Page History: Security Definition
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Page Revision: 2012/10/15 12:57
Definition of a SecurityThe Security Definition message is used in defining the characteristics of exchanges, contracts and securities. It includes several tags that describe.
1. Accept the security defined in a Security Definition message.
2. Accept the security defined in a Security Definition message with changes to the definition and/or identity of the security.
3. Reject the security requested in a Security Definition message
Message Dictionary| Tag | Field Name | Req'd | Comments |
|---|
| Standard Header | Y | MsgType = c |
| 320 | SecurityReqID | Y | Security Definition Request identifier. Must be unique to distinguish security definition requests |
| 322 | SecurityResponseID | Y | Security Definition Request identifier. Must be unique to distinguish security definition requests |
| 321 | SecurityRequestType | Y | Type of Security Definition Request. Always set to 3 (i.e. Request List of Securities) |
| 263 | SecurityType | N | Indicates type of security. The following values can be used: |
| | | FUT = Futures |
| | | OPT = Options |
| | | STK = Stock |
| | | SYN = Synthetic |
| | | BIN = Binary Option |
| 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. |
| 201 | PutOrCall | N | Put Or Call identifier (for Options Security Type). The following values can be used: |
| | | 0 = Put |
| | | 1 = Call |
| | Standard Trailer | Y |
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
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