FIX Gateway

Security Definition (d) Message

Purpose

Used by a third-party FIX acceptor to send contract information in response to a Security Definition Request (c) message

Message Direction

From a third-party FIX acceptor to the TT FIX Price Gateway

Supported Tags

Tag # Field Name Req’d Data type Comments
Component: Standard Header Y 35=d (MsgType)
320 SecurityReqID Y String

Unique ID sent in the Security Definition Request (c) message

The third party FIX acceptor must return this value in all responses associated with the initial request.

322 SecurityResponseID Y int

Unique ID for this Security Definition (d) message

Component: Instrument Y

Instrument associated with this message

167 SecurityType Y String

Asset class of the instrument

Possible values include:

  • FUT: future
  • MLEG: multi-leg
  • OPT: option
  • TBOND: US Treasury Bond
200 MaturityMonthYear C MonthYear

Month and year the instrument reaches maturity in the format YYYYMM

Condition: Send when Tag 167 (SecurityType) is not MLEG.

541 MaturityDate Y LocalMktDate

Maturity date in format YYYYMMDD

Note: The instrument name that displayed on the TT front end is a combination of the values provided in tag 55 (Symbol) and tag 541 (MaturityDate). For example, if tag 55 = ABC and tag 541 = 20260215, the TT front end will show ABC Feb26.

18211 DeliveryTerm C char

Term of delivery for the instrument

The third-party FIX acceptor should use this value to identify contracts that do not have a monthly delivery term.

Possible values include:

  • A: Same day
  • B: Balance of month
  • D: Day
  • L: Balance of week
  • N: Next day
  • Y: Year

Condition: Send when the delivery term is not monthly.

201 PutOrCall C int

Whether the option represents a put or call

Possible values include:

  • 0: Put
  • 1: Call

Condition: Send when Tag 167 (SecurityType) is OPT.

202 StrikePrice C Price

Strike price for an option

Condition: Send when Tag 167 (SecurityType) is OPT.

15 Currency Y Currency

ISO-standard symbol for the instrument’s trading currency

16451 PriceDisplayType N int

Price code for indicating how TT formats the price for display purposes in the Trade app.

Note: Please contact TT before sending this value.

Component: Security Alt ID Group

Repeating group of alternate security IDs this multi-leg instrument

454 NoSecurityAltID C int

Number of alternate security IDs contained in this repeating group

Condition: Send when there are one or more alternate security IDs.

455 SecurityAltID C String

Alternate ID for an instrument or security, typically for display purposes

Condition: Send when tag 454 (NoSecurityAltId) > 0.

456 SecurityAltIDSource C String

Class or source of the SecurityAltID (455) value

Possible values include:

  • 1: CUSIP
  • 5: RIC code
  • 97: Alias
  • 98: Name
  • 99: Other

Condition: Send when tag 454 (NoSecurityAltId) > 0.

Component: Leg Instrument Group

Repeating group of legs for a multileg instrument

The leg instrument group component block uses the same structure as the instrument component block sent from a third-party FIX acceptor to a FIX Price Gateway, except that all of its tags represent the legs of an exchange-traded strategy. For example, instead of Tag 55 (Symbol) this block contains Tag 600 (LegSymbol).

555 NoLegs C int

Number of legs in the repeating group

Can be zero (e.g. standardized multileg instrument such as an Option strategy). The value must be provided even if zero.

Condition: Send when the value of tag 167 (SecurityType) is MLEG.

762 SecuritySubType C String

Exchange-listed strategy type

Possible values include:

  • "Unknown"
  • "Strangle"
  • "Straddle"
  • "Guts"
  • "Ladder"
  • "Volatility Trade"
  • "Iron BFly"
  • "Box"
  • "Combo"
  • "2X1 Ratio"
  • "Misc. Call/Put Spread"
  • "Conversion/Reversal"
  • "Diag Calendar"
  • "Strad Calendar"
  • "Diag Strad Calendar"
  • "Inter-Product"
  • "Calendar"
  • "Condor"
  • "Butterfly"
  • "Strip"
  • "Pack"
  • "Bundle"
  • "Synthetic Conv/Rev"
  • "Call Spread vs. Put"
  • "Put Spread vs. Call"
  • "Straddle vs. Call/Put"
  • "Hedged Call/Put Spread"
  • "Hedged Straddle"
  • "Hedged Call Spread versus Put"
  • "Hedged Put Spread versus Call"
  • "Hedged Ladder"
  • "Hedged Combo"
  • "Vol 1x2 Ratio"
  • "Vol Calendar"
  • "Jelly Roll"
  • "Iron Condor"
  • "Option Strip"
  • "Reduced Tick Spread"
  • "Hedged Strangle"
  • "Spread"
  • "Hedged Call/Put Diag Calendar Spread"
  • "Hedged Straddle Calendar Spread"
  • "Hedged Diagonal Straddle Calendar Spread"
  • "Hedged Butterfly"
  • "Hedged Iron Condor"
  • "Hedged Condor"
  • "Hedged Iron Butterfly"
  • "Hedged Guts"
  • "Cabinet"
  • "Conversion/Reversal vs. Short U/L"
  • "Buy/Write"
  • "Vertical"
  • "Custom Market"
  • "Covered"
  • "Horizontal"
  • "X-Mas Tree"
  • "Risk Reversal"
  • "Horizontal Straddle"
  • "Double"
  • "Conditional Curve"
  • "Straddle Strip"
  • "_3-Way"
  • "_1x2 Ratio"
  • "_1x3 Ratio"
  • "_2x3 Ratio"
  • "Pack Butterfly"
  • "Double Butterfly"
  • "Month vs. Pack"
  • "Crack"
  • "Hedged Vertical"
  • "Hedged Horizontal"
  • "Hedged X-Mas Tree"
  • "Hedged Strip"
  • "Hedged Risk Reversal"
  • "Hedged Horizontal Straddle"
  • "Hedged Double"
  • "Hedged Conditional Curve"
  • "Hedged Straddle Strip"
  • "Hedged 3-Way"
  • "Hedged Box"
  • "Tailor Made Combinations"
  • "ICS"
  • "Non Standard Combination"
  • "_3-Way Straddle vs. Call"
  • "_3-Way Straddle vs. Put"
  • "Custom Carry"
  • "Reverse Reduced Tick Calendar Spread"

