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FIX Adapter Reference

Component block: Underlying instrument

Overview

The underlying instrument component block uses the same structure as the instrument component block (with the TT FIX Adapter source), except that all of its tags represent the underlying variations. For example, instead of Tag 55 (Symbol) this block contains Tag 311 (UnderlyingSymbol).

This block depends on its parent instrument component block. Whether you need to specify an underlying instrument component block depends on the following:

  • If you specified the instrument block by security ID or security AltID, you do not specify the underlying instrument block.
  • If you specified the instrument block by name, then you must specify the underlying instrument.

Note: You cannot specify underlying instrument blocks in Market Data Request (V) messages

When specifying a security by name

Tag #

Field name

Req’d

Comments

10762

SecuritySubType

Y

Strategy type

Data type: String

For a list of possible values, refer to Enumerations.

146

NoRelatedSym

Y

Number of underlying instruments contained in this repeating group.

Data type NumInGroup

308

UnderlyingSecurityExchange

Y

Name of the exchange (or market) where the underlying instrument trades.

Data type: Exchange

For a list of possible values, refer to Enumerations.

310

UnderlyingSecurityType

Y

Asset class of the underlying instrument. Possible values include:

  • CS: common stock
  • FOR: foreign exchange
  • FUT: future
  • GOVT: sovereign debt
  • OPT: option
  • NRG: energy

Data type: String

311

UnderlyingSymbol

Y

Exchange-provided product symbol for the underlying product.

Data type: String

Note: This tag must appear first in each repeating group.

313

UnderlyingMaturityMonthYear

C

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

Data type: month-year

Condition: Required when Tag 310 (UnderlyingSecurityType) is FUT, OPT, or NRG

314

UnderlyingMaturityDay

C

Day of expiration for the underlying instrument. FIX Adapter uses this value and Tag 200 (MaturityMonthYear) to specify the maturity date when Tag 310 (UnderlyingSecurityType) is FUT, OPT, or NRG.

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

Condition: Required for TT LME Gateway instruments; ignored for others

18212

UnderlyingContractTerm

C

Term of delivery for the underlying 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 MLEG.
  • The delivery term is not monthly.

Note: Do not send this tag for underlying contracts with a monthly delivery term.

315

UnderlyingPutOrCall

C

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

  • 0: Put
  • 1: Call

Data type: int

Condition: Required when Tag 310 (UnderlyingSecurityType) is OPT

316

UnderlyingStrikePrice

C

Strike price for the underlying option

Data type: Price

Condition: Required when Tag 310 (UnderlyingSecurityType) is OPT

317

UnderlyingOptAttribute

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 a version for the underlying instrument exists

16624

LegSide

Y

Side of this individual leg within the multi-legged instrument's definition, as defined by the exchange. Possible values include:

  • 1: Buy
  • 2: Sell

Data type: int

10566

LegPrice

C

Price of a futures leg in the strategy.

Data type: Price

Condition: Required for futures leg of covered strategies, such as volatility trades.

319

RatioQty

Y

One of the following:

  • For a leg of a covered strategy (such as a volatility trade) on CME or NYSE_Liffe markets, the value represents the delta (expressed as an integer between 1 and 100).
  • In all other cases, the value represents the quantity of this leg in the strategy.

Data type: Qty

When receiving the block in TT FIX Adapter response

Tag #Field nameReq’dComments

10762

SecuritySubType

Y

Strategy type

Data type: String

For a list of possible values, refer to Enumerations.

146

NoRelatedSym

Y

Number of underlying products contained in this repeating group.

Data type: NumInGroup

Underlying instrument repeating group

308

UnderlyingSecurityExchange

Y

Name of the exchange (or market) where the underlying instrument trades.

Data type: Exchange

For a list of possible values, refer to Enumerations.

310

UnderlyingSecurityType

Y

Asset class of the underlying instrument. Possible values include:

  • CS: common stock
  • FOR: foreign exchange
  • FUT: future
  • OPT: option
  • NRG: energy

Data type: String

311

UnderlyingSymbol

Y

Exchange-provided product symbol for the underlying product.

Data type: String

Note: This tag must appear first in each repeating group.

313

UnderlyingMaturityMonthYear

C

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

Data type: month-year

Condition: Sent when Tag 310 (UnderlyingSecurityType) is FUT, OPT, or NRG

314

UnderlyingMaturityDay

C

Day of expiration for the underlying instrument. FIX Adapter uses this value and Tag 200 (MaturityMonthYear) to specify the maturity date when Tag 310 (UnderlyingSecurityType) is FUT, OPT, or NRG.

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

Condition: Sent when available from the exchange

18212

UnderlyingContractTerm

C

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

  • D: Daily term
  • W: Weekly term
  • Q: Quarterly term
  • S: Seasonal term
  • Y: Yearly calendar term
  • V: Variable term

Data type: char

Condition: Sent when both of the following are true:

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

315

UnderlyingPutOrCall

C

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

  • 0: Put
  • 1: Call

Data type: int

Condition: Sent when Tag 310 (UnderlyingSecurityType) is OPT

316

UnderlyingStrikePrice

C

Strike price for the underlying option

Data type: Price

Condition: Sent when Tag 310 (UnderlyingSecurityType) is OPT

317

UnderlyingOptAttribute

C

Additional information about the underlying options contract.

Data type: char

Condition: Required when a version for the underlying instrument exists

318

UnderlyingCurrency

C

ISO-standard symbol for the underlying instrument’s trading currency.

Data type: Currency

Note: Check TT Guardian for a list of currencies supported in the trading environment.

Condition: Included in Execution Report (8) and Position Report (UAP) messages when the TT FIX Adapter configuration enables the Send Security Legs settings for the FIX Session

309

UnderlyingSecurityID

Y

Exchange-provided identifier for the underlying tradable product.

Data type: String

Condition: Sent when provided by the TT Gateway.

10456

UnderlyingSecurityAltID

C

Alternate ID for the underlying instrument or security, typically for display purposes.

Data type: String

54

Side

C

Side of the order. Possible values include:

  • 1 : Buy
  • 2 : Sell

Data type: char

Condition: Sent for all Security Definition (d) messages. For all other messages, TT FIX Adapter sends the information in Tag 16624 (LegSide).

16624

LegSide

Y

Side of this individual leg within the multi-legged instrument's definition, as defined by the exchange. Possible values include:

  • 1: Buy
  • 2: Sell

Data type: int

Condition: Sent for all messages other than Security Definition (d). For Security Definition (d) messages, TT FIX Adapter sends the information in Tag 54 (Side).

10566

LegPrice

C

Price of a futures leg in the strategy.

Data type: Price

Condition: Sent for futures leg of covered strategies, such as volatility trades.

319

RatioQty

Y

One of the following:

  • For a leg of a covered strategy (such as a volatility trade) on CME or NYSE_Liffe markets, the value represents the delta (expressed as an integer between 1 and 100).
  • In all other cases, the value represents the quantity of this leg in the strategy.

Data type: Qty