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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: 4 = List of Securities returned per request, 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 | Always the currency value of the minimum price increment if 372=D login, otherwise currency or Variable Tick Table. |
| 201 | PutOrCall | N | Put Or Call identifier (for Options Security Type). Values: 0 = Put, 1 = Call |
| 202 | StrikePrice | N | Strike Price (for Options Security Type). |
| 167 | SecurityType | N | Indicates type of security. FUT = Futures, OPT = Options, STK = Stock, SYN = Synthetic, BIN = Binary Option |
Security SubType (Tag 762)
| Tag | Field Name | Req'd | Comments |
|---|---|---|---|
| 762 | SecuritySubType | N | Security SubType that further describes the security. Values include: 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 |
Order Type (Tag 40)
| Tag | Field Name | Req'd | Comments |
|---|---|---|---|
| 40 | OrdType | N | T4 Order Types supported by this market. Provided as a bitwise logically-AND-ed integer. Examples: 0=Market view only, 1=Market orders, 2=Limit, 4=Stop Market, 8=Stop Limit, 16=MarketOnOpen, 32=ImmediateAndCancel, 64=CompleteVolume, 128=StatusRequest, 256=StopSameLimit, 512=GoodTillCancelled, 1024=MarketOnClose, 2048=MarketModeReliable, 4096=ImpliedMatching, 8192=MaxShow, 16384=NoQuotes, 32768=NoStrategyLegFills, 65536=NoDayOrders, 131072=RFQ |
Remaining Tags
| Tag | Field Name | Req'd | Comments |
|---|---|---|---|
| 15 | Currency | N | Currency of Market Prices. |
| 864 | NoEvents | N | Number of events for contract. |
| 865 | EventType | N | Type of Event. Values: 1=Day Change Time, 2=Day Change Time Exceptions |
| 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 |
| 555 | NoLegs | N | Number of legs of multi-legged strategy. Must be provided if >1. |
| 600 | LegSymbol | N | Individual leg Contract for multi-leg instrument. T4 Contract ID for this leg. |
| 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=Futures, OPT=Options |
| 602 | LegSecurityID | N | Individual leg Security (Market) identifier for multi-leg instrument. 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. 0=Put, 1=Call |
| 616 | LegSecurityExchange | N | Individual leg Exchange. 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 | Class or source of the SecurityAltID. 8=Exchange, M=Market Place Assigned. |
| Standard Trailer | Y |
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