TT® FIX

Component block: <Instrument> (FIX client request)

Overview

When sending the instrument component block in a FIX client request, you can specify the instrument in any of the following methods:

These methods can be used as follows:

  • You can use the security ID method for all cases.
  • You can only use the security Alt ID method for contracts for which the exchange populates Tag 455 (SecurityAltID).
  • You can use the security name method for all contracts on all exchanges with the following exceptions. Note that you cannot use the security name method for ICE contracts that use daily, weekly, variable, and undefined delivery terms.

When specifying by security ID

Instead of including the entire instrument block when communicating with TT FIX, client applications can use Tag 48 (SecurityID) and Tag 55 (Symbol).

Tag # Field Name Req'd Data type Comments
48 SecurityID Y String

ID of the instrument.

Note: The combination of this tag and tag 22 (IDSource) must uniquely identify an instrument in the TT platform.

22 IDSource Y String

Source for the value of tag 48 (SecurityID).

Possible values include:

  • 4: ISIN number
  • 5: RIC code
  • 8: Exchange symbol
  • 96: TT security ID
  • 97: Alias
  • 98: Name
  • X: Series key

Note: The following markets support RIC codes (22=5) for identifying futures, spreads and options instruments in tag 48 (SecurityID):

  • ASX
  • CFE
  • CME
  • EUREX
  • Euronext
  • ICE
  • MX
  • SGX

Note: The combination of this tag and tag 48 (SecurityID) must uniquely identify an instrument in the TT platform.

55 Symbol Y String

Exchange-provided product symbol for the tradable product.

When specifying by alternate security ID

For those exchanges that support alternate security ID (sometimes called aliases), client applications can use Tag 455 (SecurityAltID) to specify its alternate security ID. As instruments on different exchanges can share the same value for SecurityAltID, including SecurityExchange creates a unique identifier for each instrument.

Tag # Field Name Req'd Data type Comments
207 SecurityExchange C Exchange

Name of the market where the instrument trades.

TT FIX uses this value to identify the exchange that offers the security.

Possible values include:

  • AGGREGATOR
  • ASE
  • ASX
  • BrokerTec
  • BVMF
  • CFE
  • CME
  • EEX
  • Eris
  • eSpeed
  • Eurex
  • Euronext
  • ICE
  • ICE_L
  • KCG
  • MEFF
  • MX
  • NDAQ_EU
  • NFX
  • NLX
  • OSE
  • SGX
  • TFX
  • TOCOM

Condition: Required when Tag 100 (ExtDestination) is absent

OR
100 ExDestination C Exchange

New tag for TT

Market Identifier Code (MIC) of the sub-market where the instrument trades.

Execution destination for the order as defined by the institution

Some traders use this tag in place of Tag 207 (SecurityExchange) to identify the exchange.

ISO 10383 defines a comprehensive list of MIC codes.

Condition: Required when Tag 207 (SecurityExchange) is absent

454 NoSecurityAltID Y NumInGroup

Replaces 7.X tag 10454 (NoSecurityAltID)

Number of alternate security IDs in this repeating group

455 SecurityAltID Y String

Replaces 7.X tag 10455 (SecurityAltID)

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

456 SecurityAltIDSource Y String

Replaces 7.X tag 10456 (SecurityAltIDSource)

Alternate ID for an instrument or security

Possible values include:

  • 4: ISIN number
  • 5: RIC code
  • 8: Exchange security ID
  • 95: Clearport
  • 97: Alias
  • 98: Name
  • 99: Other

Note: 99 (Other) is not valid for order routing requests.

55 Symbol Y String

Exchange-provided product symbol for the tradable product.

167 SecurityType Y String

Asset class of the instrument.

Possible values include:

  • FUT: future
  • MLEG: multi-leg
  • OPT: option
  • SPOT: EEX spot products
  • TBOND: treasury bond
  • NONE: No security type

When specifying by security name

You can also identify instruments by specifying its name and characteristics. You might use this method if your application or business practices do not use security IDs.

Tag # Field Name Req'd Data type Comments
207 SecurityExchange C Exchange

Name of the market where the instrument trades.

TT FIX uses this value to identify the exchange that offers the security.

