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CTS Futures
Defining Instruments

The Security Definition message (Tag 35=d) is used to define the characteristics of exchanges, contracts and specific instruments (markets). The T4 FIX API returns this message as a result of queries performed with the Security Definition Request message.

The Security definition message includes a complete description of securities by providing Exchange identifier, Contract identifier, Market identifier, pricing, minimum trading volumes, minimum price amount (including Variable Tick Tables), quantity leg ratios, buy/sell sides, put/call type, strikes, etc. This message also enumerates lists of exchanges, contracts within an exchange and markets for a specific contract.


Message Dictionary

TagField NameReq'dComments
Standard HeaderYMsgType = d
320SecurityReqIDYSecurity Definition Request identifier. Must be unique to distinguish security definition requests.
322SecurityResponseIDYID of current Security Definition message.
323SecurityResponseTypeYType of Security Definition message response. The following values can be used:
4 = List of Securities returned per request.
5 = Reject Security Proposal. Security Definition Requests not Enabled (in Logon message).
911TotNumReportsNTotal number of Security Definitions associated with its Security Definition Request.
207SecurityExchangeNExchange. This is the T4 Exchange ID.
55SymbolNContract within an Exchange. This is the T4 Contract ID.
48SecurityIDNMarket (i.e. Security) for a given Contract. This is the T4 Market ID.
107SecurityDescNSecurity Description. The description may also refer to contracts (for Get Contract IDs requests) or exchanges (for Get Exchange IDs requests).
200MaturityMonthYearNSpecifies the month and year of maturity. Format YYYYMM.
205MaturityDayNMaturity Day. Last Trading day for the current market.
562MinTradeVolNThe minimum trading volume for the security.
969MinPriceAmountNThe currency value of one price movement in this market. Only present if you login with 372=D.
9850MinCabPriceNThe minimum cab price for this market. Only present if you login with 372=D.
6350TickRuleNThe variable tick table definition. (e.g. 5;P<-500=25;p>500=25 indicates a minimum price increment of 5 except when prices are below -500 and above 500 for which a minimum price increment of 25 is applied). Only present if you login with 372=D.
9800PriceDisplayFormatNThe number of decimal places in a price for this market. Only present if you login with 372=D.
5770PriceRatioNObsolete. Price Ratio as a fraction of Numerator to Denominator. Reduced Ticks Spreads also provide ratios as delineated with the RTS acronym.
1146MinPriceIncrementAmountNObsolete. The minimum increment for prices. If appropriate, Variable Tick Tables are also provided (e.g. 5;P<-500=25;p>500=25 indicates a minimum price increment of 5 except when prices are below -500 and above 500 for which a minimum price increment of 25 is applied).
201PutOrCallNPut Or Call identifier (for Options Security Type). The following values can be used:
0 = Put
1 = Call
202StrikePriceNStrike Price (for Options Security Type).
167SecurityTypeNIndicates type of security. Valid values are:
FUT = Futures
OPT = Options
STK = Stock
SYN = Synthetic
BIN = Binary Option
762SecuritySubTypeNSecurity SubType that further describes the security. The following values can be used:
0 = None (outright)
1 = Calendar Spread
2 = RT Calendar Spread
3 = Inter Contract Spread
4 = Butterfly
5 = Condor
6 = Double Butterfly
7 = Horizontal
8 = Bundle
9 = Month vs Pack
10 = Pack
11 = Pack Spread
12 = Pack Butterfly
13 = Bundle Spread
14 = Strip
15 = Crack
16 = Treasury Spread
17 = Crush
18 = None
19 = Threeway
20 = Threeway Straddle vs Call
21 = Threeway Straddle vs Put
22 = Box
23 = Christmas Tree
24 = Conditional Curve
25 = Double
26 = Horizontal Straddle
27 = Iron Condor
28 = Ratio 1x2
29 = Ratio 1x3
30 = Ratio 2x3
31 = Risk Reversal
32 = Straddle Strip
33 = Straddle
34 = Strangle
35 = Vertical
36 = Jelly Roll
37 = Iron Butterfly
38 = Guts
39 = Generic
40 = Diagonal
41 = Covered Threeway
42 = Covered Threeway Straddle vs Call
