Appendix – EventCommunication Category

Components

LinesOfTextGrp

TagNameReq’dDescription
33NoLinesOfTextN
→58TextYRepeating field, number of instances defined in LinesOfText
→354EncodedTextLenNMust be set if EncodedText field is specified and must immediately precede it.
→355EncodedTextNEncoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.

NewsRefGrp

TagNameReq’dDescription
1475NoNewsRefIDsN
→1476NewsRefIDNRequired if NoNewsRefIDs(2144) > 0.
News item being referenced.
→1477NewsRefTypeNType of reference.

Messages

News Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType = B
ComponentApplicationSequenceControlN
1472NewsIDNUnique identifer for News message
ComponentNewsRefGrpNNews items referenced by this News message
1473NewsCategoryN
1474LanguageCodeNUsed to optionally specify the national language used for the News item.
42OrigTimeN
61UrgencyN
148HeadlineYSpecifies the headline text
358EncodedHeadlineLenNMust be set if EncodedHeadline field is specified and must immediately precede it.
359EncodedHeadlineNEncoded (non-ASCII characters) representation of the Headline field in the encoded format specified via the MessageEncoding field.
ComponentRoutingGrpNRequired if any RoutingType and RoutingIDs are specified. Indicates the number within repeating group.
1301MarketIDNUsed to optionally specify the market to which this News applies.
1300MarketSegmentIDNUsed to optionally specify the market segment to which this News applies.
ComponentInstrmtGrpNSpecifies the number of repeating symbols (instruments) specified
ComponentInstrmtLegGrpNNumber of legs
Identifies a Multi-leg Execution if present and non-zero.
ComponentUndInstrmtGrpNNumber of underlyings
ComponentLinesOfTextGrpYSpecifies the number of repeating lines of text specified
149URLLinkNA URL (Uniform Resource Locator) link to additional information (i.e. http://www.XYZ.com/research.html)
95RawDataLengthN
96RawDataN
ComponentStandardTrailerY

Email Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType = C
164EmailThreadIDYUnique identifier for the email message thread
94EmailTypeY
42OrigTimeN
147SubjectYSpecifies the Subject text
356EncodedSubjectLenNMust be set if EncodedSubject field is specified and must immediately precede it.
357EncodedSubjectNEncoded (non-ASCII characters) representation of the Subject field in the encoded format specified via the MessageEncoding field.
ComponentRoutingGrpNRequired if any RoutingType and RoutingIDs are specified. Indicates the number within repeating group.
ComponentInstrmtGrpNSpecifies the number of repeating symbols (instruments) specified
ComponentUndInstrmtGrpNNumber of underlyings
ComponentInstrmtLegGrpNNumber of legs
Identifies a Multi-leg Execution if present and non-zero.
37OrderIDN
11ClOrdIDN
ComponentLinesOfTextGrpYSpecifies the number of repeating lines of text specified
95RawDataLengthN
96RawDataN
ComponentStandardTrailerY

Appendix – Indication Category

Components

IOIQualGrp

TagNameReq’dDescription
199NoIOIQualifiersN
→104IOIQualifierNRequired if NoIOIQualifiers > 0

InstrmtLegIOIGrp

TagNameReq’dDescription
555NoLegsN
ComponentInstrumentLegNRequired for multileg IOIs
For Swaps one leg is Buy and other leg is Sell
→682LegIOIQtyNRequired for multileg IOIs and for each leg.
ComponentLegStipulationsN

Messages

IOI Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType = 6
ComponentApplicationSequenceControlN
23IOIIDY
28IOITransTypeY
26IOIRefIDNRequired for Cancel and Replace IOITransType messages
ComponentInstrumentYInsert here the set of Instrument (symbology) fields defined in Common Components of Application Messages
ComponentPartiesNInsert here the set of Parties (firm identification) fields defined in Common Components of Application Messages.
ComponentFinancingDetailsNInsert here the set of FinancingDetails (symbology) fields defined in Common Components of Application Messages
ComponentUndInstrmtGrpNNumber of underlyings
54SideYSide of Indication
Valid subset of values:
1 = Buy
2 = Sell
7 = Undisclosed
B = As Defined (for multilegs)
C = Opposite (for multilegs)
854QtyTypeN
ComponentOrderQtyDataNInsert here the set of Instrument (symbology) fields defined in Common Components of Application Messages
The value zero is used if NoLegs repeating group is used
Applicable if needed to express CashOrder Qty (tag 152)
27IOIQtyYThe value zero is used if NoLegs repeating group is used
15CurrencyN
ComponentStipulationsNInsert here the set of Stipulations (symbology) fields defined in Common Components of Application Messages
ComponentInstrmtLegIOIGrpNRequired for multileg IOIs
423PriceTypeN
44PriceN
62ValidUntilTimeN
25IOIQltyIndN
130IOINaturalFlagN
ComponentIOIQualGrpNRequired if any IOIQualifiers are specified. Indicates the number of repeating IOIQualifiers.
58TextN
354EncodedTextLenNMust be set if EncodedText field is specified and must immediately precede it.
355EncodedTextNEncoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
60TransactTimeN
149URLLinkNA URL (Uniform Resource Locator) link to additional information (i.e. http://www.XYZ.com/research.html)
ComponentRoutingGrpNRequired if any RoutingType and RoutingIDs are specified. Indicates the number within repeating group.
ComponentSpreadOrBenchmarkCurveDataNInsert here the set of SpreadOrBenchmarkCurveData (Fixed Income spread or benchmark curve) fields defined in Common Components of Application Messages
ComponentYieldDataN
ComponentStandardTrailerY
TagNameReq’dDescription
ComponentStandardHeaderYMsgType = 7
2AdvIdY
5AdvTransTypeY
3AdvRefIDNRequired for Cancel and Replace AdvTransType messages
ComponentInstrumentYInsert here the set of Instrument (symbology) fields defined in Common Components of Application Messages
ComponentInstrmtLegGrpNNumber of legs
Identifies a Multi-leg Execution if present and non-zero.
ComponentUndInstrmtGrpNNumber of underlyings
4AdvSideY
53QuantityY
854QtyTypeN
44PriceN
15CurrencyN
75TradeDateN
60TransactTimeN
58TextN
354EncodedTextLenNMust be set if EncodedText field is specified and must immediately precede it.
355EncodedTextNEncoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
149URLLinkNA URL (Uniform Resource Locator) link to additional information (i.e. http://www.XYZ.com/research.html)
30LastMktN
336TradingSessionIDN
625TradingSessionSubIDN
ComponentStandardTrailerY

Appendix – MarketData Category

Components

InstrmtMDReqGrp

TagNameReq’dDescription
146NoRelatedSymN
ComponentInstrumentYInsert here the set of Instrument (symbology) fields defined in Common Components of Application Messages
ComponentUndInstrmtGrpN
ComponentInstrmtLegGrpN
→15CurrencyN
→537QuoteTypeN
→63SettlTypeNFor NDFs either SettlType (specifying the tenor) or SettlDate must be specified.
→64SettlDateNSettlType (specifying the tenor) or SettlDate must be specified.
→271MDEntrySizeNQuantity or volume represented by the Market Data Entry. In the context of the Market Data Request this allows the Initiator to indicate the quantity of the market data request. Specific to FX this field indicates the ceiling amount the customer is seeking prices for.
→1500MDStreamIDN

MDFullGrp

TagNameReq’dDescription
268NoMDEntriesN
→269MDEntryTypeYMust be the first field in this repeating group.
→278MDEntryIDNConditionally required when maintaining an order-depth book, that is, when AggregatedBook (266) is N. allows subsequent Incremental changes to be applied using MDEntryID.
→270MDEntryPxNConditionally required if MDEntryType is not Imbalance(A) ), Trade Volume (B), or Open Interest(C); Conditionally required when MDEntryType = auction clearing price
→423PriceTypeN
ComponentYieldDataNInsert here the set of YieldData (yield-related) fields defined in Common Components of Application Messages
ComponentSpreadOrBenchmarkCurveDataNInsert here the set of SpreadOrBenchmarkCurveData (Fixed Income spread or benchmark curve) fields defined in Common Components of Application Messages
→40OrdTypeNUsed to support market mechanism type; limit order, market order, committed principal order
→15CurrencyNCan be used to specify the currency of the quoted price.
→120SettlCurrencyNRequired for NDFs to specify the settlement currency (fixing currency).
ComponentRateSourceN
→271MDEntrySizeNConditionally required if MDEntryType = Bid(0), Offer(1), Trade(2) ), Trade Volume (B), or Open Interest(C)
conditionally required when MDEntryType = auction clearing price
ComponentSecSizesGrpN
→1093LotTypeNCan be used to specify the lot type of the quoted size in order depth books.
→272MDEntryDateN
→273MDEntryTimeN
→274TickDirectionN
→275MDMktNMarket posting quote / trade. Valid values: See Volume 6: Appendix 6-C
→336TradingSessionIDN
→625TradingSessionSubIDN
→326SecurityTradingStatusN
→327HaltReasonN
→276QuoteConditionNSpace-delimited list of conditions describing a quote.
→277TradeConditionNSpace-delimited list of conditions describing a trade
→282MDEntryOriginatorN
→283LocationIDN
→284DeskIDN
→286OpenCloseSettlFlagNUsed if MDEntryType = Opening Price(4), Closing Price(5), or Settlement Price(6).
→59TimeInForceNFor optional use when this Bid or Offer represents an order
→432ExpireDateNFor optional use when this Bid or Offer represents an order. ExpireDate and ExpireTime cannot both be specified in one Market Data Entry.
→126ExpireTimeNFor optional use when this Bid or Offer represents an order. ExpireDate and ExpireTime cannot both be specified in one Market Data Entry.
→110MinQtyNFor optional use when this Bid or Offer represents an order
→18ExecInstNCan contain multiple instructions, space delimited.
→287SellerDaysN
→37OrderIDNFor optional use when this Bid, Offer, or Trade represents an order
→198SecondaryOrderIDNFor optional use to support Hit/Take (selecting a specific order from the feed) without disclosing a private order id.
→299QuoteEntryIDNFor optional use when this Bid, Offer, or Trade represents a quote
→288MDEntryBuyerNFor optional use in reporting Trades
→289MDEntrySellerNFor optional use in reporting Trades
→346NumberOfOrdersNIn an Aggregated Book, used to show how many individual orders make up an MDEntry
→290MDEntryPositionNoNDisplay position of a bid or offer, numbered from most competitive to least competitive, per market side, beginning with 1
→546ScopeN
→811PriceDeltaN
→828TrdTypeNSpecifies trade type when a trade is being reported. Must be used when MDEntryType(269) = Trade(2).
→58TextNText to describe the Market Data Entry. Part of repeating group.
→354EncodedTextLenNMust be set if EncodedText field is specified and must immediately precede it.
→355EncodedTextNEncoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
→1023MDPriceLevelNDisplay position of a bid or offer, numbered from most competitive to least competitive, per market side, beginning with 1
→528OrderCapacityNDesignates the capacity of the firm placing the order
→1024MDOriginTypeN
→332HighPxNUsed to report high price in association with trade, bid or ask rather than a separate entity
→333LowPxNUsed to report low price in association with trade, bid or ask rather than a separate entitty
→1025FirstPxNIndicates the first price of a trading session; can be a bid, ask, or trade price.
→31LastPxNIndicates the last price of a trading session; can be a bid, ask, or trade price.
→1020TradeVolumeNUsed to report trade volume in association with trade, bid or ask rather than a separate entity
→63SettlTypeN
→64SettlDateNIndicates date on which instrument will settle.
For NDFs required for specifying the value date.
→1070MDQuoteTypeN
→83RptSeqNUsed to identify the sequence number within a feed type
→1048DealingCapacityNIdentifies role of dealer; Agent, Principal, RisklessPrincipal
→1026MDEntrySpotRateN
→1027MDEntryForwardPointsN
ComponentPartiesN

