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Security Definition
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 |
|---|---|---|---|
| <bgcolor=“#f2f2f2”> 8 | BeginString | Y | FIX protocol version. Always 'FIX.4.2'. |
| 35 | MsgType | Y | Message type. |
| <bgcolor=“#f2f2f2”> 34 | MsgSeqNum | Y | Message sequence number. |
| 49 | SenderCompID | Y | Assigned value used to identify firm sending message. |
| <bgcolor=“#f2f2f2”> 56 | TargetCompID | Y | Assigned value used to identify receiving firm. |
| 52 | SendingTime | Y | Time of message transmission (UTC). |
| <bgcolor=“#f2f2f2”> 1 | Account | N | Account mnemonic as agreed between broker and institution. |
| 55 | Symbol | Y | Common, “human understood” representation of the security. |
| <bgcolor=“#f2f2f2”> 48 | SecurityID | N | Security ID as defined by the exchange. |
| 22 | IDSource | N | Identifies class or source of the SecurityID. |
| <bgcolor=“#f2f2f2”> 167 | SecurityType | Y | Type of security (e.g., FUT, OPT). |
| 762 | SecuritySubType | N |
0 = None (outright)<br> 1 = Calendar Spread<br> 2 = RT Calendar Spread<br> 3 = Inter Contract Spread<br> 4 = Butterfly<br> 5 = Condor<br> 6 = Ratio Spread<br> 7 = Pack<br> 8 = Bundle<br> 9 = Straddle<br> 10 = Strangle<br> 11 = Strip<br> 12 = Guts<br> 13 = Calendar Straddle<br> 14 = Calendar Strangle<br> 15 = Diagonal Calendar Spread<br> 16 = Vertical Spread<br> 17 = Horizontal Spread<br> 18 = Covered<br> 19 = Fence<br> 20 = Risk Reversal<br> 21 = Collar<br> 22 = Call Spread<br> 23 = Put Spread<br> 24 = Call Ratio Spread<br> 25 = Put Ratio Spread<br> 26 = Synthetic Long<br> 27 = Synthetic Short<br> 28 = Seagull<br> 29 = Call Ladder<br> 30 = Put Ladder<br> 31 = Call Fly<br> 32 = Put Fly<br> 33 = Iron Butterfly<br> 34 = Iron Condor<br> 35 = Call Condor<br> 36 = Put Condor<br> 37 = Diagonal Condor<br> 38 = Diagonal Fly<br> 39 = Covered Call<br> 40 = Covered Put<br> 41 = Conversion<br> 42 = Reversal<br> 43 = Straddle Spread<br> 44 = Strangle Spread<br> 45 = Combo<br> 46 = Straddle vs. Call Spread<br> 47 = Straddle vs. Put Spread<br> 48 = Box Spread<br> 49 = Jelly Roll<br> 50 = Strip Fly<br> 51 = Strip Condor<br> 52 = Strap<br> 53 = Strip Ratio<br> 54 = Strap Ratio<br> 55 = Double Calendar<br> 56 = Double Diagonal<br> 57 = Christmas Tree<br> 58 = Call Christmas Tree<br> 59 = Put Christmas Tree<br> 60 = Put Back Spread<br> 61 = Call Back Spread<br> 62 = Ladder<br> 63 = Diagonal Ladder<br> 64 = Double Ladder<br> 65 = Ratio Ladder<br> 66 = Double Ratio Ladder<br> 67 = Ladder Fly<br> 68 = Ladder Condor<br> 69 = Ladder Back Spread<br> 70 = Ladder Ratio Spread<br> 71 = Cross<br> 72 = Synthetic Straddle<br> 73 = Synthetic Strangle<br> 74 = Treasury Tail |
| <bgcolor=“#f2f2f2”> 15 | Currency | N | Currency code (ISO 4217). |
| 54 | Side | Y | Side of order: 1 = Buy, 2 = Sell. |
| <bgcolor=“#f2f2f2”> 38 | OrderQty | Y | Quantity ordered. |
| 40 | OrdType | Y | Order type: 1 = Market, 2 = Limit, etc. |
| <bgcolor=“#f2f2f2”> 44 | Price | N | Price per unit of quantity. |
| 59 | TimeInForce | N | Specifies how long the order remains in effect. |
| <bgcolor=“#f2f2f2”> 126 | ExpireTime | N | Time/Date of order expiration. |
| 60 | TransactTime | Y | Time the transaction represented by this order occurred. |
| <bgcolor=“#f2f2f2”> 10 | CheckSum | Y | Three-byte, simple checksum. |