MDP 3.0 - Market Data Security Definition - FX

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: Newly added during the current week Disseminated during the Sunday Startup period Resent by the system during the week 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 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 5=order quantity increment 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