SECURITY DEFINITION REQUEST [35=c]
The Security Definition Request message queries available trading instruments.
Prerequisites
- Enable via Logon with RefMsgType=c (Tag 372)
- Requests without enablement rejected with SecurityResponseType=5
Request Types
| SecurityRequestType (321) | Description |
|---|---|
| 3 | Active markets |
| 4 | Expired markets only |
Query Patterns
1. **List Exchanges:** SecurityType only 2. **List Contracts:** SecurityType + SecurityExchange 3. **List Markets:** SecurityType + SecurityExchange + Symbol 4. **Specific Market:** Add SecurityID to above 5. **Expired Markets:** Use SecurityRequestType=4
Message Specification
Message Direction: Client → T4
| Tag | Field Name | Type | Req'd | Description |
|---|---|---|---|---|
| Message Header | Y | MsgType = c | ||
| 320 | SecurityReqID | String | Y | Unique request ID |
| 321 | SecurityRequestType | Int | Y | 3=Active, 4=Expired |
| 167 | SecurityType | String | O | FUT, OPT, STK, SYN, BIN |
| 207 | SecurityExchange | String | O | T4 Exchange ID |
| 55 | Symbol | String | O | T4 Contract ID |
| 48 | SecurityID | String | O | T4 Market ID |
| 201 | PutOrCall | Int | O | 0=Put, 1=Call |
| 200 | MaturityMonthYear | String | O | Format: YYYYMM |
| 762 | SecuritySubType | String | O | Strategy type (see table) |
| Message Trailer | Y |
SecuritySubType Values
| Code | Type |
|---|---|
| 0 | Outrights |
| 1 | Calendar Spread |
| 3 | Inter-Contract Spread |
| 4 | Butterfly |
| 5 | Condor |
| 14 | Straddle |
| 15 | Strangle |
| 19 | Vertical Spread |
Sample Messages
List All Exchanges:
8=FIX.4.2|9=100|35=c|49=T4Example|56=T4|52=20121015-21:22:27.673| 320=sc-10/15/2012 4:22:27 PM|321=3|167=FUT|10=123|
List Exchange Contracts:
8=FIX.4.2|9=120|35=c|49=T4Example|56=T4|52=20121015-21:22:39.638| 320=sc-10/15/2012 4:22:39 PM|321=3|167=FUT|207=CME_Eq|10=123|
List Contract Markets:
8=FIX.4.2|9=140|35=c|49=T4Example|56=T4|52=20121015-21:23:22.117| 320=sc-10/15/2012 4:23:22 PM|321=3|55=ES|167=OPT|201=1|207=CME_EqOp|10=123|
Specific Market:
8=FIX.4.2|9=160|35=c|49=T4Example|56=T4|52=20121015-21:40:18.421| 320=sc-10/15/2012 4:40:18 PM|321=3|55=ES|167=FUT|207=CME_Eq| 48=CME_20121200_ESZ2|10=123|
Notes
- Process responses before next request (no batching)
- Cache definitions to avoid repeated requests
- Match discovery to contract cycles (e.g., quarterly)