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.
ComponentRoutingGrpN
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
ComponentInstrmtLegGrpN
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.
ComponentRoutingGrpN
ComponentInstrmtGrpNSpecifies the number of repeating symbols (instruments) specified
ComponentUndInstrmtGrpNNumber of underlyings
ComponentInstrmtLegGrpN
37OrderIDN
11ClOrdIDN
ComponentLinesOfTextGrpYSpecifies the number of repeating lines of text specified
95RawDataLengthN
96RawDataN
ComponentAttachmentGrpN
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
ComponentInstrumentExtensionN
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
ComponentRelatedInstrumentGrpN
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
ComponentPriceQualifierGrpN
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)
ComponentRoutingGrpN
ComponentSpreadOrBenchmarkCurveDataNInsert here the set of SpreadOrBenchmarkCurveData (Fixed Income spread or benchmark curve) fields defined in Common Components of Application Messages
ComponentRelativeValueGrpN
ComponentYieldDataN
ComponentStandardTrailerY

Advertisement Message

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
ComponentInstrumentExtensionN
ComponentFinancingDetailsN
ComponentInstrmtLegGrpNNumber of legs
Identifies a Multi-leg Execution if present and non-zero.
ComponentUndInstrmtGrpNNumber of underlyings
ComponentRelatedInstrumentGrpN
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
ComponentRoutingGrpN
ComponentStandardTrailerY

CrossRequest Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType = DS
2672CrossRequestIDYUnique identifier for cross request message.
1301MarketIDN
1300MarketSegmentIDN
ComponentInstrumentY
38OrderQtyNCan be used to announce a maximum quantity that is subject to crossing.
376ComplianceIDN
2404ComplianceTextN
ComponentStandardTrailerY

CrossRequestAck Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType = DT
2672CrossRequestIDYUnique identifier for the cross request message being confirmed.
1301MarketIDN
1300MarketSegmentIDN
ComponentInstrumentY
38OrderQtyN
376ComplianceIDN
2404ComplianceTextN
ComponentStandardTrailerY

Appendix – MarketData Category

Components

InstrmtMDReqGrp

TagNameReq’dDescription
146NoRelatedSymN
ComponentInstrumentYInsert here the set of Instrument (symbology) fields defined in Common Components of Application Messages
ComponentInstrumentExtensionN
ComponentFinancingDetailsN
ComponentUndInstrmtGrpN
ComponentInstrmtLegGrpN
ComponentRelatedInstrumentGrpN
ComponentSpreadOrBenchmarkCurveDataN
→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
→269MDEntryTypeYRequired if NoMDEntries(268) > 0.
→278MDEntryIDNConditionally required when maintaining an order-depth book (AggregatedBook(266) is N). Allows subsequent Incremental changes to be applied using MDEntryID(278).
→270MDEntryPxNConditionally required if MDEntryType(269) is not A (Imbalance), B (Trade Volume), or C (Open Interest); Conditionally required when MDEntryType(269) = Q (Auction clearing price).
→423PriceTypeN
ComponentPriceQualifierGrpN
→819AvgPxIndicatorN
ComponentYieldDataN
ComponentSpreadOrBenchmarkCurveDataN
→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(279) = 0 (New) and MDEntryType(269) = 0 (Bid), 1 (Offer), 2 (Trade), B (Trade volume), or C (Open interest).
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
→2447FastMarketIndicatorN
→2705MarketConditionN
→276QuoteConditionNSpace-delimited list of conditions describing a quote.
→277TradeConditionNSpace-delimited list of conditions describing a trade
ComponentTradePriceConditionGrpN
→2667AlgorithmicTradeIndicatorN
→282MDEntryOriginatorN
→283LocationIDN
→284DeskIDN
→286OpenCloseSettlFlagNUsed if MDEntryType(269) = 4 (Opening price), 5 (Closing price), or 6 (Settlement price).
→59TimeInForceNFor optional use when this Bid or Offer represents an order
→432ExpireDateNFor optional use when this Bid or Offer represents an order. ExpireDate(432) and ExpireTime(126) cannot both be specified in one Market Data Entry.
→126ExpireTimeNFor optional use when this Bid or Offer represents an order. ExpireDate(432) and ExpireTime(126) cannot both be specified in one Market Data Entry.
→1629ExposureDurationNConditionally required when TimeInForce(59) = A (Good for Time).
→1916ExposureDurationUnitN
→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.
→1851StrategyLinkIDNFor optional use in reporting Trades.
May be used to link together trades that are reported separately but are part of the same overall trade, e.g. spread trade and their constituent trades.
→288MDEntryBuyerNFor optional use in reporting Trades
→289MDEntrySellerNFor optional use in reporting Trades
→2449NumberOfBuyOrdersNFor optional use in reporting trades.
→2450NumberOfSellOrdersNFor 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. For optional use in reporting trades.
→829TrdSubTypeNFor optional use in reporting trades.
→1934RegulatoryReportTypeNUsed only when reporting a trade (MDEntryType(269)=2 (Trade)) that is a regulatory trade report.
→2405ExecMethodN
→574MatchTypeNFor optional use in reporting trades.
→1115OrderCategoryN
→1390TradePublishIndicatorNFor optional use in reporting trades.
ComponentTrdRegPublicationGrpN
→570PreviouslyReportedN
ComponentRelatedTradeGrpNFor optional use when reporting trades. Lists trades related to the current market data entry, e.g. leg trades of a multi-leg trade.
→58TextNText to describe the Market Data Entry. Part of repeating group.
→354EncodedTextLenNMust be set if EncodedText(355) field is specified and must immediately precede it.
→355EncodedTextNEncoded (non-ASCII characters) representation of the Text(58) field in the encoded format specified via the MessageEncoding(347) field.
→1023MDPriceLevelNDisplay position of a bid or offer, numbered from most competitive to least competitive, per market side, beginning with 1
→528OrderCapacityN
→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 entity.
→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.
→1592DiscountFactorN
→1020TradeVolumeNUsed to report trade volume in association with trade, bid or ask rather than a separate entity
→731SettlPriceTypeN
→2451SettlPriceDeterminationMethodN
→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
→1048DealingCapacityN
→1026MDEntrySpotRateN
→1027MDEntryForwardPointsN
ComponentPartiesN
→2445AggressorTimeN
→2446AggressorSideN
→654LegRefIDNMay be specified for an MDEntryType(269)=2 (Trade) entry to indicate that MDEntryPx(270), PriceType(423) and MDEntrySize(271) apply to the instance of the InstrmtLegGrp component with matching LegID(1788).

