For additional information about this component group, consult the documentation.
35=d (MsgType)
8
BeginString
STRING
Y
FIX protocol version
The tag indicates the beginning of a new message.
This tag must be the first tag in the message.
You must set the value to FIX.4.2 or FIX.4.4.
9
BodyLength
INT
Y
Message length (in characters)
The value represents number of characters in the message following
this tag up to, and including, the delimiter immediately preceding Tag
10 (CheckSum). This tag must be the second field in a message.
35
MsgType
STRING
Y
Type of message contained in the message body
This tag must appear third in the list of header tags.
Possible values:
0: Heartbeat
1: Test Request
2: Resend Request
3: Reject
4: Sequence Reset
5: Logout
8: Execution Report
9: Order Cancel Reject
A: Logon
B: News
c: Security Definition Request
D: Order Single
d: Security Definition
e: Security Status Request
f: Security Status
F: Order Cancel Request
G: Order Cancel Replace Request
H: Order Status Request
Q: Don’t Know Trade (Inbound Drop Copy only)
R: Quote Request
V: Market Data Request
W: Market Data Snapshot Full Refresh
X: Market Data Incremental Refresh
Y: Market Data Request Reject
AD: Trade Capture Report Request
AE: Trade Capture Report
AQ: Trade Capture Report Request Ack
49
SenderCompID
STRING
Y
Assigned value used to identify the counterparty
56
TargetCompID
STRING
Y
Assigned value used to identify TT
34
MsgSeqNum
SEQNUM
Y
Message sequence number
43
PossDupFlag
BOOLEAN
C
Must be sent when a third-party FIX acceptor resends messages
Whether the sequence number for this message is already used
Possible values:
N: NO: Original transmission
Y: YES: Possible duplicate
97
PossResend
BOOLEAN
C
Must be sent if the message may contain information that has been sent under another sequence number.
Whether the message might contain information that has been sent under another sequence number
Possible values:
N: NO: Original transmission
Y: YES: Possible resend
122
OrigSendingTime
UTCTIMESTAMP
C
Sent when a third-party FIX acceptor resends a message
Original time of message transmission, when transmitting orders as the result of a resend request
Always expressed in UTC.
52
SendingTime
UTCTIMESTAMP
Y
Time, in UTC, the message was sent.
320
SecurityReqID
STRING
Y
Unique ID sent in the Security Definition Request (c) message
The third party FIX acceptor must return this value in all responses associated with the initial request.
322
SecurityResponseID
STRING
Y
Unique ID for this Security Definition (d) message.
Instrument
Y
Instrument associated with this message. For additional information about this component group, consult the full documentation.
48
SecurityID
STRING
Y
ID that uniquely identifies an instrument. Must match one of the IDs provided in response to the Security Definition Request (c) made at connection initiation.
55
Symbol
STRING
C
Not used when Tag 167 (SecurityType)=MLEG.
Exchange-provided product symbol for the tradable product.
393
TotalNumSecurities
INT
Y
Number of securities that match the Security Definition Request (c) message
16451
PriceDisplayType
INT
N
Price code for indicating how TT formats the price for display purposes in the Trade app.
762
SecuritySubType
STRING
C
Send only when tag 167=”MLEG”.
Sub-type qualification or identification of the SecurityType
For example, an instrument with SecurityType(167)=”MLEG” might use this tag to specify the name of the option or futures strategy, such as “Calendar”, “Vertical”, or “Butterfly”.
Exchange-listed strategy type
231
ContractMultiplier
FLOAT
Y
Specifies the ratio or multiply factor to convert from “nominal” units (e.g. contracts) to total units (e.g. shares) (e.g. 1.0, 100, 1000, etc)
969
MinPriceIncrement
DECIMAL
Y
Size of one tick for this instrument
1146
MinPriceIncrementAmount
DECIMAL
Y
Value of one tick for this instrument
864
NoEvents
NUMINGROUP
Y
Number of entries in the event types repeating group
Currently, TT FIX Gateway uses this group only for the Last Trade Date of the security. Therefore, send 864=1.
865
EventType
INT
Y
Type of event
TT supports only value 6 (Inactivation) to represent the Last Trade Date
Possible values:
5: Expiry date
6: Last trading date
: The following values are only available for EPEX and Nord Pool:
13: First delivery date
14: Last delivery date
101: First trading date
102: SDAT first trading date
866
EventDate
LOCALMKTDATE
Y
Date the event occurred
867
EventPx
PRICE
N
Predetermined price of issue at event, if applicable
Note: TT FIX Gateway does not currently use this tag.
868
EventText
STRING
N
Comments related to the event
Note: TT FIX Gateway does not currently use this tag.
167
SecurityType
STRING
Y
Asset class of the instrument.
Possible values:
FUT: future
MLEG: multi-leg
OPT: option
CUR: currency
TBOND: US Treasury Bond
107
SecurityDesc
STRING
N
Security description.
200
MaturityMonthYear
MONTHYEAR
C
Send when Tag 167 (SecurityType) is not MLEG.
Month and year the instrument reaches maturity in the format YYYYMM.
541
MaturityDate
LOCALMKTDATE
Y
Maturity date in format YYYYMMDD.
Note: The instrument name that displayed on the TT front end is a combination of the values provided in tag 55 (Symbol) and tag 541 (MaturityDate). For example, if tag 55 = ABC and tag 541 = 20260215, the TT front end will show ABC Feb26.