MDIncGrp

TagNameReq’dDescription
268NoMDEntriesN
→279MDUpdateActionYMust be first field in this repeating group.
→285DeleteReasonNIf MDUpdateAction = Delete(2), can be used to specify a reason for the deletion.
→1173MDSubBookTypeNCan be used to define a subordinate book.
→264MarketDepthNCan be used to define the current depth of the book.
→269MDEntryTypeNConditionally required if MDUpdateAction = New(0). Cannot be changed.
→278MDEntryIDNIf specified, must be unique among currently active entries if MDUpdateAction = New (0), must be the same as a previous MDEntryID if MDUpdateAction = Delete (2), and must be the same as a previous MDEntryID if MDUpdateAction = Change (1) and MDEntryRefID is not specified, or must be unique among currently active entries if MDUpdateAction = Change(1) and MDEntryRefID is specified..
→280MDEntryRefIDNIf MDUpdateAction = New(0), for the first Market Data Entry in a message, either this field or a Symbol must be specified. If MDUpdateAction = Change(1), this must refer to a previous MDEntryID.
→1500MDStreamIDN
ComponentInstrumentNInsert here the set of Instrument (symbology) fields defined in Common Components of Application Messages
Either Symbol (the instrument component block) or MDEntryRefID must be specified if MDUpdateAction = New(0) for the first Market Data Entry in a message. For subsequent Market Data Entries where MDUpdateAction = New(0), the default is the instrument used in the previous Market Data Entry if neither Symbol nor MDEntryRefID are specified, or in the case of options and futures, the previous instrument with changes specified in MaturityMonthYear, MaturityDay, StrikePrice, OptAttribute, and SecurityExchange. May not be changed.
ComponentUndInstrmtGrpN
ComponentInstrmtLegGrpN
→291FinancialStatusN
→292CorporateActionN
→270MDEntryPxNConditionally required when MDUpdateAction = New(0) and MDEntryType is not Imbalance(A) ), Trade Volume (B), or Open Interest (C).
Conditionally required when MDEntryType = auction clearing price
→423PriceTypeN
ComponentYieldDataNInsert here the set of YieldData (yield-related) fields defined in Common Components of Application Messages
ComponentSpreadOrBenchmarkCurveDataNInsert here the set of SpreadOrBenchmarkCurveData (Fixed Income spread or benchmark curve) fields defined in Common Components of Application Messages
→40OrdTypeNUsed to support market mechanism type; limit order, market order, committed principal order
→15CurrencyNCan be used to specify the currency of the quoted price.
→120SettlCurrencyNRequired for NDFs to specify the settlement currency (fixing currency).
ComponentRateSourceN
→271MDEntrySizeNConditionally required when MDUpdateAction = New(0) andMDEntryType = Bid(0), Offer(1), Trade(2) ), Trade Volume(B), or Open Interest(C).
Conditionally required when MDEntryType = auction clearing price
ComponentSecSizesGrpN
→1093LotTypeNCan be used to specify the lot type of the quoted size in order depth books.
→272MDEntryDateN
→273MDEntryTimeN
→274TickDirectionN
→275MDMktNMarket posting quote / trade. Valid values: See Volume 6: Appendix 6-C
→336TradingSessionIDN
→625TradingSessionSubIDN
→326SecurityTradingStatusN
→327HaltReasonN
→276QuoteConditionNSpace-delimited list of conditions describing a quote.
→277TradeConditionNSpace-delimited list of conditions describing a trade
→828TrdTypeNFor optional use in reporting Trades
→574MatchTypeNFor optional use in reporting Trades
→282MDEntryOriginatorN
→283LocationIDN
→284DeskIDN
→286OpenCloseSettlFlagNUsed if MDEntryType = Opening Price(4), Closing Price(5), or Settlement Price(6).
→59TimeInForceNFor optional use when this Bid or Offer represents an order
→432ExpireDateNFor optional use when this Bid or Offer represents an order. ExpireDate and ExpireTime cannot both be specified in one Market Data Entry.
→126ExpireTimeNFor optional use when this Bid or Offer represents an order. ExpireDate and ExpireTime cannot both be specified in one Market Data Entry.
→110MinQtyNFor optional use when this Bid or Offer represents an order
→18ExecInstNCan contain multiple instructions, space delimited.
→287SellerDaysN
→37OrderIDNFor optional use when this Bid, Offer, or Trade represents an order
→198SecondaryOrderIDNFor optional use to support Hit/Take (selecting a specific order from the feed) without disclosing a private order id.
→299QuoteEntryIDNFor optional use when this Bid, Offer, or Trade represents a quote
→1003TradeIDNFor optional use in reporting Trades
→288MDEntryBuyerNFor optional use in reporting Trades
→289MDEntrySellerNFor optional use in reporting Trades
→346NumberOfOrdersNIn an Aggregated Book, used to show how many individual orders make up an MDEntry
→290MDEntryPositionNoNDisplay position of a bid or offer, numbered from most competitive to least competitive, per market side, beginning with 1
→546ScopeN
→811PriceDeltaN
→451NetChgPrevDayN
→58TextNText to describe the Market Data Entry. Part of repeating group.
→354EncodedTextLenNMust be set if EncodedText field is specified and must immediately precede it.
→355EncodedTextNEncoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
→1023MDPriceLevelN
→528OrderCapacityN
→1024MDOriginTypeN
→332HighPxN
→333LowPxN
→1025FirstPxNIndicates the first price of a trading session; can be a bid, ask, or a trade price.
→31LastPxNIndicates the last price of a trading session; can be a bid, ask, or a trade price.
→1020TradeVolumeN
→63SettlTypeN
→64SettlDateNIndicates date on which instrument will settle.
For NDFs required for specifying the value date.
→483TransBkdTimeNFor optional use in reporting Trades. Used to specify the time of trade agreement for privately negotiated trades.
→60TransactTimeNFor optional use in reporting Trades. Used to specify the time of matching.
→1070MDQuoteTypeN
→83RptSeqNAllows sequence number to be specified within a feed type
→1048DealingCapacityNIdentifies role of dealer; Agent, Principal, RisklessPrincipal
→1026MDEntrySpotRateN
→1027MDEntryForwardPointsN
ComponentStatsIndGrpN
ComponentPartiesN

MDReqGrp

TagNameReq’dDescription
267NoMDEntryTypesN
→269MDEntryTypeYMust be the first field in this repeating group. This is a list of all the types of Market Data Entries that the firm requesting the Market Data is interested in receiving.

MDRjctGrp

TagNameReq’dDescription
816NoAltMDSourceN
→817AltMDSourceIDNAlternative Market Data Source

SecSizesGrp

TagNameReq’dDescription
1177NoOfSecSizesN
→1178MDSecSizeTypeNDefines the type of secondary size specified in MDSecSize(1179). Must be first field in this repeating group
→1179MDSecSizeN

StatsIndGrp

TagNameReq’dDescription
1175NoStatsIndicatorsN
→1176StatsTypeNIndicates that the MD Entry is eligible for inclusion in the type of statistic specified by the StatsType. Must be provided if NoStatsIndicators greater than 0.

StrmAsgnReqGrp

TagNameReq’dDescription
1499NoAsgnReqsN
ComponentPartiesN
ComponentStrmAsgnReqInstrmtGrpN

StrmAsgnReqInstrmtGrp

TagNameReq’dDescription
146NoRelatedSymN
ComponentInstrumentN
→63SettlTypeN
→271MDEntrySizeN
→1500MDStreamIDN

StrmAsgnRptGrp

TagNameReq’dDescription
1499NoAsgnReqsN
ComponentPartiesN
ComponentStrmAsgnRptInstrmtGrpN

StrmAsgnRptInstrmtGrp

TagNameReq’dDescription
146NoRelatedSymN
ComponentInstrumentN
→63SettlTypeN
→1617StreamAsgnTypeN
→1500MDStreamIDN
→1502StreamAsgnRejReasonN
→58TextN
→354EncodedTextLenN
→355EncodedTextN

Messages

StreamAssignmentRequest Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType = CC
1497StreamAsgnReqIDYUnique identifier of the request.
1498StreamAsgnReqTypeYType of assignment being requested.
ComponentStrmAsgnReqGrpYAssignment requests
ComponentStandardTrailerY

StreamAssignmentReport Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType = CD
1501StreamAsgnRptIDYUnique identifier of the Stream Assignment Report.
1498StreamAsgnReqTypeNRequired if report is being sent in response to a StreamAssignmentRequest. The value should be the same as the value in the corresponding request.
1497StreamAsgnReqIDNConditionally required if Stream Assignment Report is being sent in response to a StreamAssignmentRequest(MsgType=CC). Not required for unsolicited stream assignments.
ComponentStrmAsgnRptGrpNStream assignments
ComponentStandardTrailerY

StreamAssignmentReportACK Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType = CE
1503StreamAsgnAckTypeY
1501StreamAsgnRptIDY
1502StreamAsgnRejReasonN
58TextNCan be used to provide additional information regarding the assignment report, such as reject description.
354EncodedTextLenN
355EncodedTextN
ComponentStandardTrailerY

MarketDataRequest Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType = V
262MDReqIDYMust be unique, or the ID of previous Market Data Request to disable if SubscriptionRequestType = Disable previous Snapshot + Updates Request (2).
263SubscriptionRequestTypeYSubscriptionRequestType indicates to the other party what type of response is expected. A snapshot request only asks for current information. A subscribe request asks for updates as the status changes. Unsubscribe will cancel any future update messages from the counter party.
ComponentPartiesNInsert here the set of Parties (firm identification) fields defined in Common Components of Application Messages
264MarketDepthY
265MDUpdateTypeNRequired if SubscriptionRequestType = Snapshot + Updates (1).
266AggregatedBookN
286OpenCloseSettlFlagNCan be used to clarify a request if MDEntryType = Opening Price(4), Closing Price(5), or Settlement Price(6).
546ScopeNDefines the scope(s) of the request
547MDImplicitDeleteNCan be used when MarketDepth >= 2 and MDUpdateType = Incremental Refresh(1).
ComponentMDReqGrpYNumber of MDEntryType fields requested.
ComponentInstrmtMDReqGrpYNumber of symbols (instruments) requested.
ComponentTrdgSesGrpNNumber of trading sessions for which the request is valid.
815ApplQueueActionNAction to take if application level queuing exists
812ApplQueueMaxNMaximum application queue depth that must be exceeded before queuing action is taken.
1070MDQuoteTypeN
ComponentStandardTrailerY

MarketDataSnapshotFullRefresh Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType = W
ComponentApplicationSequenceControlN
911TotNumReportsNTotal number or reports returned in response to a request.
963MDReportIDNUnique indentifier for Market Data Report
715ClearingBusinessDateN
1021MDBookTypeNDescribes the type of book for which the feed is intended. Can be used when multiple feeds are provided over the same connection
1173MDSubBookTypeNCan be used to define a subordinate book.
264MarketDepthNCan be used to define the current depth of the book.
1022MDFeedTypeNDescribes a class of service for a given data feed, ie Regular and Market Maker
1187RefreshIndicatorN
75TradeDateNUsed to specify the trading date for which a set of market data applies
262MDReqIDNConditionally required if this message is in response to a Market Data Request.
1500MDStreamIDN
ComponentInstrumentYInsert here the set of Instrument (symbology) fields defined in Common Components of Application Messages
ComponentUndInstrmtGrpNNumber of underlyings
ComponentInstrmtLegGrpNRequired for multileg quotes
291FinancialStatusN
292CorporateActionN
451NetChgPrevDayN
ComponentMDFullGrpYNumber of entries following.
813ApplQueueDepthNDepth of application messages queued for transmission as of delivery of this message
814ApplQueueResolutionNAction taken to resolve application queuing
ComponentRoutingGrpN
ComponentStandardTrailerY

MarketDataIncrementalRefresh Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType = X
ComponentApplicationSequenceControlN
1021MDBookTypeNDescribes the type of book for which the feed is intended. Can be used when multiple feeds are provided over the same connection
1022MDFeedTypeNDescribes a class of service for a given data feed, ie Regular and Market Maker
75TradeDateNUsed to specify the trading date for which a set of market data applies
262MDReqIDNConditionally required if this message is in response to a Market Data Request.
ComponentMDIncGrpYNumber of entries following.
813ApplQueueDepthNDepth of application messages queued for transmission as of delivery of this message
814ApplQueueResolutionNAction taken to resolve application queuing
ComponentRoutingGrpN
ComponentStandardTrailerY

MarketDataRequestReject Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType = Y
262MDReqIDYMust refer to the MDReqID of the request.
ComponentPartiesNInsert here the set of Parties (firm identification) fields defined in Common Components of Application Messages
281MDReqRejReasonN
ComponentMDRjctGrpN
58TextN
354EncodedTextLenNMust be set if EncodedText field is specified and must immediately precede it.
355EncodedTextNEncoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
ComponentStandardTrailerY

Appendix – MarketStructureReferenceData Category

Components

TrdSessLstGrp

TagNameReq’dDescription
386NoTradingSessionsN
→336TradingSessionIDYIdentifier for Trading Session
→625TradingSessionSubIDN
→1327TradSesUpdateActionN
→207SecurityExchangeN
→1301MarketIDNMarket for which Trading Session applies
→1300MarketSegmentIDNMarket Segment for which Trading Session applies
→1326TradingSessionDescN
→338TradSesMethodNMethod of Trading
→339TradSesModeNTrading Session Mode
→325UnsolicitedIndicatorNY if message is sent unsolicited as a result of a previous subscription request.
→340TradSesStatusYState of trading session.
→567TradSesStatusRejReasonNUsed with TradSesStatus = Request Rejected
→341TradSesStartTimeNStarting time of trading session
→342TradSesOpenTimeNTime of the opening of the trading session
→343TradSesPreCloseTimeNTime of pre-close of trading session
→344TradSesCloseTimeNClosing time of trading session
→345TradSesEndTimeNEnd time of trading session
→387TotalVolumeTradedN
ComponentTradingSessionRulesNInsert here the set of TradingSessionRules fields defined in common components of application messages
→60TransactTimeN
→58TextN
→354EncodedTextLenNMust be set if EncodedText field is specified and must immediately precede it.
→355EncodedTextNEncoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.