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(279) = 0 (New). Cannot be changed.
→278MDEntryIDNIf specified, must be unique among currently active entries if MDUpdateAction(279) = 0 (New);
must be the same as a previous MDEntryID(278) if MDUpdateAction(279) = 2 (Delete);
must be the same as a previous MDEntryID(278) if MDUpdateAction(279) = 1 (Change) and MDEntryRefID(280) is not specified; or
must be unique among currently active entries if MDUpdateAction(279) = 1 (Change) and MDEntryRefID(280) is specified.
→280MDEntryRefIDNIf MDUpdateAction(279) = 0 (New), for the first market data entry in a message, either this field or a security symbol must be specified.
If MDUpdateAction(279) = 1 (Change), this must refer to a previous MDEntryID(278).
→1500MDStreamIDN
ComponentInstrumentN
ComponentInstrumentExtensionN
ComponentFinancingDetailsN
ComponentUndInstrmtGrpN
ComponentInstrmtLegGrpN
ComponentRelatedInstrumentGrpN
→291FinancialStatusN
→292CorporateActionN
→270MDEntryPxNConditionally required when MDUpdateAction(279) = 0 (New) and MDEntryType(269) is not A (Imbalance), B (Trade volume), or C (Open interest).
Conditionally required when MDEntryType(269) = Q (Auction clearing price).
→423PriceTypeN
ComponentPriceQualifierGrpN
→819AvgPxIndicatorN
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(279) = 0 (New) and MDEntryType(269) = 0 (Bid), 1 (Offer), 2 (Trade), B (Trade volume), or C (Open interest).
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
→2447FastMarketIndicatorN
→2705MarketConditionN
→276QuoteConditionNSpace-delimited list of conditions describing a quote.
→277TradeConditionNSpace-delimited list of conditions describing a trade
ComponentTradePriceConditionGrpN
→2667AlgorithmicTradeIndicatorN
→1934RegulatoryReportTypeNUsed only when reporting a trade (MDEntryType(269)=2 (Trade)) that is a regulatory trade report.
→828TrdTypeNFor optional use in reporting trades.
→829TrdSubTypeNFor optional use in reporting trades.
→2405ExecMethodN
→574MatchTypeNFor optional use in reporting trades.
→1115OrderCategoryN
→1390TradePublishIndicatorNFor optional use in reporting trades.
ComponentTrdRegPublicationGrpN
→570PreviouslyReportedN
ComponentRelatedTradeGrpNFor optional use when reporting trades. List of trades related to the current market data entry, e.g. leg trades of a multi-leg trade.
→282MDEntryOriginatorN
→283LocationIDN
→284DeskIDN
→286OpenCloseSettlFlagNUsed if MDEntryType(269) = 4 (Opening Price), 5 (Closing Price), or 6 (Settlement Price).
→59TimeInForceNFor optional use when this Bid or Offer represents an order
→432ExpireDateNFor optional use when this Bid or Offer represents an order. ExpireDate(432) and ExpireTime(126) cannot both be specified in one Market Data Entry.
→126ExpireTimeNFor optional use when this Bid or Offer represents an order. ExpireDate(432) and ExpireTime(126) cannot both be specified in one Market Data Entry.
→1629ExposureDurationNConditionally required when TimeInForce(59)= 10 (Good for Time).
→1916ExposureDurationUnitN
→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
→1851StrategyLinkIDNFor optional use in reporting Trades.
May be used to link together trades that are reported separately but are part of the same overall trade, e.g. spread trade and their constituent trades.
→288MDEntryBuyerNFor optional use in reporting Trades
→289MDEntrySellerNFor optional use in reporting Trades
→2449NumberOfBuyOrdersNFor optional use when reporting trades
→2450NumberOfSellOrdersNFor optional use when 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(355) field is specified and must immediately precede it.
→355EncodedTextNEncoded (non-ASCII characters) representation of the Text(58) field in the encoded format specified via the MessageEncoding(347) 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.
→1592DiscountFactorN
→1020TradeVolumeN
→731SettlPriceTypeN
→2451SettlPriceDeterminationMethodN
→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.
→2445AggressorTimeNEntry time of the incoming order that triggered the trade
→2446AggressorSideN
→1070MDQuoteTypeN
→83RptSeqNAllows sequence number to be specified within a feed type
→1048DealingCapacityN
→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

MDStatisticParameters

TagNameReq’dDescription
2456MDStatisticTypeY
2457MDStatisticScopeY
2458MDStatisticSubScopeN
2459MDStatisticScopeTypeN
2454MDStatisticNameN
2455MDStatisticDescN
2481EncodedMDStatisticDescLenNMust be set if EncodedMDStatisticDesc(2482) field is specified and must immediately precede it.
2482EncodedMDStatisticDescNEncoded (non-ASCII characters) representation of the MDStatisticDesc(2455) field in the encoded format specified via the MessageEncoding(347) field.
264MarketDepthNMay be used to specify the market depth up to specified level.
2460MDStatisticFrequencyPeriodNConditionally required when MDStatisticFrequencyUnit(2461) is specified. Omission represents a one-time dissemination.
2461MDStatisticFrequencyUnitNConditionally required when MDStatisticFrequencyPeriod(2460) is specified.
2462MDStatisticDelayPeriodNConditionally required when MDStatisticDelayUnit(2463) is specified.
2463MDStatisticDelayUnitNConditionally required when MDStatisticDelayPeriod(2462) is specified.
2464MDStatisticIntervalTypeY
2465MDStatisticIntervalTypeUnitNConditionally required when MDStatisticIntervalType (2464) = 5(Current time unit), 6(Previous time unit) or 8(Maximum range up to previous time unit).
2466MDStatisticIntervalPeriodNConditionally required if/when MDStatisticIntervalUnit(2467) is specified.
Conditionally required when MDStatisticIntervalType(2464) = 1 (Sliding window) or 2 (Sliding window peak).
2467MDStatisticIntervalUnitNConditionally required when MDStatisticIntervalPeriod(2466) is specified.
2468MDStatisticStartDateNCan be used to define a date range for a sliding window peak other than the current day. Omission represents a date range starting with the first available day.
2469MDStatisticEndDateNCan be used to define a date range for a sliding window peak other than the current day. Omission represents a date range including the current day.
2470MDStatisticStartTimeNCan be used to define a time range for a sliding window peak other than the complete day. Omission represents a time range starting at midnight.
2471MDStatisticEndTimeNCan be used to define a time range for a sliding window peak other than the complete day. Omission represents a time range ending with the time of dissemination of the statistical data.
2472MDStatisticRatioTypeNConditionally required when MDStatisticType(2456) = 5(Ratio).
ComponentNestedPartiesN
2584AnnualTradingBusinessDaysN
1815TradingCapacityN
40OrdTypeN
59TimeInForceN
276QuoteConditionN
277TradeConditionN
54SideN
578TradeInputSourceN
336TradingSessionIDN
625TradingSessionSubIDN
1024MDOriginTypeN
2711MDValueTierN
338TradSesMethodN
1022MDFeedTypeN
1629ExposureDurationN
1916ExposureDurationUnitNConditionally required when ExposureDuration(1629) is specified.
1057AggressorIndicatorN

MDStatisticReqGrp

TagNameReq’dDescription
2474NoMDStatisticsN
→2475MDStatisticIDNRequired if NoMDStatistics(2474) > 0.
Unique statistics identifier used as a placeholder for a set of parameters. If an ID is not applicable use [N/A].
ComponentMDStatisticParametersNRequired if NoMDStatistics(2474) > 0 and MDStatisticID(2475) = [N/A].

