A daily variable quantity energy instrument's expiration includes all days between the activation date of the instrument thru the next business day. For example, an instrument activated on Friday includes Friday, Saturday, and Sunday (assuming the following Monday is a regular business day) and therefore has a contact multiplier of 3.
Security Definition (tag 35-MsgType=d) Message Key Elements
The → symbol indicates a repeating group tag.
| Tag | FIX Name | Format | MDP 3.0 Value |
|---|---|---|---|
562 | MinTradeVol | Qty (9) | 1 |
→871 | InstAttribType | Int (2) | 24 |
→872 | InstAttribValue | String (2) | 16 = Variable Quantity Eligibility |
1439 | FlowScheduleType | Int (1) | 2 - Calendar-All Days in month |
1231 | MinLotSize | Price (20) | 2500 |
231 | ContractMultiplier | Int (5) | 3 |
996 | UnitofMeasure | String (30) | MMBTU |
1435 | ContractMultiplierUnit | Int (1) | 2 = multiplied by day |
Display and Cleared Qty: lot (5) * MinLotSize (2500) * ContractMultiplier (3) postpend with Unit of Measure (MMBTU).
The following table illustrates display values for a 5 lot order for PPDU128.
Lot Display | 5 |
Unit Display | 12500 MMBTU |
Display and Cleared Quantity | <5> * <2500> * <1> = 12500 MMBTU |