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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 |