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FIX Adapter Reference

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Overview

These examples show how TT FIX Adapter responds to a Security Definition Request (c) message in the following scenarios:

  • Requesting security definitions
  • Requesting multi-leg security definitions
  • Requesting securities that have tick tables
  • Requesting information for energy securities
  • Requesting a security definition by symbol
  • Requesting a security definition for options
  • Sending an invalid exchange

Requesting security definitions

In this conversation, a FIX client sends a Security Definition Request (c) message to request a list of 30-year U.S. Treasury bond (ZB) futures contracts trading on the CME exchange. The request also instructs TT FIX Adapter to send any tick tables that exist for these contracts.

Request:

8=FIX.4.2‡9=95‡35=c‡34=16‡49=REMOTE‡52=20120309-20:22:50‡ 56=TT_PRICE‡167=FUT‡207=CME‡55=ZB‡320=12345‡17000=Y‡10=036‡

TT FIX Adapter responds by sending a Security Definition (d) message for each matching security.

Response:

8=FIX.4.2‡9=00334‡35=d‡49=TT_PRICE‡56=REMOTE‡34=18‡ 52=20120309-20:22:50.125‡55=ZB‡48=00A0CM00ZBZ‡10455=ZBH2‡167=FUT207=CME‡15=USD‡320=12345‡322=12345:0‡107=30 Year US Treasury Bond Futures‡18207=bond‡200=201203‡16451=38‡393=3‡323=4‡16452=0.0078125‡ 16454=1000‡16552=0.03125‡16554=1000‡16456=0‡146=0‡18206=1‡ 18203=CME‡864=1‡865=5‡866=20120321‡10=247‡

Response:

8=FIX.4.2‡9=00334‡‡49=TT_PRICE‡56=REMOTE‡34=19‡ 52=20120309-20:22:50.125‡55=ZB‡48=00A0FM00ZBZ‡10455=ZBM2‡167=FUT‡ 207=CME‡15=USD‡320=12345‡322=12345:1‡107=30 Year US Treasury Bond Futures‡18207=bond‡200=201206‡16451=38‡393=3‡323=4‡16452=0.0078125‡ 16454=1000‡16552=0.03125‡16554=1000‡16456=0‡146=0‡18206=1‡ 18203=CME‡864=1‡865=5‡866=20120620‡10=006‡

Response:

8=FIX.4.2‡9=00334‡35=d‡49=TT_PRICE‡56=REMOTE‡34=20‡ 52=20120309-20:22:50.125‡55=ZB‡48=00A0IM00ZBZ‡10455=ZBU2‡167=FUT‡ 207=CME‡15=USD‡320=12345‡322=12345:2‡107=30 Year US Treasury Bond Futures‡18207=bond‡200=201209‡16451=38‡393=3‡323=4‡16452=0.0078125‡ 16454=1000‡16552=0.03125‡16554=1000‡16456=0‡146=0‡18206=1‡ 18203=CME‡864=1‡865=5‡866=20120919‡10=024‡

Requesting multi-leg security definitions

In this conversation, a FIX client sends a Security Definition Request (c) message to request a list of DAX spread contracts (FDAX) available on the Eurex exchange, including any tick tables associated with the contracts.

Request:

8=FIX.4.2‡9=98‡35=c‡34=9‡49=REMOTE‡52=20120323-20:47:44‡ 56=TT_PRICE‡167=MLEG‡207=Eurex‡55=FDAX‡17000=Y‡320=12345‡10=157‡

TT FIX Adapter responds by sending a Security Definition (d) message for each matching contract. Because these contracts are a multi-legged instruments, the response message body contains a repeating group of the underlying leg instruments. In this example, Tag 146 (NoRelatedSym) indicates the security contains two leg instruments.

Response:

8=FIX.4.2‡9=00424‡35=d‡49=TT_PRICE‡56=REMOTE‡34=7‡ 52=20120323-20:47:44.965‡55=FDAX‡48=FDAX092012SPD122012‡10762=Calendar‡ 167=MLEG‡207=Eurex‡15=EUR‡320=12345‡322=12345:0‡107=FUT ON DAX INDEX‡ 16451=0‡393=3‡10442=1‡323=4‡16452=0.5‡16454=25‡16552=0.5‡ 16554=25‡16456=0‡146=2311=FDAX‡309=FDAX092012‡310=FUT308=Eurex‡ 318=EUR‡313=201209‡319=154=1311=FDAX‡309=FDAX122012‡310=FUT308=Eurex‡318=EUR‡313=201212‡319=154=2‡18206=1‡18203=Eurex‡10=038‡

Response:

