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Testing Your Symbology for a Symbol that Includes the Expiry

Assume you define the following symbology to support CME futures, where the FIX client includes the expiry information in the symbol name for tag 55 (Symbol) instead of sending tag 200 (MaturityMonthYear).

You want to test your symbology mapping using the December 2014 Eurodollar futures on CME. You want to verify that your symbology correctly maps the tag values in a New Order Single (D) message sent from a FIX client to TT FIX Adapter and reverts them in an Execution Report (8) message sent from TT FIX Adapter to the FIX client.

To test your symbology:

  1. First, test the mapping for a New Order Single (D) message sent from a FIX client. From the Test section, enter the tag/value pairs necessary to test the rules, and select the appropriate Test Message Direction. In this example, you enter the tags the FIX client sends EDZ4 in tag 55 (Symbol) to represent the CME GE Dec14 instrument.

  2. Click Test.

    The results show that your symbology correctly maps the FIX client’s EDZ4 value in tag 55 (Symbol) to the values TT FIX Adapter expects for the instrument. It changes the ED portion of the input symbol to GE and stores it in tag 55 (Symbol); then it maps the Z4 portion to 202412 and stores it in tag 200 (MaturityMonthYear), as required by TT FIX Adapter.

  3. To verify that your symbology mapping also correctly maps the tags in the Execution Report (8) message sent by TT FIX Adapter to the symbology used by the FIX client, you enter the appropriate tags, as shown.

  4. Click Test.

    The test results show that GE and 201412 values sent by TT FIX Adapter in tags 55 (Symbol) and 200 (MaturityMonthYear) are correctly mapped into the EDZ4 value the FIX client expects in tag 55 (Symbol).