Table of Contents

SECURITY DEFINITION [35=d]

The Security Definition message returns instrument characteristics in response to Security Definition Request queries.

Message Specification

Message Direction: T4 → Client

Tag Field Name Type Req'd Description
Message Header Y MsgType = d
320 SecurityReqID String Y Original request ID
322 SecurityResponseID String Y Response ID
323 SecurityResponseType Int Y 4=List returned, 5=Reject
911 TotNumReports Int O Total definitions in response set
207 SecurityExchange String O T4 Exchange ID
55 Symbol String O T4 Contract ID
48 SecurityID String O T4 Market ID
107 SecurityDesc String O Instrument description
167 SecurityType String O FUT, OPT, STK, SYN, BIN
762 SecuritySubType Int O Strategy type (see table)
200 MaturityMonthYear String O Format: YYYYMM
205 MaturityDay Int O Last trading day
201 PutOrCall Int O 0=Put, 1=Call
202 StrikePrice Float O Option strike
562 MinTradeVol Float O Minimum order quantity
969 MinPriceAmount Float O Min price increment (decimal mode)
1146 MinPriceIncrementAmount String O Currency value or tick table
6350 TickRule String O Variable tick table (decimal mode)
9800 PriceDisplayFormat Int O Decimal places (decimal mode)
40 OrdType Int O Supported order types (bitmask)
15 Currency String O Price currency
555 NoLegs Int O Number of strategy legs
→600 LegSymbol String C Leg contract ID
→623 LegRatioQty Float C Leg quantity ratio
→624 LegSide Char C 1=Buy, 2=Sell
→609 LegSecurityType String C FUT, OPT
→602 LegSecurityID String C Leg market ID
→610 LegMaturityMonthYear String O Leg maturity YYYYMM
→612 LegStrikePrice Float O Leg option strike
→1358 LegPutOrCall Int O 0=Put, 1=Call
→616 LegSecurityExchange String O Leg exchange ID
→620 LegSecurityDesc String O Leg description
864 NoEvents Int O Number of events
→865 EventType Int C 1=Day change, 2=Exception
→866 EventDate LocalMktDate C Event date
→1145 EventTime String C Event time
Message Trailer Y

OrdType Bitmask Values

Bit Value Type
0 1 Market
1 2 Limit
2 4 Stop Market
3 8 Stop Limit
5 32 IOC
9 512 GTC
13 8192 MaxShow

Sample Messages

Outright Future: 

8=FIX.4.2|9=280|35=d|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|10=123|

Calendar Spread: 

8=FIX.4.2|9=450|35=d|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|610=201406|616=CME_Eq|
600=ES|623=1|624=1|609=FUT|602=CME_20140900_ESU4|610=201409|616=CME_Eq|10=234|

Notes