Messages

TradingSessionListRequest Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType = BI
335TradSesReqIDYMust be unique, or the ID of previous Trading Session Status Request to disable if SubscriptionRequestType = Disable previous Snapshot + Update Request (2).
1301MarketIDNMarket for which Trading Session applies
1300MarketSegmentIDNMarket Segment for which Trading Session applies
336TradingSessionIDNTrading Session for which status is being requested
625TradingSessionSubIDN
207SecurityExchangeN
338TradSesMethodNMethod of Trading
339TradSesModeNTrading Session Mode
263SubscriptionRequestTypeY
ComponentStandardTrailerY

TradingSessionList Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType = BJ
ComponentApplicationSequenceControlN
335TradSesReqIDNProvided for a response to a specific Trading Session List Request message (snapshot).
ComponentTrdSessLstGrpY
ComponentStandardTrailerY

TradingSessionListUpdateReport Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType = BS
ComponentApplicationSequenceControlN
335TradSesReqIDNProvided for a response to a specific Trading Session List Request message (snapshot).
ComponentTrdSessLstGrpY
ComponentStandardTrailerY

MarketDefinitionRequest Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType = BT
1393MarketReqIDYMust be unique, or the ID of previous Market Segment Request to disable if SubscriptionRequestType = Disable previous Snapshot + Updates Request(2).
263SubscriptionRequestTypeY
1301MarketIDNConditionally required if MarketSegmentID(1300) is specified on the request
1300MarketSegmentIDN
1325ParentMktSegmIDNSpecifies that the Market Segment is a sub segment of the Market Segment defined in this field.
ComponentStandardTrailerY

MarketDefinition Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType = BU
ComponentApplicationSequenceControlN
1394MarketReportIDYUnique identifier for each Market Definition message
1393MarketReqIDN
1301MarketIDY
1300MarketSegmentIDN
1396MarketSegmentDescN
1397EncodedMktSegmDescLenNMust be set if EncodedMktSegmDesc field is specified and must immediately precede it.
1398EncodedMktSegmDescNEncoded (non-ASCII characters) representation of the MarketSegmDesc field in the encoded format specified via the MessageEncoding field.
1325ParentMktSegmIDNSpecifies that the Market Segment is a sub segment of the Market Segment defined in this field.
15CurrencyNThe default trading currency
ComponentBaseTradingRulesNInsert here the set of BaseTradingRules fields defined in common components of application messages
ComponentOrdTypeRulesNInsert here the set of OrdTypeRules fields defined in common components of application messages
ComponentTimeInForceRulesNInsert here the set of TimeInForceRules fields defined in common components of application messages
ComponentExecInstRulesNInsert here the set of ExecInstRules fields defined in common components of application messages
60TransactTimeN
58TextNComment, instructions, or other identifying information.
354EncodedTextLenNMust be set if EncodedText field is specified and must immediately precede it.
355EncodedTextNEncoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
ComponentStandardTrailerY

MarketDefinitionUpdateReport Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType = BV
ComponentApplicationSequenceControlN
1394MarketReportIDYUnique identifier for each Market Definition message
1393MarketReqIDN
1395MarketUpdateActionNSpecifies the action taken
1301MarketIDY
1300MarketSegmentIDN
1396MarketSegmentDescN
1397EncodedMktSegmDescLenNMust be set if EncodedMktSegmDesc field is specified and must immediately precede it.
1398EncodedMktSegmDescNEncoded (non-ASCII characters) representation of the MarketSegmDesc field in the encoded format specified via the MessageEncoding field.
1325ParentMktSegmIDNSpecifies that the Market Segment is a sub segment of the Market Segment defined in this field.
15CurrencyNThe default trading currency
ComponentBaseTradingRulesNInsert here the set of BaseTradingRules fields defined in common components of application messages
ComponentOrdTypeRulesNInsert here the set of OrdTypeRules fields defined in common components of application messages
ComponentTimeInForceRulesNInsert here the set of TimeInForceRules fields defined in common components of application messages
ComponentExecInstRulesNInsert here the set of ExecInstRules fields defined in common components of application messages
60TransactTimeN
58TextNComment, instructions, or other identifying information.
354EncodedTextLenNMust be set if EncodedText field is specified and must immediately precede it.
355EncodedTextNEncoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
ComponentStandardTrailerY

TradingSessionStatusRequest Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType = g (lowercase)
335TradSesReqIDYMust be unique, or the ID of previous Trading Session Status Request to disable if SubscriptionRequestType = Disable previous Snapshot + Updates Request (2).
1301MarketIDNMarket for which Trading Session applies
1300MarketSegmentIDNMarket Segment for which Trading Session applies
336TradingSessionIDNTrading Session for which status is being requested
625TradingSessionSubIDN
338TradSesMethodNMethod of trading
339TradSesModeNTrading Session Mode
263SubscriptionRequestTypeY
207SecurityExchangeN
ComponentStandardTrailerY

TradingSessionStatus Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType = h (lowercase)
ComponentApplicationSequenceControlN
335TradSesReqIDNProvided for a response to a specific Trading Session Status Request message (snapshot).
1301MarketIDNMarket for which Trading Session applies
1300MarketSegmentIDNMarket Segment for which Trading Session applies
336TradingSessionIDYIdentifier for Trading Session
625TradingSessionSubIDN
338TradSesMethodNMethod of trading:
339TradSesModeNTrading Session Mode
325UnsolicitedIndicatorNSet to ‘Y’ if message is sent unsolicited as a result of a previous subscription request.
340TradSesStatusYState of the trading session
1368TradSesEventNIdentifies an event related to the trading status of a trading session
567TradSesStatusRejReasonNUse with TradSesStatus = Request Rejected
341TradSesStartTimeNStarting time of the trading session
342TradSesOpenTimeNTime of the opening of the trading session
343TradSesPreCloseTimeNTime of the pre-close of the trading session
344TradSesCloseTimeNClosing time of the trading session
345TradSesEndTimeNEnd time of the trading session
387TotalVolumeTradedN
58TextN
354EncodedTextLenNMust be set if EncodedText field is specified and must immediately precede it.
355EncodedTextNEncoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
ComponentInstrumentN
ComponentStandardTrailerY

Appendix – QuotationNegotiation Category

Components

LegQuotGrp

TagNameReq’dDescription
555NoLegsN
ComponentInstrumentLegNRequired for multileg quotes
For Swaps one leg is Buy and other leg is Sell
→687LegQtyN
→685LegOrderQtyNWhen reporting an Execution, LegOrderQty may be used on Execution Report to echo back original LegOrderQty submission.
This field should be used to specify OrderQty at the leg level rather than LegQty (deprecated).
→690LegSwapTypeN
→587LegSettlTypeN
→588LegSettlDateN
ComponentLegStipulationsN
ComponentNestedPartiesN
→686LegPriceTypeNCode to represent type of price presented in LegBidPx and LegOfferPx. Required if LegBidPx or PegOfferPx is present.
→681LegBidPxN
→684LegOfferPxN
ComponentLegBenchmarkCurveDataN
→654LegRefIDNInitiator can optionally provide a unique identifier for the specific leg. Required for FX Swaps
→1067LegBidForwardPointsN
→1068LegOfferForwardPointsN

LegQuotStatGrp

TagNameReq’dDescription
555NoLegsN
ComponentInstrumentLegNRequired for multileg quote status reports
For Swaps one leg is Buy and other leg is Sell
→687LegQtyN
→685LegOrderQtyNWhen reporting an Execution, LegOrderQty may be used on Execution Report to echo back original LegOrderQty submission.
This field should be used to specify OrderQty at the leg level rather than LegQty (deprecated).
→690LegSwapTypeN
→587LegSettlTypeN
→588LegSettlDateN
ComponentLegStipulationsN
ComponentNestedPartiesN

QuotCxlEntriesGrp

TagNameReq’dDescription
295NoQuoteEntriesN
ComponentInstrumentNInsert here the set of Instrument (symbology) fields defined in Common Components of Application Messages
ComponentFinancingDetailsNInsert here the set of FinancingDetails (symbology) fields defined in Common Components of Application Messages
ComponentUndInstrmtGrpN
ComponentInstrmtLegGrpN

QuotEntryAckGrp

TagNameReq’dDescription
295NoQuoteEntriesN
→299QuoteEntryIDNUniquely identifies the quote across the complete set of all quotes for a given quote provider.
First field in repeating group. Required if NoQuoteEntries > 0.
ComponentInstrumentNInsert here the set of Instrument (symbology) fields defined in Common Components of Application Messages
ComponentInstrmtLegGrpN
→132BidPxNIf F/X quote, should be the all-in rate (spot rate adjusted for forward points). Note that either BidPx, OfferPx or both must be specified.
→133OfferPxNIf F/X quote, should be the all-in rate (spot rate adjusted for forward points). Note that either BidPx, OfferPx or both must be specified.
→134BidSizeN
→135OfferSizeN
→62ValidUntilTimeN
→188BidSpotRateNMay be applicable for F/X quotes
→190OfferSpotRateNMay be applicable for F/X quotes
→189BidForwardPointsNMay be applicable for F/X quotes
→191OfferForwardPointsNMay be applicable for F/X quotes
→631MidPxN
→632BidYieldN
→633MidYieldN
→634OfferYieldN
→60TransactTimeN
→336TradingSessionIDN
→625TradingSessionSubIDN
→64SettlDateNCan be used with forex quotes to specify a specific value date
→40OrdTypeNCan be used to specify the type of order the quote is for
→193SettlDate2NCan be used with OrdType = Forex – Swap to specify the value date for the future portion of a F/X swap.
→192OrderQty2NCan be used with OrdType = Forex – Swap to specify the order quantity for the future portion of a F/X swap.
→642BidForwardPoints2NBid F/X forward points of the future portion of a F/X swap quote added to spot rate. May be a negative value
→643OfferForwardPoints2NOffer F/X forward points of the future portion of a F/X swap quote added to spot rate. May be a negative value
→15CurrencyNCan be used to specify the currency of the quoted price.
→775BookingTypeN
→528OrderCapacityN
→529OrderRestrictionsN
→1167QuoteEntryStatusN
→368QuoteEntryRejectReasonNReason Quote Entry was rejected.

QuotEntryGrp

TagNameReq’dDescription
295NoQuoteEntriesN
→299QuoteEntryIDYUniquely identifies the quote across the complete set of all quotes for a given quote provider.
ComponentInstrumentNInsert here the set of Instrument (symbology) fields defined in Common Components of Application Messages
ComponentInstrmtLegGrpN
→132BidPxNIf F/X quote, should be the all-in rate (spot rate adjusted for forward points). Note that either BidPx, OfferPx or both must be specified.
→133OfferPxNIf F/X quote, should be the all-in rate (spot rate adjusted for forward points). Note that either BidPx, OfferPx or both must be specified.
→134BidSizeN
→135OfferSizeN
→62ValidUntilTimeN
→188BidSpotRateNMay be applicable for F/X quotes
→190OfferSpotRateNMay be applicable for F/X quotes
→189BidForwardPointsNMay be applicable for F/X quotes
→191OfferForwardPointsNMay be applicable for F/X quotes
→631MidPxN
→632BidYieldN
→633MidYieldN
→634OfferYieldN
→60TransactTimeN
→336TradingSessionIDN
→625TradingSessionSubIDN
→64SettlDateNCan be used with forex quotes to specify a specific value date
→40OrdTypeNCan be used to specify the type of order the quote is for
→193SettlDate2NCan be used with OrdType = Forex – Swap to specify the value date for the future portion of a F/X swap.
→192OrderQty2NCan be used with OrdType = Forex – Swap to specify the order quantity for the future portion of a F/X swap.
→642BidForwardPoints2NBid F/X forward points of the future portion of a F/X swap quote added to spot rate. May be a negative value
→643OfferForwardPoints2NOffer F/X forward points of the future portion of a F/X swap quote added to spot rate. May be a negative value
→15CurrencyNCan be used to specify the currency of the quoted price.
→775BookingTypeN
→528OrderCapacityN
→529OrderRestrictionsN

QuotQualGrp

TagNameReq’dDescription
735NoQuoteQualifiersN
→695QuoteQualifierNRequired if NoQuoteQualifiers > 1

