TT^® FIX Order Routing

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

Tag Directory

Click the links below to navigate to the documentation for that tag.

Supported Tags

Tag #

Field Name

Req’d

Data type

Comments

Component: <Standard Header>

35=d (MsgType)
For additional information about this component group, consult the full documentation.

Tag #	Field name	Req’d	Data type	Comments
8	BeginString	Y	String	FIX protocol version The tag indicates the beginning of a new message. This tag is always the first tag in the message. The value is either FIX.4.2 or FIX.4.4.
9	BodyLength	Y	int	Message length (in characters) The value represents number of characters in the message following this tag up to, and including, the delimiter immediately preceding Tag 10 (CheckSum). This tag must be the second field in a message.
35	MsgType	Y	String	Type of message contained in the message body This tag must appear third in the list of header tags. Possible values include: 0: Heartbeat 1: Test Request 2: Resend Request 3: Reject 4: Sequence Reset 5: Logout 8: Execution Report 9: Order Cancel Reject A: Logon B: News c: Security Definition Request D: Order Single d: Security Definition e: Security Status Request f: Security Status F: Order Cancel Request G: Order Cancel Replace Request H: Order Status Request Q: Don't Know Trade (Inbound Drop Copy only) R: Quote Request V: Market Data Request W: Market Data Snapshot Full Refresh X: Market Data Incremental Refresh Y: Market Data Request Reject AD: Trade Capture Report Request AE: Trade Capture Report AQ: Trade Capture Report Request Ack
49	SenderCompID	Y	String	ID of the FIX session The value will be the same value the FIX client sends in tag 56 (TargetCompID) in its requests to TT FIX.
56	TargetCompID	Y	String	FIX client ID, corresponding to the SenderCompID specified for the user in TT User Setup The value is the same as sent in tag 49 (SenderCompID) in FIX client requests.
50	SenderSubID	C	String	Unique ID for the message sender For CME, the value corresponds to the Operator ID. Condition: Sent if TT User Setup specifies an exchange operator ID
142	SenderLocationID	N	string	Specific message originator's location (i.e. geographic location and/or desk, trader)
116	OnBehalfOfSubID	N	Data type: String	Unique Trader ID (can also be provided in Tag 50 (SenderSubID)) The value maps to the Alias field configured for a user in Setup.
129	DeliverToSubID	C	String	Value of Tag 116 (OnBehalfOfSubID) in the FIX client request. Condition: Sent in Execution Report (8) and Order Cancel Reject (9) messages.
34	MsgSeqNum	Y	SeqNum	Message sequence number.
43	PossDupFlag	C	Boolean	Whether the sequence number for this message is already used Possible values include: Y: Possible duplicate N: Original transmission Condition: Sent when TT FIX resends messages
97	PossResend	C	Boolean	Whether the message might contain information that has been sent under another sequence numbe Possible values include: Y: Possible resend N: Original transmission Condition: Sent when TT FIX restarts after encountering a corrupt FIX message cache, and only until it completes the initial download.
122	OrigSendingTime	C	UTCTimestamp	Original time of message transmission, when transmitting orders as the result of a resend request Always expressed in UTC. Condition: Sent when TT FIX resends a message
52	SendingTime	Y	UTCTimestamp	Time, in UTC, the message was sent.

Account

String

Order-routing account

The value matches the Tag 1 (Account) in the corresponding request.

Note: Account names are stored as case-sensitive strings. Users must match case-sensitivity when using Tag 1 (Account).

Condition: Sent when available.

Note: When the value represents an internal, non-routing account, TT also sends a PartiesGrp with the external routing (parent) account in tag 448 (PartyID) and with tag 452 (PartyRole) set to 24 (Customer Account).

762

SecuritySubType

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".

For sythetic staged orders, i.e., HandlInst (21)=3 and SecurityType(167)="Sythentic", the TT FIX engine checks whether the instrument already exists and automatically creates the synthetic spread if the instrument does not exist.

Note: This tag can be included in messages sent from TT FIX Drop Copy sessions when the Compliance Feed (Send original order/cancel/change messages and pending execution reports) setting is enabled in Setup.

320

SecurityReqID

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

int

Unique ID for this Security Definition (d) message.

323

SecurityResponseType

int

Type of security definition response

Possible values include:

1: Accept security proposal as is
2: Accept security proposal with revisions as indicated in the message
3: List of security types returned per request
4: List of securities returned per request
5: Reject security proposal
6: Cannot match the search criteria

Component: <Instrument>

Instrument associated with this message. For additional information about this component group, consult the full documentation.

