Security Definition (d) Message

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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.

Show Comments

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SecurityDefinition

Tag

Name

Type

Required

Comments

Header

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

35=d (MsgType)

8	BeginString	STRING	Y	FIX protocol version The tag indicates the beginning of a new message. This tag must be the first tag in the message. You must set the value to FIX.4.2 or FIX.4.4.
9	BodyLength	INT	Y	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	STRING	Y	Type of message contained in the message body This tag must appear third in the list of header tags. Possible values: 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	STRING	Y	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	STRING	Y	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	STRING	C Sent if TT User Setup specifies an exchange operator ID	Unique ID for the message sender For CME, the value corresponds to the Operator ID.
142	SenderLocationID	STRING	N	Specific message originator’s location (i.e. geographic location and/or desk, trader)
116	OnBehalfOfSubID	STRING	N	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	STRING	C Sent in Execution Report (8) and Order Cancel Reject (9) messages.	Value of Tag 116 (OnBehalfOfSubID) in the FIX client request.
34	MsgSeqNum	SEQNUM	Y	Message sequence number
43	PossDupFlag	BOOLEAN	C Sent when TT FIX resends messages	Whether the sequence number for this message is already used Possible values: N: NO: Original transmission Y: YES: Possible duplicate
97	PossResend	BOOLEAN	C Sent when TT FIX restarts after encountering a corrupt FIX message cache, and only until it completes the initial download.	Whether the message might contain information that has been sent under another sequence number Possible values: N: NO: Original transmission Y: YES: Possible resend
122	OrigSendingTime	UTCTIMESTAMP	C Sent when TT FIX resends a message	Original time of message transmission, when transmitting orders as the result of a resend request Always expressed in UTC.
52	SendingTime	UTCTIMESTAMP	Y	Time, in UTC, the message was sent.
57	TargetSubID	STRING	C If the Target Sub Id field has a value for the FIX Session in Setup, you must supply that value is this tag for a Logon (A) message.	Unique ID for the message receiver.

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

STRING

Unique ID for this Security Definition (d) message.

323

SecurityResponseType

INT

Type of security definition response

Possible values:

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

Instrument

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

SecurityID

STRING

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

IDSource

STRING

Source for the value of tag 48 (SecurityID).

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

Possible values:

4: ISIN number
5: RIC code
8: Exchange security ID
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

207

SecurityExchange

EXCHANGE

Sent unless an Order Status Request (H) message returns no orders in an Execution Report (8) message.

Name of the market where the instrument trades.

TT FIX uses this value to identify the exchange that offers the
security.

Possible values:

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
NDAQ_EU
NFI
NFX
OSE
SGX
TFEX
TFX
TOCOM

100

ExDestination

EXCHANGE

Sent when available for FIX 4.2 sessions

Name of the sub-market where the instrument trades.

ISO 10383 defines a comprehensive list of MIC codes.

TT FIX uses this value to identify a security.

LastMkt

EXCHANGE

Sent when available for FIX 4.4 sessions

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.

461

CFICode

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

STRING

Sent unless an Order Status Request (H) message returns no orders in an Execution Report (8) message.

Asset class of the instrument.

Possible values:

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

460

Product

INT

Product type associated with the security.

Possible values:

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

STRING

Security description.

Symbol

STRING

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.

Exchange-provided product symbol for the tradable product.

200

MaturityMonthYear

MONTHYEAR

Sent when Tag 167 (SecurityType) is not MLEG or SPOT

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

541

MaturityDate

LOCALMKTDATE

Sent when Tag 167 (SecurityType) is not MLEG or SPOT

Maturity date in format YYYYMMDD.

205

MaturityDay

DAYOFMONTH

Sent when multiple contracts exist for the same month

Day of expiration for the instrument.

Range: 1-31

18223

ContractYearMonth

STRING

Contract term in the form, YYYYMM

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

18211

DeliveryTerm

CHAR

Sent when the delivery term is not monthly

Term of delivery for the instrument.

TT FIX uses this value to identify contracts that do not have a monthly delivery term.

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.

Possible values:

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
Note: The following values are only available for EPEX and Nord Pool:
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

743

DeliveryDate

LOCALMKTDATE

Sent when available

Date for contract delivery

SettlDate

LOCALMKTDATE

Sent when tag 167 (SecurityType) = FOR or NDF

Settlement date

9020

FixingDate

LOCALMKTDATE

Sent when tag 167 (SecurityType) = NDF

Fixing date

9032

ReportingParty

BOOLEAN

Sent when tag 167 (SecurityType) = NDF

Indicates if the Execution Report recipient is the reporting party. Follows GFMA FX reporting rules.

9012

IsFirm

INT

Sent when tag 167 (SecurityType) = FOR or NDF

Indicates the type of quote that was crossed.

Possible values:

1: Firm
2: Last Look

201

PutOrCall

INT

Sent when Tag 167 (SecurityType) is OPT

Whether the option represents a put or call

Possible values:

0: Put
1: Call

202

StrikePrice

PRICE

Sent when Tag 167 (SecurityType) is OPT

Strike price for an option

9787

DisplayFactor

STRING

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

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

Currency

CURRENCY

Sent unless an Order Status Request (H) message returns no orders in an Execution Report (8) message.

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

AllocID

STRING

Identifier assigned to a leg of a leg fill for ASX clearing purposes
(clearing deal number).