QuotReqGrp

TagNameReq’dDescription
146NoRelatedSymN
ComponentInstrumentYInsert here the set of Instrument (symbology) fields defined in Common Components of Application Messages
ComponentFinancingDetailsNInsert here the set of FinancingDetails (symbology) fields defined in Common Components of Application Messages
ComponentUndInstrmtGrpN
→140PrevClosePxNUseful for verifying security identification
→303QuoteRequestTypeNIndicates the type of Quote Request (e.g. Manual vs. Automatic) being generated.
→537QuoteTypeNType of quote being requested from counterparty or market (e.g. Indicative, Firm, or Restricted Tradeable)
Valid values used by FX in the request: 0 = Indicative, 1 = Tradeable; Absence implies a request for an indicative quote.
→336TradingSessionIDN
→625TradingSessionSubIDN
→229TradeOriginationDateN
→54SideNIf OrdType = Forex – Swap, should be the side of the future portion of a F/X swap. The absence of a side implies that a two-sided quote is being requested.
For single instrument use. FX values, 1 = Buy, 2 = Sell; This is from the perspective of the Initiator. If absent then a two-sided quote is being requested for spot or forward.
→854QtyTypeNType of quantity specified in a quantity field.
For FX, if used, should be 0.
ComponentOrderQtyDataNRequired for single instrument quoting.
Required for Fixed Income if QuoteType is Tradeable.
→110MinQtyN
→63SettlTypeNFor NDFs either SettlType (specifying the tenor) or SettlDate must be specified.
→64SettlDateNCan be used (e.g. with forex quotes) to specify the desired value date.
For NDFs either SettlType (specifying the tenor) or SettlDate must be specified.
→193SettlDate2NCan be used with OrdType = Forex – Swap to specify the value date for the future portion of a F/X swap.
→192OrderQty2NCan be used with OrdType = Forex – Swap to specify the order quantity for the future portion of a F/X swap.
→15CurrencyNCan be used to specify the desired currency of the quoted price. May differ from the ‘normal’ trading currency of the instrument being quote requested.
→120SettlCurrencyNRequired for NDFs to specify the settlement currency (fixing currency).
ComponentRateSourceN
ComponentStipulationsNInsert here the set of Stipulations (repeating group of Fixed Income stipulations) fields defined in Common Components of Application Messages
→1AccountN
→660AcctIDSourceN
→581AccountTypeN
ComponentQuotReqLegsGrpN
ComponentQuotQualGrpN
→692QuotePriceTypeNInitiator can specify the price type the quote needs to be quoted at. If not specified, the Respondent has option to specify how quote is quoted.
→40OrdTypeNCan be used to specify the type of order the quote request is for
→62ValidUntilTimeNUsed by the quote initiator to indicate the period of time the resulting Quote must be valid until
→126ExpireTimeNThe time when Quote Request will expire.
→60TransactTimeNTime transaction was entered
ComponentSpreadOrBenchmarkCurveDataNInsert here the set of SpreadOrBenchmarkCurveData (Fixed Income spread or benchmark curve) fields defined in Common Components of Application Messages
→423PriceTypeN
→44PriceNQuoted or target price
→640Price2NCan be used with OrdType = Forex – Swap to specify the Quoted or target price for the future portion of a F/X swap.
ComponentYieldDataNInsert here the set of YieldData (yield-related) fields defined in Common Components of Application Messages
ComponentPartiesN

QuotReqLegsGrp

TagNameReq’dDescription
555NoLegsN
ComponentInstrumentLegNRequired for multileg quotes
For Swaps one leg is Buy and other leg is Sell
→687LegQtyN
→685LegOrderQtyNWhen reporting an Execution, LegOrderQty may be used on Execution Report to echo back original LegOrderQty submission.
This field should be used to specify OrderQty at the leg level rather than LegQty (deprecated).
→690LegSwapTypeN
→587LegSettlTypeN
→588LegSettlDateN
ComponentLegStipulationsN
ComponentNestedPartiesN
ComponentLegBenchmarkCurveDataN
→654LegRefIDNInitiator can optionally provide a unique identifier for the specific leg.

QuotReqRjctGrp

TagNameReq’dDescription
146NoRelatedSymN
ComponentInstrumentYInsert here the set of Instrument (symbology) fields defined in Common Components of Application Messages
ComponentFinancingDetailsNInsert here the set of FinancingDetails (symbology) fields defined in Common Components of Application Messages
ComponentUndInstrmtGrpN
→140PrevClosePxNUseful for verifying security identification
→303QuoteRequestTypeNIndicates the type of Quote Request (e.g. Manual vs. Automatic) being generated.
→537QuoteTypeNType of quote being requested from counterparty or market (e.g. Indicative, Firm, or Restricted Tradeable)
→336TradingSessionIDN
→625TradingSessionSubIDN
→229TradeOriginationDateN
→54SideNIf OrdType = Forex – Swap, should be the side of the future portion of a F/X swap. The absence of a side implies that a two-sided quote is being requested.
Required if specified in Quote Request message.
→854QtyTypeN
ComponentOrderQtyDataNInsert here the set of OrderQytData fields defined in Common Components of Application Messages
Required if component is specified in Quote Request message.
→63SettlTypeN
→64SettlDateNCan be used (e.g. with forex quotes) to specify the desired value date
→193SettlDate2NCan be used with OrdType = Forex – Swap to specify the value date for the future portion of a F/X swap.
→192OrderQty2NCan be used with OrdType = Forex – Swap to specify the order quantity for the future portion of a F/X swap.
→15CurrencyNCan be used to specify the desired currency of the quoted price. May differ from the ‘normal’ trading currency of the instrument being quote requested.
ComponentStipulationsNInsert here the set of Stipulations (repeating group of Fixed Income stipulations) fields defined in Common Components of Application Messages
→1AccountN
→660AcctIDSourceN
→581AccountTypeN
ComponentQuotReqLegsGrpN
ComponentQuotQualGrpN
→692QuotePriceTypeNInitiator can specify the price type the quote needs to be quoted at. If not specified, the Respondent has option to specify how quote is quoted.
→40OrdTypeNCan be used to specify the type of order the quote request is for
→126ExpireTimeNThe time when Quote Request will expire.
→60TransactTimeNTime transaction was entered
ComponentSpreadOrBenchmarkCurveDataNInsert here the set of SpreadOrBenchmarkCurveData (Fixed Income spread or benchmark curve) fields defined in Common Components of Application Messages
→423PriceTypeN
→44PriceNQuoted or target price
→640Price2NCan be used with OrdType = Forex – Swap to specify the Quoted or target price for the future portion of a F/X swap.
ComponentYieldDataNInsert here the set of YieldData (yield-related) fields defined in Common Components of Application Messages
ComponentPartiesNInsert here the set of Parties (firm identification) fields defined in Common Components of Application Messages

QuotSetAckGrp

TagNameReq’dDescription
296NoQuoteSetsN
→302QuoteSetIDNFirst field in repeating group. Required if NoQuoteSets > 0
ComponentUnderlyingInstrumentNInsert here the set of UnderlyingInstrument (underlying symbology) fields defined in Common Components of Application Messages
Required if NoQuoteSets > 0
→367QuoteSetValidUntilTimeN
→304TotNoQuoteEntriesNTotal number of quotes for the quote set across all messages. Should be the sum of all NoQuoteEntries in each message that has repeating quotes that are part of the same quote set.
Required if NoQuoteEntries > 0
→1168TotNoCxldQuotesNTotal number of quotes canceled for the quote set across all messages.
→1169TotNoAccQuotesNTotal number of quotes accepted for the quote set across all messages.
→1170TotNoRejQuotesNTotal number of quotes rejected for the quote set across all messages.
→893LastFragmentNIndicates whether this is the last fragment in a sequence of message fragments. Only required where message has been fragmented.
ComponentQuotEntryAckGrpN

QuotSetGrp

TagNameReq’dDescription
296NoQuoteSetsN
→302QuoteSetIDYSequential number for the Quote Set. For a given QuoteID – assumed to start at 1.
Must be the first field in the repeating group.
ComponentUnderlyingInstrumentNInsert here the set of UnderlyingInstrument (underlying symbology) fields defined in Common Components of Application Messages
→367QuoteSetValidUntilTimeN
→304TotNoQuoteEntriesYTotal number of quotes for the quote set across all messages. Should be the sum of all NoQuoteEntries in each message that has repeating quotes that are part of the same quote set.
→893LastFragmentNIndicates whether this is the last fragment in a sequence of message fragments. Only required where message has been fragmented.
ComponentQuotEntryGrpY

RFQReqGrp

TagNameReq’dDescription
146NoRelatedSymN
ComponentInstrumentYInsert here the set of Instrument (symbology) fields defined in Common Components of Application Messages
ComponentUndInstrmtGrpN
ComponentInstrmtLegGrpN
→140PrevClosePxNUseful for verifying security identification
→303QuoteRequestTypeNIndicates the type of Quote Request (e.g. Manual vs. Automatic) being generated.
→537QuoteTypeNType of quote being requested from counterparty or market (e.g. Indicative, Firm, or Restricted Tradeable)
→336TradingSessionIDN
→625TradingSessionSubIDN

Messages

QuoteRequestReject Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType = AG
131QuoteReqIDY
644RFQReqIDNFor tradeable quote model – used to indicate to which RFQ Request this Quote Request is in response.
658QuoteRequestRejectReasonYReason Quote was rejected
1171PrivateQuoteNUsed to indicate whether a private negotiation is requested or if the response should be public. Only relevant in markets supporting both Private and Public quotes.
1172RespondentTypeN
1091PreTradeAnonymityN
ComponentRootPartiesNInsert here the set of Root Parties fields defined in common components of application messages Used for acting parties that applies to the whole message, not individual legs, sides, etc..
ComponentQuotReqRjctGrpYNumber of related symbols (instruments) in Request
58TextN
354EncodedTextLenNMust be set if EncodedText field is specified and must immediately precede it.
355EncodedTextNEncoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
ComponentStandardTrailerY

RFQRequest Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType = AH
644RFQReqIDY
ComponentPartiesNInsert here the set of Parties (firm identification) fields defined in COMMON COMPONENTS OF APPLICATION MESSAGES
ComponentRFQReqGrpYNumber of related symbols (instruments) in Request
263SubscriptionRequestTypeNUsed to subscribe for Quote Requests that are sent into a market
1171PrivateQuoteNUsed to indicate whether a private negotiation is requested or if the response should be public. Only relevant in markets supporting both Private and Public quotes. If field is not provided in message, the model used must be bilaterally agreed.
ComponentStandardTrailerY

QuoteStatusReport Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType = AI
649QuoteStatusReqIDN
131QuoteReqIDNRequired when quote is in response to a Quote Request message
117QuoteIDNMaps to QuoteID(117) of a single Quote(MsgType=S) or QuoteEntryID(299) of a MassQuote(MsgType=i).
1166QuoteMsgIDNMaps to QuoteMsgID(1166) of a single Quote(MsgType=S) or QuoteID(117) of a MassQuote(MsgType=i).
693QuoteRespIDNRequired when responding to a Quote Response message.
537QuoteTypeNQuote Type
If not specified, the default is an indicative quote
298QuoteCancelTypeN
ComponentPartiesNInsert here the set of Parties (firm identification) fields defined in Common Components of Application Messages
ComponentTargetPartiesNCan be populated with the values provided on the associated QuoteStatusRequest(MsgType=A).
336TradingSessionIDN
625TradingSessionSubIDN
ComponentInstrumentNConditionally required when reporting status of a single security quote.
ComponentFinancingDetailsNInsert here the set of FinancingDetails (symbology) fields defined in Common Components of Application Messages
ComponentUndInstrmtGrpNNumber of underlyings
54SideN
ComponentOrderQtyDataNRequired for Tradeable quotes of single instruments
63SettlTypeN
64SettlDateNCan be used with forex quotes to specify a specific value date
193SettlDate2NCan be used with OrdType = Forex – Swap to specify the value date for the future portion of a F/X swap.
192OrderQty2NCan be used with OrdType = Forex – Swap to specify the order quantity for the future portion of a F/X swap.
15CurrencyNCan be used to specify the currency of the quoted prices. May differ from the ‘normal’ trading currency of the instrument being quoted
ComponentStipulationsN
1AccountN
660AcctIDSourceN
581AccountTypeNType of account associated with the order (Origin)
ComponentLegQuotStatGrpNRequired for multileg quote status reports
ComponentQuotQualGrpN
126ExpireTimeN
44PriceN
423PriceTypeN
ComponentSpreadOrBenchmarkCurveDataN
ComponentYieldDataN
132BidPxNIf F/X quote, should be the all-in rate (spot rate adjusted for forward points). Note that either BidPx, OfferPx or both must be specified.
133OfferPxNIf F/X quote, should be the all-in rate (spot rate adjusted for forward points). Note that either BidPx, OfferPx or both must be specified.
645MktBidPxNCan be used by markets that require showing the current best bid and offer
646MktOfferPxNCan be used by markets that require showing the current best bid and offer
647MinBidSizeNSpecifies the minimum bid size. Used for markets that use a minimum and maximum bid size.
134BidSizeNSpecifies the bid size. If MinBidSize is specified, BidSize is interpreted to contain the maximum bid size.
648MinOfferSizeNSpecifies the minimum offer size. If MinOfferSize is specified, OfferSize is interpreted to contain the maximum offer size.
135OfferSizeNSpecified the offer size. If MinOfferSize is specified, OfferSize is interpreted to contain the maximum offer size.
110MinQtyN
62ValidUntilTimeN
188BidSpotRateNMay be applicable for F/X quotes
190OfferSpotRateNMay be applicable for F/X quotes
189BidForwardPointsNMay be applicable for F/X quotes
191OfferForwardPointsNMay be applicable for F/X quotes
631MidPxN
632BidYieldN
633MidYieldN
634OfferYieldN
60TransactTimeN
40OrdTypeNCan be used to specify the type of order the quote is for
642BidForwardPoints2NBid F/X forward points of the future portion of a F/X swap quote added to spot rate. May be a negative value
643OfferForwardPoints2NOffer F/X forward points of the future portion of a F/X swap quote added to spot rate. May be a negative value
656SettlCurrBidFxRateNCan be used when the quote is provided in a currency other than the instrument’s ‘normal’ trading currency. Applies to all bid prices contained in this message
657SettlCurrOfferFxRateNCan be used when the quote is provided in a currency other than the instrument’s ‘normal’ trading currency. Applies to all offer prices contained in this message
156SettlCurrFxRateCalcNCan be used when the quote is provided in a currency other than the instruments trading currency.
13CommTypeNCan be used to show the counterparty the commission associated with the transaction.
12CommissionNCan be used to show the counterparty the commission associated with the transaction.
582CustOrderCapacityNFor Futures Exchanges
100ExDestinationNUsed when routing quotes to multiple markets
1133ExDestinationIDSourceN
775BookingTypeN
528OrderCapacityN
529OrderRestrictionsN
297QuoteStatusNQuote Status
300QuoteRejectReasonNReason Quote was rejected
58TextN
354EncodedTextLenN
355EncodedTextN
ComponentStandardTrailerY