MDStatisticRptGrp

TagNameReq’dDescription
2474NoMDStatisticsN
ComponentMDStatisticParametersNRequired if NoMDStatistics(2474) > 0.
→2475MDStatisticIDNRequired if NoMDStatistics(2474) > 0.
→2476MDStatisticTimeNConditionally required when MDStatisticValue(2478) is specified.
→2477MDStatisticStatusNMay be used when sending reference data only to establish MDStatisticID(2475) as a reference to a set of parameters specified in MDStatisticParameters component.
If not specified the default is MDStatisticStatus(2477)=1 (Active).
→2478MDStatisticValueNConditionally required unless sending reference data only to establish MDStatisticID(2475) as a reference to a set of parameters specified in MDStatisticParameters component.
→2479MDStatisticValueTypeN
→2480MDStatisticValueUnitN

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

MarketDataStatisticsRequest Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType=DO
2452MDStatisticReqIDYUnique message identifier for the request or the identifier of a previous request when unsubscribing.
263SubscriptionRequestTypeYUsed to subscribe / unsubscribe for market data statistics reports or to request a one-time snapshot of the current information.
ComponentPartiesN
75TradeDateNUsed to specify the business date.
1301MarketIDNUsed to specify a single market.
1300MarketSegmentIDNUsed to specify a single market segment.
1396MarketSegmentDescN
1397EncodedMktSegmDescLenNMust be set if EncodedMktSegmDesc(1398) field is specified and must immediately precede it.
1398EncodedMktSegmDescNEncoded (non-ASCII characters) representation of the MarketSegmentDesc(1396) field in the encoded format specified via the MessageEncoding(347) field.
1465SecurityListIDNUsed to reference an entire group of instruments for which a single set of statistics is to be calculated.
ComponentInstrumentNUsed to specify an individual instrument or instrument attributes for which a single set of statistics is to be calculated.
ComponentInstrumentExtensionN
ComponentFinancingDetailsN
ComponentUndInstrmtGrpN
ComponentInstrmtLegGrpN
ComponentRelatedInstrumentGrpN
ComponentMDStatisticReqGrpNUsed to specify the parameters for the calculation of statistics.
60TransactTimeNTime that the request was submitted.
58TextN
354EncodedTextLenNMust be set if EncodedText(355) field is specified and must immediately precede it.
355EncodedTextNEncoded (non-ASCII characters) representation of the Text(58) field in the encoded format specified via the MessageEncoding(347) field.
ComponentStandardTrailerN

MarketDataStatisticsReport Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType = DP
ComponentApplicationSequenceControlN
2453MDStatisticRptIDYUnique message identifier for the report.
2452MDStatisticReqIDNUnique message identifier for the request. Conditionally required if report is sent in response to a MarketDataStatisticsRequest(35=DO) message.
2473MDStatisticRequestResultNConditionally required if report is sent in response to a MarketDataStatisticsRequest(35=DO) message.
325UnsolicitedIndicatorNSet to ‘Y’ if message is sent as a result of a subscription request not a snapshot request
ComponentPartiesN
582CustOrderCapacityN
75TradeDateN
1301MarketIDN
1300MarketSegmentIDN
1396MarketSegmentDescN
1397EncodedMktSegmDescLenNMust be set if EncodedMktSegmDesc(1398) field is specified and must immediately precede it.
1398EncodedMktSegmDescNEncoded (non-ASCII characters) representation of the MarketDesgmentDesc(1396) field in the encoded format specified via the MessageEncoding(347) field.
1465SecurityListIDN
15CurrencyN
ComponentInstrumentN
ComponentInstrumentExtensionN
ComponentFinancingDetailsN
ComponentUndInstrmtGrpN
ComponentInstrmtLegGrpN
ComponentRelatedInstrumentGrpN
ComponentMDStatisticRptGrpYSpecifies the resulting statistics information and corresponding statistical parameters.
60TransactTimeNTime that the report was provided.
58TextN
354EncodedTextLenNMust be set if EncodedText(355) field is specified and must immediately precede it.
355EncodedTextNEncoded (non-ASCII characters) representation of the Text(58) field in the encoded format specified via the MessageEncoding(347) field.
ComponentStandardTrailerY

MarketDataReport Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType = DR
ComponentApplicationSequenceControlN
963MDReportIDNUnique identifier for MarketDataReport(35=DR).
2535MDReportEventY
2536MDReportCountY
60TransactTimeN
911TotNumReportsN
2537TotNoMarketSegmentReportsN
2538TotNoInstrumentReportsN
2539TotNoPartyDetailReportsN
2540TotNoEntitlementReportsN
2541TotNoRiskLimitReportsN
ComponentStandardTrailerY

MarketDataRequest Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType = V
262MDReqIDYMust be unique, or the ID of previous Market Data Request to disable if SubscriptionRequestType(263) = 2(Disable previous Snapshot + Updates Request).
263SubscriptionRequestTypeYSubscriptionRequestType(263) 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.
ComponentPartiesN
264MarketDepthY
265MDUpdateTypeNRequired if SubscriptionRequestType(263) = 1(Snapshot + Updates).
266AggregatedBookN
286OpenCloseSettlFlagNCan be used to clarify a request if MDEntryType(269) = 4 (Opening price), 5 (Closing price), or 6 (Settlement price).
546ScopeNDefines the scope(s) of the request
547MDImplicitDeleteNCan be used when MarketDepth(254) >= 2 and MDUpdateType(265) = 1(Incremental Refresh).
ComponentMDReqGrpY
ComponentMarketSegmentScopeGrpNCan be used to limit the result set to the specified markets or market segments.
ComponentInstrmtMDReqGrpY
ComponentTrdgSesGrpN
815ApplQueueActionNAction to take if application level queuing exists
812ApplQueueMaxNMaximum application queue depth that must be exceeded before queuing action is taken.
1070MDQuoteTypeN
2447FastMarketIndicatorN
ComponentStandardTrailerY

