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Configuring Symbology Defaults for FIX Adapter

About FIX Adapter Defaults

The FIX Adapter Defaults section allows you to specify how to convert the FIX clients provided symbol and exchange values to FIX Adapter's expected values per FIX Adapter's supported Symbology Method. See the Component block: Instrument (TT FIX Adapter response) for more details on these methods.

The FIX Adapter defaults can also determine which tag (i.e., tag 200 (MaturityMonthYear) or tag 10455 (SecurityAltID)) in FIX Adapter's messages is used when creating the two character <MY> expiry codes for FIX clients, when the FIX Client Defaults have a Symbol Format that includes <MY>.

The FIX Adapter Defaults section uses the following fields.

Field

Description

Exchange

Specifies FIX Adapter’s tag 207 (SecurityExchange) value for the specified Symbology Method, or * for all exchanges.

Product Type

Specifies the product type for the selected Symbology Method, or * for all product types.

Symbology Method

Indicates which tags to send to and receive from TT FIX Adapter to identify an instrument. Possible values include:

  • By Security Name
  • By Security ID
  • By Security Alt ID

For more information about these methods, refer to Component block: Instrument (FIX client request).

Security Sub Type

When the selected Product Type is MLEG, indicates FIX Adapter's tag 10762 (SecuritySubType) value. Currently, Flexible FIX supports only Calendar for default FIX Adapter Security Sub Types.

Security Alt ID Format

Specifies the format of the value in tag 10455 (SecurityAltID).

Enabled only when Symbology Method is By Security Alt ID.

Currently, Flexible FIX only supports Security Alt ID formats for ICE_IPE and TOCOM products. You can use these formats when the FIX client's tag 200 (MaturityMonthYear) values or the "MY" portion of tag 55 (Symbol) values, where appropriate, don't align with FIX Adapter's tag 200 values on these exchanges.

Unmapped Symbol Behavior

Indicates which actions Flexible FIX should take when FIX Adapter sends a message for an instrument that is not defined in the Symbol Mappings table.

  • Report when you want Flexible FIX to log a an error on the appropriate FIX Session in the Sessions tab and generate an email alert to all Flexible FIX users for this company.

  • Send when you want Flexible FIX to send the message to the FIX client with TT FIX Adapter's standard tag 207 (SecurityExchange) and tag 55 (Symbol) values. If unchecked, Flexible FIX queues the message, which can be unqueued after a Flexible FIX user adds the new mapping in the Symbol Mappings table, saves the Profile update, and applies the profile update on the Session in Flexible FIX. See Managing Reported Errors for a FIX Client Session for more details.

More About Security Alt ID Formats

The following table lists the formats that Flexible FIX supports for tag 10455 (SecurityAltID) when a FIX Adapter Default row has been configured with a By Security Alt ID Symbology Method.

Format

Description

<MmmYY>

Tag value has the form of a mixed case three character month code using the first three letters of the month (e.g., “Jan” for January, “Feb” for February, etc.) followed by the last two digits of the year (e.g., 10455=Dec14 for the December 2014 contract).

This format is common for ICE_IPE outrights.

<YYYY/MM>

Tag value format uses the contract’s four digit year (e.g., “2014”) followed by a forward slash, followed by two digits for the month (e.g., “12” for December).

This format is common for TOCOM outrights.

<MmmYY/MmmYY>

Tag value uses each leg’s tag 10455 format, separated with a forward slash.

This format is common for ICE_IPE calendar spreads.

<YYYY/MM-YYYY/MM>

Tag value has the form of each leg’s tag 10455 format, separated with a dash.

This format is common for TOCOM calendar spreads.

<MmmYY> <C/P><Strike (P2)>

Tag value has the form of “MmmYY” format for the contract’s maturity month and year, followed by a space, followed by a “C” for a call option or a “P” for a put option, followed by the strike price (padded to two digits after the decimal place).

This format is common for ICE_IPE options.

<YYYY/MM>-<C/P><Strike>

Tag value has the form of “YYYY/MM” format for the contract’s maturity month and year, followed by a dash, followed by a “C” for a call option or a “P” for a put option, followed by the strike price.

This format is common for TOCOM options.