QuoteResponse Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType = AJ
693QuoteRespIDYUnique ID as assigned by the Initiator
117QuoteIDNRequired only when responding to a Quote.
1166QuoteMsgIDNOptionally used when responding to a Quote.
694QuoteRespTypeYType of response this Quote Response is.
11ClOrdIDNUnique ID as assigned by the Initiator. Required only in two-party models when QuoteRespType(694) = 1 (Hit/Lift) or 2 (Counter quote).
528OrderCapacityN
529OrderRestrictionsN
23IOIIDNRequired only when responding to an IOI.
537QuoteTypeNDefault is Indicative.
1091PreTradeAnonymityN
ComponentQuotQualGrpN
ComponentPartiesNInsert here the set of Parties (firm identification) fields defined in Common Components of Application Messages
336TradingSessionIDN
625TradingSessionSubIDN
ComponentInstrumentYInsert here the set of Instrument (symbology) fields defined in Common Components of Application Messages
For multilegs supply minimally a value for Symbol (55).
ComponentFinancingDetailsNInsert here the set of FinancingDetails (symbology) fields defined in Common Components of Application Messages
For multilegs supply minimally a value for Symbol (55).
ComponentUndInstrmtGrpNNumber of underlyings
54SideNRequired when countering a single instrument quote or hit/lift an IOI or Quote.
ComponentOrderQtyDataNInsert here the set of OrderQtyData fields defined in Common Components of Application Messages
Required when countering a single instrument quote or hit/lift an IOI or Quote.
110MinQtyN
63SettlTypeN
64SettlDateNCan be used with forex quotes to specify a specific value date
193SettlDate2NCan be used with OrdType = Forex – Swap to specify the value date for the future portion of a F/X swap.
192OrderQty2NCan be used with OrdType = Forex – Swap to specify the order quantity for the future portion of a F/X swap.
15CurrencyNCan be used to specify the currency of the quoted prices. May differ from the ‘normal’ trading currency of the instrument being quoted
ComponentStipulationsNOptional
1AccountN
660AcctIDSourceNUsed to identify the source of the Account code.
581AccountTypeNType of account associated with the order (Origin)
ComponentLegQuotGrpNRequired for multileg quote response
132BidPxNIf F/X quote, should be the all-in rate (spot rate adjusted for forward points). Note that either BidPx, OfferPx or both must be specified.
133OfferPxNIf F/X quote, should be the all-in rate (spot rate adjusted for forward points). Note that either BidPx, OfferPx or both must be specified.
645MktBidPxNCan be used by markets that require showing the current best bid and offer
646MktOfferPxNCan be used by markets that require showing the current best bid and offer
647MinBidSizeNSpecifies the minimum bid size. Used for markets that use a minimum and maximum bid size.
134BidSizeNSpecifies the bid size. If MinBidSize is specified, BidSize is interpreted to contain the maximum bid size.
648MinOfferSizeNSpecifies the minimum offer size. If MinOfferSize is specified, OfferSize is interpreted to contain the maximum offer size.
135OfferSizeNSpecified the offer size. If MinOfferSize is specified, OfferSize is interpreted to contain the maximum offer size.
62ValidUntilTimeNThe time when the quote will expire.
Required for FI when the QuoteRespType is 2 (Counter quote) to indicate to the Respondent when the counter offer is valid until.
188BidSpotRateNMay be applicable for F/X quotes
190OfferSpotRateNMay be applicable for F/X quotes
189BidForwardPointsNMay be applicable for F/X quotes
191OfferForwardPointsNMay be applicable for F/X quotes
631MidPxN
632BidYieldN
633MidYieldN
634OfferYieldN
60TransactTimeN
40OrdTypeNCan be used to specify the type of order the quote is for.
642BidForwardPoints2NBid F/X forward points of the future portion of a F/X swap quote added to spot rate. May be a negative value
643OfferForwardPoints2NOffer F/X forward points of the future portion of a F/X swap quote added to spot rate. May be a negative value
656SettlCurrBidFxRateNCan be used when the quote is provided in a currency other than the instrument’s ‘normal’ trading currency. Applies to all bid prices contained in this quote message
657SettlCurrOfferFxRateNCan be used when the quote is provided in a currency other than the instrument’s ‘normal’ trading currency. Applies to all offer prices contained in this quote message
156SettlCurrFxRateCalcNCan be used when the quote is provided in a currency other than the instruments trading currency.
12CommissionNCan be used to show the counterparty the commission associated with the transaction.
13CommTypeNCan be used to show the counterparty the commission associated with the transaction.
582CustOrderCapacityNFor Futures Exchanges
100ExDestinationNUsed when routing quotes to multiple markets
1133ExDestinationIDSourceN
58TextN
354EncodedTextLenNMust be set if EncodedText field is specified and must immediately precede it.
355EncodedTextNEncoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
44PriceN
423PriceTypeN
ComponentSpreadOrBenchmarkCurveDataNInsert here the set of SpreadOrBenchmarkCurveData fields defined in Common Components of Application Messages
ComponentYieldDataNInsert here the set of YieldData fields defined in Common Components of Application Messages
ComponentStandardTrailerY

QuoteRequest Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType = R
131QuoteReqIDY
644RFQReqIDNFor tradeable quote model – used to indicate to which RFQ Request this Quote Request is in response.
11ClOrdIDNRequired only in two party models when QuoteType(537) = ‘1’ (Tradeable) and the OrdType(40) = ‘2’ (Limit).
775BookingTypeN
528OrderCapacityN
529OrderRestrictionsN
1171PrivateQuoteNUsed to indicate whether a private negotiation is requested or if the response should be public. Only relevant in markets supporting both Private and Public quotes. If field is not provided in message, the model used must be bilaterally agreed.
1172RespondentTypeN
1091PreTradeAnonymityN
ComponentRootPartiesNInsert here the set of Root Parties fields defined in common components of application messages Used for acting parties that applies to the whole message, not individual legs, sides, etc..
ComponentQuotReqGrpYNumber of related symbols (instruments) in Request
58TextN
354EncodedTextLenNMust be set if EncodedText field is specified and must immediately precede it.
355EncodedTextNEncoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
ComponentStandardTrailerY

Quote Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType = S
131QuoteReqIDNRequired when quote is in response to a Quote Request message
117QuoteIDY
1166QuoteMsgIDNOptionally used to supply a message identifier for a quote.
693QuoteRespIDNRequired when responding to the Quote Response message. The counterparty specified ID of the Quote Response message.
537QuoteTypeNQuote Type
If not specified, the default is an indicative quote
1171PrivateQuoteNUsed to indicate whether a private negotiation is requested or if the response should be public. Only relevant in markets supporting both Private and Public quotes. If field is not provided in message, the model used must be bilaterally agreed.
ComponentQuotQualGrpN
301QuoteResponseLevelNLevel of Response requested from receiver of quote messages.
ComponentPartiesNInsert here the set of Parties (firm identification) fields defined in Common Components of Application Messages
336TradingSessionIDN
625TradingSessionSubIDN
ComponentInstrumentYInsert here the set of Instrument (symbology) fields defined in Common Components of Application Messages
ComponentFinancingDetailsNInsert here the set of FinancingDetails (symbology) fields defined in Common Components of Application Messages
ComponentUndInstrmtGrpNNumber of underlyings
54SideNRequired for Tradeable or Counter quotes of single instruments
ComponentOrderQtyDataNRequired for Tradeable quotes or Counter quotes of single instruments
63SettlTypeN
64SettlDateNCan be used with forex quotes to specify a specific value date.
For NDFs this is required.
193SettlDate2NCan be used with OrdType = Forex – Swap to specify the value date for the future portion of a F/X swap.
192OrderQty2NCan be used with OrdType = Forex – Swap to specify the order quantity for the future portion of a F/X swap.
15CurrencyNCan be used to specify the currency of the quoted prices. May differ from the ‘normal’ trading currency of the instrument being quoted
120SettlCurrencyNRequired for NDFs to specify the settlement currency (fixing currency).
ComponentRateSourceN
ComponentStipulationsNInsert here the set of Stipulations (repeating group of Fixed Income stipulations) fields defined in Common Components of Application Messages
1AccountN
660AcctIDSourceN
581AccountTypeNType of account associated with the order (Origin)
ComponentLegQuotGrpNRequired for multileg quotes
132BidPxNIf F/X quote, should be the all-in rate (spot rate adjusted for forward points). Note that either BidPx, OfferPx or both must be specified.
133OfferPxNIf F/X quote, should be the all-in rate (spot rate adjusted for forward points). Note that either BidPx, OfferPx or both must be specified.
645MktBidPxNCan be used by markets that require showing the current best bid and offer
646MktOfferPxNCan be used by markets that require showing the current best bid and offer
647MinBidSizeNSpecifies the minimum bid size. Used for markets that use a minimum and maximum bid size.
134BidSizeNSpecifies the bid size. If MinBidSize is specified, BidSize is interpreted to contain the maximum bid size.
648MinOfferSizeNSpecifies the minimum offer size. If MinOfferSize is specified, OfferSize is interpreted to contain the maximum offer size.
135OfferSizeNSpecified the offer size. If MinOfferSize is specified, OfferSize is interpreted to contain the maximum offer size.
110MinQtyNFor use in private/directed quote negotiations.
62ValidUntilTimeNThe time when the quote will expire
188BidSpotRateNMay be applicable for F/X quotes
190OfferSpotRateNMay be applicable for F/X quotes
189BidForwardPointsNMay be applicable for F/X quotes
191OfferForwardPointsNMay be applicable for F/X quotes
1065BidSwapPointsNBid swap points of an FX Swap quote.
1066OfferSwapPointsN
631MidPxN
632BidYieldN
633MidYieldN
634OfferYieldN
60TransactTimeN
40OrdTypeNCan be used to specify the type of order the quote is for
642BidForwardPoints2NBid F/X forward points of the future portion of a F/X swap quote added to spot rate. May be a negative value
643OfferForwardPoints2NOffer F/X forward points of the future portion of a F/X swap quote added to spot rate. May be a negative value
656SettlCurrBidFxRateNCan be used when the quote is provided in a currency other than the instrument’s ‘normal’ trading currency. Applies to all bid prices contained in this quote message
657SettlCurrOfferFxRateNCan be used when the quote is provided in a currency other than the instrument’s ‘normal’ trading currency. Applies to all offer prices contained in this quote message
156SettlCurrFxRateCalcNCan be used when the quote is provided in a currency other than the instruments trading currency.
13CommTypeNCan be used to show the counterparty the commission associated with the transaction.
12CommissionNCan be used to show the counterparty the commission associated with the transaction.
582CustOrderCapacityNFor Futures Exchanges
100ExDestinationNUsed when routing quotes to multiple markets
1133ExDestinationIDSourceN
775BookingTypeN
528OrderCapacityN
529OrderRestrictionsN
423PriceTypeN
ComponentSpreadOrBenchmarkCurveDataN
ComponentYieldDataN
58TextN
354EncodedTextLenNMust be set if EncodedText field is specified and must immediately precede it.
355EncodedTextNEncoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
ComponentStandardTrailerY

QuoteCancel Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType = Z
131QuoteReqIDNRequired when quote is in response to a Quote Request message
117QuoteIDNConditionally required when QuoteCancelType(298) = 5 (cancel quote specified in QuoteID). Maps to QuoteID(117) of a single Quote(MsgType=S) or QuoteEntryID(299) of a MassQuote(MsgType=i).
1166QuoteMsgIDNOptionally used to supply a message identifier for a quote cancel.
298QuoteCancelTypeYIdentifies the type of Quote Cancel request.
537QuoteTypeNConditional Required when QuoteCancelType(298)=6[Cancel by QuoteType]
301QuoteResponseLevelNLevel of Response requested from receiver of quote messages.
ComponentPartiesNInsert here the set of Parties (firm identification) fields defined in Common Components of Application Messages
ComponentTargetPartiesNCan be used to specify the parties to whom the Quote Cancel should be applied.
1AccountN
660AcctIDSourceN
581AccountTypeNType of account associated with the order (Origin)
336TradingSessionIDN
625TradingSessionSubIDN
ComponentQuotCxlEntriesGrpNThe number of securities (instruments) whose quotes are to be canceled
Not required when cancelling all quotes.
ComponentStandardTrailerY

