TT® FIX

Security Definition (d) Message

Purpose

Used to send contract information in response to a security definition request

Message Direction

From TT FIX to a FIX client

Supported Tags

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

Unique ID for this request

TT FIX populates this tag with the value of the tag in the incoming Security Definition Request (c) message.

322 SecurityResponseID Y int

Unique ID for this Security Definition (d) message.

323 SecurityResponseType Y int

Type of security definition response

Possible values include:

  • 4: List of securities returned per request
  • 5: Reject security proposal
  • 6: Cannot match the search criteria
Component Block: <Instrument> Y

Instrument associated with this Security Definition

Condition: Sent unless no securities match the request

393 TotalNumSecurities Y int

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

16460 MinLotSize C int

Lot size for this contract (2500 MMBtus, 50 megawatts, and so on)

Sometimes called LotSize. The returned value depends on the value of Tag 16464 (TradesInFlow), as follows:

  • Y: Returns the exchange-provided delivery unit
  • N: Returns 1

Sent only for energy contracts

16464 TradesInFlow C char

Whether the contract is a continuously-delivered contract

Possible values include:

  • Y: The contract delivers in flow.
  • N: The contract delivers all at once.

Sent only for energy contracts

16463 NumberOfBlocks C int

Total number of deliverable units per contract

Sent only for energy contracts

Note: You can calculate the number of deliverable units per delivery day by dividing this value by the value in Tag 16460 (MinLotSize).

16552 ExchTickSize Y decimal

Size of one base tick for this security

See the section called Determining tick sizes and tick values for more information.

16554 ExchPointValue Y decimal

Size of one point for this security

See the section called Determining tick sizes and tick values for more information.

Component: Tick Table Repeating Group Y Ticking information
16456 NumTickTblEntries Y NumInGroup

Number of ticks in the tick table

The message includes this tag and the repeating group when the corresponding Security Definition Request (c) sets Tag 17000 (RequestTickTable) to Y and the contract has a tick table.

16457 NumTicks C int

Tick size multiplier for this price

Condition: Sent when Tag 16456 (NumTickTblEntries) is greater than 0

See the section called Determining tick sizes and tick values for more information.

16458 MaxPrice C Price

Highest price in this price range

Condition: Sent when Tag 16456 (NumTickTblEntries) is greater than 0

See the section called Determining tick sizes and tick values for more information.

Component Block <Standard Trailer> Y

Message Notes

The Security Definition (d) message is used to send information about an exchange-listed instrument. TT FIX sends zero or more of these messages to a FIX client in response to a Security Definition Request (c). A security definition contains all standing data at the markets that matches the filter criteria sent in the Security Definition Request (c). After TT FIX delivers standing data to the FIX client, TT FIX sends unsolicited updates to that list of standing data (for instance, if a market lists a new product at midday).

Determining tick sizes and tick values

To determine the tick size and tick value of a given contract, the FIX client must:

  • In the Security Definition Request (c) message, set Tag 17000 (RequestTickTable) = Y.
  • With the resulting Security Definition (d) message, calculate the values using the following algorithm.
    if tag 16456 (NumTickTblEntries) == 0
    {
      (The tick size (and tick value) are the same for all prices.)
      Tick Size (for all prices) = Tag 16552 (ExchTickSize)
      Tick Value (for all prices) = Tag 16552 (ExchTickSize) * Tag 16554 (ExchPointValue)
    }
    else
    {
      (The tick size and tick value vary by price level.)
      Base Tick Size = Tag 16552 (ExchTickSize)
      P = price in Points (decimal) for which the tick size is required
      for (int i = 0; i < Tag 16456 (NumTickTblEntries); i++)
      {
        if ( P < (Tag 16458 (MaxPrice) for row i) )
        {
          Tick Size (for price P) = Base Tick Size * (Tag 16457 (NumTicks) for row i)
          Tick Value (for price P) = Tick Size (for price P) * Tag 16554 (ExchPointValue)
          exit loop
        }
      }
    }
    

Working with spreads and strategies

When a FIX client requests a security definition for a spread or strategy, TT FIX responds by sending:

  • A Security Definition (d) for the spread itself. A leg repeating group exists for each leg of the spread. Tag 555 (NoLegs) is set to the total number of leg repeating groups (spread legs) associated with the spread.
  • One Security Definition (d) for each leg of the spread.

Notes for 7.X TT FIX Adapter Developers

The following Security Definition (d) message tags from TT FIX Adapter 7.X are deprecated in TT FIX:

  • Blocks [16463]
  • EventDate [866]
  • EventType [865]
  • ExchangeGateway [18203]
  • ExchContractSymbol [16309]
  • ExpectedFillType [10442]
  • PointValue [16454]
  • PriceDisplayType [16451]
  • RatioQty [319]
  • SettlType [63]
  • Side [54]
  • TickSize [16452]
  • UnderlyingCurrency [318] (Renamed to LegCurrency)
  • UnderlyingDeliveryTerm [18212] (Renamed to LegDeliveryTerm)
  • UnderlyingMaturityDay [314]
  • UnderlyingMaturityMonthYear [313] (Renamed to LegMaturityMonthYear)
  • UnderlyingOptAttribute [317] (Renamed to LegOptAttribute)
  • UnderlyingPutOrCall [315] (Renamed to LegPutOrCall)
  • UnderlyingSecurityAltID [10456] (Renamed to LegSecurityAltID)
  • UnderlyingSecurityExchange [308] (Renamed to LegSecurityExchange)
  • UnderlyingSecurityID [309] (Renamed to LegSecurityID)
  • UnderlyingSecurityType [310] (Renamed to LegType)
  • UnderlyingStrikePrice [316] (Renamed to LegStrikePrice)
  • UnderlyingSymbol [311] (Renamed to LegSymbol)

Related Information

Security Definition Request (c)