This Market Data Security Definition message is sent for EBS FX products. This message maps to the MDInstrumentDefinitionFX template in the SBE MDP Core schema.
| Tag | FIX Name | Type | Semantic Type | Valid Values for EBS | Description |
|---|---|---|---|---|---|
| 5799 | MatchEventIndicator | MatchEventIndicator | MultipleCharValue | example: 10000000 – Security Definition message is the last message of the event example:00000000 – Security Definition is not the last message of the even | Bitmap field of eight Boolean type indicators reflecting the end of updates for a given CME Globex Event: Bit 0: (least significant bit) Last Trade Summary message for a given event Bit 1: Last electronic volume message for a given event Bit 2: Last customer order quote message for a given event Bit 3: Last statistic message for a given event Bit 4: Last implied quote message for a given event Note: EBS Market does not support implied functionality. Bit 5: Message resent during recovery Bit 6: Reserved for future use Bit 7: (most significant bit) Last message for a given event |
| 911 | TotNumReports | uInt32NULL | int | Total number of instruments in the Replay loop. Used on Replay Feed only | |
| 980 | SecurityUpdateAction | SecurityUpdateAction | char | A=Add D=Delete M=Modify | Included in the message on the Incremental feed when a mid-week deletion or modification (i.e. extension) occurs. Add represents Security Definition messages that are:
Modify represents modifications to a Security Definition Delete represents deletions of a Security Definition |
| 779 | LastUpdateTime | uInt64 | UTCTimestamp | Timestamp of when the instrument was last added, modified or deleted | |
| 1682 | MDSecurityTradingStatus | SecurityTradingStatus | int | 2=Trading Halt 4=Close 17=Ready to trade (start of session) 18=Not available for trading 21=Pre Open | Identifies the current state of the instrument. The data is available in the Instrument Replay feed only |
| 1180 | ApplID | Int16 | int | The channel ID as defined in the XML Configuration file | |
| 1300 | MarketSegmentID | uInt8 | int | Identifies the market segment, populated for all CME Globex instruments | |
| 462 | UnderlyingProduct | uInt8NULL | int | Product complex | |
| 207 | SecurityExchange | SecurityExchange | Exchange | EBSC = EBS and eFix Markets NEXS = EBS Market for ON SEF/ON-MTF NDFs XEBS = EBS Market for OFF SEF/ON-MTF NDFs | Exchange or market used to identify a security |
| 1151 | SecurityGroup | SecurityGroup | String | Security Group Code | |
| 6937 | Asset | Asset | String | The underlying asset code also known as Product Code | |
| 55 | Symbol | Symbol | String | Instrument Name or Symbol. Previously used as Group Code | |
| 48 | SecurityID | Int32 | int | Unique instrument ID | |
| 22 | SecurityIDSource | SecurityIDSource | char | 8=Exchange symbol | Identifies class or source of the security ID (Tag 48) value |
| 167 | SecurityType | SecurityType | String | Security Type | |
| 461 | CFICode | CFICode | String | ISO standard instrument categorization code | |
| 15 | Currency | Currency | Currency | Identifies currency used for price e.g. for EUR/USD spot this field will contain EUR | |
| 120 | SettlCurrency | Currency | Currency | Currency used for settlement, which may be different from Local currency specified in Tag 1524 PriceQuoteCurrency. Example - Local currency is different from SettlCurrency for NDF (always settle in USD). | |
| 1524 | PriceQuoteCurrency | Currency | Currency | Local (counter) currency. For EUR/USD spot this field will contain USD. | |
| 1142 | MatchAlgorithm | CHAR | char | F=First In, First Out (FIFO) V=Institutional Prioritization P=Size Priority | Matching algorithm |
