developers:fixapi.securitydefinition

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developers:fixapi.securitydefinition [2025/08/13 12:29] – robdevelopers:fixapi.securitydefinition [2025/08/13 12:52] (current) – rob
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-===== Security Definition =====+====== Security Definition ====== 
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-=== Defining Instruments ===+===== Defining Instruments =====
 The Security Definition message (Tag 35=d) is used to define the characteristics of exchanges, contracts, and specific instruments (markets). The T4 FIX API returns this message as a result of queries performed with the Security Definition Request message. The Security Definition message (Tag 35=d) is used to define the characteristics of exchanges, contracts, and specific instruments (markets). The T4 FIX API returns this message as a result of queries performed with the Security Definition Request message.
  
 The Security Definition message includes a complete description of securities by providing Exchange identifier, Contract identifier, Market identifier, pricing, minimum trading volumes, minimum price amount (including Variable Tick Tables), quantity leg ratios, buy/sell sides, put/call type, strikes, etc. This message also enumerates lists of exchanges, contracts within an exchange, and markets for a specific contract. The Security Definition message includes a complete description of securities by providing Exchange identifier, Contract identifier, Market identifier, pricing, minimum trading volumes, minimum price amount (including Variable Tick Tables), quantity leg ratios, buy/sell sides, put/call type, strikes, etc. This message also enumerates lists of exchanges, contracts within an exchange, and markets for a specific contract.
  
-=== Message Dictionary ===+===== Message Dictionary =====
 ^ Tag ^ Field Name ^ Req'd ^ Comments ^ ^ Tag ^ Field Name ^ Req'd ^ Comments ^
 | Standard Header | Y | MsgType = d | | Standard Header | Y | MsgType = d |
Line 15: Line 16:
 | 207 | SecurityExchange | N | Exchange. This is the T4 Exchange ID. | | 207 | SecurityExchange | N | Exchange. This is the T4 Exchange ID. |
 | 55 | Symbol | N | Contract within an Exchange. This is the T4 Contract ID. | | 55 | Symbol | N | Contract within an Exchange. This is the T4 Contract ID. |
-| 48 | SecurityID | N | Market (i.e., Security) for a given Contract. This is the T4 Market ID. | +| 48 | SecurityID | N | Market (i.e. Security) for a given Contract. This is the T4 Market ID. | 
-| 107 | SecurityDesc | N | Security Description. May also refer to contracts (Get Contract IDs requests) or exchanges (Get Exchange IDs requests). |+| 107 | SecurityDesc | N | Security Description. The description may also refer to contracts (for Get Contract IDs requests) or exchanges (for Get Exchange IDs requests). |
 | 200 | MaturityMonthYear | N | Specifies the month and year of maturity. Format YYYYMM. | | 200 | MaturityMonthYear | N | Specifies the month and year of maturity. Format YYYYMM. |
 | 205 | MaturityDay | N | Maturity Day. Last Trading day for the current market. | | 205 | MaturityDay | N | Maturity Day. Last Trading day for the current market. |