43 = Covered Threeway Straddle vs Put
44 = Covered Box
45 = Covered Christmas Tree
46 = Covered Conditional Curve
47 = Covered Double
48 = Covered Horizontal Straddle
49 = Covered Iron Condor
50 = Covered Ratio 1x2
51 = Covered Ratio 1x3
52 = Covered Ratio 2x3
53 = Covered Risk Reversal
54 = Covered Straddle Strip
55 = Covered Straddle
56 = Covered Strangle
57 = Covered Vertical
58 = Covered Jelly Roll
59 = Covered Iron Butterfly
60 = Covered Guts
61 = Covered Generic
62 = Covered Diagonal
63 = Covered Butterfly
64 = Covered Condor
65 = Covered Horizontal
66 = Covered Strip
67 = Covered Option
68 = Balanced Strip
69 = Unbalanced Strip
70 = Inter Contract Strip
71 = Invoice Swap
72 = Interest Rate Swap
73 = Average Price Strip
74 = Treasury Tail
40OrdTypeNT4 Order Types supported by this market. Order Types are provided as a bitwise logically-AND-ed (unsigned) integer. For instance, E-mini S&P 500 March 2013 futures returns an order type integer of 142255 (a.k.a. binary 100010101110101111). This value conveys the following order types as being supported: Market, Limit, StopMarket, StopLimit, ImmediateAndCancel, StatusRequest, StopSameLimit, GoodTillCancelled, MarketModeReliable, MaxShow and RFQ. The integer masks for the T4 Order Types are:
0 = Market is view only
1 = Market orders
2 = Limit
4 = Stop Market
8 = Stop Limit
16 = MarketOnOpen
32 = ImmediateAndCancel
64 = CompleteVolume
128 = StatusRequest
256 = StopSameLimit.
512 = GoodTillCancelled
1024 = MarketOnClose
2048 = MarketModeReliable. Whether or not the market mode values are reliable for this market. i.e. Whether activation OnMarketMode order types and similar should be allowed.
4096 = ImpliedMatching. Whether implied orders will match at the exchange or not
8192 = MaxShow. Iceberg order type.
16384 = NoQuotes. This market does not provide any quotes
32768 = NoStrategyLegFills. This market does not provide strategy leg fills
65536 = NoDayOrders. This market does not support day orders (Time-In-Force).
131072 = RFQ. This market supports RFQ's.
15CurrencyNCurrency of Market Prices.
Start Repeating Group
864NoEventsNNumber of events for contract.
865EventTypeNType of Event. The following values are allowed:
1 = Day Change Time
2 = Day Change Time Exceptions. Days and Times for which the Day Change Time is exempted.
866EventDateNDate of the event.
1145EventTimeNTime of the event (in local CST Time or string for Day Change Time Exceptions i.e. Tag 865=2).
End Repeating Group
Start Repeating Group
555NoLegsNNumber of legs of multi-legged strategy. Must be provided if number of legs is greater than 1.
600LegSymbolNIndividual leg Contract for multi-leg instrument. This is the T4 Contract ID for this leg. It must be the first tag of this group.
623LegRatioQtyNIndividual leg Quantity Ratio. A negative value indicates a LegSide of Sell.
624LegSideNIndividual leg Side. Valid Values are:
1 = Buy
2 = Sell
609LegSecurityTypeNIndividual leg Security Type. Valid values are:
FUT = Futures
OPT = Options
602LegSecurityIDN Individual leg Security (Market) identifier for multi-leg instrument. This is T4 Market ID for this leg.
556LegCurrencyNIndividual leg Currency for multi-leg instrument.
610LegMaturityMonthYearNIndividual leg instrument maturity. Format YYYYMM.
612LegStrikePriceNIndividual leg strike (for Options Security Type).
1358LegPutOrCallN Individual leg Put or Call (for Options Security Type). Valid values are:
0 = Put
1 = Call
616LegSecurityExchangeNIndividual leg Exchange. This is the T4 Exchange ID for this leg.
620LegSecurityDescNIndividual leg instrument description.
End Repeating Group
Start Repeating Group
454NoSecurityAltIDNNumber of Alternate Security Identifiers.
455SecurityAltIDNAlternate Security Identifier.
456SecurityAltIDSourceNIdentifies class or source of the SecurityAltID (Tag 455). The following values are allowed:
8 = Exchange. (Pass-through from Exchange. Subject to changes from Exchange. Tag 455 value does not originate from CTS).
M = Market Place Assigned. (Pass-through from Exchange. Subject to changes from Exchange. Tag 455 value does not originate from CTS).
End Repeating Group
Standard TrailerY