| 562 | MinTradeVol | uInt32 | Qty | The minimum trading volume for a security | |
| 1140 | MaxTradeVol | uInt32 | Qty | The maximum trading volume for a security | |
| 969 | MinPriceIncrement | PRICENULL9 | Price | Minimum constant tick for the instrument, sent only if instrument is non-VTT (Variable Tick table) eligible | |
| 9787 | DisplayFactor | Decimal9 | float | Contains the multiplier to convert the CME Globex display price to the conventional price | |
| 2349 | PricePrecision | uInt8 | int | Specifies price decimal precision for EBS instrument | |
| 996 | UnitOfMeasure | UnitOfMeasure | String | Unit of measure for the products' original contract size | |
| 1147 | UnitOfMeasureQty | Decimal9NULL | Qty | This field contains the contract size for each instrument. Used in combination with tag 996-UnitofMeasure | |
| 1149 | HighLimitPrice | PRICENULL9 | Price | Allowable high limit price for the trading day | |
| 1148 | LowLimitPrice | PRICENULL9 | Price | Allowable low limit price for the trading day | |
| 1143 | MaxPriceVariation | PRICENULL9 | Price | Differential value for price banding | |
| 9779 | UserDefinedInstrument | UserDefinedInstrument | char | Y=User defined instrument N=Not a user defined instrument | User-defined instruments flag |
| 2714 | FinancialInstrumentFullName | LongName | String | Long name of the instrument | |
| 37725 | FXCurrencySymbol | String7 | String | Base/Local. Denotes the currency pair in CCY1/CCY2 convention | |
| 63 | SettlType | String3 | String | For SPOTs will contain 0. For Fixed date NDFs will contain the value 'B'. For the standard NDFs tenors expressed using Dx, Mx, Wx, and Yx values, where 'x' does not denote business days, but calendar days | |
| 37730 | InterveningDays | uInt16 | int | For SPOT, number of business days between trade date and value (settlement) date. For NDF, number of business days between NDF valuation (fixing) and settlement | |
| 2796 | FXBenchmarkRateFix | String20 | String | Fixing Rate Description | |
| 1446 | RateSource | String12 | String | Fixing Rate Source | |
| 37726 | FixRateLocalTime | String8 | String | Fixing Rate Local Time, denoted in HH:MM:SS format | |
| 37727 | FixRateLocalTimeZone | String20 | String | Fixing Rate Local Time Zone corresponding to Fixing Local Time. | |
| 37731 | MinQuoteLife | uInt32 | int | Minimum Quote Life in number of microseconds | |
37728 | MaxPriceDiscretionOffset | PRICE9 | Price | Max allowed discretionary offset from Limit order price. When the value in this field = 0, discretionary price cannot be submitted for the instrument | |
| 37513 | InstrumentGUID | uInt64NULL | int | External unique instrument ID | |
| 200 | MaturityMonthYear | MaturityMonthYear | MonthYear | Fixed Date NDF Maturity | |
| 37734 | SettlementLocale | String8 | String | Settlement Locale. Optionally used to differentiate settlement location | |
| 37739 | AltMinPriceIncrement | PRICENULL9 | Price | New sub-tick, which is only available for order entry when certain conditions are met, tick value that corresponds to the Alt Min Quote Life" offset="309" sinceVersion="13 | |
| 37738 | AltMinQuoteLife | uInt32NULL | int | MQL duration in number of microseconds applied to orders at AltMinPriceIncrement | |
| 37742 | AltPriceIncrementConstraint | PRICENULL9 | Price | Minimum price offset better than the best Standard Tick order for an order to be allowed into the market | |
| 37743 | MaxBidAskConstraint | PRICENULL9 | Price | Maximum bid/ask spread for which sub-tick orders will be accepted (Sub tick orders will be rejected if bid/ask spread is greater than this value) | |
| Repeating Group 1 | |||||
