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.

Unique ID for this Security Definition (d) message

Instrument associated with this message

Asset class of the instrument

Possible values include:

• FUT: future
• MLEG: multi-leg
• OPT: option
• CUR: currency
• TBOND: US Treasury Bond

Month and year the instrument reaches maturity in the format YYYYMM

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

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.

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.

Whether the option represents a put or call

Possible values include:

• 0: Put
• 1: Call

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

Strike price for an option

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

ISO-standard symbol for the instrument’s trading currency

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

Repeating group of alternate security IDs this multi-leg instrument

Number of alternate security IDs contained in this repeating group

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

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

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

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.

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).

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.

Leg instrument's symbol

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

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.

Instrument's security type

Possible values include:

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

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

Leg instrument's MaturityMonthYear

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

Leg instrument's MaturityDate

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.

Whether the option represents a put or call

Possible values include:

• 0: Put
• 1: Call

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

Leg instrument's StrikePrice

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

Currency associated with a particular leg's price

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

Side of this individual leg (multi-leg security)

Possible values include:

• 1: Buy
• 2: Sell

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

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.

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.

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

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)

Size of one tick for this instrument

Value of one tick for this instrument

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.

Code to represent the type of event

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

Last Trade Date for the security

Predetermined price of issue at event, if applicable

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

Comments related to the event

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

Exchange-listed strategy type

Possible values include:

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