MarketDataSnapshotFullRefresh Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType = W
ComponentApplicationSequenceControlN
911TotNumReportsNTotal number or reports returned in response to a request.
963MDReportIDNUnique identifier for the 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
1683MDSubFeedTypeN
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 MarketDataRequest(35=V).
1500MDStreamIDN
1301MarketIDN
1300MarketSegmentIDN
ComponentInstrumentY
ComponentInstrumentExtensionN
ComponentFinancingDetailsN
ComponentUndInstrmtGrpN
ComponentInstrmtLegGrpNRequired for multileg quotes
ComponentRelatedInstrumentGrpN
779LastUpdateTimeY
291FinancialStatusN
292CorporateActionN
451NetChgPrevDayN
1682MDSecurityTradingStatusN
1684MDHaltReasonN
ComponentMDFullGrpY
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
1683MDSubFeedTypeN
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.
1301MarketIDN
1300MarketSegmentIDN
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

FlexProductEligibilityGrp

TagNameReq’dDescription
2560NoFlexProductEligibilitiesN
→1242FlexProductEligibilityIndicatorNRequired if NoFlexProductEligibilities(2560) > 0.
→2561FlexProductEligibilityComplexNRequired if NoFlexProductEligibilities(2560) > 0.
Used to specify a product suite related to an eligibility indicator.

RelatedMarketSegmentGrp

TagNameReq’dDescription
2545NoRelatedMarketSegmentsN
→2546RelatedMarketSegmentIDNRequired if NoRelatedMarketSegments (2545) > 0.
→2547MarketSegmentRelationshipN

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(1398) field is specified and must immediately precede it.
1398EncodedMktSegmDescNEncoded (non-ASCII characters) representation of the MarketSegmDesc(1396) field in the encoded format specified via the MessageEncoding(347) field.
1325ParentMktSegmIDNSpecifies that the market segment specified in this message is a sub-segment of the market segment defined in this field.
2542MarketSegmentStatusN
2543MarketSegmentTypeNUsed to specify the purpose of a special market segment identified by MarketSegmentID(1300).
Conditionally required if MarketSegmentSubType(2544) is specified.
2544MarketSegmentSubTypeN
ComponentInstrumentScopeGrpNUsed to specify the types of securities that belong to the market segment.
ComponentRelatedMarketSegmentGrpNUsed to specify market segments that have a relationship to the market segment defined in this message.
15CurrencyNThe default trading currency
ComponentBaseTradingRulesNUsed to specify the base trading rules for the identified market or market segment.
ComponentOrdTypeRulesNUsed to specify the order types that are valid for trading on the identified market or market segment.
ComponentTimeInForceRulesNUsed to specify the time in force rules that are valid for trading on the identified market or market segment.
ComponentExecInstRulesNUsed to specify the execution instructions that are valid for trading on the identified market or market segment.
ComponentAuctionTypeRuleGrpNUsed to specify the auction order types that are valid for trading on the identified market or market segment.
ComponentMarketDataFeedTypesNUsed to specify the market data feed types that are valid for trading on the identified market or market segment.
ComponentMatchRulesNUsed to specify the matching rules that are valid for trading on the identified market or market segment.
ComponentFlexProductEligibilityGrpNSpecifies the eligibility indicators for the creation of flexible securities.
ComponentPartiesNSpecifies parties relevant for the market or market segment, e.g. market makers.
ComponentMiscFeesGrpN
2400EffectiveBusinessDateN
60TransactTimeN
58TextN
354EncodedTextLenNMust be set if EncodedText(355) field is specified and must immediately precede it.
355EncodedTextNEncoded (non-ASCII characters) representation of the Text(58) field in the encoded format specified via the MessageEncoding(347) 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(1398) field is specified and must immediately precede it.
1398EncodedMktSegmDescNEncoded (non-ASCII characters) representation of the MarketSegmDesc(1396) field in the encoded format specified via the MessageEncoding(347) field.
1325ParentMktSegmIDNSpecifies that the market segment specified in this message is a sub-segment of the market segment defined in this field.
2542MarketSegmentStatusN
2543MarketSegmentTypeNUsed to specify the purpose of a special market segment identified by MarketSegmentID(1300).
Conditionally required if MarketSegmentSubType(2544) is specified.
2544MarketSegmentSubTypeN
ComponentInstrumentScopeGrpNUsed to specify the types of securities that belong to the market segment.
ComponentRelatedMarketSegmentGrpNUsed to specify market segments that have a relationship to the market segment defined in this message.
15CurrencyNThe default trading currency
ComponentBaseTradingRulesNUsed to specify the valid base trading rules for the identified market or market segment.
ComponentOrdTypeRulesNUsed to specify the order types that are valid for trading on the identified market or market segment.
ComponentTimeInForceRulesNUsed to specify the time in force rules that are valid for trading on the identified market or market segment.
ComponentExecInstRulesNUsed to specify the execution instructions that are valid for trading on the identified market or market segment.
ComponentAuctionTypeRuleGrpNUsed to specify the auction order types that are valid for trading on the identified market or market segment.
ComponentMarketDataFeedTypesNUsed to specify the market data feed types that are valid for trading on the identified market or market segment.
ComponentMatchRulesNUsed to specify the matching rules that are valid for trading on the identified market or market segment.
ComponentFlexProductEligibilityGrpNSpecifies the eligibility indicators for the creation of flexible securities.
ComponentPartiesNSpecifies parties relevant for the market or market segment, e.g. market makers.
2400EffectiveBusinessDateN
60TransactTimeN
58TextN
354EncodedTextLenNMust be set if EncodedText(355) field is specified and must immediately precede it.
355EncodedTextNEncoded (non-ASCII characters) representation of the Text(58) field in the encoded format specified via the MessageEncoding(347) 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
335TradSesReqIDNConditionally required when responding to a specific TradingSessionStatusRequest(35=g)
1301MarketIDNMarket for which trading session applies
1300MarketSegmentIDNMarket Segment for which trading session applies
75TradeDateNBusiness day for which trading session applies to.
336TradingSessionIDYIdentifier for trading session
625TradingSessionSubIDN
338TradSesMethodN
339TradSesModeN
325UnsolicitedIndicatorNSet to ‘Y’ if message is sent unsolicited as a result of a previous subscription request.
340TradSesStatusY
1368TradSesEventNIdentifies an event related to the trading status of a trading session
2447FastMarketIndicatorNIndicates if trading session is in fast market.
567TradSesStatusRejReasonNUse with TradSesStatus(340) = 6(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
1785TradSesControlNIndicates how control of trading session and subsession transitions are performed
387TotalVolumeTradedN
60TransactTimeN
58TextN
354EncodedTextLenNMust be set if EncodedText(355) field is specified and must immediately precede it.
355EncodedTextNEncoded (non-ASCII characters) representation of the Text(58) field in the encoded format specified via the MessageEncoding(347) field.
ComponentInstrumentNUse if status information applies only to a subset of all instruments. Use SecurityStatus(35=f) message instead for status on a single instrument.
ComponentStandardTrailerY