Condition: Send only when tag 167="MLEG".

Component: Leg Instrument
600 LegSymbol C String

Leg instrument's symbol

Condition: Send when Tag 555 (NoLegs) > 0.

602 LegSecurityId C String

ID that uniquely identifies an instrument

The value must match one of the IDs provided in response to the Security Definition Request (c) made at connection initiation.

Condition: Send when Tag 555 (NoLegs) > 0.

609 LegSecurityType C String

Instrument's security type

Possible values include:

  • FUT: future
  • MLEG: multi-leg
  • OPT: option

Condition: Send when Tag 555 (NoLegs) > 0.

610 LegSecurityMonthYear C MonthYear

Leg instrument's MaturityMonthYear

Condition: Send when Tag 555 (NoLegs) > 0 and when tag 609 (LegSecurityType) is not MLEG.

611 LegMaturityDate Y LocalMktDate

Leg instrument's MaturityDate

18212 LegDeliveryTerm C char

Term of delivery for the leg instrument

The third-party FIX acceptor should use this value to identify contracts that do not have a monthly delivery term.

Possible values include:

  • A: Same day
  • B: Balance of month
  • D: Day
  • L: Balance of week
  • N: Next day
  • Y: Year

Condition: Send when Tag 555 (NoLegs) > 0 and the delivery term is not monthly.

1358 LegPutOrCall C int

Whether the option represents a put or call

Possible values include:

  • 0: Put
  • 1: Call

Condition: Send when when Tag 609 (LegSecurityType) is OPT.

612 LegStrikePrice C Price

Leg instrument's StrikePrice

Condition: Send when Tag 555 (NoLegs) > 0 0 and when tag 609 (LegSecurityType) is OPT.

556 LegCurrency C Currency

Currency associated with a particular leg's price

Condition: Send when Tag 555 (NoLegs) > 0.

624 LegSide C char

Side of this individual leg (multi-leg security)

Possible values include:

  • 1: Buy
  • 2: Sell

Condition: Send when Tag 555 (NoLegs) > 0.

623 LegRatioQty C Qty

The value represents one of the following:

  • For a leg of a covered strategy (such as a volatility trade), the value represents the delta (expressed as an integer between 1 and 100).
  • In all other cases, the value represents the quantity of this leg in the strategy.

Condition: Send when Tag 555 (NoLegs) > 0.

566 LegPrice C Price

Price of the leg for a multi-leg instrument

Condition: Send when Tag 555 (NoLegs) > 0 and Tag 623 (LegRatioQty) represents the delta for a covered strategy.

393 TotalNumSecurities Y int

Number of securities that match the Security Definition Request (c) message

231 ContractMultiplier Y float

Specifies the ratio or multiply factor to convert from "nominal" units (e.g. contracts) to total units (e.g. shares) (e.g. 1.0, 100, 1000, etc)

969 MinPriceIncrement Y decimal

Size of one tick for this instrument

1146 MinPriceIncrementAmount Y decimal

Value of one tick for this instrument

864 NoEvents Y NumInGroup

Number of EventType entries in the repeating group

Currently, TT FIX Gateway uses this group only for the Last Trade Date of the security. Therefore, send 864=1.

865 EventType Y int

Code to represent the type of event

TT supports only value 6 (Inactivation) to represent the Last Trade Date

866 EventDate Y LocalMktDate

Last Trade Date for the security

867 EventPx N Price

Predetermined price of issue at event, if applicable

Note: TT FIX Gateway does not currently use this tag.

868 EventText N String

Comments related to the event

Note: TT FIX Gateway does not currently use this tag.

Component: Standard Trailer Y

Message Notes

The Security Definition (d) message is used to send information about an exchange-listed instrument. The third-party FIX acceptor sends one or more of these messages to a TT FIX Price Gateway in response to a Security Definition Request (c). A security definition contains all standing data at the markets.. The third-party FIX acceptor should send Security Definition (d) messages for all contracts and send new Security Definition (d) messages if any of the contract details, such as tick size, change.

Related Information

Security Definition Request (c)