SecurityAltIDGrp

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

454	NoSecurityAltID	NUMINGROUP	C Sent when there are one or more alternate security IDs	Number of alternate security IDs in this repeating group
455	SecurityAltID	STRING	Y	Alternate ID for an instrument or security, typically for display purposes.
456	SecurityAltIDSource	STRING	C Sent when tag 455 (SecurityAltId) is sent	Identifies class or source of the SecurityAltID (455) value. 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 Possible values: 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 and Nord Pool exchanges. A: Bloomberg Code H: Clearing House (Inbound Drop Copy only) S: OpenFIGI ID
16207	BloombergSecurityExchange	STRING	C	Name of the market where the instrument of the SecurityAltID (455) value trades.

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 synthetic staged orders, i.e., HandlInst (21)=3 and SecurityType(167)=”Synthetic”, 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.

1194

ExerciseStyle

INT

Type of exercise for a derivatives security.

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

Possible values:

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

LegInstrumentGrp

Required when the value of tag 167 (SecurityType) is MLEG for New Order Single (D) and Order Cancel/Replace Request (G) messages.

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).

555	NoLegs	STRING	Y	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	EXCHANGE	C 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.	Multi-leg instrument’s individual security’s SecurityExchange. Possible values: 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 NDAQ_EU NFI NFX OSE SGX TFEX TFX TOCOM
18100	LegExDestination	EXCHANGE	C 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.	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.
602	LegSecurityID	STRING	C 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.	TT security ID that uniquely identifies the instrument in the TT platform. Note: The combination of this tag and tag 603 (LegSecurityIDSource) must uniquely identify an instrument in the TT platform.
603	LegIDSource	STRING	C Required when Tag 18100 (LegExtDestination) and Tag 616 (LegSecurityExchange) are absent.	Multileg instrument’s individual security’s SecurityIDSource. Note: The combination of this tag and tag 602 (LegSecurityId) must uniquely identify an instrument in the TT platform.
600	LegSymbol	STRING	N	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	STRING	N	Multileg instrument’s individual security’s CFICode (tag 461). See CFICode (461) field for description
620	LegSecurityDesc	STRING	N	Leg security description.
607	LegProduct	INT	N	Multileg instrument’s individual security’s product. Possible values: 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	STRING	N	Multi-leg instrument’s individual security’s SecurityType. Possible values: 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	STRING	N	SecuritySubType of the leg instrument. See SecuritySubType (762) field for description
610	LegMaturityMonthYear	MONTHYEAR	N	Multi-leg instrument’s individual security’s MaturityMonthYear
611	LegMaturityDate	LOCALMKTDATE	N	Multi-leg instrument’s individual security’s MaturityDate.
18314	LegMaturityDay	DAYOFMONTH	N	Multi-leg instrument’s individual security’s MaturityDay.
612	LegStrikePrice	PRICE	N	Multi-leg instrument’s individual security’s StrikePrice.
1358	LegPutOrCall	INT	C Required when Tag 609 (LegSecurityType) is OPT	Whether the option represents a put or call Possible values: 0: Put 1: Call
624	LegSide	CHAR	N	The side of this individual leg (multi-leg security). Possible values: 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	FLOAT	N	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.
1420	LegExerciseStyle	INT	N	Type of exercise for a derivatives security. Possible values: 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.
556	LegCurrency	CURRENCY	N	Currency associated with a particular leg’s price
561	RoundLot	QTY	N	The trading lot size of a security.
566	LegPrice	PRICE	N	Price of the leg for a multi-leg instrument
687	LegQty	QTY	N	Quantity of this leg.
654	LegRefID	STRING	N	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	PRICE	N	Execution price assigned to a leg of a multileg instrument.
18224	LegContractYearMonth	STRING	N	Contract term of the underlying instrument in the form, YYYYMMM
18212	LegDeliveryTerm	CHAR	C Required when both of the following are true: The Security Definition indicates it is required. The delivery term is not monthly.	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: 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
18213	LegDeliveryDate	LOCALMKTDATE	C Sent when available	Date for contract delivery
1366	LegAllocID	STRING	C Sent when provided by the exchange.	Identifier assigned to a leg of a multi-leg trade for ASX clearing purposes (clearing deal number).
16568	LegAvgPx	PRICE	C	The average (mean) price for the legs of a spread. This value will be populated on Summary Spread Fill Execution Reports.
16615	LegTTRoutingAccount	STRING	N	TT Routing Account for the leg. Valid for routing synthetic spread orders only.

393

TotalNumSecurities

INT

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

Account

STRING

Sent when available.

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).

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).

1194

ExerciseStyle

INT

This value only sent if supported by the exchange.

Type of exercise for a derivatives security.

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

Possible values:

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

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

Sent only for energy contracts

Possible values:

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

16554

ExchPointValue

FLOAT

Size of one point for this security

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

16552

ExchTickSize

FLOAT

Size of one base tick for this security

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

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).

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”.

864

NoEvents

NUMINGROUP

Number of entries in the event types repeating group

865

EventType

INT

Type of event

Possible values:

5: Expiry date
6: Last trading date
: The following values are only available for EPEX and Nord Pool:
13: First delivery date
14: Last delivery date
101: First trading date
102: SDAT first trading date

866

EventDate

LOCALMKTDATE

Date the event occurred

1145

EventTime

UTCTIMESTAMP

Note: This tag is only available for EPEX and Nord Pool.

Specific time of event. Use in combination with EventDate <866>.

16000

Timezone

STRING

Timezone of the EventTime (1145)

16456

NumTickTblEntries

INT

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

Number of entries in the tick table repeating group

16457

NumTicks

INT

Sent when Tag 16456 (NumTickTblEntries) is greater than 0

Tick size multiplier for this price

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

16458

MaxPrice

PRICE

Sent when Tag 16456 (NumTickTblEntries) is greater than 0

Highest price in this price range

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.

Trailer

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

CheckSum

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)

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Security Definition (d) Message