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Defining the Default Symbology Formats for FIX Clients

About FIX Client Defaults

The FIX Client Defaults section allows you to identify the tag 55 (Symbol) formats used by the FIX client. They can optionally be defined per exchange and/or product type. You enter the product or instrument level mapping data in the Symbol Mappings section. The resulting tag 55 (Symbol) values can also be copied to additional tags, such as tag 48 (SecurityID) by entering the additional tag numbers in the Copy To Tag(s) column.

The FIX Client Defaults section uses the following fields.

Field

Description

Exchange

Specifies the tag 207 (SecurityExchange) value provided and expected by the FIX client for the specified Symbol Format or * for all exchanges.

Product Type

Specifies the tag 167 (SecurityType) value provided and expected by the FIX client for the specified Symbol Format or * for all product types.

Symbol Format

Indicates the format the FIX client uses in tag 55 (Symbol) for the matching exchange and product type.

Copy to Tag(s)

(Optional) Specifies the tags, if any, to which FIX Adapter should copy the resulting tag 55 (Symbol) value.

Unmapped Symbol Behavior

Indicates which actions Flexible FIX should take when it receives a tag 55 (Symbol) value from the FIX client for which no mapping is defined in the Symbol Mappings table.

More About Symbol Formats

Different systems use a variety of symbol formats to specify products in tag 55 (Symbol). For example, a system can specify the base product symbol in tag 55 and the maturity date in tag 200 (MaturityMonthYear), such as 55=ES and 200=201412. Another system supporting another symbology set might combine that data into a single tag 55 value, such as 55=EZ24.

The following table lists the formats that Flexible FIX supports for tag 55 (Symbol) for FIX clients.

Format

Description

<SYM>

Indicates that the FIX client’s tag 55 (Symbol) values for the selected exchange and product type do not include expiry details, call/put, strike, or a key. Typically, FIX clients use this format when specifying exchange symbols and routing to FIX Adapter “by name”.

See Component block: Instrument (FIX client request) in the FIX Adapter reference for more details regarding "by security name" routing.

<SYM><MY>

Indicates that the FIX client’s tag 55 (Symbol) values for the selected exchange and product type include a symbol followed by the expiry details, always in a two character month and year format, where the first character indicates the month (F=Jan, G=Feb, H=Mar, J=Apr, K=May, M=Jun, N=Jul, Q=Aug, U=Sep, V=Oct, X=Nov, Z=Dec) and the second character is the last digit of the year.

<SYM><MY> <KEY>

Indicates that, after the symbol and two character <MY> expiry code, the FIX client’s tag 55 (Symbol) values for the selected exchange and product type includes a space and then a string.

<SYM><MY><C/P>

When the selected Product Type is OPT, indicates that the FIX client’s tag 55 (Symbol) values for options include a “C” for call options or a “P” for put options after the two character <MY> expiry code.

<SYM><MY><C/P> <KEY>

When the selected Product Type is OPT, indicates that the FIX client’s tag 55 (Symbol) values for options also include a space and a string after the “C” or “P” for options after the two character <MY> expiry code, followed by a space and then a string.

<SYM><MY><C/P> <STRIKE>

When the selected Product Type is OPT, indicates that the FIX client’s tag 55 (Symbol) values for options include a space and the strike price after the “C” or “P” for options.

<SYM><MY><SYM><MY>

When the selected Product Type is MLEG, indicates that the FIX client’s tag 55 (Symbol) values for spreads include the first leg’s symbol, followed by the first leg’s two character <MY> expiry code, followed by the second leg’s symbol, followed by the second leg’s two character <MY> expiry code.

<SYM><MY><SYM><MY> <KEY>

When the selected Product Type is MLEG, indicates that the FIX client’s tag 55 (Symbol) values for spreads also include a space and a string after each leg’s symbol and two character <MY> expiry code.

How to Add a Symbology Default for a FIX Client Message

To add a default symbology for a FIX client:

  1. In the FIX Client section, click Add Row.

  2. In the Exchange and Product Type fields, specify the values of tags 207 (SecurityExchange) and 167 (SecurityType) the FIX client sends and expects to receive.

  3. In the Symbol Format field, select the format in which the FIX client sends and expects to receive the value of tag 55 (Symbol). In this case, the FIX clients sends the tag 55 value with a symbol and date format, such as ESZ4C.

  4. If the FIX client sends and expects to receive the same tag 55 (Symbol) value in another tag, you can copy the value to another tag by specifying Copy to Tag(s) numbers. In this case, you copy ESZ4C into tag 48 (SecurityID).

  5. In the Unmapped Symbol Behavior field, select whether you want Flexible FIX to report an error, send the message on the to FIX Adapter with the original symbol and exchange values, or both if the FIX client sends a symbol whose mapping is not defined in the Symbol Mappings table. Reporting unmapped symbols will generate an email to all Flexible FIX users for this company, and the error will be displayed within the specific FIX session in the Flexible FIX Sessions tab.