18211
DeliveryTerm
CHAR
C
Send when the delivery term is not monthly.
Term of delivery for the instrument.
The third-party FIX acceptor should use this value to identify contracts that do not have a monthly delivery term.
Possible values:
A: Same day
B: Balance of month
C: End of Month
D: Day
E: Weekly
H: Hour
L: Balance of week
M: Month
N: Next day
P: Pack
Q: Quarterly
S: Seasonal
T: Weekend
U: Bundle
V: Variable
W: Week
X: Custom
Y: Year
Note: The following values are only available for EPEX and Nord Pool:
a: Quarter hour
b: Half hour
c: One hour
d: Two hour
e: Four hour
f: Eight hour
g: One plus two
h: Three plus four
i: Baseload
j: Peakload
k: Overnight
l: Extended peak
201
PutOrCall
INT
C
Send when Tag 167 (SecurityType) is OPT.
Whether the option represents a put or call
Possible values:
0: Put
1: Call
202
StrikePrice
PRICE
C
Send when Tag 167 (SecurityType) is OPT.
Strike price for an option
15
Currency
CURRENCY
Y
ISO-standard symbol for the instrument’s trading currency.
SecurityAltIDGrp
N
Instrument associated with this message. For additional information about this component group, consult the full documentation.
454
NoSecurityAltID
NUMINGROUP
C
Sent when there are one or more alternate security IDs
Number of alternate security IDs in this repeating group
455
SecurityAltID
STRING
C
Sent when tag 454 (NoSecurityAltId) > 0.
Alternate ID for an instrument or security, typically for display
purposes.
456
SecurityAltIDSource
STRING
C
Send when tag 454 (NoSecurityAltId) > 0.
Identifies class or source of the SecurityAltID (455) value.
Possible values:
1: CUSIP number (sent only when provided by the exchange)
4: ISIN number
5: RIC code
8: Exchange security ID
91: Ticker Symbol
92: TT product family ID (sent only for Security Definition (d) messages)
93: TT product ID (sent only for Security Definition (d) messages)
94: Alt Symbol (For ICE, the value is the “Cleared Alias” for the contract.)
95: Clearport
97: Alias
98: Name
99: Other (Set to instrument symbol if both product symbol and an instrument symbol are present in PDS and they are not the same.)
100: Energy Identifier Code (EIC). Currently only used for the EPEX and Nord Pool exchanges.
A: Bloomberg Code
H: Clearing House (Inbound Drop Copy only)
S: OpenFIGI ID
LegInstrumentGrp
N
Repeating group of legs in a multileg instrument
The leg instrument group component block uses the same structure as the instrument component block sent from TT FIX to FIX clients, except that all of its tags represent the legs of an exchange-traded strategy. For example, instead of Tag 55 (Symbol) this block contains Tag 600 (LegSymbol).
Note: This tag can be included in messages sent from TT FIX Drop Copy sessions when the Compliance Feed (Send original order/cancel/change messages and pending execution reports) setting is enabled in Setup.
555
NoLegs
STRING
C
Send when the value of tag 167 (SecurityType) is MLEG.
Number of legs in the repeating group
Can be zero (e.g. standardized multileg instrument such as an Option
strategy). The value must be provided even if zero.
602
LegSecurityID
STRING
C
Send when Tag 555 (NoLegs) > 0.
ID that uniquely identifies an instrument
The value must match one of the IDs provided in response to the Security Definition Request (c) made at connection initiation.
The side of this individual leg (multi-leg security).
Possible values:
1: Buy
2: Sell
3: Buy minus
4: Sell plus
5: Sell short
6: Sell short exempt
7: Undisclosed
8: Cross
9: Cross short
623
LegRatioQty
FLOAT
C
Send when Tag 555 (NoLegs) > 0.
Ratio of quantity for this individual leg relative to the entire
multi-leg security
The value represents one of the following:
For a leg of a covered strategy (such as a volatility trade) on CME
or NYSE_Liffe markets, the value represents the delta (expressed as
an integer between 1 and 100).
In all other cases, the value represents the quantity of this leg in
the strategy.
556
LegCurrency
CURRENCY
C
Send when Tag 555 (NoLegs) > 0.
Currency associated with a particular leg’s price
566
LegPrice
PRICE
C
Send when Tag 555 (NoLegs) > 0 and Tag 623 (LegRatioQty) represents the delta for a covered strategy.
Price of the leg for a multi-leg instrument
18212
LegDeliveryTerm
CHAR
C
Send when Tag 555 (NoLegs) > 0 and the delivery term is not monthly.
Term of delivery for the underlying instrument.
TT FIX uses this value to identify contracts that do not have a
monthly delivery term.
Possible values:
A: Same day
B: Balance of month
D: Day
L: Balance of week
N: Next day
Y: Year
Trailer
Y
For additional information about this component group, consult the full documentation.
10
CheckSum
STRING
Y
Unencrypted three-character checksum
This tag must always be the last field in a message (i.e. it serves, with the trailing <SOH>, as the end-of-message delimiter).
Message Notes
The Security Definition (d) message is used to send information about an exchange-listed instrument. The third-party FIX acceptor sends one or more of these messages to a TT FIX Price Gateway in response to a Security Definition Request (c). A security definition contains all standing data at the markets.. The third-party FIX acceptor should send Security Definition (d) messages for all contracts and send new Security Definition (d) messages if any of the contract details, such as tick size, change.