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 91: Ticker symbol 96: TT security ID 97: Alias 98: Name A: Bloomberg Code H: Clearing House (Inbound Drop Copy only) S: OpenFIGI ID X: Series key Note: The following values are only available for Inbound Drop Copy FIX clients. 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
207	SecurityExchange	C	Exchange	Name of the market where the instrument trades. TT FIX uses this value to identify a security. Possible values include: AGGREGATOR ALGO ASE ASX B3 BitMEX BrokerTec CBOE CboeFX_SW_NY CBOT CFE CME Coinbase CoinFLEX CurveGlobal CZCE DCE DGCX EEX Eurex Euronext Fenics FEX HKEX ICE ICE_L IDEM INE KCG KRK LME LSE MEFF MEXDER MX MX NDAQ_EU NFI NFX OSE SGX TFEX TFX TOCOM Sent unless an Order Status Request (H) message returns no orders in an Execution Report (8) message.
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 for FIX 4.2 sessions
30	LastMkt	C	Exchange	Market of execution for last fill, or an indication of the market where an order was routed. ISO 10383 defines a comprehensive list of MIC codes. Condition: Sent when available for FIX 4.4 sessions
55	Symbol	C	String	Exchange-provided product symbol for the tradable product. Conditions: Not sent when Tag 167 (SecurityType)=MLEG. Not sent when an Order Status Request (H) message returns no orders in an Execution Report (8) message.
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	C	String	Asset class of the instrument. Possible values include: CS: common stock CUR: currency FOR: Spot FX FUT: future MLEG: multi-leg NDF: Non-Deliverable Forwards NONE: No security type (Not valid for 35=c, e or V) OPT: option SPOT: EEX spot products TBOND: treasury bond INDEX: index Sent unless an Order Status Request (H) message returns no orders in an Execution Report (8) message.
460	Product	N	int	Product type associated with the security. Possible values include: 1: Agency 2: Commodity 3: Corporate 4: Currency 5: Equity 6: Government 7: Index 8: Loan 9: Money market 10: Mortgage 11: Municipal 12: Other 13: Financing 14: Energy
107	SecurityDesc	N	String	Security description.
200	MaturityMonthYear	C	MonthYear	Month and year the instrument reaches maturity in the format YYYYMM. Condition: Sent when Tag 167 (SecurityType) is not MLEG or SPOT
541	MaturityDate	C	LocalMktDate	Maturity date in format YYYYMMDD. Condition: Sent when Tag 167 (SecurityType) is not MLEG or SPOT
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, YYYYMM Condition: Sent when Tag 167 (SecurityType) is not MLEG
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 C: End of Month D: Day E: Weekly H: Hour 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 The following values are only available for EPEX: a=Quarter hour b=Half hour c=One hour d=Two hour e=Four hour f=Eight hour g=One plus two h=Three plus four i=Baseload j=Peakload k=Overnight l=Extended peak Note When Tag 18211 DeliveryTerm equals any value except 'M', 'Y' or 'Q', then you must specify the delivery day/date in Tag 205 MaturityDay or Tag 541 MaturityDate. Condition: Sent when the delivery term is not monthly
743	DeliveryDate	C	LOCALMKTDATE	Date for contract delivery Condition: Sent when available
64	SettlDate	C	LOCALMKTDATE	Settlement date Condition: Sent when tag 167 (SecurityType) = FOR or NDF
9020	FixingDate	C	LOCALMKTDATE	Fixing date Condition: Sent when tag 167 (SecurityType) = NDF
9032	ReportingParty	C	BOOLEAN	Indicates if the Execution Report recipient is the reporting party. Follows GFMA FX reporting rules. Condition: Sent when tag 167 (SecurityType) = NDF
9012	IsFirm	C	int	Indicates the type of quote that was crossed. Possible values include: Firm Last Look Condition: Sent when tag 167 (SecurityType) = FOR or NDF
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	C	Currency	ISO-standard symbol for the instrument’s trading currency. Condition: Sent unless an Order Status Request (H) message returns no orders in an Execution Report (8) message.
70	AllocID	C	String	Identifier assigned to a leg of a leg fill for ASX clearing purposes (clearing deal number).
Component: <SecurityAltIDGrp>		N		Instrument associated with this message. For additional information about this component group, consult the full documentation.