Sample Messages


Sample Message for an Outright


<< 4/14/2014 2:06:21 PM  [fixsecuritydefinition] 34=37|49=T4|56=T4Example|50=T4FIX|52=20140414-19:06:48.230|320=sc-444-14:06:20.9531947|322=sd-4/14/2014 2:06:48 PM|323=4|911=1|55=ES|107=SIM:E-mini S&P 500 Jun14|48=CME_20140600_ESM4|40=2083|207=CME_Eq|200=201406|205=20|167=FUT|762=0|562=1|15=USD|1146=12.5|5770=25/1|
[FIXSECURITYDEFINITION]
[MsgSeqNum] 34 = 37
[SenderCompID] 49 = T4
[TargetCompID] 56 = T4Example
[SenderSubID] 50 = T4FIX
[SendingTime] 52 = 20140414-19:06:48.230
[SecurityReqID] 320 = sc-444-14:06:20.9531947
[SecurityResponseID] 322 = sd-4/14/2014 2:06:48 PM
[SecurityResponseType] 323 = 4 (LIST_OF_SECURITIES_RETURNED_PER_REQUEST)
[TotNumReports] 911 = 1
[Symbol] 55 = ES
[SecurityDesc] 107 = SIM:E-mini S&P 500 Jun14
[SecurityID] 48 = CME_20140600_ESM4
[OrdType] 40 = 2083 (MARKET | LIMIT | IMMEDIATEANDCANCEL | MARKETMODERELIABLE)
[SecurityExchange] 207 = CME_Eq
[MaturityMonthYear] 200 = 201406
[MaturityDay] 205 = 20
[SecurityType] 167 = FUT (FUTURE)
[SecuritySubType] 762 = 0 (NONE)
[MinTradeVol] 562 = 1
[Currency] 15 = USD
[MinPriceIncrementAmount] 1146 = 12.5
[PriceRatio] 5770 = 25/1