Appendix – PartiesAction Category

Messages

PartyRiskLimitCheckRequest Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType=DE
2318RiskLimitCheckRequestIDNEither RiskLimitCheckRequestID(2318) or RiskLimitCheckID(2319) must be specified. RiskLimitCheckRequestID(2318) is conditionally required in a message-chaining model in which a subsequent message may refer to a prior message via RiskLimitCheckRequestRefID(2322). The alternative is an entity-based model in which RiskLimitCheckID(2319) is used to statically identify a given request. In this case RiskLimitCheckID(2319) is required and RiskLimitRequestID(1666) can be optionally specified.
2319RiskLimitCheckIDNEither RiskLimitCheckRequestID(2318) or RiskLimitCheckID(2319) must be specified.
2320RiskLimitCheckTransTypeY
2321RiskLimitCheckTypeY
2322RiskLimitCheckRequestRefIDNConditionally required when RiskLimitCheckTransType(2320) = 1 (Cancel) or 2 (Replace), and message-chaining model is used.
1080RefOrderIDNUsed to specify the transaction reference for this limit check request.
1081RefOrderIDSourceNIdentifies the type of reference specified in RefOrderID(1080) for this limit check request.
2323RiskLimitCheckRequestTypeN
2324RiskLimitCheckAmountNSpecifies the amount being requested or consumed, as indicated by RiskLimitCheckType(2321).
15CurrencyN
1670RiskLimitIDN
ComponentRequestingPartyGrpNMay be used to identify the party making the limit check request and their role.
ComponentPartiesNMay be used to specify the trading party on which the limit check request is for. Each request is for a single trading party and the specified transaction reference.
ComponentRelatedPartyDetailGrpN
ComponentInstrumentN
ComponentLegOrdGrpN
ComponentUndInstrmtGrpN
54SideN
60TransactTimeN
58TextN
354EncodedTextLenNMust be set if EncodedText(355) field is specified and must immediately precede it.
355EncodedTextNEncoded (non-ASCII characters) representation of the Text(58) field in the encoded format specified via the MessageEncoding(347) field.
ComponentStandardTrailerY

PartyRiskLimitCheckRequestAck Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType=DG
2318RiskLimitCheckRequestIDNEither RiskLimitCheckRequestID(2318) or RiskLimitCheckID(2319) must be provided from the request message
2319RiskLimitCheckIDNEither RiskLimitCheckRequestID(2318) or RiskLimitCheckID(2319) must be provided from the request message.
2325RiskLimitCheckRequestStatusY
2326RiskLimitCheckRequestResultN
2320RiskLimitCheckTransTypeYIdentifies the RiskLimitCheckTransType(2320) this message is responding to as specified in the request message.
2321RiskLimitCheckTypeYIdentifies the RiskLimitCheckType(2321) this message is responding to as specified in the request message.
2322RiskLimitCheckRequestRefIDNConditionally required when RiskLimitCheckTransType(2320) = 1 (Cancel) or 2 (Replace)
1328RejectTextN
1664EncodedRejectTextLenNMust be set if EncodedRejectText(1665) field is specified and must immediately precede it.
1665EncodedRejectTextNEncoded (non-ASCII characters) representation of the RejectText(1328) field in the encoded format specified via the MessageEncoding(347) field.
1080RefOrderIDN
1081RefOrderIDSourceN
54SideN
2327RiskLimitApprovedAmountNConditionally required when RiskLimitCheckRequestStatus(2325)=1 (Partially approved)
2324RiskLimitCheckAmountN
1670RiskLimitIDN
15CurrencyN
126ExpireTimeNOptionally used to specify when the approved credit limit being reserved will expire.
ComponentRequestingPartyGrpN
ComponentPartiesNThe trading party identified in the limit check request.
ComponentRelatedPartyDetailGrpN
ComponentInstrumentN
ComponentLegOrdGrpN
ComponentUndInstrmtGrpN
60TransactTimeN
58TextN
354EncodedTextLenNMust be set if EncodedText(355) field is specified and must immediately precede it.
355EncodedTextNEncoded (non-ASCII characters) representation of the Text(58) field in the encoded format specified via the MessageEncoding(347) field.
ComponentStandardTrailerY

PartyActionRequest Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType=DH
2328PartyActionRequestIDY
2329PartyActionTypeY
2330ApplTestMessageIndicatorN
1301MarketIDNUse to reduce the scope to a market
1300MarketSegmentIDNUse to reduce the scope to a market segment
ComponentInstrumentScopeNUse to reduce the scope of instruments
ComponentRequestingPartyGrpNMay be used to identify the party making the request and their role.
ComponentPartiesYUsed to specify the trading party on which the action is applied to.
ComponentRelatedPartyDetailGrpN
60TransactTimeN
58TextN
354EncodedTextLenNMust be set if EncodedText(355) field is specified and must immediately precede it.
355EncodedTextNEncoded (non-ASCII characters) representation of the Text(58) field in the encoded format specified via the MessageEncoding(347) field.
ComponentStandardTrailerY

PartyActionReport Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType=DI
2400EffectiveBusinessDateN
2328PartyActionRequestIDNConditionally required when responding to a PartyActionRequest(35=DH) message.
2331PartyActionReportIDY
2329PartyActionTypeY
2332PartyActionResponseY
2333PartyActionRejectReasonNConditionally required when PartyActionResponse(2332) = 2 (Rejected).
2330ApplTestMessageIndicatorNConditionally required if present in the PartyActionRequest(35=DH) message.
1328RejectTextN
1664EncodedRejectTextLenNMust be set if EncodedRejectText(1665) field is specified and must immediately precede it.
1665EncodedRejectTextNEncoded (non-ASCII characters) representation of the RejectText(1328) field in the encoded format specified via the MessageEncoding(347) field.
1301MarketIDN
1300MarketSegmentIDN
ComponentInstrumentScopeN
ComponentRequestingPartyGrpNMay be used to identify the party making the request and their role.
ComponentPartiesYUsed to specify the trading party on which the action is applied to. If in response to PartyActionRequest(35=DH) message, this should echo back the values from the request.
ComponentRelatedPartyDetailGrpN
60TransactTimeN
58TextN
354EncodedTextLenNMust be set if EncodedText(355) field is specified and must immediately precede it.
355EncodedTextNEncoded (non-ASCII characters) representation of the Text(58) field in the encoded format specified via the MessageEncoding(347) field.
797CopyMsgIndicatorN
ComponentStandardTrailerY

Appendix – PartiesReferenceData Category

Components

EntitlementAttribGrp

TagNameReq’dDescription
1777NoEntitlementAttribN
→1778EntitlementAttribTypeNRequired if NoEntitlementAttrib(1777) > 0.
→1779EntitlementAttribDatatypeNIf specified, and this is an attribute published by FPL in the external code list, this must agree with the published datatype.
→1780EntitlementAttribValueNRequired if NoEntitlementAttrib(1777) > 0.
→1781EntitlementAttribCurrencyN