<SecurityAltIDGrp>
454	NoSecurityAltID	C	int	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	Alternate ID for an instrument or security, typically for display purposes.
> 456	SecurityAltIDSource	C	String	Identifies class or source of the SecurityAltID (455) value. Possible values include: 1: CUSIP number (sent only when provided by the exchange) 4: ISIN number 5: RIC code 8: Exchange security ID 91: Ticker Symbol 92: TT product family ID (sent only for Security Definition (d) messages) 93: TT product ID (sent only for Security Definition (d) messages) 94: Alt Symbol (For ICE, the value is the "Cleared Alias" for the contract.) 95: Clearport 97: Alias 98: Name 99: Other (Set to instrument symbol if both product symbol and an instrument symbol are present in PDS and they are not the same.) 100: Energy Identifier Code (EIC). Currently only used for the EPEX exchange. A: Bloomberg Code H: Clearing House (Inbound Drop Copy only) S: OpenFIGI ID Notes: 99 (Other) is not valid for order routing requests. At this time, TT does not support FIX order routing or FIX market data subscriptions using CUSIP numbers for BrokerTec Treasury securities on CME. Note: The following markets support RIC codes (22=5) for identifying futures, spreads and options instruments in tag 455 (SecurityAltID): ASX DGCX CFE CME EEX EUREX Euronext Hkex ICE ICE_L LME MEFF MX OSE SGX TFX TOCOM Condition: Sent when tag 455 (SecurityAltId) is sent
> 16207	BloombergSecurityExchange	C	String	New tag for TT Name of the market where the instrument of the SecurityAltID (455) value trades.
762	SecuritySubType	N	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"
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. Note: This tag can be included in messages sent from TT FIX Drop Copy sessions when the Compliance Feed (Send original order/cancel/change messages and pending execution reports) setting is enabled in Setup.

<LegInstrumentGrp>
555	NoLegs	Y	String	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.
> 616	LegSecurityExchange	C	Exchange	Multi-leg instrument's individual security's SecurityExchange. Possible values include: AGGREGATOR ALGO ASE ASX B3 BitMEX BrokerTec CBOE CboeFX_SW_NY CBOT CFE CME Coinbase CoinFLEX CurveGlobal CZCE DCE DGCX EEX Eurex Euronext Fenics FEX HKEX ICE ICE_L IDEM INE KCG KRK LME LSE MEFF MEXDER MX MX NDAQ_EU NFI NFX OSE SGX TFEX TFX TOCOM Condition: Required when both of the following are true. The leg instrument trades on a different exchange that the parent instrument. Both Tag 18100 (LegExtDestination) and Tag 602 (LegSecurityId) are absent.
OR
> 18100	LegExDestination	C	Exchange	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 both of the following are true. The leg instrument trades on a different exchange that the parent instrument. Both Tag 616 (LegSecurityExchange) and Tag 602 (LegSecurityId) are absent.
OR
> 602	LegSecurityId	C	String	TT security ID that uniquely identifies the instrument in the TT platform. Condition: Required when both of the following are true. The leg instrument trades on a different exchange that the parent instrument. Both Tag 18100 (LegExtDestination) and Tag 616 (LegSecurityExchange) are absent. Note: The combination of this tag and tag 603 (LegSecurityIDSource) must uniquely identify an instrument in the TT platform.
> 603	LegIDSource	C	String	Multileg instrument's individual security's SecurityIDSource. Condition: Required when Tag 18100 (LegExtDestination) and Tag 616 (LegSecurityExchange) are absent. Note: The combination of this tag and tag 602 (LegSecurityId) must uniquely identify an instrument in the TT platform.
> 600	LegSymbol	N	String	Multi-leg instrument's individual security's Symbol. Condition: Required when Tag 167 (SecurityType)=MLEG. See Symbol (55) field for description. Note: Users can map the value of Tag 600 to a different symbology using the Symbol Mapping feature in User Setup. Refer to the Fix Rules and Symbol Mappings section in the User Setup Help for more information.
> 608	LegCFICode	N	String	Multileg instrument's individual security's CFICode (tag 461). See CFICode (461) field for description
> 620	LegSecurityDesc	N	String	Leg security description.
> 607	LegProduct	N	String	Multileg instrument's individual security's product. Possible values include: 1: Agency 2: Commodity 3: Corporate 4: Currency 5: Equity 6: Government 7: Index 8: Loan 9: Money market 10: Mortgage 11: Municipal 12: Other 13: Financing 14: Energy
> 609	LegSecurityType	N	String	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 CS: Common stock NONE: No security type (Not valid for 35=c, e or V)
> 764	LegSecuritySubType	N	String	SecuritySubType of the leg instrument. See SecuritySubType (762) field for description
> 610	LegMaturityMonthYear	N	MonthYear	Multi-leg instrument's individual security's MaturityMonthYear
> 611	LegMaturityDate	N	LocalMktDate	Multi-leg instrument's individual security's MaturityDate.
> 18314	LegMaturityDay	N	DayOfMonth	Multi-leg instrument's individual security's MaturityDay.
> 612	LegStrikePrice	N	Price	Multi-leg instrument's individual security's StrikePrice.
> 1358	LegPutOrCall	C	int	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	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	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	Currency associated with a particular leg's price
> 561	Roundlot	N	Qty	The trading lot size of a security.
> 566	LegPrice	N	Price	Price of the leg for a multi-leg instrument
> 687	LegQty	N	Qty	Quantity of this leg.
> 654	LegRefID	N	string	Unique indicator for a specific leg. Note: Sent only for FIX 4.4 sessions when the tag is included the corresponding New Order Multileg (AB) request. FIX 4.4 Drop Copy sessions will not send this tag for orders placed from the TT Trade application.
> 637	LegLastPx	N	Price	Execution price assigned to a leg of a multileg instrument.
> 18224	LegContractYearMonth	N	char	Contract term of the underlying instrument in the form, YYYYMMM
> 18212	LegDeliveryTerm	C	char	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 C: End of Month D: Day E: Weekly H: Hour 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	Date for contract delivery Condition: Sent when available
> 1366	LegAllocID	C	String	Identifier assigned to a leg of a multi-leg trade for ASX clearing purposes (clearing deal number). Condition: Sent when provided by the exchange.
> 16568	LegAvgPx	C	Price	The average (mean) price for the legs of a spread. This value will be populated on Summary Spread Fill Execution Reports.
16615	LegTTRoutingAccount	N	String	TT Routing Account for the leg. Valid for routing synthetic spread orders only. Note: TT Routing Account for the leg. Valid for routing synthetic spread orders only.

