FIX Adapter Reference

Security Definition (d)

Purpose

Used to send contract information in response to a security definition request

Message Direction

From TT FIX Adapter to FIX client

Message Availability

Use Case Price Session Order Session

Drop Copy

Yes Yes

Order Routing

Yes Yes

Supported Tags

Tag # Field Name Req’d Comments
Component Block <Standard Header> Y 35=d (MsgType)
320 SecurityReqID Y

Unique ID for this request. FIX Adapter populates this tag with the value of the tag in the incoming Security Definition Request (c) message.

Data type: String

322 SecurityResponseID Y

Unique ID for this Security Definition (d) message.

Data type: String

323 SecurityResponseType Y

Type of security definition response. TT FIX Adapter always returns 4, which is the list of securities returned per request.

Data type: int

Component Block <Instrument> C

Condition: Sent unless no securities match the request.

For tags included in the Underlying Instrument Component Block and any restrictions in their use, refer to Component block: Instrument (TT FIX Adapter response).

Component Block <Underlyng Instrument> C

Condition: Sent when Tag 167 (SecurityType) is MLEG.

For tags included in the Instrument Component Block and any restrictions in their use, refer to Component block: Underlying instrument.

393 TotalNumSecurities Y

Number of securities that match the filter set in the Security Definition Request (c) message.

Data type: int

10442 ExpectedFillType C

Which types of fills FIX Adapter sends for this contract. Possible values include:

  • 1: Leg and summary fills (sent if the FIX Adapter configuration enables the Send Summary Fills option for the FIX session)
  • 2: Leg fills only (sent otherwise)

Data type: int

Condition: Sent if Tag 167 (SecurityType) is MLEG.

16451 PriceDisplayType Y

Price code indicating how TT formats the price for display purposes in X_TRADER®.

Data type: int

For a list of price display codes, refer to Price display codes.

16452 TickSize Y

Size of one tick

Data type: int

For internal TT use only.

Refer to Tag 16552 (ExchTickSize) for the actual tick size.

16454 PointValue Y

Value of one point in the product's native currency

Data type: decimal

For internal TT use only.

Refer to Tag 16554 (ExchPointValue) for the actual point value.

16456 NumTickTblEntries Y

Number of ticks in the tick table. Starts the Tick Table repeating group.

The message includes this tag and the repeating group when the corresponding Security Definition Request (c) sets Tag 17000 (RequestTickTable) to Y and the contract has a tick table.

Data type: NumInGroup

See the section called Determining tick sizes and tick values for more information.

16457 NumTicks C

Tick size multiplier for this price

Data type: int

Condition: Sent when Tag 16456 (NumTickTblEntries) is greater than 0.

See the section called Determining tick sizes and tick values for more information.

16458 MaxPrice C

Highest price in this price range

Data type: Price

Condition: Sent when Tag 16456 (NumTickTblEntries) is greater than 0.

See the section called Determining tick sizes and tick values for more information.

16461 LotSize C

Number of delivery days in the contract.

Data type: int

Condition: Sent only when Tag 167 (SecurityType) is NRG.

16552 ExchTickSize Y

Size of one base tick for this security

Data type: decimal

See the section called Determining tick sizes and tick values for more information.

16554 ExchPointValue Y

Size of one point for this security

Data type: decimal

See the section called Determining tick sizes and tick values for more information.

16309 ExchContractSymbol C

The exchange provided contract symbol.

Data type: String

Condition: Sent when the TT Gateway provides the information.

16460 DeliveryUnit C

Delivery unit for this contract (2500 MMBtus, 50 megawatts, and so on). Sometimes called LotSize. The returned value depends on the value of Tag 16464 (TradesInFlow), as follows:

  • Y : Returns the exchange-provided delivery unit
  • N : Returns 1

Data type: int

Condition: Sent only when Tag 167 (SecurityType) is NRG

16463 Blocks C

Total number of deliverable units per contract

Data type: int

Condition: Sent only when Tag 167 (SecurityType) is NRG

Note: You can calculate the number of deliverable units per delivery day by dividing this value by the value in Tag 16461 (LotSize).

16464 TradesInFlow C

Whether the contract is a continuously-delivered contract. Possible values include:

  • Y: The contract delivers in flow.
  • N. The contract delivers all-at-once.

Data type: character

Condition: Sent only when Tag 167 (SecurityType) is NRG

107 SecurityDesc C

Product description provided by TT Guardian.

Data type: String

Condition: Sent only if Guardian includes the information in its Description column

18207 TTSecurityAlias C

Product alias provided by TT Guardian.

Data type: String

Condition: Sent only if Guardian includes the information in its Alias column

864 NoEvents Y

Number of events. Starts the Events repeating group.

Data type: NumInGroup

Events repeating group

865 EventType C

Type of event. Currently, TT FIX Adapter supports only 5 (Expiration Date).

Data type: int

Condition: Sent when Tag 864 (NoEvents) is greater than 0.

866 EventDate C

Expiration date

Data type: date

Condition: Sent when Tag 864 (NoEvents) is greater than 0.

18206 NoGateways Y

Number of TT Gateways included in the message. Starts the Exchange Gateways repeating group.

Data type: int

Gateways repeating group

18203 ExchangeGateway C

Name of a specific instance of a TT Gateway, such as CME-A or CME-B.

Data type: String

Condition: Sent when Tag 18206 (NoGateways) is greater than 0.

For more information, refer to Multi-flavor TT Gateway order routing.

Component Block <Standard Trailer> Y

Message Notes

The Security Definition (d) message is used to send information about an exchange-listed instrument. TT FIX Adapter sends zero or more of these messages to a FIX client in response to a Security Definition Request (c). A security definition contains all standing data at the TT Gateways that matches the filter criteria sent in the Security Definition Request (c). After the TT FIX Adapter delivers standing data to the FIX client, the TT FIX Adapter sends unsolicited updates to that list of standing data (for instance, if a TT Gateway lists a new product at midday).

Determining tick sizes and tick values

To determine the tick size and tick value of a given contract, the FIX client must:

  • In the Security Definition Request (c) message, set Tag 17000 (RequestTickTable) = Y.
  • With the resulting Security Definition (d) message, calculate the values using the following algorithm.

    if tag 16456 (NumTickTblEntries) == 0

    {

    (The tick size (and tick value) are the same for all prices.)

    Tick Size (for all prices) = Tag 16552 (ExchTickSize)

    Tick Value (for all prices) =

    Tag 16552 (ExchTickSize) * Tag 16554 (ExchPointValue)

    }

    else

    {

    (The tick size and tick value vary by price level.)

    Base Tick Size = Tag 16552 (ExchTickSize)

    P = price in Points (decimal) for which the tick size is required

    for (int i = 0; i < Tag 16456 (NumTickTblEntries); i++)

    {

    if ( P < (Tag 16458 (MaxPrice) for row i) )

    {

    Tick Size (for price P) =

    Base Tick Size * (Tag 16457 (NumTicks) for row i)

    Tick Value (for price P) =

    Tick Size (for price P) * Tag 16554 (ExchPointValue)

    exit loop

    }

    }

    }

Working with spreads and strategies

When a FIX client requests a security definition for a spread or strategy, TT FIX Adapter responds by sending:

  • A Security Definition (d) for the spread itself. An underlying repeating group exists for each leg of the spread. Tag 146 (NoRelatedSym) is set to the total number of underlying repeating groups (spread legs) associated with the spread.
  • One Security Definition (d) for each leg of the spread.

Related Information

Security Definition Request (c)