iLink 2 Security Definition
The Security Definition (tag 35-MsgType=d) message is sent at successful creation of a UDS instrument.
The → symbol indicates a repeating tag.
Tag | Name | Enumeration | Req | Description | |
---|---|---|---|---|---|
|
|
|
|
| |
35 | MsgType | String(2) | d=Security Definition | Y | Header tag identifying message type. |
15 | Currency | Currency(3) |
| N | Identifies currency used for price. Absence of this field is interpreted as the default currency for the security. |
22 | SecurityIDSource | Char(1) | 4=ISIN number | N | Identifies class or source of the tag 48-SecurityID value. |
48 | SecurityID | Int(12) |
| N | Identifier of the instrument defined in tag 107. |
58 | Text | String(200) |
| N | Used for instructions to customer if needed, i.e. reject reason. |
107 | SecDesc | String(20) |
| N | UDS Instrument identifier (e.g. UD:U$:CVT 0808123456). |
200 | MaturityMonthYear | String(8) |
| N | Instrument expiration; earliest leg maturity in the options spread or combination. Format YYYYMM (i.e. 200912.) For daily products, this tag contains the full calendar date as reflected in the instrument symbol. Format YYYYMMDD (e.g. 20191205). For weekly options products, this tag contains the calendar month and week indicator reflected in the instrument symbol. Format YYYYMMwW (e.g., for the 4th week contracts, 201912W4). |
320 | SecurityReqID | String(32) |
| Y | Unique identifier from tag 320 of the Security Definition Request (tag 35-MsgType=c) message. |
322 | SecurityResponseID | String(32) |
| Y | CME Globex generated unique ID for the response. |
323 | SecurityResponseType | Int(1) | 2=Accept security proposal | Y* | Type of response. |
167 | SecurityType | String(6) | FUT=Future OPT=Option IRS=Interest Rate Swap FXSPOT=FX Spot | C | Security Type Note: For UDS for Futures, only returned in UDS acknowledgments (tag 323-SecurityResponseType=2). It is not returned in rejects (323-SecurityResponseType=5). |
55 | Symbol | String(6) |
| N | Product Code. |
9779 | UserDefinedInstrument | String(1) | Y=User defined instrument | C | Identifies user-defined instruments. If the tag is not present, the instrument is not user-defined. |
827 | ExpirationCycle | Int(1) | 0=Expire on trading session close (default) | N | For tag 827-ExpirationCycle=2, instrument expires as indicated in market data Security Definition (tag 35-MsgType=d) repeating block:
|
1028 | ManualOrderIndicator | Boolean(1) | Y=manual | Y* | Value sent on inbound message from client system indicating manual or automated trading logic. |
5149 | Memo | String(75) |
| N | Allows users to submit a free-form Note tag with a customer order and persists from order entry through clearing Note: if tag 5149-Memo value on inbound messages exceeds the max length of 75 bytes, iLink will return a truncated 75 bytes from the right on the response. |
5979 | RequestTime | Int(20) |
| N | Information carried on a response to convey the time (UTC) when the request was processed by the MSGW application. UTC Timestamps are sent in number of nanoseconds since Unix epoch synced to a master clock to microsecond accuracy. |
9776 | AutoQuoteRequest | Boolean(1) | Y = Quote Request (tag 35-MsgType=R) generated at UDS creation. | Y* | Always set to Y. Note: Not sent when tag 323-SecurityResponseType=5. |
555 | NoLegs | Int(3) |
| Y* | Number of repeating groups in the message. |
Option Repeating Group |
|
|
|
|
|
→600 | LegSymbol | String(6) |
| Y* | Product Code. |
→602 | LegSecurityID | String(12) |
| N | Identfier of the instrument defined in tag 620-LegSecruityDesc. |
→603 | LegSecurityIDSource | Char(1) | 8=Exchange symbol | N | Identifies class or source of the tag 48-SecurityID value. |
→608 | LegCFICode | String(6) |
| N | CFI code for leg instrument. |
→610 | LegMaturityMonthYear | String(8) |
| N | Expiration month and year. |
→612 | LegStrikePrice | Price(19) |
| N | Strike requested. For UDS for futures, this will always be sent as 0. |
→620 | LegSecurityDesc | String(20) |
| Y* | Instrument identifier. |
→623 | LeqRatioQty | Int(2) |
| Y | Specifies ratio for the leg instrument defined in this repeating group. Required for options legs. |
→624 | LegSide | Char(1) | 1=Buy | Y* | Leg side. |
→942 | LegStrikeCurrency | Currency(3) |
| N | Strike currency. |
Future Repeating Group |
|
|
|
|
|
→600 | LegSymbol | String(6) |
| Y | Product Code. |
→602 | LegSecurityID | String(12) |
| N | Identifier of the instrument defined in tag 620-LegSecurityDesc. |
→603 | LegSecurityIDSource | Char(1) | 8=Exchange symbol | N | Identifies class or source of the tag 48-SecurityID value. |
→608 | LegCFICode | String(6) | N | CFI code for leg instrument. | |
→620 | LegSecurityDesc | String(20) |
| Y* | Instrument identifier. |
→623 | LegRatioQty | Qty(2) |
| C | Specifies ratio for the leg instrument defined in this repeating group. For a Covered UDS this tag is optional for covering future leg(s). |
→624 | LegSide | Char(1) | 1=Buy | Y* | Leg side. |
→566 | LegPrice | Price(15) |
| N | Price of the futures contract.
|
→1017 | LegOptionDelta | Float(6.2) |
| N | For covered options only; delta used to calculate the quantity of futures used to cover the option or options spread or combination. |
9553 | SplitMsg | Int(1) | 0 – Split message 1 – Out-of-order message 2 – Complete message | N | Indicates whether a message was subject to additional processing as a result of being:
If absent, then the message was not subject to additional processing. |
|
|
|
| End of message. |
Y: Required by FIX protocol, Y*: Required by CME Globex (not by FIX protocol), N: Not Required, C: Conditionally
How was your Client Systems Wiki Experience? Submit Feedback
Copyright © 2024 CME Group Inc. All rights reserved.