Possible values include:

  • AGGREGATOR
  • ASE
  • ASX
  • BrokerTec
  • BVMF
  • CFE
  • CME
  • EEX
  • Eris
  • eSpeed
  • Eurex
  • Euronext
  • ICE
  • ICE_L
  • KCG
  • MEFF
  • MX
  • NDAQ_EU
  • NFX
  • NLX
  • OSE
  • SGX
  • TFX
  • TOCOM

Condition: Required when Tag 100 (ExtDestination) is absent

OR
100 ExDestination C Exchange

New tag for TT

Name of the sub-market where the instrument trades.

Execution destination for the order as defined by the institution

Some traders use this tag in place of Tag 207 (SecurityExchange) to identify the exchange.

ISO 10383 defines a comprehensive list of MIC codes.

Condition: Required when Tag 207 (SecurityExchange) is absent

167 SecurityType Y String

Asset class of the instrument.

Possible values include:

  • FUT: future
  • MLEG: multi-leg
  • OPT: option
  • SPOT: EEX spot products
  • TBOND: treasury bond
  • NONE: No security type
55 Symbol C String

Exchange-provided product symbol for the tradable product.

Condition: Not used when Tag 167 (SecurityType)=MLEG.

200 MaturityMonthYear C MonthYear

Month and year the instrument reaches maturity in the format YYYYMM.

Note: If included, tag 541 (MaturityDate) will override this tag.

Condition: Required when Tag 167 (SecurityType) is not MLEG

541 MaturityDate C LocalMktDate

New tag for TT

Maturity date in format YYYYMMDD.

Note: This tag value overrides tag 200 (MaturityMonthYear) and tag 205 (MaturityDay), if they are also specified.

Condition: Required when Tag 167 (SecurityType) is not MLEG

205 MaturityDay C DayOfMonth

Day of expiration for the instrument.

TT FIX uses this value and Tag 200 (MaturityMonthYear) to specify the maturity date when Tag 167 (SecurityType) is not MLEG.

Range: 1-31

Note: If included, tag 541 (MaturityDate) will override this tag.

Condition: Required when multiple contracts exist for the same month

18223 ContractYearMonth N String

Contract term in the form, YYYYMMM

18211 DeliveryTerm C char

Term of delivery for the instrument.

TT FIX uses 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
  • E: Weekly
  • L: Balance of week
  • M: Month
  • N: Next day
  • P: Pack
  • Q: Quarterly
  • S: Seasonal
  • T: Weekend
  • U: Bundle
  • V: Variable
  • W: Week
  • X: Custom
  • Y: Year

Condition: Required when both of the following are true:

  • The Security Definition indicates it is required.
  • The delivery term is not monthly.

Note: If you include this tag for instrument's that do not require it, TT FIX rejects the request.

743 DeliveryDate N LOCALMKTDATE

Date for contract delivery

201 PutOrCall C int

Whether the option represents a put or call

Possible values include:

  • 0: Put
  • 1: Call

Condition: Required when Tag 167 (SecurityType) is OPT

202 StrikePrice C Price

Stirke price for an option

Condition: Required when Tag 167 (SecurityType) is OPT

206 OptAttribute C char

Additional information about the option contract.

Condition: Required when both of the following are true:

  • Tag 167 (SecurityType) is OPT.
  • A version for the underlying instrument exists.
Component: Leg Instrument Group C Group

Repeating group of legs in a multileg instrument

The leg instrument group component block uses the same structure as the instrument component block sent from TT FIX to FIX clients, 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).

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

762 SecuritySubType Y String

Sub-type qualification or identification of the SecurityType

For example, an instrument with SecurityType(167)="MLEG" might use this tag to specify the name of the option or futures strategy, such as "Calendar", "Vertical", or "Butterfly"

555 NoLegs Y String

Replaces 7.X tag 146 (NoRelatedSym)

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.

Component: Leg Instrument
616 LegSecurityExchange C Exchange

Replaces 7.X tag 308 (UnderlyingSecurityExchange)

Multi-leg instrument's individual security's SecurityExchange.

Possible values include:

  • ASX
  • BrokerTec
  • BVMF
  • CFE
  • CME
  • EEX
  • Eris
  • eSpeed
  • Eurex
  • Euronext
  • ICE
  • ICE_L
  • KCG
  • MEFF
  • MX
  • NDAQ_EU
  • NFX
  • NLX
  • OSE
  • SGX
  • TFX
  • TOCOM

Condition: Required when Tag 18100 (LegExtDestination) and Tag 602 (LegSecurityId) are absent

OR
18100 LegExDestination C Exchange

New tag for TT

Execution destination for the leg order as defined by the institution

Some traders use this tag in place of Tag 207 (SecurityExchange) to identify the exchange.