393

TotalNumSecurities

int

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

1194

ExerciseStyle

int

Type of exercise for a derivatives security.

Possible values include:

0: European style: may be exercised only on the expiration date.
1: American style: may be exercised on any business day until the expiration date.
2: Bermuda style: Not available

Conditional: This value only sent if supported by the exchange.

16451

PriceDisplayType

int

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

Possible values include:

TT_PRICE_DISPLAY_NORMAL = 0
TT_PRICE_DISPLAY_32 = 1
TT_PRICE_DISPLAY_YIELD1 = 2
TT_PRICE_DISPLAY_YIELD2 = 3
TT_PRICE_DISPLAY_DISCOUNT = 4
TT_PRICE_DISPLAY_DECIMAL = 5
TT_PRICE_DISPLAY_BASIS = 6
TT_PRICE_DISPLAY_ROLL = 7
TT_PRICE_DISPLAY_SPREAD = 8
TT_PRICE_DISPLAY_512TH = 9
TT_PRICE_DISPLAY_HALVES = 10
TT_PRICE_DISPLAY_FOURTHS = 11
TT_PRICE_DISPLAY_MODIFIED_FOURTHS = 12
TT_PRICE_DISPLAY_EIGHTHS = 13
TT_PRICE_DISPLAY_MODIFIED_DECIMAL_FOURTHS = 14
TT_PRICE_DISPLAY_THIRTY_SECONDS = 15
TT_PRICE_DISPLAY_SIXTY_FOURTHS = 16
TT_PRICE_DISPLAY_HALF_THIRTY_SECONDS = 17
TT_PRICE_DISPLAY_QUARTER_THIRTY_SECONDS = 18
TT_PRICE_DISPLAY_HALF_SIXTY_FOURTHS = 19
TT_PRICE_DISPLAY_FIVES = 20
TT_PRICE_DISPLAY_HALF_POINTS = 21
TT_PRICE_DISPLAY_FIVE_ONE_THOUSANDTHS = 22
TT_PRICE_DISPLAY_ONE_HUNDREDTHS = 23
TT_PRICE_DISPLAY_TENTHS = 24
TT_PRICE_DISPLAY_TEN_HUNDREDTHS = 25
TT_PRICE_DISPLAY_NO_DECIMALS = 26
TT_PRICE_DISPLAY_MODIFIED_ONE_FORTIETHS = 27
TT_PRICE_DISPLAY_EIGHTH_THIRTY_SECONDS_NOT_IMPLEMENTED = 28
TT_PRICE_DISPLAY_ISLAND_NOT_IMPLEMENTED = 29
TT_PRICE_DISPLAY_BTEC_1_64 = 30
TT_PRICE_DISPLAY_BTEC_2_8 = 31
TT_PRICE_DISPLAY_BTEC_2_8_OF_1_32 = 32
TT_PRICE_DISPLAY_BTEC_1_8_OF_1_32 = 33
TT_PRICE_DISPLAY_BTEC_1_100_AND_1_8 = 34
TT_PRICE_DISPLAY_BTEC_NORMAL = 35
TT_PRICE_DISPLAY_BTEC_1_4_OF_1_64 = 36
TT_PRICE_DISPLAY_BTEC_WHOLE_1_8_OF_1_32 = 37
TT_PRICE_DISPLAY_QUARTER_THIRTY_SECONDS_4X = 38
TT_PRICE_DISPLAY_QUARTER_THIRTY_SECONDS_2X = 39
TT_PRICE_DISPLAY_BTEC_YIELD = 40
TT_PRICE_DISPLAY_HALVES_2X = 41
TT_PRICE_DISPLAY_NORMAL_2X = 42
TT_PRICE_DISPLAY_NORMAL_5X = 43
TT_PRICE_DISPLAY_NORMAL_100X = 44
TT_PRICE_DISPLAY_FIVE_ONE_THOUSANDTHS_2X = 45
TT_PRICE_DISPLAY_FIVE_ONE_THOUSANDTHS_5X = 46
TT_PRICE_DISPLAY_FIVE_ONE_THOUSANDTHS_10X = 47
TT_PRICE_DISPLAY_TEN_HUNDREDTHS_2X = 48
TT_PRICE_DISPLAY_TEN_HUNDREDTHS_5X = 49
TT_PRICE_DISPLAY_TEN_HUNDREDTHS_10X = 50
TT_PRICE_DISPLAY_QUARTER_ONE_HUNDREDTHS = 51
TT_PRICE_DISPLAY_NORMAL_10X = 52
TT_PRICE_DISPLAY_NORMAL_50X = 53