Sample Message for a Calendar Spread


<< 4/14/2014 2:08:37 PM  [fixsecuritydefinition] 34=43|49=T4|56=T4Example|50=T4FIX|52=20140414-19:09:04.497|320=sc-89-14:08:37.2241156|322=sd-4/14/2014 2:09:04 PM|323=4|911=10|55=ES|107=SIM:E-mini S&P 500 -Jun14+Sep14|48=CME_20140600_ESM4-ESU4|40=2083|207=CME_Eq|200=201406|205=20|167=FUT|762=1|562=1|15=USD|1146=2.5|5770=5/1|555=2|600=ES|623=-1|624=2|609=FUT|602=CME_20140600_ESM4|556=USD|610=201406|616=CME_Eq|620=SIM:E-mini S&P 500 Jun14|600=ES|623=1|624=1|609=FUT|602=CME_20140900_ESU4|556=USD|610=201409|616=CME_Eq|620=SIM:E-mini S&P 500 Sep14|
[FIXSECURITYDEFINITION]
[MsgSeqNum] 34 = 43
[SenderCompID] 49 = T4
[TargetCompID] 56 = T4Example
[SenderSubID] 50 = T4FIX
[SendingTime] 52 = 20140414-19:09:04.497
[SecurityReqID] 320 = sc-89-14:08:37.2241156
[SecurityResponseID] 322 = sd-4/14/2014 2:09:04 PM
[SecurityResponseType] 323 = 4 (LIST_OF_SECURITIES_RETURNED_PER_REQUEST)
[TotNumReports] 911 = 10
[Symbol] 55 = ES
[SecurityDesc] 107 = SIM:E-mini S&P 500 -Jun14+Sep14
[SecurityID] 48 = CME_20140600_ESM4-ESU4
[OrdType] 40 = 2083 (MARKET | LIMIT | IMMEDIATEANDCANCEL | MARKETMODERELIABLE)
[SecurityExchange] 207 = CME_Eq
[MaturityMonthYear] 200 = 201406
[MaturityDay] 205 = 20
[SecurityType] 167 = FUT (FUTURE)
[SecuritySubType] 762 = 1 (CALENDAR_SPREAD)
[MinTradeVol] 562 = 1
[Currency] 15 = USD
[MinPriceIncrementAmount] 1146 = 2.5
[PriceRatio] 5770 = 5/1
[NoLegs] 555 = 2
[LegSymbol] 600 = ES
[LegRatioQty] 623 = -1
[LegSide] 624 = 2 (SELL)
[LegSecurityType] 609 = FUT
[LegSecurityID] 602 = CME_20140600_ESM4
[LegCurrency] 556 = USD
[LegMaturityMonthYear] 610 = 201406
[LegSecurityExchange] 616 = CME_Eq
[LegSecurityDesc] 620 = SIM:E-mini S&P 500 Jun14
[LegSymbol] 600 = ES
[LegRatioQty] 623 = 1
[LegSide] 624 = 1 (BUY)
[LegSecurityType] 609 = FUT
[LegSecurityID] 602 = CME_20140900_ESU4
[LegCurrency] 556 = USD
[LegMaturityMonthYear] 610 = 201409
[LegSecurityExchange] 616 = CME_Eq
[LegSecurityDesc] 620 = SIM:E-mini S&P 500 Sep14


Sample Message for a (Call) Option


<< 4/14/2014 2:11:39 PM  [fixsecuritydefinition] 34=197|49=T4|56=T4Example|50=T4FIX|52=20140414-19:11:41.544|320=sc-58-14:11:14.2592712|322=sd-4/14/2014 2:11:41 PM|323=4|911=235|55=ES|107=SIM:E-mini S&P 500 Jun14 181000C|48=CME_20140600_ESM4 C1810|40=2082|207=CME_EqOp|200=201406|205=20|167=OPT|762=0|201=1|202=181000|562=1|15=USD|1146=5;P<-500=25;P>500=25;|5770=5/1|
[FIXSECURITYDEFINITION]
[MsgSeqNum] 34 = 197
[SenderCompID] 49 = T4
[TargetCompID] 56 = T4Example
[SenderSubID] 50 = T4FIX
[SendingTime] 52 = 20140414-19:11:41.544
[SecurityReqID] 320 = sc-58-14:11:14.2592712
[SecurityResponseID] 322 = sd-4/14/2014 2:11:41 PM
[SecurityResponseType] 323 = 4 (LIST_OF_SECURITIES_RETURNED_PER_REQUEST)
[TotNumReports] 911 = 235
[Symbol] 55 = ES
[SecurityDesc] 107 = SIM:E-mini S&P 500 Jun14 181000C
[SecurityID] 48 = CME_20140600_ESM4 C1810
[OrdType] 40 = 2082 (LIMIT | IMMEDIATEANDCANCEL | MARKETMODERELIABLE)
[SecurityExchange] 207 = CME_EqOp
[MaturityMonthYear] 200 = 201406
[MaturityDay] 205 = 20
[SecurityType] 167 = OPT (OPTION)
[SecuritySubType] 762 = 0 (NONE)
[PutOrCall] 201 = 1 (CALL)
[StrikePrice] 202 = 181000
[MinTradeVol] 562 = 1
[Currency] 15 = USD
[MinPriceIncrementAmount] 1146 = 5;P<-500=25;P>500=25;
[PriceRatio] 5770 = 5/1


