Page History: Security Definition Request
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Page Revision: 2012/10/15 12:07
Definition of SecuritiesThe T4 FIX API provides a mechanism to list the securities available for trading and market data streaming. For outrights, spreads, options and multilegged strategies, the result sets contain information about Exchange identifier, Contract identifier, Market identifier, symbology, pricing, minimum trading volumes, minimum price amount (including Variable Tick Tables), quantity leg ratios, buy/sell sides, put/call type, strikes, etx. The Security Definition Request message (Tag 35=c) provides the conerstone to interrogate T4 for the available exchanges, contract within each exchange and markets for a specific contract. In all cases, the Security Request Type (Tag 321) is set to request list of Securities (Tag 321=3). The combinations of Security Type (Tag 167), Security Exchange (Tag 207), Symbol (55) and SecurityID (TAg 48) determines the set of data returned by the FIX API.
Under the FIX T4 API, securities are defined by the Exchange, contracts within an exchange and markets for a specific contract (Tag 48). Exchanges are identified by an unique Exchange ID in Tag 207 (SecurityExchange). Contracts are characterized by its Contract ID in Tag 55 (Symbol). Markets are identified by an unique Market ID by Tag 48 (SecurityID).
The Security definition message capabilities cover the following uses:
1.
List Exchanges (Get Exchange IDs): SecurityType (Tag 167) only needs to be specified as input. This request returns all Exchange IDs in the SecurityExchange (Tag 207) with a corresponding description.
2.
List Contracts within an Exchange (Get Contract IDs). SecurityType (Tag 167) needs to be specified as input. SecurityExchange (Tag 207) must also contain the exchange name for which the contract list is requested. When appropriate to refine an option query, the PutOrCall parameter can also be specified (Tag 201). As a result, the request returns all Contract IDs in the Symbol (Tag 55) with a contract description (in the SecurityDesc Tag=107).
3.
List Markets of a Specific Contract (Get Market IDs). SecurityType (Tag 167) needs to be specified as input. SecurityExchange (Tag 207) and Symbol (Tag 55) must also be provided to determine the contract for which the market list is requested. Among other market descriptive parameters, the Market ID is returned in the SecurityID (Tag 48).
4.
List a Specific Market (Get Market ID). To request information about specific market the Get Market IDs request (just above) is augmented to also include the Market ID (via Tag 48) of the specific security. That is, to pinpoint the market in the request, the input parameters will include Security Type (Tag 167), SecurityExchange (Tag 207), Symbol (Tag 55) and SecurityID (Tag 48). The descriptive parameters for this specific Market ID are returned with this request.
Message Dictionary| Tag | Field Name | Req'd | Comments |
|---|
| Standard Header | Y | MsgType = V |
| 262 | SecurityReqID|| Y | Must be unique to distinguish security definition requests |
| 321 | SecurityRequestType | Y | Type of Security Definition Request. Always set to 3 (Request List of Securities). |
| 263 | SecurityType | N | Type of Security Definition Request. |
| | | FUT = Futures. |
| | | OPT = Options. |
| | | STK = Stock. |
| | | SYN = Synthetic. |
| | | BIN = Binary Option. |
| 207 | SecurityExchange | N | Exchange. |
| 55 | Symbol | N | Contract within an Exchange. |
| 48 | SecurityID | N | Security (Market) for a given contract. |
| 201 | PutOrCall|| N | Put Or Call Identifier (for Options Security Type) |
| | | 0 = Put. |
| | | 1 = Call. |
| | Standard Trailer | Y |
Sample Messages
Requesting all exchanges
>> 9/28/2012 3:41:16 PM [FIXSECURITYDEFINITIONREQUEST] 34=5|49=T4Test|56=test|52=20120928-20:41:16.125|320=sc-9/28/2012 3:41:16 PM|321=3|167=FUT|
[FIXSECURITYDEFINITIONREQUEST]
[MsgSeqNum] 34 = 5
[SenderCompID] 49 = T4Test
[TargetCompID] 56 = test
[SendingTime] 52 = 20120928-20:41:16.125
[SecurityReqID] 320 = sc-9/28/2012 3:41:16 PM
[SecurityRequestType] 321 = 3 (REQUEST_LIST_SECURITIES)
[SecurityType] 167 = FUT (FUTURE)
Requesting all contracts for a specific exchange
>> 9/28/2012 3:40:14 PM [FIXSECURITYDEFINITIONREQUEST] 34=2|49=T4Test|56=test|52=20120928-20:40:14.707|320=sc-9/28/2012 3:40:14 PM|321=3|167=FUT|207=D_F|
[FIXSECURITYDEFINITIONREQUEST]
[MsgSeqNum] 34 = 2
[SenderCompID] 49 = T4Test
[TargetCompID] 56 = test
[SendingTime] 52 = 20120928-20:40:14.707
[SecurityReqID] 320 = sc-9/28/2012 3:40:14 PM
[SecurityRequestType] 321 = 3 (REQUEST_LIST_SECURITIES)
[SecurityType] 167 = FUT (FUTURE)
[SecurityExchange] 207 = D_F
Requesting all markets for a specific contract
>> 9/28/2012 3:42:17 PM [FIXSECURITYDEFINITIONREQUEST] 34=7|49=T4Test|56=test|52=20120928-20:42:17.495|320=sc-9/28/2012 3:42:17 PM|321=3|55=F|167=FUT|207=D_F|
[FIXSECURITYDEFINITIONREQUEST]
[MsgSeqNum] 34 = 7
[SenderCompID] 49 = T4Test
[TargetCompID] 56 = test
[SendingTime] 52 = 20120928-20:42:17.495
[SecurityReqID] 320 = sc-9/28/2012 3:42:17 PM
[SecurityRequestType] 321 = 3 (REQUEST_LIST_SECURITIES)
[Symbol] 55 = F
[SecurityType] 167 = FUT (FUTURE)
[SecurityExchange] 207 = D_F
Requesting a specific market
>> 9/28/2012 3:39:04 PM [FIXSECURITYDEFINITIONREQUEST] 34=9|49=T4Test|56=test|52=20120928-20:39:04.757|320=sc-9/28/2012 3:39:04 PM|321=3|55=F|167=FUT|207=D_F|48=D_F_F_20120900|
[FIXSECURITYDEFINITIONREQUEST]
[MsgSeqNum] 34 = 9
[SenderCompID] 49 = T4Test
[TargetCompID] 56 = test
[SendingTime] 52 = 20120928-20:39:04.757
[SecurityReqID] 320 = sc-9/28/2012 3:39:04 PM
[SecurityRequestType] 321 = 3 (REQUEST_LIST_SECURITIES)
[Symbol] 55 = F
[SecurityType] 167 = FUT (FUTURE)
[SecurityExchange] 207 = D_F
[SecurityID] 48 = D_F_F_20120900
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