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Security Definition
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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 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
| Tag | Field Name | Req'd | Comments |
|---|---|---|---|
| Standard Header | Y | MsgType = d | |
| 320 | SecurityReqID | Y | Security Definition Request identifier. Must be unique to distinguish security definition requests. |
| 322 | SecurityResponseID | Y | ID of current Security Definition message. |
| 323 | SecurityResponseType | Y | Type of Security Definition message response. The following values can be used:<br>4 = List of Securities returned per request.<br>5 = Reject Security Proposal. Security Definition Requests not Enabled (in Logon message). |
| 911 | TotNumReports | N | Total number of Security Definitions associated with its Security Definition Request. |
| 207 | SecurityExchange | N | Exchange. This is the T4 Exchange 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. |
| 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. |
| 205 | MaturityDay | N | Maturity Day. Last Trading day for the current market. |
| 562 | MinTradeVol | N | The minimum trading volume for the security. |
| 969 | MinPriceAmount | N | The minimum price movement in 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 | 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 | 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 a fraction of Numerator to Denominator. Reduced Ticks Spreads also provide ratios as delineated with the RTS acronym. |
| 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). The following values can be used:<br>0 = Put<br>1 = Call |
| 202 | StrikePrice | N | Strike Price (for Options Security Type). |
| 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. 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. 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. |
| 864 | NoEvents | N | Number of events for contract. |
| 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. |
| 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. |
| 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. |
| 623 | LegRatioQty | N | Individual leg Quantity Ratio. A negative value indicates a LegSide of Sell. |
| 624 | LegSide | N | Individual leg Side. Valid Values are:<br>1 = Buy<br>2 = Sell |
| 609 | LegSecurityType | N | Individual leg Security Type. Valid values are:<br>FUT = Futures<br>OPT = Options |
| 602 | LegSecurityID | N | Individual leg Security (Market) identifier for multi-leg instrument. This is T4 Market ID for this leg. |
| 556 | LegCurrency | N | Individual leg Currency for multi-leg instrument. |
| 610 | LegMaturityMonthYear | N | Individual leg instrument maturity. Format YYYYMM. |
| 612 | LegStrikePrice | N | Individual leg strike (for Options Security Type). |
| 1358 | LegPutOrCall | N | Individual leg Put or Call (for Options Security Type). Valid values are:<br>0 = Put<br>1 = Call |
| 616 | LegSecurityExchange | N | Individual leg Exchange. This is the T4 Exchange ID for this leg. |
| 620 | LegSecurityDesc | N | Individual leg instrument description. |
| 454 | NoSecurityAltID | N | Number of Alternate Security Identifiers. |
| 455 | SecurityAltID | N | Alternate Security Identifier. |
| 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 |
Valid Values for SecuritySubType (Tag 762)
| Code | Description |
|---|---|
| 0 | None (Outrights) |
| 1 | Calendar Spread |
| 2 | RT Calendar Spread |
| 3 | Inter Contract Spread |
| 4 | Butterfly Spread |
| 5 | Condor Spread |
| 6 | Pack Spread |
| 7 | Bundle Spread |
| 8 | Inter Exchange Spread |
| 9 | Crack Spread |
| 10 | Spark Spread |
| 11 | Crush Spread |
| 12 | Reverse Crush Spread |
| 13 | Strip |
| 14 | Straddle |
| 15 | Strangle |
| 16 | Guts |
| 17 | Synthetics |
| 18 | Combo |
| 19 | Vertical Spread |
| 20 | Horizontal Spread |
| 21 | Diagonal Spread |
| 22 | Ratio Spread |
| 23 | Back Spread |
| 24 | Covered Call |
| 25 | Covered Put |
| 26 | Married Put |
| 27 | Collar |
| 28 | Fence |
| 29 | Conversion |
| 30 | Reverse Conversion |
| 31 | Box Spread |
| 32 | Jelly Roll |
| 33 | Iron Condor |
| 34 | Iron Butterfly |
| 35 | Ladder |
| 36 | Seagull |
| 37 | Strip (Option Strategy) |
| 38 | Strap |
| 39 | Synthetic Long Stock |
| 40 | Synthetic Short Stock |
| 41 | Synthetic Long Future |
| 42 | Synthetic Short Future |
| 43 | Reversal |
| 44 | Risk Reversal |
| 45 | Calendar Butterfly |
| 46 | Calendar Condor |
| 47 | Calendar Straddle |
| 48 | Calendar Strangle |
| 49 | Diagonal Butterfly |
| 50 | Diagonal Condor |
| 51 | Diagonal Straddle |
| 52 | Diagonal Strangle |
| 53 | Horizontal Butterfly |
| 54 | Horizontal Condor |
| 55 | Horizontal Straddle |
| 56 | Horizontal Strangle |
| 57 | Ratio Butterfly |
| 58 | Ratio Condor |
| 59 | Ratio Straddle |
| 60 | Ratio Strangle |
| 61 | Vertical Butterfly |
| 62 | Vertical Condor |
| 63 | Vertical Straddle |
| 64 | Vertical Strangle |
| 65 | Box (Synthetic Arbitrage) |
| 66 | Diagonal Box |
| 67 | Horizontal Box |
| 68 | Ratio Box |
| 69 | Vertical Box |
| 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
<< 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
Sample Message for a Calendar Spread
<< 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
Sample Message for a (Call) Option
<< 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
Sample Message for multi-leg strategy (Straddle)
<< 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