ISO 10383 defines a comprehensive list of MIC codes.

Condition: Required when Tag 616 (LegSecurityExchange) and Tag 602 (LegSecurityId) are absent

OR
602 LegSecurityId C String

Replaces 7.X tag 309 (UnderlyingSecurityID)

TT security ID that uniquely identifies the instrument in the TT platform.

Condition: Required when Tag 18100 (LegExtDestination) and Tag 616 (LegSecurityExchange) are absent

Note: If you supply this tag, you do not need to supply any other tags to identify the leg instrument.

600 LegSymbol N String

Replaces 7.X tag 311 (UnderlyingSymbol)

Multi-leg instrument's individual security's Symbol.

Condition: Required when Tag 167 (SecurityType)=MLEG.

See Symbol (55) field for description

609 LegSecurityType N String

Replaces 7.X tag 310 (UnderlyingSecurityType)

Multi-leg instrument's individual security's SecurityType.

Possible values include:

  • FUT: future
  • MLEG: multi-leg
  • OPT: option
  • SPOT: EEX spot products
  • TBOND: treasury bond
610 LegSecurityMonthYear N MonthYear

Replaces 7.X tag 313 (UnderlyingMaturityMonthYear)

Multi-leg instrument's individual security's MaturityMonthYear

611 LegMaturityDate N LocalMktDate

Replaces 7.X tag 314 (UnderlyingMaturityDay)

Multi-leg instrument's individual security's MaturityDate.

18314 LegMaturityDay N DayOfMonth

Replaces 7.X tag 314 (UnderlyingMaturityDay)

Multi-leg instrument's individual security's MaturityDay.

612 LegStrikePrice N Price

Replaces 7.X tag 316 (UnderlyingStrikePrice)

Multi-leg instrument's individual security's StrikePrice.

1358 LegPutOrCall C int

Replaces 7.X tag 315 (UnderlyingPutOrCall)

Whether the option represents a put or call

Possible values include:

  • 0: Put
  • 1: Call

Condition: Required when Tag 609 (LegSecurityType) is OPT

624 LegSide N char

Replaces 7.X tag 16624 (LegSide)

The side of this individual leg (multi-leg security).

Possible values include:

  • 1: Buy
  • 2: Sell
  • 3: Buy minus
  • 4: Sell plus
  • 5: Sell short
  • 6: Sell short exempt
  • 7: Undisclosed
  • 8: Cross
  • 9: Cross short
623 LegRatioQty N Qty

Replaces 7.X tag 319 (RatioQty)

Ratio of quantity for this individual leg relative to the entire multi-leg security

The value represents one of the following:

  • For a leg of a covered strategy (such as a volatility trade) on CME or NYSE_Liffe markets, 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.
556 LegCurrency N Currency

Replaces 7.X tag 318 (UnderlyingPutOrCall)

Currency associated with a particular leg's price

566 LegPrice N Price

Replaces 7.X tag 10566 (LegPrice)

Price of the leg for a multi-leg instrument

18224 LegContractYearMonth N char Contract term of the underlying instrument in the form, YYYYMMM
18212 LegDeliveryTerm C char

Replaces 7.X tag 18212 (UnderlyingContractTerm)

Term of delivery for the underlying instrument.

TT FIX uses 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
  • E: Weekly
  • L: Balance of week
  • M: Month
  • N: Next day
  • P: Pack
  • Q: Quarterly
  • S: Seasonal
  • T: Weekend
  • V: Variable
  • W: Week
  • X: Custom
  • Y: Year

Condition: Required when both of the following are true:

  • The Security Definition indicates it is required.
  • The delivery term is not monthly.
18213 LegDeliveryDate C LOCALMKTDATE

New tag for TT

Date for contract delivery

Condition: Sent when available

Component: Leg Security Alt ID Group
604 NoLegSecurityAltID C int

Replaces 7.X tag 146 (NoRelatedSym)

Number of alternate leg security IDs contained in this repeating group

Condition: Sent when there are one or more alternate leg security IDs

605 LegSecurityAltID Y String

Replaces 7.X tag 10456 (UnderlyingSecurityAltID)

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

606 LegSecurityAltIDSource Y String

New tag for TT

Class or source of the LegSecurityAltID (605) value.

Possible values include:

  • 4: ISIN number
  • 5: RIC code
  • 8: Exchange security ID
  • 95: Clearport
  • 97: Alias
  • 98: Name
  • 99: Other