The following figure shows the spread/leg message relationships the client system can use to obtain the display name for an options spread instrument.
Important
This process can be applied to all UDS instruments — recognized, unrecognized, recursive, combo, covered, and futures.
Market Data Security Definition Decomposition and Display
The following diagram shows how to map the market data Security Definition for a spread instrument to that of its component legs to identify the characteristics of each outright instrument comprising the spread.
The following steps provide an example of how to build a UDS display name using the figure.
- Obtain the market data Security Definition (tag 35-MsgType=d) for the UDS instrument and verify the number of legs using tag 555-NoLegs. From this Security Definition (tag 35-MsgType=d) message use tag 602-LegSecurityID to lookup the Security Definition (tag 35-msgType=d) messages for all the legs.
- From the market data Security Definition (tag 35-MsgType=d) of the first leg, obtain the product symbol using tag 6937-Asset and determine the display value.
- From the market data Security Definition (tag 35-MsgType=d) message of the UDS instrument, obtain the spread type from tag 762-SecuritySubType (XT=Xmas Tree) and determine the display value.
- From the market data Security Definition (tag 35-MsgType=d) messages for each leg, obtain the value from tag 200-MaturityMonthYear (20230901) and determine the display value(s).
- From the market data Security Definition (tag 35-MsgType=d) message for each leg, obtain the values from tag 461-CFICode (OCAFPS where the second byte, C indicates a Call in this example) and determine the display value(s).
- From the market data Security Definition (tag 35-MsgType=d) message for the UDS instrument, obtain the values for tag 623-LegRatioQty and tag 624-LegSide (Buy=1 and Sell=2) for all the legs and determine the display value(s). In this example the + equals Buy and the - equals Sell.
- From the market data Security Definition (tag 35-MsgType=d) messages for each leg, obtain the value for tag 202-StrikePrice and determine the display value(s).
Extracting these values provides an example display name, SR1 XT SEP23 CALL +1 9450 -1 9460 -1 9475 shown in the previous figure.