EntitlementGrp

TagNameReq’dDescription
1773NoEntitlementsN
→1774EntitlementIndicatorNRequired if NoEntitlements(1773) > 0.
→1775EntitlementTypeNAbsence of this field indicates the meaning of the entitlement is implicit.
→2402EntitlementSubTypeN
ComponentEntitlementAttribGrpN
→1776EntitlementIDN
→1784EntitlementPlatformN
ComponentInstrumentScopeGrpN
ComponentMarketSegmentScopeGrpN
→1782EntitlementStartDateN
→1783EntitlementEndDateN

EntitlementTypeGrp

TagNameReq’dDescription
2345NoEntitlementTypesN
→1775EntitlementTypeNRequired if NoEntitlementTypes(2345) > 0.
→2402EntitlementSubTypeN

PartyDetailAckGrp

TagNameReq’dDescription
1676NoPartyUpdatesN
→1324ListUpdateActionNRequired if NoPartyUpdates(1676) > 0.
→1879PartyDetailDefinitionStatusNRequired if NoPartyUpdates(1676) > 0.
→1880PartyDetailDefinitionResultN
→1328RejectTextN
→1664EncodedRejectTextLenN
→1665EncodedRejectTextN
ComponentPartyDetailGrpN

PartyDetailsUpdateGrp

TagNameReq’dDescription
1676NoPartyUpdatesN
→1324ListUpdateActionNRequired if NoPartyUpdates > 0.
ComponentPartyDetailGrpN

PartyEntitlementAckGrp

TagNameReq’dDescription
1772NoPartyEntitlementsN
→1324ListUpdateActionNRequired if NoPartyEntitlements(1772).
→1883EntitlementStatusNRequired if NoPartyEntitlements(1772).
→1884EntitlementResultN
→1328RejectTextN
→1664EncodedRejectTextLenN
→1665EncodedRejectTextN
ComponentPartyDetailGrpNOptional when ListUpdateAction(1324) = M(Modify) or D(Delete) and EntitlementRefID(1885) is provided.
ComponentEntitlementGrpNOptional when ListUpdateAction(1324) = M(Modify) or D(Delete) and EntitlementRefID(1885) is provided.
→1885EntitlementRefIDNOptional when PartyDetailGrp is provided or ListUpdateAction(1324) = A(Add).

PartyEntitlementGrp

TagNameReq’dDescription
1772NoPartyEntitlementsN
ComponentPartyDetailGrpNRequired if NoPartyEntitlements(1772) > 0.
→1883EntitlementStatusN
ComponentEntitlementGrpNRequired unless omitted to indicate the removal of entitlements for the party(-ies) specified in the PartyDetailGrp component.

PartyEntitlementUpdateGrp

TagNameReq’dDescription
1772NoPartyEntitlementsN
→1324ListUpdateActionNRequired if NoPartyEntitlements(1772).
ComponentPartyDetailGrpNOptional when ListUpdateAction(1324) = M(Modify) or D(Delete) and EntitlementRefID(1885) is provided.
→1883EntitlementStatusN
ComponentEntitlementGrpNOptional when ListUpdateAction(1324) = M(Modify) or D(Delete) and EntitlementRefID(1885) is provided.
→1885EntitlementRefIDNOptional when PartyDetailGrp is provided or ListUpdateAction(1324) = A(Add).

PartyRiskLimitsAckGrp

TagNameReq’dDescription
1677NoPartyRiskLimitsN
→1324ListUpdateActionNRequired if NoPartyRiskLimits(1677) > 0.
→1763RiskLimitStatusNRequired if NoPartyRiskLimits(1677) > 0.
→1764RiskLimitResultN
ComponentPartyDetailGrpNConditionally required when RiskLimitID(1670) is not provided.
Changes to party or related party(-ies) defined in the request are not permitted.
ComponentRiskLimitsGrpNConditionally required when RiskLimitStatus(1763) = 1(Accepted with changes) and must then be complete, i.e. omissions compared to the request represent risk limits that were removed, additional risk limits are possible.
→1670RiskLimitIDNConditionally required when PartyDetailGrp component is not provided.
→2339RiskLimitCheckModelTypeN
→1328RejectTextN
→1664EncodedRejectTextLenNMust be set if EncodedRejectText(1665) field is specified and must immediately precede it.
→1665EncodedRejectTextNEncoded (non-ASCII characters) representation of the RejectText(1328) field in the encoded format specified via the MessageEncoding(347) field.
→2355PartyRiskLimitStatusN

PartyRiskLimitsGrp

TagNameReq’dDescription
1677NoPartyRiskLimitsN
ComponentPartyDetailGrpNRequired if NoPartyRiskLimits(1677) > 0.
ComponentRiskLimitsGrpNRequired if NoPartyRiskLimits(1677) > 0. Omit to implicitly report removal of risk limits.
→1670RiskLimitIDN
→2339RiskLimitCheckModelTypeN
→2355PartyRiskLimitStatusN

PartyRiskLimitsUpdateGrp

TagNameReq’dDescription
1677NoPartyRiskLimitsN
→1324ListUpdateActionNRequired if NoPartyRiskLimits(1677) > 0.
ComponentPartyDetailGrpNConditionally required when ListUpdateAction(1324) = A(Add).
Conditionally required when ListUpdateAction(1324) = M(Modify) or D(Delete) and RiskLimitID(1670) is not provided.
ComponentRiskLimitsGrpNConditionally required when ListUpdateAction(1324) = A(Add) or M(Modify).
→1670RiskLimitIDNConditionally required when PartyDetailGrp component is not provided.
→2339RiskLimitCheckModelTypeN
→2355PartyRiskLimitStatusN

RequestedPartyRoleGrp

TagNameReq’dDescription
1508NoRequestedPartyRolesN
→1509RequestedPartyRoleNIdentifies the type of party role requested. Required if NoRequestedPartyRoles > 0.
→2386RequestedPartyRoleQualifierN

RequestedRiskLimitTypesGrp

TagNameReq’dDescription
1668NoRequestedRiskLimitTypeN
→1530RiskLimitTypeNRequired if NoRequestedRiskLimitType > 0.