QuoteStatusRequest Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType = a (lowercase)
649QuoteStatusReqIDN
117QuoteIDNMaps to:
– QuoteID(117) of a single Quote
– QuoteEntryID(299) of a Mass Quote.
ComponentInstrumentNConditionally required when requesting status of a single security quote.
ComponentFinancingDetailsNInsert here the set of FinancingDetails (symbology) fields defined in Common Components of Application Messages
ComponentUndInstrmtGrpNNumber of underlyings
ComponentInstrmtLegGrpNRequired for multileg quotes
ComponentPartiesNInsert here the set of Parties (firm identification) fields defined in Common Components of Application Messages
ComponentTargetPartiesNCan be used to specify the parties to whom the Quote Status Request should apply.
1AccountN
660AcctIDSourceN
581AccountTypeNType of account associated with the order (Origin)
336TradingSessionIDN
625TradingSessionSubIDN
263SubscriptionRequestTypeNUsed to subscribe for Quote Status Report messages
ComponentStandardTrailerY

MassQuoteAcknowledgement Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType = b (lowercase)
131QuoteReqIDNRequired when acknowledgment is in response to a Quote Request message
117QuoteIDNRequired when acknowledgment is in response to a Mass Quote, mass Quote Cancel or mass Quote Status Request message. Maps to:
– QuoteID(117) of a Mass Quote
– QuoteMsgID(1166) of Quote Cancel
– QuoteStatusReqID(649) of Quote Status Request
297QuoteStatusYStatus of the mass quote acknowledgement.
300QuoteRejectReasonNReason Quote was rejected.
301QuoteResponseLevelNLevel of Response requested from receiver of quote messages. Is echoed back to the counterparty.
537QuoteTypeNType of Quote
298QuoteCancelTypeN
ComponentPartiesNInsert here the set of Parties (firm identification) fields defined in Common Components of Application Messages
ComponentTargetPartiesNShould be populated if the Mass Quote Acknowledgement is acknowledging a mass quote cancellation by party.
1AccountN
660AcctIDSourceN
581AccountTypeNType of account associated with the order (Origin)
58TextN
354EncodedTextLenN
355EncodedTextN
ComponentQuotSetAckGrpNThe number of sets of quotes in the message
ComponentStandardTrailerY

MassQuote Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType = i (lowercase)
131QuoteReqIDNRequired when quote is in response to a Quote Request message
117QuoteIDY
537QuoteTypeNType of Quote
Default is Indicative if not specified
301QuoteResponseLevelNLevel of Response requested from receiver of quote messages.
ComponentPartiesNInsert here the set of Parties (firm identification) fields defined in Common Components of Application Messages
1AccountN
660AcctIDSourceN
581AccountTypeNType of account associated with the order (Origin)
293DefBidSizeNDefault Bid Size for quote contained within this quote message – if not explicitly provided.
294DefOfferSizeNDefault Offer Size for quotes contained within this quote message – if not explicitly provided.
ComponentQuotSetGrpYThe number of sets of quotes in the message
ComponentStandardTrailerY

Appendix – SecuritiesReferenceData Category

Components

DerivativeEventsGrp

TagNameReq’dDescription
1286NoDerivativeEventsN
→1287DerivativeEventTypeNIndicates type of event describing security
→1288DerivativeEventDateN
→1289DerivativeEventTimeNSpecific time of event. To be used in combination with EventDate [1288]
→1290DerivativeEventPxN
→1291DerivativeEventTextN

DerivativeInstrument

TagNameReq’dDescription
1214DerivativeSymbolNCommon, human understood representation of the security. SecurityID value can be specified if no symbol exists (e.g. non-exchange traded Collective Investment Vehicles)
Use [N/A] for products which do not have a symbol.
1215DerivativeSymbolSfxNUsed in Fixed Income with a value of WI to indicate When Issued for a security to be reissued under an old CUSIP or ISIN or with a value of CD to indicate a EUCP with lump-sum interest rather than discount price.
1216DerivativeSecurityIDNTakes precedence in identifying security to counterparty over SecurityAltID block. Requires SecurityIDSource if specified.
1217DerivativeSecurityIDSourceNRequired if SecurityID is specified.
ComponentDerivativeSecurityAltIDGrpN
1246DerivativeProductNIndicates the type of product the security is associated with (high-level category)
1228DerivativeProductComplexNIdentifies an entire suite of products for a given market. In Futures this may be interest rates, agricultural, equity indexes, etc
1243DerivFlexProductEligibilityIndicatorNUsed to indicate if a product or group of product supports the creation of flexible securities
1247DerivativeSecurityGroupNAn exchange specific name assigned to a group of related securities which may be concurrently affected by market events and actions.
1248DerivativeCFICodeNIndicates the type of security using ISO 10962 standard, Classification of Financial Instruments (CFI code) values. It is recommended that CFICode be used instead of SecurityType for non-Fixed Income instruments.
1249DerivativeSecurityTypeNIt is recommended that CFICode be used instead of SecurityType for non-Fixed Income instruments.
Required for Fixed Income. Refer to Volume 7 – Fixed Income
Futures and Options should be specified using the CFICode[461] field instead of SecurityType[167] (Refer to Volume 7 – Recommendations and Guidelines for Futures and Options Markets.)
1250DerivativeSecuritySubTypeNSub-type qualification/identification of the SecurityType (e.g. for SecurityType=MLEG). If specified, SecurityType is required.
1251DerivativeMaturityMonthYearNSpecifies the month and year of maturity. Applicable for standardized derivatives which are typically only referenced by month and year (e.g. S and P futures). Note MaturityDate (a full date) can also be specified.
1252DerivativeMaturityDateNSpecifies date of maturity (a full date). Note that standardized derivatives which are typically only referenced by month and year (e.g. S and P futures).may use MaturityMonthYear and or this field.
When using MaturityMonthYear, it is recommended that markets and sell sides report the MaturityDate on all outbound messages as a means of data enrichment.
1253DerivativeMaturityTimeN
1254DerivativeSettleOnOpenFlagNIndicator to determine if Instrument is Settle on Open.
1255DerivativeInstrmtAssignmentMethodN
1256DerivativeSecurityStatusNGives the current state of the instrument
1276DerivativeIssueDateNDate instrument was issued. For Fixed Income IOIs for new issues, specifies the issue date.
1257DerivativeInstrRegistryNThe location at which records of ownership are maintained for this instrument, and at which ownership changes must be recorded. Can be used in conjunction with ISIN to address ISIN uniqueness issues.
1258DerivativeCountryOfIssueNISO Country code of instrument issue (e.g. the country portion typically used in ISIN). Can be used in conjunction with non-ISIN SecurityID (e.g. CUSIP for Municipal Bonds without ISIN) to provide uniqueness.
1259DerivativeStateOrProvinceOfIssueNA two-character state or province abbreviation.
1260DerivativeLocaleOfIssueNThe three-character IATA code for a locale (e.g. airport code for Municipal Bonds).
1261DerivativeStrikePriceNUsed for derivatives, such as options and covered warrants
1262DerivativeStrikeCurrencyNUsed for derivatives
1263DerivativeStrikeMultiplierNUsed for derivatives. Multiplier applied to the strike price for the purpose of calculating the settlement value.
1264DerivativeStrikeValueNUsed for derivatives. The number of shares/units for the financial instrument involved in the option trade.
1265DerivativeOptAttributeNUsed for derivatives, such as options and covered warrants to indicate a versioning of the contract when required due to corporate actions to the underlying. Should not be used to indicate type of option – use the CFICode[461] for this purpose.
1266DerivativeContractMultiplierNFor Fixed Income, Convertible Bonds, Derivatives, etc. Note: If used, quantities should be expressed in the nominal (e.g. contracts vs. shares) amount.
1438DerivativeContractMultiplierUnitN
1442DerivativeFlowScheduleTypeN
1267DerivativeMinPriceIncrementNMinimum price increment for the instrument. Could also be used to represent tick value.
1268DerivativeMinPriceIncrementAmountNMinimum price increment amount associated with the MinPriceIncrement [969]. For listed derivatives, the value can be calculated by multiplying MinPriceIncrement by ContractValueFactor [231]
1269DerivativeUnitOfMeasureN
1270DerivativeUnitOfMeasureQtyN
1315DerivativePriceUnitOfMeasureN
1316DerivativePriceUnitOfMeasureQtyN
1317DerivativeSettlMethodNSettlement method for a contract. Can be used as an alternative to CFI Code value
1318DerivativePriceQuoteMethodNMethod for price quotation
1319DerivativeValuationMethodNFor futures, indicates type of valuation method applied
1320DerivativeListMethodNIndicates whether strikes are pre-listed only or can also be defined via user request
1321DerivativeCapPriceNUsed to express the ceiling price of a capped call
1322DerivativeFloorPriceNUsed to express the floor price of a capped put
1323DerivativePutOrCallN
1299DerivativeExerciseStyleNType of exercise of a derivatives security
1225DerivativeOptPayAmountNCash amount indicating the pay out associated with an option. For binary options this is a fixed amount
1271DerivativeTimeUnitNUsed to indicate a time unit for the contract (e.g., days, weeks, months, etc.)
1272DerivativeSecurityExchangeNCan be used to identify the security.
1273DerivativePositionLimitNPosition Limit for the instrument.
1274DerivativeNTPositionLimitNNear-term Position Limit for the instrument.
1275DerivativeIssuerN
1277DerivativeEncodedIssuerLenNMust be set if EncodedIssuer field is specified and must immediately precede it.
1278DerivativeEncodedIssuerNEncoded (non-ASCII characters) representation of the Issuer field in the encoded format specified via the MessageEncoding field.
1279DerivativeSecurityDescN
1280DerivativeEncodedSecurityDescLenNMust be set if EncodedSecurityDesc field is specified and must immediately precede it.
1281DerivativeEncodedSecurityDescNEncoded (non-ASCII characters) representation of the SecurityDesc field in the encoded format specified via the MessageEncoding field.
ComponentDerivativeSecurityXMLNEmbedded XML document describing security.
1285DerivativeContractSettlMonthNMust be present for MBS or TBA
ComponentDerivativeEventsGrpN
ComponentDerivativeInstrumentPartiesN

DerivativeInstrumentAttribute

TagNameReq’dDescription
1311NoDerivativeInstrAttribN
→1313DerivativeInstrAttribTypeN
→1314DerivativeInstrAttribValueN

DerivativeInstrumentParties

TagNameReq’dDescription
1292NoDerivativeInstrumentPartiesN
→1293DerivativeInstrumentPartyIDNUsed to identify party id related to instrument series
→1294DerivativeInstrumentPartyIDSourceNUsed to identify source of instrument series party id
→1295DerivativeInstrumentPartyRoleNUsed to identify the role of instrument series party id
ComponentDerivativeInstrumentPartySubIDsGrpN

DerivativeInstrumentPartySubIDsGrp

TagNameReq’dDescription
1296NoDerivativeInstrumentPartySubIDsN
→1297DerivativeInstrumentPartySubIDN
→1298DerivativeInstrumentPartySubIDTypeN

DerivativeSecurityAltIDGrp

TagNameReq’dDescription
1218NoDerivativeSecurityAltIDN
→1219DerivativeSecurityAltIDN
→1220DerivativeSecurityAltIDSourceN

DerivativeSecurityDefinition

TagNameReq’dDescription
ComponentDerivativeInstrumentNOptional block which can be used to to summarize common attributes shared across a set of option instruments which belong to the same series.
ComponentDerivativeInstrumentAttributeNAdditional attribution for the instrument series
ComponentMarketSegmentGrpNSecurity trading and listing attributes for the series level

DerivativeSecurityXML

TagNameReq’dDescription
1282DerivativeSecurityXMLLenNMust be set if SecurityXML field is specified andd must immediately precede it.
1283DerivativeSecurityXMLNXML Data Stream describing the Security.
1284DerivativeSecurityXMLSchemaNXML Schema used to validate the XML used to describe the Security.

InstrmtLegSecListGrp

TagNameReq’dDescription
555NoLegsN
ComponentInstrumentLegNInsert here the set of Instrument Legs (leg symbology) fields defined in Common Components of Application Messages
Required if NoLegs > 0
→690LegSwapTypeN
→587LegSettlTypeN
ComponentLegStipulationsNInsert here the set of LegStipulations (leg symbology) fields defined in Common Components of Application Messages
Required if NoLegs > 0
ComponentLegBenchmarkCurveDataNInsert here the set of LegBenchmarkCurveData (leg symbology) fields defined in Common Components of Application Messages
Required if NoLegs > 0

MarketSegmentGrp

TagNameReq’dDescription
1310NoMarketSegmentsN
→1301MarketIDNIdentifies the market which lists and trades the instrument.
→1300MarketSegmentIDNIdentifies the segment of the market to which the specify trading rules and listing rules apply.
ComponentSecurityTradingRulesN
ComponentStrikeRulesNThis block specifies the rules for determining how new strikes should be listed within the stated price range of the underlying instrument.

MaturityRules

TagNameReq’dDescription
1236NoMaturityRulesN
→1222MaturityRuleIDNAllows maturity rule to be referenced via an identifier so that rules do not need to be explicitly enumerated
→1303MaturityMonthYearFormatNFormat used to generate the MMY for each option contract:
→1302MaturityMonthYearIncrementUnitsNenumeration specifying the increment unit:
→1241StartMaturityMonthYearNStarting maturity for the range to which the StrikeIncrement applies. Price refers to the price of the underlying
→1226EndMaturityMonthYearNEnding maturity monthy year to which the StrikeIncrement applies. Price refers to the price of the underlying
→1229MaturityMonthYearIncrementNValue by which maturity month year should be incremented within the specified price range.