-| 562 | MinTradeVol | N | Minimum trading volume for the security. | +| 562 | MinTradeVol | N | The minimum trading volume for the security. | 
-| 969 | MinPriceAmount | N | Minimum price movement in this market. Only present if you login with 372=D. | +| 969 | MinPriceAmount | N | The minimum price movement in this market. Only present if you login with 372=D. | 
-| 9850 | MinCabPrice | N | Minimum cab price for this market. Only present if you login with 372=D. | +| 9850 | MinCabPrice | N | The minimum cab price for this market. Only present if you login with 372=D. | 
-| 6350 | TickRule | N | Variable tick table definition. Only present if you login with 372=D. | +| 6350 | TickRule | N | The variable tick table definition. (e.g. 5;P<-500=25;p>500=25 indicates a minimum price increment of 5 except when prices are below -500 and above 500 for which a minimum price increment of 25 is applied). Only present if you login with 372=D. | 
-| 9800 | PriceDisplayFormat | N | Number of decimal places in a price for this market. Only present if you login with 372=D. | +| 9800 | PriceDisplayFormat | N | The number of decimal places in a price for this market. Only present if you login with 372=D. | 
-| 5770 | PriceRatio | N | Obsolete. Price Ratio as fraction of Numerator to Denominator. | +| 5770 | PriceRatio | N | Obsolete. Price Ratio as a fraction of Numerator to Denominator. Reduced Ticks Spreads also provide ratios as delineated with the RTS acronym. | 
-| 1146 | MinPriceIncrementAmount | N | Currency value of minimum price increment or Variable Tick Table. | +| 1146 | MinPriceIncrementAmount | N | If you login with 372=D then this is always the currency value of the minimum price increment. Otherwise it is either currency value of the minimum price increment, or the Variable Tick Table (e.g. 5;P<-500=25;p>500=25 indicates a minimum price increment of 5 except when prices are below -500 and above 500 for which a minimum price increment of 25 is applied). | 
-| 201 | PutOrCall | N | Put or Call identifier (for Options Security Type). 0 = Put, 1 = Call |+| 201 | PutOrCall | N | Put Or Call identifier (for Options Security Type). The following values can be used:<br>0 = Put<br>1 = Call |
 | 202 | StrikePrice | N | Strike Price (for Options Security Type). | | 202 | StrikePrice | N | Strike Price (for Options Security Type). |
-| 167 | SecurityType | N | Indicates type of security. Valid values: FUT, OPT, STK, SYN, BIN | +| 167 | SecurityType | N | Indicates type of security. Valid values are:<br>FUT = Futures<br>OPT = Options<br>STK = Stock<br>SYN = Synthetic<br>BIN = Binary Option | 
-| 762 | SecuritySubType | N | Security SubType that further describes the security. Values 0–74 (e.g., Calendar Spread, Butterfly, Iron Condor, etc.) | +| 762 | SecuritySubType | N | Security SubType that further describes the security. The following values can be used: 0 = None (outright), 1 = Calendar Spread, 2 = RT Calendar Spread, ... 74 = Treasury Tail | 