RiskInstrumentScopeGrp

TagNameReq’dDescription
1534NoRiskInstrumentScopesN
→1535InstrumentScopeOperatorNRequired when NoRiskInstrumentScopes > 0.
ComponentInstrumentScopeN
→1558RiskInstrumentMultiplierN

RiskLimitTypesGrp

TagNameReq’dDescription
1529NoRiskLimitTypesN
→1530RiskLimitTypeNRequired if NoRiskLimitTypes(1529) > 0.
→1531RiskLimitAmountN
→1767RiskLimitActionN
→1766RiskLimitUtilizationAmountNNot applicable in a request.
→1765RiskLimitUtilizationPercentNNot applicable in a request.
→1532RiskLimitCurrencyN
→1533RiskLimitPlatformN
→2336RiskLimitVelocityPeriodNConditionally required when RiskLimitType(1530) = 10 (Clip size)
→2337RiskLimitVelocityUnitN
ComponentRiskWarningLevelGrpN

RiskLimitsGrp

TagNameReq’dDescription
1669NoRiskLimitsN
ComponentRiskLimitTypesGrpNRequired if NoRiskLimits(1669) > 0.
ComponentRiskInstrumentScopeGrpN

RiskWarningLevelGrp

TagNameReq’dDescription
1559NoRiskWarningLevelsN
→1769RiskWarningLevelActionNRequired if NoRiskWarningLevels(1559) > 0.
→1560RiskWarningLevelPercentNConditionally required when RiskWarningLevelAmount(1768) is not provided.
→1768RiskWarningLevelAmountNConditionally required when RiskWarningLevelPercent(1560) is not provided.
→1561RiskWarningLevelNameN

Messages

PartyDetailsListRequest Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType = CF
1505PartyDetailsListRequestIDY
ComponentRequestingPartyGrpNMay be used to identify the party making the request and their role.
ComponentPartiesNScope of the query/request for specific party(-ies).
ComponentRequestedPartyRoleGrpNScope of the query/request for specific party role(s)
ComponentPartyRelationshipGrpNScope of the query/reqeust for specific party relationship(s)
263SubscriptionRequestTypeN
58TextN
354EncodedTextLenN
355EncodedTextN
ComponentStandardTrailerY

PartyDetailsListReport Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType = CG
ComponentApplicationSequenceControlN
1510PartyDetailsListReportIDY
1505PartyDetailsListRequestIDNConditionally required when responding to the PartyDetailsListRequest message.
1511RequestResultNConditionally required when responding to the PartyDetailsListRequest message.
1512TotNoPartiesN
893LastFragmentN
ComponentPartyDetailGrpN
60TransactTimeN
58TextN
354EncodedTextLenN
355EncodedTextN
1328RejectTextN
1664EncodedRejectTextLenN
1665EncodedRejectTextN
ComponentStandardTrailerY

PartyDetailsListUpdateReport Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType = CK
ComponentApplicationSequenceControlN
1510PartyDetailsListReportIDY
1505PartyDetailsListRequestIDNConditionally required when responding to the PartyDetailsListRequest(35=CF) message.
1512TotNoPartiesN
893LastFragmentN
ComponentRequestingPartyGrpNMay be used to specify the requesting party in the event the request was made verbally or via other means.
ComponentPartyDetailsUpdateGrpN
60TransactTimeN
58TextN
354EncodedTextLenNMust be set if EncodedText(355) field is specified and must immediately precede it.
355EncodedTextNEncoded (non-ASCII characters) representation of the Text(58) field in the encoded format specified via the MessageEncoding(347) field.
ComponentStandardTrailerY

PartyRiskLimitsRequest Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType = CL
1666RiskLimitRequestIDY
1760RiskLimitRequestTypeNScope of risk limit information.
263SubscriptionRequestTypeN
ComponentRequestingPartyGrpNMay be used to identify the party making the request and their role.
ComponentPartiesNScope of the query/request for specific party(-ies)
ComponentRequestedPartyRoleGrpNScope of the query/request for specific party role(s). For example, all information for PartyRole=24.
ComponentRequestedRiskLimitTypesGrpN
1533RiskLimitPlatformN
ComponentRiskInstrumentScopeGrpNScope of the query/request for specific securities. Absence means all instruments for a given party or party role.
58TextN
354EncodedTextLenN
355EncodedTextN
ComponentStandardTrailerY

PartyRiskLimitsReport Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType = CM
ComponentApplicationSequenceControlN
1667RiskLimitReportIDY
1666RiskLimitRequestIDNConditionally required when responding to PartyRiskLimitsRequest(35=CL).
1760RiskLimitRequestTypeNCan be used when responding to a PartyRiskLimitsRequest(35=CL).
1511RequestResultNConditionally required when responding to a PartyRiskLimitsRequest(35=CL).
325UnsolicitedIndicatorN
1512TotNoPartiesN
893LastFragmentN
ComponentPartyRiskLimitsGrpNOptionally includes utilization (consumption) information.
60TransactTimeN
58TextN
354EncodedTextLenN
355EncodedTextN
1328RejectTextN
1664EncodedRejectTextLenN
1665EncodedRejectTextN
ComponentStandardTrailerY

PartyRiskLimitsUpdateReport Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType=CR
ComponentApplicationSequenceControlN
1667RiskLimitReportIDY
1666RiskLimitRequestIDNConditionally required when sent as part of a subscription requested by a PartyRiskLimitsRequest(35=CL).
1760RiskLimitRequestTypeNCan be used if sent as part of a subscription started by a PartyRiskLimitsRequest(35=CL).
1512TotNoPartiesN
893LastFragmentN
ComponentRequestingPartyGrpNMay be used to specify the requesting party in the event the request was made verbally or via other means.
ComponentPartyRiskLimitsUpdateGrpN
60TransactTimeN
58TextN
354EncodedTextLenNMust be set if EncodedText(355) field is specified and must immediately precede it.
355EncodedTextNEncoded (non-ASCII characters) representation of the Text(58) field in the encoded format specified via the MessageEncoding(347) field.
ComponentStandardTrailerY

PartyRiskLimitsDefinitionRequest Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType=CS
1666RiskLimitRequestIDY
ComponentRequestingPartyGrpNMay be used to identify the party making the request and their role.
ComponentPartyRiskLimitsUpdateGrpNRisk limits to be enforced for given party(-ies) and related party(-ies).
58TextN
354EncodedTextLenN
355EncodedTextN
ComponentStandardTrailerY

PartyRiskLimitsDefinitionRequestAck Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType=CT
1666RiskLimitRequestIDY
1761RiskLimitRequestResultN
1762RiskLimitRequestStatusY
ComponentRequestingPartyGrpN
ComponentPartyRiskLimitsAckGrpN
58TextN
354EncodedTextLenN
355EncodedTextN
ComponentStandardTrailerY

PartyEntitlementsRequest Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType=CU
1770EntitlementRequestIDN
263SubscriptionRequestTypeN
ComponentRequestingPartyGrpNMay be used to identify the party making the request and their role.
ComponentPartiesNScope of the query/request for specific party(-ies).
ComponentRequestedPartyRoleGrpNScope of the query/request for specific party roles. For example, all information for PartyRole=24.
1883EntitlementStatusN
ComponentEntitlementTypeGrpN
1784EntitlementPlatformN
ComponentInstrumentScopeGrpNScope of the query/request for specific securities.
ComponentMarketSegmentScopeGrpN
58TextN
354EncodedTextLenN
355EncodedTextN
ComponentStandardTrailerY