NestedInstrumentAttribute

TagNameReq’dDescription
1312NoNestedInstrAttribN
→1210NestedInstrAttribTypeNCode to represent the type of instrument attribute
→1211NestedInstrAttribValueNAttribute value appropriate to the NestedInstrAttribType field

RelSymDerivSecGrp

TagNameReq’dDescription
146NoRelatedSymN
ComponentInstrumentN
ComponentSecondaryPriceLimitsNSecondary price limit rules
→15CurrencyN
→292CorporateActionNIdentifies the type of Corporate Action
ComponentInstrumentExtensionN
ComponentInstrmtLegGrpN
→1504RelSymTransactTimeN
→58TextNComment, instructions, or other identifying information.
→354EncodedTextLenNMust be set if EncodedText field is specified and must immediately precede it.
→355EncodedTextNEncoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.

RelSymDerivSecUpdGrp

TagNameReq’dDescription
146NoRelatedSymN
→1324ListUpdateActionNIf provided, then Instrument occurrence has explicitly changed
→292CorporateActionN
ComponentInstrumentN
ComponentInstrumentExtensionN
ComponentSecondaryPriceLimitsNSecondary price limit rules
→15CurrencyN
ComponentInstrmtLegGrpN
→1504RelSymTransactTimeN
→58TextNComment, instructions, or other identifying information.
→354EncodedTextLenNMust be set if EncodedText field is specified and must immediately precede it.
→355EncodedTextNEncoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.

SecListGrp

TagNameReq’dDescription
146NoRelatedSymN
ComponentInstrumentNInsert here the set of Instrument (symbology) fields defined in Common Components of Application Messages
of the requested Security
ComponentInstrumentExtensionNInsert here the set of InstrumentExtension fields defined in Common Components of Application Messages
ComponentFinancingDetailsNInsert here the set of FinancingDetails fields defined in Common Components of Application Messages
ComponentSecurityTradingRulesNUsed to provide listing rules
ComponentStrikeRulesNUsed to provide listing rules
ComponentUndInstrmtGrpN
→15CurrencyN
ComponentStipulationsNInsert here the set of Stipulations fields defined in Common Components of Application Messages
ComponentInstrmtLegSecListGrpN
ComponentSpreadOrBenchmarkCurveDataNInsert here the set of SpreadOrBenchmarkCurveData fields defined in Common Components of Application Messages
ComponentYieldDataNInsert here the set of YieldData fields defined in Common Components of Application Messages
→1504RelSymTransactTimeN
→58TextNComment, instructions, or other identifying information.
→354EncodedTextLenNMust be set if EncodedText field is specified and must immediately precede it.
→355EncodedTextNEncoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.

SecLstUpdRelSymGrp

TagNameReq’dDescription
146NoRelatedSymN
→1324ListUpdateActionN
ComponentInstrumentNInsert here the set of Instrument (symbology) fields defined in common components of application messages of the requested Security
ComponentInstrumentExtensionNInsert here the set of InstrumentExtension fields defined in COMMON COMPONENTS OF APPLICATION MESSAGES
ComponentFinancingDetailsNInsert here the set of FinancingDetails fields defined in COMMON COMPONENTS OF APPLICATION MESSAGES
ComponentSecurityTradingRulesN
ComponentStrikeRulesN
ComponentUndInstrmtGrpN
→15CurrencyN
ComponentStipulationsN
ComponentSecLstUpdRelSymsLegGrpN
ComponentSpreadOrBenchmarkCurveDataNInsert here the set of SpreadOrBenchmarkCurveData fields defined in COMMON COMPONENTS OF APPLICATION MESSAGES
ComponentYieldDataNInsert here the set of YieldData fields defined in COMMON COMPONENTS OF APPLICATION MESSAGES
→1504RelSymTransactTimeN
→58TextNComment, instructions, or other identifying information.
→354EncodedTextLenNMust be set if EncodedText field is specified and must immediately precede it.
→355EncodedTextNEncoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.

SecLstUpdRelSymsLegGrp

TagNameReq’dDescription
555NoLegsN
ComponentInstrumentLegNInsert here the set of Instrument Legs (leg symbology) fields defined in common components of application messages Required if NoLegs > 0
→690LegSwapTypeN
→587LegSettlTypeN
ComponentLegStipulationsNInsert here the set of LegStipulations (leg symbology) fields defined in common components of application messages Required if NoLegs > 0
ComponentLegBenchmarkCurveDataNInsert here the set of LegBenchmarkCurveData (leg symbology) fields defined in common components of application messages Required if NoLegs > 0

SecTypesGrp

TagNameReq’dDescription
558NoSecurityTypesN
→167SecurityTypeNRequired if NoSecurityTypes > 0
→762SecuritySubTypeN
→460ProductN
→461CFICodeN
→60TransactTimeN

SecondaryPriceLimits

TagNameReq’dDescription
1305SecondaryPriceLimitTypeN
1221SecondaryLowLimitPriceN
1230SecondaryHighLimitPriceN
1240SecondaryTradingReferencePriceN

SecurityTradingRules

TagNameReq’dDescription
ComponentBaseTradingRulesNThis block contains the base trading rules
ComponentTradingSessionRulesGrpNThis block contains the trading rules specific to a trading session
ComponentNestedInstrumentAttributeN

StrikeRules

TagNameReq’dDescription
1201NoStrikeRulesN
→1223StrikeRuleIDNAllows strike rule to be referenced via an identifier so that rules do not need to be explicitly enumerated
→1202StartStrikePxRangeNStarting price for the range to which the StrikeIncrement applies. Price refers to the price of the underlying
→1203EndStrikePxRangeNEnding price of the range to which the StrikeIncrement applies. Price refers to the price of the underlying
→1204StrikeIncrementNValue by which strike price should be incremented within the specified price
→1304StrikeExerciseStyleNEnumeration that represents the exercise style for a class of options
Same values as ExerciseStyle
ComponentMaturityRulesNDescribes the maturity rules for a given set of strikes as defined by StrikeRules

TradingSessionRulesGrp

TagNameReq’dDescription
1309NoTradingSessionRulesN
→336TradingSessionIDNIdentifier for the trading session
Must be provided if NoTradingSessions > 0
Set to [N/A] if values are not specific to trading session
→625TradingSessionSubIDNIdentifier for the trading session
Set to [N/A] if values are not specific to trading session sub id
ComponentTradingSessionRulesNContains trading rules specified at the trading session level

Messages

DerivativeSecurityList Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType = AA (2 A’s)
ComponentApplicationSequenceControlN
964SecurityReportIDN
320SecurityReqIDN
322SecurityResponseIDNIdentifier for the Derivative Security List message
560SecurityRequestResultNResult of the Security Request identified by SecurityReqID
715ClearingBusinessDateN
ComponentUnderlyingInstrumentNUnderlying security for which derivatives are being returned
ComponentDerivativeSecurityDefinitionNGroup block which contains all information for an option family. If provided DerivativeSecurityDefinition qualifies the strikes specified in the Instrument block.
60TransactTimeN
393TotNoRelatedSymNUsed to indicate the total number of securities being returned for this request. Used in the event that message fragmentation is required.
893LastFragmentNIndicates whether this is the last fragment in a sequence of message fragments. Only required where message has been fragmented.
ComponentRelSymDerivSecGrpNSpecifies the number of repeating symbols (instruments) specified
ComponentStandardTrailerY

SecurityListUpdateReport Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType = BK
ComponentApplicationSequenceControlN
964SecurityReportIDNIdentifier for the Security List Update message in a bulk transfer environment (No Request/Response)
1465SecurityListIDNIdentifies a specific Security List entity
1466SecurityListRefIDNProvides a reference to another Security List
1467SecurityListDescN
1468EncodedSecurityListDescLenN
1469EncodedSecurityListDescN
1470SecurityListTypeNIdentifies a list type
1471SecurityListTypeSourceNIdentifies the sourec as a listype
320SecurityReqIDN
322SecurityResponseIDNIdentifier for the Security List message.
560SecurityRequestResultNResult of the Security Request identified by the SecurityReqID.
393TotNoRelatedSymNUsed to indicate the total number of securities being returned for this request. Used in the event that message fragmentation is required.
715ClearingBusinessDateN
980SecurityUpdateActionN
292CorporateActionNIdentifies the type of Corporate Action that triggered the update
1301MarketIDNIdentifies the market which lists and trades the instrument.
1300MarketSegmentIDNIdentifies the segment of the market specified in MarketID(96)
60TransactTimeN
893LastFragmentNIndicates whether this is the last fragment in a sequence of message fragments. Only required where message has been fragmented.
ComponentSecLstUpdRelSymGrpNSpecifies the number of repeating symbols (instruments) specified
ComponentStandardTrailerY

SecurityDefinitionUpdateReport Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType = BP
ComponentApplicationSequenceControlN
964SecurityReportIDNIdentifier for the Security Definition Update message in a bulk transfer environment (No Request/Response)
320SecurityReqIDN
322SecurityResponseIDNIdentifier for the Security Definition message.
323SecurityResponseTypeNResponse to the Security Definition Request.
715ClearingBusinessDateN
980SecurityUpdateActionN
292CorporateActionNIdentifies the type of Corporate Action
ComponentInstrumentN
ComponentInstrumentExtensionN
ComponentUndInstrmtGrpN
15CurrencyN
58TextNComment, instructions, or other identifying information.
354EncodedTextLenNMust be set if EncodedText field is specified and must immediately precede it.
355EncodedTextNEncoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
ComponentStipulationsN
ComponentInstrmtLegGrpN
ComponentSpreadOrBenchmarkCurveDataN
ComponentYieldDataN
ComponentMarketSegmentGrpNContains all the security details related to listing and trading the security
60TransactTimeN
ComponentStandardTrailerY

DerivativeSecurityListUpdateReport Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType = BR
ComponentApplicationSequenceControlN
320SecurityReqIDN
322SecurityResponseIDNIdentifier for the Derivative Security List message
560SecurityRequestResultNResult of the Security Request identified by SecurityReqID
980SecurityUpdateActionNUpdates can be applied to Underlying or option class. If Series information provided, then Series has explicitly changed
ComponentUnderlyingInstrumentNUnderlying security for which derivatives are being returned
ComponentDerivativeSecurityDefinitionNGroup block which contains all information for an option family. If provided DerivativeSecurityDefinition qualifies the strikes specified in the Instrument block. DerivativeSecurityDefinition contains the following components: DerivativeInstrument. DerivativeInstrumentExtension, MarketSegmentGrp
60TransactTimeN
393TotNoRelatedSymNUsed to indicate the total number of securities being returned for this request. Used in the event that message fragmentation is required.
893LastFragmentNIndicates whether this is the last fragment in a sequence of message fragments. Only required where message has been fragmented.
ComponentRelSymDerivSecUpdGrpN
ComponentStandardTrailerY

SecurityDefinitionRequest Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType = c (lowercase)
320SecurityReqIDY
321SecurityRequestTypeY
1301MarketIDNIdentifies the market for which the security definition request is being made.
1300MarketSegmentIDNIdentifies the segment of the market for which the security definition request is being made.
ComponentInstrumentNInsert here the set of Instrument (symbology) fields defined in Common Components of Application Messages
of the requested Security
ComponentInstrumentExtensionNInsert here the set of InstrumentExtension fields defined in Common Components of Application Messages
ComponentUndInstrmtGrpNNumber of underlyings
15CurrencyN
58TextNComment, instructions, or other identifying information.
354EncodedTextLenNMust be set if EncodedText field is specified and must immediately precede it.
355EncodedTextNEncoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
336TradingSessionIDNOptional Trading Session Identifier to specify a particular trading session for which you want to obtain a list of securities that are tradeable.
625TradingSessionSubIDN
ComponentStipulationsN
ComponentInstrmtLegGrpNNumber of legs that make up the Security
ComponentSpreadOrBenchmarkCurveDataN
ComponentYieldDataN
827ExpirationCycleN
263SubscriptionRequestTypeNSubscribe or unsubscribe for security status to security specified in request.
ComponentStandardTrailerY

SecurityDefinition Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType = d (lowercase)
ComponentApplicationSequenceControlN
964SecurityReportIDNIdentifier for Security Definition message
715ClearingBusinessDateN
320SecurityReqIDN
322SecurityResponseIDNIdentifier for the Security Definition message
323SecurityResponseTypeNResponse to the Security Definition Request
292CorporateActionNIdentifies the type of Corporate Action
ComponentInstrumentNInsert here the set of Instrument (symbology) fields defined in Common Components of Application Messages
of the requested Security
ComponentInstrumentExtensionNInsert here the set of InstrumentExtension fields defined in Common Components of Application Messages
ComponentUndInstrmtGrpNNumber of underlyings
15CurrencyNCurrency in which the price is denominated
58TextNComment, instructions, or other identifying information.
354EncodedTextLenNMust be set if EncodedText field is specified and must immediately precede it.
355EncodedTextNEncoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
ComponentStipulationsN
ComponentInstrmtLegGrpNNumber of legs that make up the Security
ComponentSpreadOrBenchmarkCurveDataN
ComponentYieldDataN
ComponentMarketSegmentGrpNContains all the security details related to listing and trading the security
60TransactTimeN
ComponentStandardTrailerY

