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Security Definition
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. 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. |
| 1146 | MinPriceIncrementAmount | N | Currency value of minimum price increment or Variable Tick Table. |
| 201 | PutOrCall | N | Put Or Call identifier (for Options Security Type). 0 = Put, 1 = Call |
| 202 | StrikePrice | N | Strike Price (for Options Security Type). |
| 167 | SecurityType | N | Indicates type of security. Valid values: FUT, OPT, STK, SYN, BIN |
| 762 | SecuritySubType | N | Security SubType that further describes the security. Values 0–74 (Calendar Spread, Butterfly, Iron Condor, etc.) |
| 40 | OrdType | N | T4 Order Types supported by this market (bitwise AND-ed integer). |
| 15 | Currency | N | Currency of Market Prices. |
==== Events Repeating Group ====
^ Tag ^ Field Name ^ Req'd ^ Comments ^
| 864 | NoEvents | N | Number of events for contract. |
| 865 | EventType | N | Type of Event. 1 = Day Change Time, 2 = Day Change Time Exceptions |
| 866 | EventDate | N | Date of the event. |
| 1145 | EventTime | N | Time of the event (local CST Time or string for Day Change Time Exceptions) |
==== Legs Repeating Group ====
^ Tag ^ Field Name ^ Req'd ^ Comments ^
| 555 | NoLegs | N | Number of legs of multi-legged strategy. Must be provided if number of legs > 1. |
| 600 | LegSymbol | N | Individual leg Contract. T4 Contract ID. First tag of this group. |
| 623 | LegRatioQty | N | Individual leg Quantity Ratio. Negative = Sell. |
| 624 | LegSide | N | Individual leg Side. 1 = Buy, 2 = Sell |
| 609 | LegSecurityType | N | Individual leg Security Type: FUT, OPT |
| 602 | LegSecurityID | N | Individual leg Market ID |
| 556 | LegCurrency | N | Individual leg Currency |
| 610 | LegMaturityMonthYear | N | Individual leg maturity YYYYMM |
| 612 | LegStrikePrice | N | Individual leg strike (for Options) |
| 1358 | LegPutOrCall | N | 0 = Put, 1 = Call |
| 616 | LegSecurityExchange | N | Exchange of the leg |
| 620 | LegSecurityDesc | N | Individual leg instrument description |
==== Alternate Security IDs Repeating Group ====
^ 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 |