-| 40 | OrdType | N | T4 Order Types supported by this market (bitwise AND-ed integer). |+| 40 | OrdType | N | T4 Order Types supported by this market. Order Types are provided as a bitwise logically-AND-ed (unsigned) integer. The integer masks for the T4 Order Types are:<br>0 = Market is view only<br>1 = Market orders<br>2 = Limit<br>4 = Stop Market ... 131072 = RFQ |
 | 15 | Currency | N | Currency of Market Prices. | | 15 | Currency | N | Currency of Market Prices. |
- 
-==== Repeating Group: Events ==== 
-^ Tag ^ Field Name ^ Req'd ^ Comments ^ 
 | 864 | NoEvents | N | Number of events for contract. | | 864 | NoEvents | N | Number of events for contract. |
-| 865 | EventType | N | Type of Event. 1 = Day Change Time, 2 = Day Change Time Exceptions |+| 865 | EventType | N | Type of Event. The following values are allowed:<br>1 = Day Change Time<br>2 = Day Change Time Exceptions. Days and Times for which the Day Change Time is exempted. |
 | 866 | EventDate | N | Date of the event. | | 866 | EventDate | N | Date of the event. |
-| 1145 | EventTime | N | Time of the event (local CST Time or string for Day Change Time Exceptions) | +| 1145 | EventTime | N | Time of the event (in local CST Time or string for Day Change Time Exceptions i.e. Tag 865=2). | 
- +| 555 | NoLegs | N | Number of legs of multi-legged strategy. Must be provided if number of legs is greater than 1. | 
-==== Repeating Group: Legs ==== +| 600 | LegSymbol | N | Individual leg Contract for multi-leg instrument. This is the T4 Contract ID for this leg. It must be the first tag of this group. | 
-^ Tag ^ Field Name ^ Req'd ^ Comments ^ +| 623 | LegRatioQty | N | Individual leg Quantity Ratio. A negative value indicates a LegSide of Sell. | 
-| 555 | NoLegs | N | Number of legs of multi-legged strategy. Must be provided if number of legs > 1. | +| 624 | LegSide | N | Individual leg Side. Valid Values are:<br>1 = Buy<br>2 = Sell | 
-| 600 | LegSymbol | N | Individual leg Contract. T4 Contract ID. First tag of this group. | +| 609 | LegSecurityType | N | Individual leg Security Type. Valid values are:<br>FUT = Futures<br>OPT = Options | 
-| 623 | LegRatioQty | N | Individual leg Quantity Ratio. Negative = Sell. | +| 602 | LegSecurityID | N | Individual leg Security (Market) identifier for multi-leg instrument. This is T4 Market ID for this leg. | 
-| 624 | LegSide | N | Individual leg Side. 1 = Buy, 2 = Sell | +| 556 | LegCurrency | N | Individual leg Currency for multi-leg instrument. | 
-| 609 | LegSecurityType | N | Individual leg Security Type: FUT, OPT | +| 610 | LegMaturityMonthYear | N | Individual leg instrument maturity. Format YYYYMM. | 
-| 602 | LegSecurityID | N | Individual leg Market ID | +| 612 | LegStrikePrice | N | Individual leg strike (for Options Security Type). | 
-| 556 | LegCurrency | N | Individual leg Currency | +| 1358 | LegPutOrCall | N | Individual leg Put or Call (for Options Security Type). Valid values are:<br>0 = Put<br>1 = Call | 
-| 610 | LegMaturityMonthYear | N | Individual leg maturity YYYYMM | +| 616 | LegSecurityExchange | N | Individual leg Exchange. This is the T4 Exchange ID for this leg. | 
-| 612 | LegStrikePrice | N | Individual leg strike (for Options) | +| 620 | LegSecurityDesc | N | Individual leg instrument description. | 
