 LegTimeUnit @TmUnit Used to indicate a time unit for the contract (e.g., days, weeks, months, etc.) 1420 LegExerciseStyle @ExerStyle 615 LegCouponRate @CpnRt 616 LegSecurityExchange @Exch 617 LegIssuer @Issr 618 EncodedLegIssuerLen @EncLegIssrLen 619 EncodedLegIssuer @EncLegIssr 620 LegSecurityDesc @Desc 621 EncodedLegSecurityDescLen @EncLegSecDescLen 622 EncodedLegSecurityDesc @EncLegSecDesc 623 LegRatioQty @RatioQty Specific to the (not in ) 624 LegSide @Side Specific to the (not in ) 556 LegCurrency @Ccy Specific to the (not in ) 740 LegPool @Pool Identifies MBS / ABS pool 739 LegDatedDate @Dated 955 LegContractSettlMonth @CSetMo 956 LegInterestAccrualDate @IntAcrl 1358 LegPutOrCall @PutCall Used to express option right 1017 LegOptionRatio @LegOptionRatio LegOptionRatio is provided on covering leg to create a delta neutral spread. In Listed Derivatives, the delta of the leg is multiplied by LegOptionRatio and OrderQty to determine the covering quantity. 566 LegPrice @Px Used to specify an anchor price for a leg as part of the definition or creation of the strategy - not used for execution price.

Component(-) StandardTrailer

Sample Messages




Sample 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

<br/>
Sample Message for multileg strategy (Straddle)
<br/>
<< 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 @@

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