| 864 | NoEvents | NuminGroup | Number of repeating entries. | ||
| →865 | EventType | EventType | int | 5=Activation 7=Last eligible trade date | Code to represent the type of event |
| →1145 | EventTime | uInt64 | UTCTimestamp | Date and time of instrument Activation or Last Trade Datetime event sent as number of nanoseconds since Unix epoch | |
| Repeating Group 2 | |||||
| 1141 | NoMDFeedTypes | NuminGroup | Number of repeating entries. | ||
| →1022 | MDFeedType | MDFeedType | String | Describes a class of service for a given data feed. GBX=Real Book. | |
| →264 | MarketDepth | Int8 | int | Identifies the depth of book | |
| Repeating Group 3 | |||||
| 870 | NoInstAttrib | NuminGroup | Number of repeating entries. | ||
| →871 | InstAttribType | InstAttribType | int | 24=Eligibility | Instrument Eligibility Attributes |
| →872 | InstAttribValue | InstAttribValue | MultipleCharValue | Tag 871-InstAttribType and tag 872-InstAttribValue function together where tag 871 indicates the type of value that the following tag 872 will contain. Bitmap field of 32 Boolean type indicators: 0 (least significant bit): Electronic Match Eligible 1: Order Cross Eligible 2: Block Trade Eligible 3: EFP Eligible 4: EBF Eligible 5: EFS Eligible 6: EFR Eligible 7: OTC Eligible 8: iLink Mass Quoting Eligible 9: Negative Strike Eligible 10: Negative Price Eligible 11: Is Fractional (indicates product has fractional display price) 13: RFQ Cross Eligible 14: Zero Price Eligible 15: Decaying Product Eligibility 16: Variable Quantity Product Eligibility 17: DailyProduct Eligibility 18: GT Orders Eligibility (Previously Tag 827) 19: Implied Matching Eligibility (Previously tag 1144) Note: EBS Market does not support implied functionality. 21: Variable Cabinet Eligible 22: Inverted Book 23: All or None Instrument 24: SEFRegulated (1=ON-SEF, 0=OFF-SEF) 25: MTFRegulated (1=ON-MTF, 0=OFF-MTF) 26: eFixInstrument (1=eFix Instrument) 28-31 – Reserved for future use | |
| Repeating Group 4 | |||||
| 1234 | NoLotTypeRules | NuminGroup | Number of repeating entries. | ||
| →1093 | LotType | Int8 | int | 2=minimum order entry quantity for an instrument 6=minimum order size quantity that improves order priority for execution | This tag is required to interpret the value in tag 1231-MinLotSize |
| →1231 | MinLotSize | uInt64 | Qty | If tag 1093-LotType=2, this value is minimum quantity accepted for order entry. For FX contracts, if tag 1093-LotType=2, this value is a Regular Amount used as default order quantity on the Workstation screen. If tag 1093-LotType=5, the 1231-MinLotSize is order quantity increment. For example, if 1093-LotType=2 & 1231-MinLotSize orders may be entered in increments of 2. Therefore, order sizes of 1, 3, 5, etc can be entered. If tag 1093-LotType=6, the 1231-MinLotSize is the minimum order size quantity that improves order priority for execution | |
| Repeating Group 5 | |||||
| 386 | NoTradingSessions | NuminGroup | Number of scheduled Trading Dates | ||
| →75 | TradeDate | LocalMktDate | Trade Date | ||
| →64 | SettlDate | LocalMktDate | Settle (Value) Date corresponding to Trade Date | ||
| →541 | MaturityDate | LocalMktDate | For Spot instruments will not contain the value. For NDFs, the valuation (fixing) date of the NDF. For Fixed Date NDFs Value Date and Maturity Date remain constant for all Trade Dates | ||
| →455 | SecurityAltID | String12 | ISIN value as provided by ANNA, Association of National Numbering Agencies. This field is populated for MTF-Regulated NDFs and is unique for each Settle Date | ||
| →456 | SecurityAltIDSource | SecurityAltIDSourceISIN | Identifies class or source of the SecurityAltID (455) value | ||