TT® FIX

Component Block: <Instrument> (TT FIX response)

Overview

When the TT FIX returns an instrument component block in a response, it includes tags that provide additional information about the instrument.

Supported tags

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

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

22 IDSource N 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
207 SecurityExchange Y Exchange

Name of the market where the instrument trades.

TT FIX uses this value to identify a 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
100 ExDestination C Exchange

Name of the sub-market where the instrument trades.

TT FIX uses this value to identify a security.

ISO 10383 defines a comprehensive list of MIC codes.

Condition: Sent when available

55 Symbol C String

Exchange-provided product symbol for the tradable product.

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

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
200 MaturityMonthYear C MonthYear

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

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

541 MaturityDate C LocalMktDate

New tag for TT

Maturity date in format YYYYMMDD.

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

205 MaturityDay C DayOfMonth

Day of expiration for the instrument.

Range: 1-31

Condition: Sent 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: Sent when the delivery term is not monthly

743 DeliveryDate C LOCALMKTDATE

Date for contract delivery

Condition: Sent when available

201 PutOrCall C int

Whether the option represents a put or call

Possible values include:

  • 0: Put
  • 1: Call

Condition: Sent when Tag 167 (SecurityType) is OPT

202 StrikePrice C Price

Strike price for an option

Condition: Sent when Tag 167 (SecurityType) is OPT

9787 DisplayFactor C Float

Factor to use when multiplying prices sent from a FIX client and dividing prices sent from TT FIX

Condition: Sent only in Security Definition (d) messages when provided by the exchange

15 Currency Y Currency

ISO-standard symbol for the instrument’s trading currency.

Component: Security Alt ID Group
454 NoSecurityAltID C int

Replaces 7.X tag 10454 (NoSecurityAltID)

Number of alternate security IDs contained in this repeating group

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

455 SecurityAltID Y String

Replaces 7.X tag 10455 (SecurityAltID)

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

456 SecurityAltIDSource C String

Replaces 7.X tag 10456 (SecurityAltIDSource)

Identifies class or source of the SecurityAltID (455) value.

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.

Condition: Sent when tag 455 (SecurityAltId) is sent.

Component: Leg Instrument Group C

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: Sent 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
600 LegSymbol N String

Replaces 7.X tag 311 (UnderlyingSymbol)

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

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

See Symbol (55) field for description.

602 LegSecurityId N String

Replaces 7.X tag 309 (UnderlyingSecurityID)

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

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
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: Sent when provided by an Exchange

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: Sent when Tag 609 (LegSecurityType) is OPT

616 LegSecurityExchange N 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
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: Sent when 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.

The TT FIX always returns 99 (other)