8=FIX.4.2‡9=00424‡35=d‡49=TT_PRICE‡56=REMOTE‡34=8‡ 52=20120323-20:47:44.965‡55=FDAX‡48=FDAX062012SPD092012‡10762=Calendar‡ 167=MLEG‡207=Eurex‡15=EUR‡320=12345‡322=12345:1‡107=FUT ON DAX INDEX‡ 16451=0‡393=3‡10442=1‡323=4‡16452=0.5‡16454=25‡16552=0.5‡ 16554=25‡16456=0‡146=2‡311=FDAX‡309=FDAX062012‡310=FUT308=Eurex‡ 318=EUR‡313=201206‡319=154=1‡311=FDAX‡309=FDAX092012‡310=FUT308=Eurex‡318=EUR‡313=201209‡319=154=2‡18206=1‡18203=Eurex‡10=049‡

Response:

8=FIX.4.2‡9=00424‡35=d‡49=TT_PRICE‡56=REMOTE‡34=9‡ 52=20120323-20:47:44.965‡55=FDAX‡48=FDAX062012SPD122012‡10762=Calendar‡ 167=MLEG‡207=Eurex‡15=EUR‡320=12345‡322=12345:2‡107=FUT ON DAX INDEX‡ 16451=0‡393=3‡10442=1‡323=4‡16452=0.5‡16454=25‡16552=0.5‡ 16554=25‡16456=0‡146=2‡311=FDAX‡309=FDAX062012‡310=FUT‡308=Eurex‡ 318=EUR‡313=201206‡319=1‡54=1311=FDAX‡309=FDAX122012‡310=FUT‡308=Eurex‡318=EUR‡313=201212‡319=1‡54=2‡18206=1‡18203=Eurex‡10=033‡

Requesting securities that have tick tables

In this conversation, a FIX client sends a Security Definition Request (c) message to request a list of FDAX futures trading on the Eurex exchange. In the message body, the client also includes Tag 17000 (RequestTickTable) to request tick table information for the security.

Request:

8=FIX.4.2‡9=97‡35=c‡34=7‡49=REMOTE‡52=20120403-20:43:01‡56=TT_ORDER‡ 167=FUT‡207=Eurex‡55=FDAX‡320=12345‡17000=Y‡10=097‡

TT FIX Adapter responds by sending a Security Definition (d) message for each matching security. Because FDAX futures provide tick tables, the response message body contains a repeating group of them. In this example, Tag 16456 (NumTickTblEntries) indicates the security contains one tick table element.

Response:

8=FIX.4.2‡9=00285‡35=d‡49=TT_ORDER‡56=REMOTE‡34=25‡ 52=20120403-20:43:01.837‡55=FDAX‡48=FDAX062012‡167=FUT‡207=Eurex‡15=EUR‡ 320=12345‡322=12345:1‡200=201206‡16451=0‡393=4‡323=4‡16452=0.5‡ 16454=25‡16552=0.5‡16554=25‡16456=1‡16457=1‡16458=9999.99‡146=0‡18206=1‡18203=Eurex‡864=1‡865=5‡866=20120614‡10=051‡

Response:

8=FIX.4.2‡9=00285‡35=d‡49=TT_ORDER‡56=REMOTE‡34=26‡ 52=20120403-20:43:01.837‡55=FDAX‡48=FDAX032012‡167=FUT‡207=Eurex‡15=EUR‡ 320=12345‡322=12345:2‡200=201203‡16451=0‡393=4‡323=4‡16452=0.5‡ 16454=25‡16552=0.5‡16554=25‡16456=1‡16457=1‡16458=9999.99‡146=0‡18206=1 ‡18203=Eurex‡864=1‡865=5‡866=20120315‡10=045‡

Response:

8=FIX.4.2‡9=00285‡35=d‡49=TT_ORDER‡56=REMOTE‡34=27‡ 52=20120403-20:43:01.837‡55=FDAX‡48=FDAX122012‡167=FUT‡207=Eurex‡15=EUR‡ 320=12345‡322=12345:3‡200=201212‡16451=0‡393=4‡323=4‡16452=0.5‡ 16454=25‡16552=0.5‡16554=25‡16456=1‡16457=1‡16458=9999.99‡146=0‡18206=1‡18203=Eurex‡864=1‡865=5‡866=20121220‡10=043‡

Thus, in this example, for prices less than 9999.99:

Actual tick size = Tag 16552 (ExchTickSize) * Tag 16457 (NumTicks) = 0.5 * 1 = 0.5

Requesting information for energy securities

In this conversation, a FIX client requests energy securities.

Request:

8=FIX.4.2‡9=96‡35=c‡34=2‡49=REMOTE‡52=20120425-21:06:59‡56=TT_PRICE‡ 167=NRG‡207=ICE_IPE‡55=SP-15‡320=1‡17000=Y‡10=165‡

TT FIX Adapter responds by sending a Security Definition (d) message for each matching security. Because SP-15 futures can trade in flow, the response message body includes the flow information in Tags 16460 (DeliveryUnit), 16461 (LotSize),16463 (Blocks), and 16464 (TradesInFlow).