SecurityStatusRequest Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType = e (lowercase)
324SecurityStatusReqIDYMust be unique, or the ID of previous Security Status Request to disable if SubscriptionRequestType = Disable previous Snapshot + Updates Request (2).
ComponentInstrumentYInsert here the set of Instrument (symbology) fields defined in Common Components of Application Messages
ComponentInstrumentExtensionNInsert here the set of InstrumentExtension fields defined in Common Components of Application Messages
ComponentUndInstrmtGrpNNumber of underlyings
ComponentInstrmtLegGrpNNumber of legs that make up the Security
15CurrencyN
263SubscriptionRequestTypeYSubscriptionRequestType indicates to the other party what type of response is expected. A snapshot request only asks for current information. A subscribe request asks for updates as the status changes. Unsubscribe will cancel any future update messages from the counter party.
1301MarketIDN
1300MarketSegmentIDN
336TradingSessionIDN
625TradingSessionSubIDN
ComponentStandardTrailerY

SecurityStatus Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType = f (lowercase)
ComponentApplicationSequenceControlN
324SecurityStatusReqIDN
ComponentInstrumentYInsert here the set of Instrument (symbology) fields defined in Common Components of Application Messages
ComponentInstrumentExtensionNInsert here the set of InstrumentExtension fields defined in Common Components of Application Messages
ComponentUndInstrmtGrpNNumber of underlyings
ComponentInstrmtLegGrpNRequired for multileg quotes
15CurrencyN
1301MarketIDN
1300MarketSegmentIDN
336TradingSessionIDN
625TradingSessionSubIDN
325UnsolicitedIndicatorNSet to ‘Y’ if message is sent as a result of a subscription request not a snapshot request
326SecurityTradingStatusNIdentifies the trading status applicable to the transaction.
1174SecurityTradingEventNIdentifies an event related to the trading status
291FinancialStatusN
292CorporateActionN
327HaltReasonNDenotes the reason for the Opening Delay or Trading Halt.
328InViewOfCommonN
329DueToRelatedN
1021MDBookTypeNUsed to relay changes in the book type
264MarketDepthNUsed to relay changes in Market Depth.
330BuyVolumeN
331SellVolumeN
332HighPxN
333LowPxN
31LastPxNRepresents the last price for that security either on a Consolidated or an individual participant basis at the time it is disseminated.
60TransactTimeNTrade Dissemination Time
334AdjustmentN
1025FirstPxNRepresents the price of the first fill of the trading session.
58TextNComment, instructions, or other identifying information.
354EncodedTextLenNMust be set if EncodedText field is specified and must immediately precede it.
355EncodedTextNEncoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
ComponentStandardTrailerY

SecurityTypeRequest Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType = v (lowercase V)
320SecurityReqIDY
58TextNComment, instructions, or other identifying information.
354EncodedTextLenNMust be set if EncodedText field is specified and must immediately precede it.
355EncodedTextNEncoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
1301MarketIDNOptional MarketID to specify a particular trading session for which you want to obtain a list of securities that are tradeable.
1300MarketSegmentIDNOptional Market Segment Identifier to specify a particular trading session for which you want to obtain a list of securities that are tradeable.
336TradingSessionIDNOptional Trading Session Identifier to specify a particular trading session for which you want to obtain a list of securities that are tradeable.
625TradingSessionSubIDN
460ProductNUsed to qualify which security types are returned
167SecurityTypeNUsed to qualify which security type is returned
762SecuritySubTypeNUsed to qualify which security types are returned
ComponentStandardTrailerY

SecurityTypes Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType = w (lowercase W)
ComponentApplicationSequenceControlN
320SecurityReqIDY
322SecurityResponseIDYIdentifier for the security response message
323SecurityResponseTypeYThe result of the security request identified by SecurityReqID
557TotNoSecurityTypesNIndicates total number of security types in the event that multiple Security Type messages are used to return results
893LastFragmentNIndicates whether this is the last fragment in a sequence of message fragments. Only required where message has been fragmented.
ComponentSecTypesGrpN
58TextNComment, instructions, or other identifying information.
354EncodedTextLenNMust be set if EncodedText field is specified and must immediately precede it.
355EncodedTextNEncoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
1301MarketIDNOptional MarketID to specify a particular trading session for which you want to obtain a list of securities that are tradeable.
1300MarketSegmentIDNOptional Market Segment Identifier to specify a particular trading session for which you want to obtain a list of securities that are tradeable.
336TradingSessionIDNOptional Trading Session Identifier to specify a particular trading session for which you want to obtain a list of securities that are tradeable.
625TradingSessionSubIDN
263SubscriptionRequestTypeNSubscribe or unsubscribe for security status to security specified in request.
ComponentStandardTrailerY

SecurityListRequest Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType = x (lowercase X)
320SecurityReqIDY
559SecurityListRequestTypeYType of Security List Request being made
1465SecurityListIDNIdentifies a specific list
1470SecurityListTypeNIndentifies a list type
1471SecurityListTypeSourceNIdentifies the source a list type
1301MarketIDNIdentifies the market which lists and trades the instrument.
1300MarketSegmentIDNIdentifies the segment of the market to which the specify trading rules and listing rules apply. The segment may indicate the venue, whether retail or wholesale, or even segregation by nationality.
ComponentInstrumentNInsert here the set of Instrument (symbology) fields defined in Common Components of Application Messages
of the requested Security
ComponentInstrumentExtensionNInsert here the set of InstrumentExtension fields defined in Common Components of Application Messages
ComponentFinancingDetailsNInsert here the set of FinancingDetails fields defined in Common Components of Application Messages
ComponentUndInstrmtGrpNNumber of underlyings
ComponentInstrmtLegGrpNNumber of legs that make up the Security
15CurrencyN
58TextNComment, instructions, or other identifying information.
354EncodedTextLenNMust be set if EncodedText field is specified and must immediately precede it.
355EncodedTextNEncoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
336TradingSessionIDNOptional Trading Session Identifier to specify a particular trading session for which you want to obtain a list of securities that are tradeable.
625TradingSessionSubIDN
263SubscriptionRequestTypeNSubscribe or unsubscribe for security status to security specified in request.
ComponentStandardTrailerY

SecurityList Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType = y (lowercase Y)
ComponentApplicationSequenceControlN
964SecurityReportIDN
715ClearingBusinessDateN
1465SecurityListIDNIdentifies a specific Security List Entry
1466SecurityListRefIDNProvides a reference to another Security List
1467SecurityListDescN
1468EncodedSecurityListDescLenN
1469EncodedSecurityListDescN
1470SecurityListTypeNIdentifies a list type
1471SecurityListTypeSourceNIdentifies the source of a list type
320SecurityReqIDN
322SecurityResponseIDNIdentifier for the Security List message
560SecurityRequestResultNResult of the Security Request identified by the SecurityReqID
60TransactTimeN
393TotNoRelatedSymNUsed to indicate the total number of securities being returned for this request. Used in the event that message fragmentation is required.
1301MarketIDNIdentifies the market which lists and trades the instrument.
1300MarketSegmentIDNIdentifies the segment of the market to which the specify trading rules and listing rules apply. The segment may indicate the venue, whether retail or wholesale, or even segregation by nationality.
893LastFragmentNIndicates whether this is the last fragment in a sequence of message fragments. Only required where message has been fragmented.
ComponentSecListGrpNSpecifies the number of repeating symbols (instruments) specified
ComponentStandardTrailerY

DerivativeSecurityListRequest Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType = z (lowercase Z)
320SecurityReqIDY
559SecurityListRequestTypeY
1301MarketIDN
1300MarketSegmentIDN
ComponentUnderlyingInstrumentNSpecifies the underlying instrument
ComponentDerivativeInstrumentNGroup block which contains all information for an option family.
762SecuritySubTypeN
15CurrencyN
58TextNComment, instructions, or other identifying information.
354EncodedTextLenNMust be set if EncodedText field is specified and must immediately precede it.
355EncodedTextNEncoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
336TradingSessionIDNOptional Trading Session Identifier to specify a particular trading session for which you want to obtain a list of securities that are tradeable.
625TradingSessionSubIDN
263SubscriptionRequestTypeNSubscribe or unsubscribe for security status to security specified in request.
ComponentStandardTrailerY

Appendix – Common Category

Components

BaseTradingRules

TagNameReq’dDescription
ComponentTickRulesNThis block specifies the rules for determining how a security ticks, i.e. the price increments at which it can be quoted and traded, depending on the current price of the security
ComponentLotTypeRulesNSpecifies the lot types that are valid for trading.
ComponentPriceLimitsNSpecifies the price limits that are valid for trading.
827ExpirationCycleN
562MinTradeVolNThe minimum order quantity that can be submitted for an order.
1140MaxTradeVolNThe maximum order quantity that can be submitted for a security. For listed derivatives this indicates the minimum quantity necessary for an order or trade to qualify as a block trade
1143MaxPriceVariationNThe maximum price variation of an execution from one event to the next for a given security. Expressed in absolute price terms.
1144ImpliedMarketIndicatorN
1245TradingCurrencyNUsed when the trading currency can differ from the price currency
561RoundLotNTrading lot size of security
1377MultilegModelNUsed for multileg security only. Defines whether the security is pre-defined or user-defined. Not that value = 2 (User-defined, Non-Securitized, Multileg) does not apply for Securities.
1378MultilegPriceMethodNUsed for multileg security only. Defines the method used when applying the multileg price to the legs.
423PriceTypeNDefines the default Price Type used for trading.

ExecInstRules

TagNameReq’dDescription
1232NoExecInstRulesN
→1308ExecInstValueNIndicates execution instructions that are valid for the specified market segment

LegBenchmarkCurveData

TagNameReq’dDescription
676LegBenchmarkCurveCurrencyN
677LegBenchmarkCurveNameN
678LegBenchmarkCurvePointN
679LegBenchmarkPriceN
680LegBenchmarkPriceTypeN

LotTypeRules

TagNameReq’dDescription
1234NoLotTypeRulesN
→1093LotTypeNDefines the lot type assigned to the order. Use as an alternate to RoundLot(561). To be used with MinLotSize(1231). LotType + MinLotSize ( max is next level minus 1)
→1231MinLotSizeNMinimum lot size allowed based on lot type specified in LotType(1093)

MarketDataFeedTypes

TagNameReq’dDescription
1141NoMDFeedTypesN
→1022MDFeedTypeNDescribes a class of service for a given data feed
→264MarketDepthNThe depth of book associated with a particular feed type
→1021MDBookTypeNDescribes the type of book for which the feed is intended. Can be used when multiple feeds are provided over the same connection

MatchRules

TagNameReq’dDescription
1235NoMatchRulesN
→1142MatchAlgorithmNThe type of algorithm used to match orders in a specific security on an electronic trading platform.
Possible values are FIFO, Allocation, Pro-rata, Lead Market Maker, Currency Calendar
→574MatchTypeNThe point in the matching process at which this trade was matched.

OrdTypeRules

TagNameReq’dDescription
1237NoOrdTypeRulesN
→40OrdTypeNIndicates order types that are valid for the specified market segment.

PriceLimits

TagNameReq’dDescription
1306PriceLimitTypeNDescribes the how the price limits are expressed
1148LowLimitPriceNAllowable low limit price for the trading day. A key parameter in validating order price. Used as the lower band for validating order prices. Orders submitted with prices below the lower limit will be rejected
1149HighLimitPriceNAllowable high limit price for the trading day. A key parameter in validating order price. Used as the upper band for validating order prices. Orders submitted with prices above the upper limit will be rejected
1150TradingReferencePriceNReference price for the current trading price range usually representing the mid price between the HighLimitPrice and LowLimitPrice. The value may be the settlement price or closing price of the prior trading day.

RoutingGrp

TagNameReq’dDescription
215NoRoutingIDsN
→216RoutingTypeNIndicates type of RoutingID. Required if NoRoutingIDs is > 0.
→217RoutingIDNIdentifies routing destination. Required if NoRoutingIDs is > 0.

TickRules

TagNameReq’dDescription
1205NoTickRulesN
→1206StartTickPriceRangeNStarting price range for specified tick increment
→1207EndTickPriceRangeNEnding price range for the specified tick increment
→1208TickIncrementNTick increment for stated price range. Specifies the valid price increments at which a security can be quoted and traded
→1209TickRuleTypeNSpecifies the type of tick rule which is being described

TimeInForceRules

TagNameReq’dDescription
1239NoTimeInForceRulesN
→59TimeInForceNIndicates time in force techniques that are valid for the specified market segment

TradingSessionRules

TagNameReq’dDescription
ComponentOrdTypeRulesNSpecifies the order types that are valid for trading. The scope of the rule is determined by the context in which the component is used. In this case, the scope is trading session.
ComponentTimeInForceRulesNspecifies the time in force rules that are valid for trading. The scope of the rule is determined by the context in which the component is used. In this case, the scope is trading session
ComponentExecInstRulesNspecifies the execution instructions that are valid for trading. The scope of the rule is determined by the context in which the component is used. In this case, the scope is trading session
ComponentMatchRulesNspecifies the matching rules that are valid for trading. The scope of the rule is determined by the context in which the component is used. In this case, the scope is trading session
ComponentMarketDataFeedTypesNspecifies the market data feed types that are valid for trading. The scope of the rule is determined by the context in which the component is used. In this case, the scope is trading session