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FIX Adapter Reference

Component block: Instrument (FIX client request)

Overview

When sending the instrument component block in a FIX client request, you can specify the instrument in any of the following methods.

  • By security ID
  • By security Alt ID
  • By security name

These methods can be used as follows:

  • You can use the security ID method for all cases.
  • You can only use the security Alt ID method for contracts for which the exchange populates Tag 10455 (SecurityAltID).
  • You can use the security name method for all contracts on all exchanges with the following exceptions:
    • You cannot use the security name method for MEFF; you must use the security ID method.
    • You cannot use the security name method for ICE contracts that use daily, weekly, variable, and undefined delivery terms.
    • You cannot use the security name method for BVMF's rollover contracts, which are multi-legged instruments that the exchange lists as futures contracts.

A special note about Tag 55 (Symbol)

The value TT FIX Adapter uses in Tag 55 (Symbol) is provided directly from the exchange on which the contract is traded. In the following special cases, TT Gateways concatenate native exchange data to the standard symbol to provide a unique identity for each contract:

  • For all products traded on the TT NYSE_Liffe Gateway with the following exchange codes, the TT Gateway prepends the lowercase version of this code to their exchange product symbols.
    • Derivative Products on Euronext Brussels Equities - “B”
    • Derivative Products on Euronext Brussels Indices - “F”
    • Derivative Products on Euronext Paris Fixed Income - “E”
    • Derivative Products on Euronext Paris Indices - “J”
    • Derivative Products on Euronext Paris Equities - “P”
    • Derivative Products on Euronext Paris Commodities - “Y”
    • Derivative Products on Euronext Lisbon Equities - “S”
    • Derivative Products on Euronext Lisbon Indices - “M”
    • Derivative Products on Euronext Amsterdam Equities - “A”
    • Derivative Products on Euronext Amsterdam Indices - “K”
    • Derivative Products on Euronext Amsterdam Currency - “Z”
    • Derivative Products on Euronext Amsterdam Agricultural - “R”
    • Cash Underlying Products on Euronext Amsterdam - “G”
    • Cash Underlying Products on Euronext Paris - “C”
    • Cash Underlying Products on Euronext Lisbon - “H”
    • Cash Underlying Products on Euronext Brussels - “D”
  • For all products traded on the SFE trading venue, the TT Gateway prepends either CFD, SFE, or NZFOE to their exchange product symbols. In addition, the TT SFE Gateway appends an O to its exchange product symbols for all overnight option products.

When specifying by security ID

Instead of including the entire instrument block when communicating with TT FIX Adapter, client applications can use Tags 48 (SecurityID), 55 (Symbol), and 207 (SecurityExchange). As instruments on different exchanges can share the same value for Security ID, including Security Exchange creates a unique identifier for each instrument.

Tag #Field nameReq’dComments
207

SecurityExchange

Y

Name of the market where the instrument trades. TT FIX Adapter uses this value to identify a security.

Data type: Exchange

For a list of supported markets, refer to Tag 207 (SecurityExchange).

48

SecurityID

Y

TT security ID

Data type: String

55

Symbol

Y

Exchange-provided product symbol for the tradable product.

Data type: String.

When specifying by alternate security ID

For those exchanges that support alternate security ID (sometimes called aliases), client applications can use Tag 10455 (SecurityAltID) to specify its alternate security ID. As instruments on different exchanges can share the same value for SecurityAltID, including SecurityExchange creates a unique identifier for each instrument.

Tag #Field nameReq’dComments
207

SecurityExchange

Y

Name of the market where the instrument trades. TT FIX Adapter uses this value to identify a security.

Data type: Exchange

For a list of supported markets, refer to Tag 207 (SecurityExchange).

10455

SecurityAltID

Y

Alternate ID for an instrument or security, typically for display purposes.

Data type: String

55

Symbol

Y

Exchange-provided product symbol for the tradable product.

Data type: String.

167

SecurityType

Y

Asset class of the instrument. Possible values include:

  • CS: common stock
  • FOR: foreign exchange
  • FUT: future
  • GOVT: sovereign debt
  • IDX: equity index (valid for market data purposes only)
  • MLEG: multi-leg
  • NRG: energy
  • OPT: option

Data type: String

When specifying by security name

You can also identify instruments by specifying its name and characteristics. You might use this method if your application or business practices do not use security IDs.

Tag #Field nameReq’dComments
207

SecurityExchange

Y

Name of the market where the instrument trades. TT FIX Adapter uses this value to identify a security.

Data type: Exchange

For a list of supported markets, refer to Tag 207 (SecurityExchange).

167

SecurityType

Y

Asset class of the instrument. Possible values include:

  • CS: common stock
  • FOR: foreign exchange
  • FUT: future
  • GOVT: sovereign debt
  • IDX: equity index (valid for market data purposes only)
  • MLEG: multi-leg
  • NRG: energy
  • OPT: option

Data type: String

55

Symbol

C

Exchange-provided product symbol for the tradable product.

Data type: String.

Condition: Not used when Tag 167 (SecurityType)=MLEG.

200

MaturityMonthYear

C

Month and year the instrument reaches maturity in the format YYYYMM.

Data type: month-year

Condition: Required when Tag 167 (SecurityType) is FUT, NRG, or OPT

205

MaturityDay

C

Day of expiration for the instrument. TT FIX Adapter uses this value and Tag 200 (MaturityMonthYear) to specify the maturity date when Tag 167 (SecurityType) is FUT, OPT, or NRG.

Data type: day-of-month; Range: 1-31

Condition: Required when multiple contracts exist for the same month

18211

ContractTerm

C

Term of delivery for the instrument. TT FIX Adapter uses this value to identify contracts that do not have a monthly delivery term. Possible values include:

  • Q: Quarterly term
  • S: Seasonal term
  • Y: Yearly calendar term

Data type: char

Condition: Required when both of the following are true:

  • Tag 167 (SecurityType) is NRG.
  • The delivery term is not monthly.
201

PutOrCall

C

Whether the option represents a put or call. Possible values include:

  • 0: Put
  • 1: Call

Data type: int

Condition: Required when Tag 167 (SecurityType) is OPT

202

StrikePrice

C

Strike price for an option

Data type: Price

Condition: Required when Tag 167 (SecurityType) is OPT

206

OptAttribute

C

Version of the options contract.

It is usually '0' but can have higher integer values indicating a change to the contract. For example, if an event such as a stock split occurs, the exchange will change the version of the options on the stock to indicate a change in a property of the underlying contract. So it would be possible to have two option contracts with the same strike price but different versions.

Data type: char

Condition: Required when both of the following are true:

  • Tag 167 (SecurityType) is OPT.
  • A version for the underlying instrument exists.