Response:

8=FIX.4.2‡9=00398‡35=d‡49=TT_PRICE‡56=REMOTE‡34=2‡ 52=20120425-21:06:59.739‡55=SP-15‡48=608735‡10455=Cal 16‡167=NRG207=ICE_IPE‡15=USD‡320=1‡322=1:0‡107=Fin Swap-Peak - SP15 DA‡ 16309=SPM SYF0016.Z0016‡18207=SP-15‡200=201512‡205=30‡16461=30816463=4928‡16451=43‡393=149‡16464=Y‡18211=Y‡323=4‡16460=25‡16452=0.01‡ 16454=616000‡16552=0.05‡16554=616000‡16456=0‡146=0‡18206=1‡ 18203=ICE_IPE‡864=1‡865=5‡866=20151230‡10=213‡

Response:

8=FIX.4.2‡9=00396‡35=d‡49=TT_PRICE‡56=REMOTE‡34=3‡52=20120425-21:06:59.739‡55=SP-15‡48=604693‡10455=Q3 12‡167=NRG‡207=ICE_IPE‡15=USD‡ 320=1‡322=1:1‡107=Fin Swap-Peak - SP15 DA‡16309=SPM SQN0012.U0012‡ 18207=SP-15‡200=201206‡205=28‡16461=76‡16463=1216‡16451=43‡393=149‡ 16464=Y‡18211=Q‡323=4‡16460=25‡16452=0.01‡16454=152000‡ 16552=0.05‡16554=152000‡16456=0‡146=0‡18206=1‡18203=ICE_IPE‡864=1‡865=5‡866=20120628‡10=248‡

Response:

8=FIX.4.2‡9=00396‡35=d‡49=TT_PRICE‡56=REMOTE‡34=4‡ 52=20120425-21:06:59.739‡55=SP-15‡48=604694‡10455=Q4 12‡167=NRG‡ 207=ICE_IPE‡15=USD‡320=1‡322=1:2‡107=Fin Swap-Peak - SP15 DA‡ 16309=SPM SQV0012.Z0012‡18207=SP-15‡200=201209‡205=27‡16461=77‡ 16463=1232‡16451=43‡393=149‡16464=Y‡18211=Q‡323=4‡16460=25‡16452=0.01‡ 16454=154000‡16552=0.05‡16554=154000‡16456=0‡146=0‡18206=1‡ 18203=ICE_IPE‡864=1‡865=5‡866=20120927‡10=016‡

Response:

8=FIX.4.2‡9=00398‡35=d‡49=TT_PRICE‡56=REMOTE‡34=5‡ 52=20120425-21:06:59.739‡55=SP-15‡48=609024‡10455=Cal 17‡167=NRG‡ 207=ICE_IPE‡15=USD‡320=1‡322=1:3‡107=Fin Swap-Peak - SP15 DA‡ 16309=SPM SYF0017.Z0017‡18207=SP-15‡200=201612‡205=29‡16461=306‡ 16463=4896‡16451=43‡393=149‡16464=Y‡18211=Y‡323=4‡16460=25‡16452=0.01‡ 16454=612000‡16552=0.05‡16554=612000‡16456=0‡146=0‡18206=1‡ 18203=ICE_IPE‡864=1‡865=5‡866=20161229‡10=226‡

Requesting a security definition by symbol

The following conversation shows the response when a FIX client sends a Security Definition Request (c) message specifying only the symbol specified by the exchange.

Request:

8=FIX.4.2‡9=88‡35=c‡34=3‡49=Remote_p‡52=20070212-19:58:31.802‡56=FA_price‡55=IPE e-Brent‡320=1‡17000=Y‡10=012‡

TT FIX Adapter responds by sending a Security Definition (d) message for each matching security.

Response:

8=FIX.4.2‡9=00239‡35=d‡49=FA_price‡56=Remote_p‡34=85‡52=20070212-19:58:31.818‡55=IPE e-Brent‡48=216450‡10455=Jun07‡167=FUT207=ICE_IPE‡15=USD‡320=1‡322=1:0‡200=200705‡16451=0‡393=700‡323=4‡16452=0.01‡16454=1000‡16552=0.01‡16554=1000‡16456=0‡146=0‡10=249‡

Response:

8=FIX.4.2‡9=00239‡35=d‡49=FA_price‡56=Remote_p‡34=86‡52=20070212-19:58:31.818‡55=IPE e-Brent‡48=216646‡10455=Dec07‡167=FUT207=ICE_IPE‡15=USD‡320=1‡322=1:1‡200=200711‡16451=0‡393=700‡323=4‡16452=0.01‡16454=1000‡16552=0.01‡16554=1000‡16456=0‡146=0‡10=222‡

Response:

