Security Definition

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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:<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 (Security) for a given Contract. This is the T4 Market ID.
107	SecurityDesc	N	Security Description. May also refer to contracts (Get Contract IDs) or exchanges (Get Exchange IDs).
200	MaturityMonthYear	N	Month and year of maturity. Format: YYYYMM.
205	MaturityDay	N	Last Trading day for the current market.
562	MinTradeVol	N	Minimum trading volume for the security.
969	MinPriceAmount	N	Minimum price movement in this market (372=D only).
9850	MinCabPrice	N	Minimum cab price for this market (372=D only).
6350	TickRule	N	Variable tick table definition (e.g., `5;P←500=25;p>500=25`).
9800	PriceDisplayFormat	N	Decimal places in a price for this market (372=D only).
5770	PriceRatio	N	Obsolete. Ratio as fraction of Numerator/Denominator.
1146	MinPriceIncrementAmount	N	Currency value of min price increment (or tick table).
201	PutOrCall	N	Put/Call (Options only):<br/>0 = Put<br/>1 = Call
202	StrikePrice	N	Strike Price (Options only).
167	SecurityType	N	Type of security:<br/>FUT = Futures<br/>OPT = Options<br/>STK = Stock<br/>SYN = Synthetic<br/>BIN = Binary Option
762	SecuritySubType	N	Further describes the security. See table below.
40	OrdType	N	Supported T4 Order Types as bitwise integer mask.
15	Currency	N	Currency of Market Prices.

Code	Description
0	None (outright)
1	Calendar Spread
2	RT Calendar Spread
3	Inter Contract Spread
4	Butterfly
5	Condor
6	Double Butterfly
7	Horizontal
8	Bundle
9	Month vs Pack
10	Pack
11	Pack Spread
12	Pack Butterfly
13	Bundle Spread
14	Strip
15	Crack
16	Treasury Spread
17	Crush
18	None
19	Threeway
20	Threeway Straddle vs Call
21	Threeway Straddle vs Put
22	Box
23	Christmas Tree
24	Conditional Curve
25	Double
26	Horizontal Straddle
27	Iron Condor
28	Ratio 1×2
29	Ratio 1×3
30	Ratio 2×3
31	Risk Reversal
32	Straddle Strip
33	Straddle
34	Strangle
35	Vertical
36	Jelly Roll
37	Iron Butterfly
38	Guts
39	Generic
40	Diagonal
41	Covered Threeway
42	Covered Threeway Straddle vs Call
43	Covered Threeway Straddle vs Put
44	Covered Box
45	Covered Christmas Tree
46	Covered Conditional Curve
47	Covered Double
48	Covered Horizontal Straddle
49	Covered Iron Condor
50	Covered Ratio 1×2
51	Covered Ratio 1×3
52	Covered Ratio 2×3
53	Covered Risk Reversal
54	Covered Straddle Strip
55	Covered Straddle
56	Covered Strangle
57	Covered Vertical
58	Covered Jelly Roll
59	Covered Iron Butterfly
60	Covered Guts
61	Covered Generic
62	Covered Diagonal
63	Covered Butterfly
64	Covered Condor
65	Covered Horizontal
66	Covered Strip
67	Covered Option
68	Balanced Strip
69	Unbalanced Strip
70	Inter Contract Strip
71	Invoice Swap
72	Interest Rate Swap
73	Average Price Strip
74	Treasury Tail

Events

Tag	Field Name	Req'd	Comments
864	NoEvents	N	Number of events for contract.
865	EventType	N	Event type:<br/>1 = Day Change Time<br/>2 = Day Change Time Exceptions
866	EventDate	N	Event date.
1145	EventTime	N	Event time (local CST) or string for exceptions.

Legs

Tag	Field Name	Req'd	Comments
555	NoLegs	N	Number of legs (if > 1).
600	LegSymbol	N	T4 Contract ID for leg (first tag in group).
623	LegRatioQty	N	Quantity ratio (negative = Sell).
624	LegSide	N	1 = Buy<br/>2 = Sell
609	LegSecurityType	N	FUT = Futures<br/>OPT = Options
602	LegSecurityID	N	T4 Market ID for leg.
556	LegCurrency	N	Currency for leg.
610	LegMaturityMonthYear	N	Format YYYYMM.
612	LegStrikePrice	N	Strike (Options only).
1358	LegPutOrCall	N	0 = Put<br/>1 = Call
616	LegSecurityExchange	N	T4 Exchange ID for leg.
620	LegSecurityDesc	N	Leg description.

Alternate Security IDs

Tag	Field Name	Req'd	Comments
454	NoSecurityAltID	N	Number of Alternate Security IDs.
455	SecurityAltID	N	Alternate Security Identifier.
456	SecurityAltIDSource	N	Source of SecurityAltID:<br/>8 = Exchange<br/>M = Marketplace Assigned

Standard Trailer	Y

Security Definition

Message Dictionary

Valid Values for SecuritySubType (Tag 762)

Repeating Groups

WIKI