-| 1358 | LegPutOrCall | N | 0 = Put, 1 = Call | +| 454 | NoSecurityAltID | N | Number of Alternate Security Identifiers. | 
-| 616 | LegSecurityExchange | N | Exchange of the leg | +| 455 | SecurityAltID | N | Alternate Security Identifier. | 
-| 620 | LegSecurityDesc | N | Individual leg instrument description | +| 456 | SecurityAltIDSource | N | Identifies class or source of the SecurityAltID (Tag 455). The following values are allowed:<br>8 = Exchange<br>M = Market Place Assigned | 
- +| Standard Trailer | Y | |
-==== Repeating Group: Alternate Security IDs ==== +
-^ Tag ^ Field Name ^ Req'd ^ Comments ^ +
-| 454 | NoSecurityAltID | N | Number of Alternate Security Identifiers | +
-| 455 | SecurityAltID | N | Alternate Security Identifier | +
-| 456 | SecurityAltIDSource | N | Identifies class/source of SecurityAltID: 8 = Exchange, M = Market Place Assigned |+
  
-| Standard Trailer | Y | 
 ===== Valid Values for SecuritySubType (Tag 762) ===== ===== Valid Values for SecuritySubType (Tag 762) =====
 ^ Code ^ Description ^ ^ Code ^ Description ^
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 | 70 | Inter Contract Strip | | 70 | Inter Contract Strip |
  
 +===== Valid Values for OrdType (Tag 40) =====
 +^ Code ^ Description ^
 +| 0       | Market is view only |
 +| 1       | Market orders |
 +| 2       | Limit orders |
 +| 4       | Stop Market |
 +| 8       | Stop Limit |
 +| 16      | MarketOnOpen |
 +| 32      | ImmediateAndCancel |
 +| 64      | CompleteVolume |
 +| 128     | StatusRequest |
 +| 256     | StopSameLimit |
 +| 512     | GoodTillCancelled |
 +| 1024    | MarketOnClose |
 +| 2048    | MarketModeReliable. Whether or not the market mode values are reliable for this market. |
 +| 4096    | ImpliedMatching. Whether implied orders will match at the exchange or not |
 +| 8192    | MaxShow. Iceberg order type |
 +| 16384   | NoQuotes. This market does not provide any quotes |
 +| 32768   | NoStrategyLegFills. This market does not provide strategy leg fills |
 +| 65536   | NoDayOrders. This market does not support day orders (Time-In-Force) |
 +| 131072  | RFQ. This market supports RFQ's |
 +
 +===== Sample Messages =====
 +
 +===== Sample Message for an Outright =====
 +<code>
 +<< 4/14/2014 2:06:21 PM  [fixsecuritydefinition] 34=37|49=T4|56=T4Example|50=T4FIX|52=20140414-19:06:48.230|320=sc-444-14:06:20.9531947|322=sd-4/14/2014 2:06:48 PM|323=4|911=1|55=ES|107=SIM:E-mini S&P 500 Jun14|48=CME_20140600_ESM4|40=2083|207=CME_Eq|200=201406|205=20|167=FUT|762=0|562=1|15=USD|1146=12.5|5770=25/1|
 +[FIXSECURITYDEFINITION]
 +[MsgSeqNum] 34 = 37
 +[SenderCompID] 49 = T4
 +[TargetCompID] 56 = T4Example
 +[SenderSubID] 50 = T4FIX
 +[SendingTime] 52 = 20140414-19:06:48.230
 +[SecurityReqID] 320 = sc-444-14:06:20.9531947
 +[SecurityResponseID] 322 = sd-4/14/2014 2:06:48 PM
 +[SecurityResponseType] 323 = 4 (LIST_OF_SECURITIES_RETURNED_PER_REQUEST)
 +[TotNumReports] 911 = 1
 +[Symbol] 55 = ES
 +[SecurityDesc] 107 = SIM:E-mini S&P 500 Jun14
 +[SecurityID] 48 = CME_20140600_ESM4
 +[OrdType] 40 = 2083 (MARKET | LIMIT | IMMEDIATEANDCANCEL | MARKETMODERELIABLE)
 +[SecurityExchange] 207 = CME_Eq