TT_PRICE_DISPLAY_NORMAL_500X = 54
TT_PRICE_DISPLAY_NORMAL_25X = 55
TT_PRICE_DISPLAY_BTEC_INVERTED = 56
TT_PRICE_DISPLAY_1_8_OF_1_32 = 57
TT_PRICE_DISPLAY_1_16_OF_1_32 = 58

16460

MinLotSize

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

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

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

decimal

Size of one base tick for this security

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

16554

ExchPointValue

decimal

Size of one point for this security

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

864

NoEvents

NumInGroup

Number of entries in the event types repeating group

> 865

EventType

int

Type of event

Possible values include:

5: Expiry date
6: Last trading date

The following values are only available for EPEX:

13:First delivery date
14:Last delivery date
101: First trading date
102: SDAT first trading date

> 866

EventDate

LOCALMKtdATE

Date the event occured

> 16000

Timezone

String

Timezone of the EventTime (1145)

16456

NumTickTblEntries

NumInGroup

Number of entries in the tick table repeating group

Condition: Sent only when the corresponding Security Definition Request (c) sets Tag 17000 (RequestTickTable) to Y and the contract has a tick table (16456>0).

> 16457

NumTicks

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

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.

305

UnderlyingSecurityIDSource

String

Source of the value of UnderlyingSecurityID (309).

Sent when available from the exchange.

Refer to IDSource (22) description for supported enum values.

309

UnderlyingSecurityID

String

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

Sent when available from the exchange.

Component: <Standard Trailer>

For additional information about this component group, consult the full documentation.

Tag #	Field Name	Req’d	Data type	Comments
10	Checksum	Y	String	Unencrypted three-character checksum This tag must always be the last field in a message (i.e. it serves, with the trailing <SOH>, as the end-of-message delimiter).

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.

Related Information

Security Definition Request (c)

TT® FIX Order Routing

Security Definition (d) Message

Security Definition (d) Message

Purpose

Message Direction

Tag Directory

Supported Tags

Message Notes

Determining tick sizes and tick values

Working with spreads and strategies

Related Information

TT^® FIX Order Routing