8=FIX.4.2‡9=00239‡35=d‡49=FA_price‡56=Remote_p‡34=87‡52=20070212-19:58:31.818‡55=IPE e-Brent‡48=216707‡10455=Apr07‡167=FUT207=ICE_IPE‡15=USD‡320=1‡322=1:2‡200=200703‡16451=0‡393=700‡323=4‡16452=0.01‡16454=1000‡16552=0.01‡16554=1000‡16456=0‡146=0‡10=246‡

Response:

8=FIX.4.2‡9=00239‡35=d‡49=FA_price‡56=Remote_p‡34=88‡52=20070212-19:58:31.818‡55=IPE e-Brent‡48=216709‡10455=Aug07‡167=FUT207=ICE_IPE‡15=USD‡320=1‡322=1:3‡200=200707‡16451=0‡393=700‡323=4‡16452=0.01‡16454=1000‡16552=0.01‡16554=1000‡16456=0‡146=0‡10=248‡

Requesting a security definition for options

The following conversation shows the response when a FIX client sends a Security Definition Request (c) message for options.

Request:

8=FIX.4.2‡9=87‡35=c‡34=84‡49=REMOTE‡52=20120322-20:00:11‡ 56=TT_PRICE‡167=OPT‡55=OSA‡320=12345‡17000=Y‡10=106‡

TT FIX Adapter responds by sending a Security Definition (d) message for each matching security. This example shows only the first four responses.

Response:

8=FIX.4.2‡9=00354‡35=d‡49=TT_PRICE‡56=REMOTE‡34=99‡ 52=20120322-20:00:11.089‡55=OSA‡48=00B0CN00OSA4059CZ‡10455=OSAH3 P1030‡ 167=OPT‡207=CME‡15=USD‡320=12345‡322=12345:0‡107=5 Year Interest Rate Swap Options‡200=201303‡16451=16‡393=502‡201=0‡323=4‡202=103‡ 16452=0.015625‡16454=1000‡16552=0.015625‡16554=1000‡ 16456=0‡146=0‡18206=1‡18203=CME‡864=1‡865=5‡866=20130318‡10=207‡

Response:

8=FIX.4.2‡9=00357‡35=d‡49=TT_PRICE‡56=REMOTE‡34=100‡ 52=20120322-20:00:11.089‡55=OSA‡48=00B0CN00OSA4059EZ‡ 10455=OSAH3 P1035‡167=OPT‡207=CME‡15=USD‡320=12345‡322=12345:1‡ 107=5 Year Interest Rate Swap Options‡200=201303‡16451=16‡393=502‡ 201=0‡323=4‡202=103.5‡16452=0.015625‡16454=1000‡16552=0.015625‡ 16554=1000‡16456=0‡146=0‡18206=1‡18203=CME‡864=1‡865=5‡866=20130318‡ 10=092‡

Response:

FIX.4.2‡9=00357‡35=d‡49=TT_PRICE‡56=REMOTE‡34=101‡52=20120322-20:00:11.089‡55=OSA‡48=00B0CN00OSA405A2Z‡10455=OSAH3 P1045‡167=OPT207=CME‡15=USD‡320=12345‡322=12345:2‡107=5 Year Interest Rate Swap Options‡200=201303‡16451=16‡393=502‡201=0‡323=4‡202=104.5‡ 16452=0.015625‡16454=1000‡16552=0.015625‡16554=1000‡16456=0‡ 146=0‡18206=1‡18203=CME‡864=1‡865=5‡866=20130318‡10=085‡

Response:

FIX.4.2‡9=00357‡35=d‡49=TT_PRICE‡56=REMOTE‡34=101‡ 52=20120322-20:00:11.089‡55=OSA‡48=00B0CN00OSA405A2Z‡10455=OSAH3 P1045‡ 167=OPT‡207=CME‡15=USD‡320=12345‡322=12345:2‡107=5 Year Interest Rate Swap Options‡200=201303‡16451=16‡393=502‡201=0‡323=4‡202=104.5‡ 16452=0.015625‡16454=1000‡16552=0.015625‡16554=1000‡16456=0‡ 146=0‡18206=1‡18203=CME‡864=1‡865=5‡866=20130318‡10=085‡

Sending an invalid exchange

The following conversation shows the response when a FIX client sends a Security Definition Request (c) message with an invalid exchange in Tag 207 (SecurityExchange). TT FIX Adapter drops the request and sends no response.

Request:

8=FIX.4.2�‡9=95‡�35=c‡�34=178‡�49=REMOTE‡�52=20120322-21:34:05‡� 56=TT_PRICE�‡167=FUT‡�55=ZB‡�207=XXX‡�320=12345‡�17000=Y‡�10=060�

Response:

[no response]

TT FIX Adapter sends no response because a Security Definition Request (c) is actually a subscription. As the specified exchange might become available at some later time, TT FIX Adapter does not respond.