 +[MaturityMonthYear] 200 = 201406
 +[MaturityDay] 205 = 20
 +[SecurityType] 167 = FUT (FUTURE)
 +[SecuritySubType] 762 = 0 (NONE)
 +[MinTradeVol] 562 = 1
 +[Currency] 15 = USD
 +[MinPriceIncrementAmount] 1146 = 12.5
 +[PriceRatio] 5770 = 25/1
 +</code>
 +
 +===== Sample Message for a Calendar Spread =====
 +<code>
 +<< 4/14/2014 2:08:37 PM  [fixsecuritydefinition] 34=43|49=T4|56=T4Example|50=T4FIX|52=20140414-19:09:04.497|320=sc-89-14:08:37.2241156|322=sd-4/14/2014 2:09:04 PM|323=4|911=10|55=ES|107=SIM:E-mini S&P 500 -Jun14+Sep14|48=CME_20140600_ESM4-ESU4|40=2083|207=CME_Eq|200=201406|205=20|167=FUT|762=1|562=1|15=USD|1146=2.5|5770=5/1|555=2|600=ES|623=-1|624=2|609=FUT|602=CME_20140600_ESM4|556=USD|610=201406|616=CME_Eq|620=SIM:E-mini S&P 500 Jun14|600=ES|623=1|624=1|609=FUT|602=CME_20140900_ESU4|556=USD|610=201409|616=CME_Eq|620=SIM:E-mini S&P 500 Sep14|
 +[FIXSECURITYDEFINITION]
 +[MsgSeqNum] 34 = 43
 +[SenderCompID] 49 = T4
 +[TargetCompID] 56 = T4Example
 +[SenderSubID] 50 = T4FIX
 +[SendingTime] 52 = 20140414-19:09:04.497
 +[SecurityReqID] 320 = sc-89-14:08:37.2241156
 +[SecurityResponseID] 322 = sd-4/14/2014 2:09:04 PM
 +[SecurityResponseType] 323 = 4 (LIST_OF_SECURITIES_RETURNED_PER_REQUEST)
 +[TotNumReports] 911 = 10
 +[Symbol] 55 = ES
 +[SecurityDesc] 107 = SIM:E-mini S&P 500 -Jun14+Sep14
 +[SecurityID] 48 = CME_20140600_ESM4-ESU4
 +[OrdType] 40 = 2083 (MARKET | LIMIT | IMMEDIATEANDCANCEL | MARKETMODERELIABLE)
 +[SecurityExchange] 207 = CME_Eq
 +[MaturityMonthYear] 200 = 201406
 +[MaturityDay] 205 = 20
 +[SecurityType] 167 = FUT (FUTURE)
 +[SecuritySubType] 762 = 1 (CALENDAR_SPREAD)
 +[MinTradeVol] 562 = 1
 +[Currency] 15 = USD
 +[MinPriceIncrementAmount] 1146 = 2.5
 +[PriceRatio] 5770 = 5/1
 +[NoLegs] 555 = 2
 +[LegSymbol] 600 = ES
 +[LegRatioQty] 623 = -1
 +[LegSide] 624 = 2 (SELL)
 +[LegSecurityType] 609 = FUT
 +[LegSecurityID] 602 = CME_20140600_ESM4
 +[LegCurrency] 556 = USD
 +[LegMaturityMonthYear] 610 = 201406
 +[LegSecurityExchange] 616 = CME_Eq
 +[LegSecurityDesc] 620 = SIM:E-mini S&P 500 Jun14
 +[LegSymbol] 600 = ES
 +[LegRatioQty] 623 = 1
 +[LegSide] 624 = 1 (BUY)
 +[LegSecurityType] 609 = FUT
 +[LegSecurityID] 602 = CME_20140900_ESU4
 +[LegCurrency] 556 = USD
 +[LegMaturityMonthYear] 610 = 201409
 +[LegSecurityExchange] 616 = CME_Eq
 +[LegSecurityDesc] 620 = SIM:E-mini S&P 500 Sep14
 +</code>
 +
 +===== Sample Message for a (Call) Option =====
 +<code>
 +<< 4/14/2014 2:11:39 PM  [fixsecuritydefinition] 34=197|49=T4|56=T4Example|50=T4FIX|52=20140414-19:11:41.544|320=sc-58-14:11:14.2592712|322=sd-4/14/2014 2:11:41 PM|323=4|911=235|55=ES|107=SIM:E-mini S&P 500 Jun14 181000C|48=CME_20140600_ESM4 C1810|40=2082|207=CME_EqOp|200=201406|205=20|167=OPT|762=0|201=1|202=181000|562=1|15=USD|1146=5;P<-500=25;P>500=25;|5770=5/1|
 +[FIXSECURITYDEFINITION]
 +[MsgSeqNum] 34 = 197
 +[SenderCompID] 49 = T4
 +[TargetCompID] 56 = T4Example
 +[SenderSubID] 50 = T4FIX
 +[SendingTime] 52 = 20140414-19:11:41.544
 +[SecurityReqID] 320 = sc-58-14:11:14.2592712
 +[SecurityResponseID] 322 = sd-4/14/2014 2:11:41 PM
 +[SecurityResponseType] 323 = 4 (LIST_OF_SECURITIES_RETURNED_PER_REQUEST)
 +[TotNumReports] 911 = 235
