TT® FIX

Component: <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:

  • 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
  • DGCX
  • CFE
  • CME
  • EEX
  • EUREX
  • Euronext
  • Hkex
  • ICE
  • ICE_L
  • LME
  • MEFF
  • MX
  • OSE
  • SGX
  • TFX
  • TOCOM

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

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
  • ALGO
  • ASE
  • ASX
  • BrokerTec
  • B3
  • CFE
  • CME
  • CurveGlobal
  • 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 and when tag 22 (IDSource) is 8 (Exchange symbol), 97 (Alias) or 9 (Name).

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 and when tag 22 (IDSource) is 8 (Exchange symbol), 97 (Alias) or 9 (Name).

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
  • ALGO
  • ASE
  • ASX
  • BrokerTec
  • B3
  • CFE
  • CME
  • CurveGlobal
  • 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
  • CUR: currency
  • 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
  • ALGO
  • ASE
  • ASX
  • BrokerTec
  • B3
  • CFE
  • CME
  • CurveGlobal
  • 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

461 CFICode N String

Type of security using ISO 10962 standard, Classification of Financial Instruments (CFI code) values. ISO 10962 is maintained by ANNA (Association of National Numbering Agencies) acting as Registration Authority.

Note: For SPOT and CUR products, you must also specify the corresponding tag 167 (SecurityType) value.

167 SecurityType Y String

Asset class of the instrument.

Possible values include:

  • FUT: future
  • MLEG: multi-leg
  • OPT: option
  • SPOT: EEX spot products
  • CUR: currency
  • 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, YYYYMM

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: <LegInstrumentGrp> 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 for New Order Single (D) and Order Cancel/Replace Request (G) messages.