Sample Message for multi-leg strategy (Straddle)


<< 4/14/2014 2:16:42 PM  [fixsecuritydefinition] 34=393|49=T4|56=T4Example|50=T4FIX|52=20140414-19:16:52.018|320=sc-282-14:16:24.7411475|322=sd-4/14/2014 2:16:52 PM|323=4|911=165|55=ES|107=SIM:E-mini S&P 500 Straddle +Jun14 181000C+(181000P)|48=XCME_EqOp ES (M14C 181000)(M14P 181000)|40=2082|207=CME_EqOp|200=201406|205=20|167=OPT|762=33|562=1|15=USD|1146=5;P<-500=25;P>500=25;|5770=5/1|555=2|600=ES|623=1|624=1|609=OPT|602=CME_20140600_ESM4 C1810|556=USD|610=201406|612=181000|1358=1|616=CME_EqOp|620=SIM:E-mini S&P 500 Jun14 181000C|600=ES|623=1|624=1|609=OPT|602=CME_20140600_ESM4 P1810|556=USD|610=201406|612=181000|1358=0|616=CME_EqOp|620=SIM:E-mini S&P 500 Jun14 181000P|
[FIXSECURITYDEFINITION]
[MsgSeqNum] 34 = 393
[SenderCompID] 49 = T4
[TargetCompID] 56 = T4Example
[SenderSubID] 50 = T4FIX
[SendingTime] 52 = 20140414-19:16:52.018
[SecurityReqID] 320 = sc-282-14:16:24.7411475
[SecurityResponseID] 322 = sd-4/14/2014 2:16:52 PM
[SecurityResponseType] 323 = 4 (LIST_OF_SECURITIES_RETURNED_PER_REQUEST)
[TotNumReports] 911 = 165
[Symbol] 55 = ES
[SecurityDesc] 107 = SIM:E-mini S&P 500 Straddle +Jun14 181000C+(181000P)
[SecurityID] 48 = XCME_EqOp ES (M14C 181000)(M14P 181000)
[OrdType] 40 = 2082 (LIMIT | IMMEDIATEANDCANCEL | MARKETMODERELIABLE)
[SecurityExchange] 207 = CME_EqOp
[MaturityMonthYear] 200 = 201406
[MaturityDay] 205 = 20
[SecurityType] 167 = OPT (OPTION)
[SecuritySubType] 762 = 33 (STRADDLE)
[MinTradeVol] 562 = 1
[Currency] 15 = USD
[MinPriceIncrementAmount] 1146 = 5;P<-500=25;P>500=25;
[PriceRatio] 5770 = 5/1
[NoLegs] 555 = 2
[LegSymbol] 600 = ES
[LegRatioQty] 623 = 1
[LegSide] 624 = 1 (BUY)
[LegSecurityType] 609 = OPT
[LegSecurityID] 602 = CME_20140600_ESM4 C1810
[LegCurrency] 556 = USD
[LegMaturityMonthYear] 610 = 201406
[LegStrikePrice] 612 = 181000
[LegPutOrCall] 1358 = 1 (CALL)
[LegSecurityExchange] 616 = CME_EqOp
[LegSecurityDesc] 620 = SIM:E-mini S&P 500 Jun14 181000C
[LegSymbol] 600 = ES
[LegRatioQty] 623 = 1
[LegSide] 624 = 1 (BUY)
[LegSecurityType] 609 = OPT
[LegSecurityID] 602 = CME_20140600_ESM4 P1810
[LegCurrency] 556 = USD
[LegMaturityMonthYear] 610 = 201406
[LegStrikePrice] 612 = 181000
[LegPutOrCall] 1358 = 0 (PUT)
[LegSecurityExchange] 616 = CME_EqOp
[LegSecurityDesc] 620 = SIM:E-mini S&P 500 Jun14 181000P

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