 +[Symbol] 55 = ES
 +[SecurityDesc] 107 = SIM:E-mini S&P 500 Jun14 181000C
 +[SecurityID] 48 = CME_20140600_ESM4 C1810
 +[OrdType] 40 = 2082 (LIMIT | IMMEDIATEANDCANCEL | MARKETMODERELIABLE)
 +[SecurityExchange] 207 = CME_EqOp
 +[MaturityMonthYear] 200 = 201406
 +[MaturityDay] 205 = 20
 +[SecurityType] 167 = OPT (OPTION)
 +[SecuritySubType] 762 = 0 (NONE)
 +[PutOrCall] 201 = 1 (CALL)
 +[StrikePrice] 202 = 181000
 +[MinTradeVol] 562 = 1
 +[Currency] 15 = USD
 +[MinPriceIncrementAmount] 1146 = 5;P<-500=25;P>500=25;
 +[PriceRatio] 5770 = 5/1
 +</code>
 +
 +===== Sample Message for multi-leg strategy (Straddle) =====
 +<code>
 +<< 4/14/2014 2:16:42 PM  [fixsecuritydefinition] 34=393|49=T4|56=T4Example|50=T4FIX|52=20140414-19:16:52.018|320=sc-282-14:16:24.7411475|322=sd-4/14/2014 2:16:52 PM|323=4|911=165|55=ES|107=SIM:E-mini S&P 500 Straddle +Jun14 181000C+(181000P)|48=XCME_EqOp ES (M14C 181000)(M14P 181000)|40=2082|207=CME_EqOp|200=201406|205=20|167=OPT|762=33|562=1|15=USD|1146=5;P<-500=25;P>500=25;|5770=5/1|555=2|600=ES|623=1|624=1|609=OPT|602=CME_20140600_ESM4 C1810|556=USD|610=201406|612=181000|1358=1|616=CME_EqOp|620=SIM:E-mini S&P 500 Jun14 181000C|600=ES|623=1|624=1|609=OPT|602=CME_20140600_ESM4 P1810|556=USD|610=201406|612=181000|1358=0|616=CME_EqOp|620=SIM:E-mini S&P 500 Jun14 181000P|
 +[FIXSECURITYDEFINITION]
 +[MsgSeqNum] 34 = 393
 +[SenderCompID] 49 = T4
 +[TargetCompID] 56 = T4Example
 +[SenderSubID] 50 = T4FIX
 +[SendingTime] 52 = 20140414-19:16:52.018
 +[SecurityReqID] 320 = sc-282-14:16:24.7411475
 +[SecurityResponseID] 322 = sd-4/14/2014 2:16:52 PM
 +[SecurityResponseType] 323 = 4 (LIST_OF_SECURITIES_RETURNED_PER_REQUEST)
 +[TotNumReports] 911 = 165
 +[Symbol] 55 = ES
 +[SecurityDesc] 107 = SIM:E-mini S&P 500 Straddle +Jun14 181000C+(181000P)
 +[SecurityID] 48 = XCME_EqOp ES (M14C 181000)(M14P 181000)
 +[OrdType] 40 = 2082 (LIMIT | IMMEDIATEANDCANCEL | MARKETMODERELIABLE)
 +[SecurityExchange] 207 = CME_EqOp
 +[MaturityMonthYear] 200 = 201406
 +[MaturityDay] 205 = 20
 +[SecurityType] 167 = OPT (OPTION)
 +[SecuritySubType] 762 = 33 (STRADDLE)
 +[MinTradeVol] 562 = 1
 +[Currency] 15 = USD
 +[MinPriceIncrementAmount] 1146 = 5;P<-500=25;P>500=25;
 +[PriceRatio] 5770 = 5/1
 +[NoLegs] 555 = 2
 +[LegSymbol] 600 = ES
 +[LegRatioQty] 623 = 1
 +[LegSide] 624 = 1 (BUY)
 +[LegSecurityType] 609 = OPT
 +[LegSecurityID] 602 = CME_20140600_ESM4 C1810
 +[LegCurrency] 556 = USD
 +[LegMaturityMonthYear] 610 = 201406
 +[LegStrikePrice] 612 = 181000
 +[LegPutOrCall] 1358 = 1 (CALL)
 +[LegSecurityExchange] 616 = CME_EqOp
 +[LegSecurityDesc] 620 = SIM:E-mini S&P 500 Jun14 181000C
 +[LegSymbol] 600 = ES
 +[LegRatioQty] 623 = 1
 +[LegSide] 624 = 1 (BUY)
 +[LegSecurityType] 609 = OPT
 +[LegSecurityID] 602 = CME_20140600_ESM4 P1810
 +[LegCurrency] 556 = USD
 +[LegMaturityMonthYear] 610 = 201406
 +[LegStrikePrice] 612 = 181000
 +[LegPutOrCall] 1358 = 0 (PUT)
 +[LegSecurityExchange] 616 = CME_EqOp
 +[LegSecurityDesc] 620 = SIM:E-mini S&P 500 Jun14 181000P
 +</code>
 +
 +[[developers:legacy_fix_api|T4 FIX API Home]]
  • developers/fixapi.securitydefinition.1755088174.txt.gz
  • Last modified: 2025/08/13 12:29
  • by rob