PartyEntitlementsReport Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType=CV
ComponentApplicationSequenceControlN
1771EntitlementReportIDY
1770EntitlementRequestIDNConditionally required when responding to PartyEntitlementsRequest(35=CU).
1511RequestResultNConditionally required when responding to Party Entitlements Request.
1512TotNoPartiesN
893LastFragmentN
ComponentPartyEntitlementGrpN
60TransactTimeN
58TextN
354EncodedTextLenN
355EncodedTextN
1328RejectTextN
1664EncodedRejectTextLenN
1665EncodedRejectTextN
ComponentStandardTrailerY

PartyDetailsDefinitionRequest Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType=CX
1505PartyDetailsListRequestIDY
ComponentRequestingPartyGrpNCan be used to identify the party making the request and their role.
ComponentPartyDetailsUpdateGrpYSpecifies the parties and relationships between parties to be defined, modified, or deleted.
58TextN
354EncodedTextLenN
355EncodedTextN
ComponentStandardTrailerY

PartyDetailsDefinitionRequestAck Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType=CY
1505PartyDetailsListRequestIDY
1878PartyDetailRequestStatusY
1877PartyDetailRequestResultN
ComponentRequestingPartyGrpN
ComponentPartyDetailAckGrpN
58TextN
354EncodedTextLenN
355EncodedTextN
ComponentStandardTrailerY

PartyEntitlementsUpdateReport Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType=CZ
ComponentApplicationSequenceControlN
1771EntitlementReportIDY
1770EntitlementRequestIDNConditionally required when responding to a PartyEntitlementsRequest(35=CU) message.
1512TotNoPartiesN
893LastFragmentN
ComponentRequestingPartyGrpNMay be used to specify the requesting party in the event the request was made verbally or via other means.
ComponentPartyEntitlementUpdateGrpYSpecifies the updated entitlements to be enforced for the given party(-ies) and related party(-ies).
60TransactTimeN
58TextN
354EncodedTextLenNMust be set if EncodedText(355) field is specified and must immediately precede it.
355EncodedTextNEncoded (non-ASCII characters) representation of the Text(58) field in the encoded format specified via the MessageEncoding(347) field.
ComponentStandardTrailerY

PartyEntitlementsDefinitionRequest Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType=DA
1770EntitlementRequestIDY
ComponentRequestingPartyGrpNCan be used to identify the party making the request and their role.
ComponentPartyEntitlementUpdateGrpYSpecifies the entitlements to be defined, modified or deleted for the given party(-ies) and related party(-ies).
58TextN
354EncodedTextLenN
355EncodedTextN
ComponentStandardTrailerY

PartyEntitlementsDefinitionRequestAck Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType=DB
1770EntitlementRequestIDY
1882EntitlementRequestStatusY
1881EntitlementRequestResultN
ComponentRequestingPartyGrpN
ComponentPartyEntitlementAckGrpN
58TextN
354EncodedTextLenN
355EncodedTextN
ComponentStandardTrailerY

PartyRiskLimitsReportAck Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType=DE
1667RiskLimitReportIDYThe identifier of the PartyRiskLimitReport(35=CM) or PartyRiskLimitUpdateReport(35=CR) message.
1666RiskLimitRequestIDN
2316RiskLimitReportStatusY
2317RiskLimitReportRejectReasonNConditionally required when RiskLimitReportStatus(2316)=1 (Rejected).
ComponentPartyRiskLimitsUpdateGrpN
60TransactTimeN
1328RejectTextN
1664EncodedRejectTextLenNMust be set if EncodedRejectText(1665) field is specified and must immediately precede it.
1665EncodedRejectTextNEncoded (non-ASCII characters) representation of the RejectText(1328) field in the encoded format specified via the MessageEncoding(347) field.
58TextN
354EncodedTextLenNMust be set if EncodedText(355) field is specified and must immediately precede it.
355EncodedTextNEncoded (non-ASCII characters) representation of the Text(58) field in the encoded format specified via the MessageEncoding(347) field.
ComponentStandardTrailerY

Appendix – QuotationNegotiation Category

Components

LegQuotGrp

TagNameReq’dDescription
555NoLegsN
ComponentInstrumentLegNRequired if NoLegs(555) > 0.
→685LegOrderQtyN
→687LegQtyNThe LegQty(687) field is deprecated. The use of LegOrderQty(685) is recommended instead.
→2346LegMidPxN
→690LegSwapTypeN
→587LegSettlTypeN
→588LegSettlDateN
ComponentLegStipulationsN
ComponentNestedPartiesN
→686LegPriceTypeNCode to represent type of price presented in LegBidPx(681) and LegOfferPx(684).
Conditionally required when LegBidPx(681) or PegOfferPx(684) is present.
→681LegBidPxN
→684LegOfferPxN
ComponentLegBenchmarkCurveDataN
→654LegRefIDNUse of LegRefID(654) in this component is deprecated. Recommend the use of LegID(1788) in the InstrumentLeg component.
→1067LegBidForwardPointsN
→1068LegOfferForwardPointsN

LegQuotStatGrp

TagNameReq’dDescription
555NoLegsN
ComponentInstrumentLegNRequired if NoLegs(555) > 0.
→685LegOrderQtyN
→687LegQtyNThe LegQty(687) field is deprecated. The use of LegOrderQty(685) is recommended instead.
→2346LegMidPxN
→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.
→1749TotalBidSizeN
→1750TotalOfferSizeN
→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.
→117QuoteIDNCan be used when QuoteRequestType(303) = 3(Confirm Quote).
→1751SecondaryQuoteIDNCan be used when QuoteRequestType(303) = 3(Confirm Quote).
→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
→1913NumOfCompetitorsN
→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.
ComponentOrderQtyDataNConditionally required for single instrument quoting when applicable for the type of instrument.
→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
→828TrdTypeNMay be used by SEFs (Swap Execution Facilities) to indicate a block swap transaction.
→2347RegulatoryTransactionTypeN
ComponentRegulatoryTradeIDGrpN
→2115NegotiationMethodN
→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.
ComponentPriceQualifierGrpN
→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 the request for quote or negotiation dialog will expire.
→1914ResponseTimeN
→1915QuoteDisplayTimeN
→1629ExposureDurationNThe (minimum or suggested) period of time a quote price is tradable before it becomes indicative (i.e. off-the-wire).
→1916ExposureDurationUnitN
→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
→631MidPxNFor OTC swaps, may be used to provide the estimated mid-market-mark.
→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
→1937TradeContinuationNMaybe used to indicate quote/negotiation is for the specified post-execution trade continuation or lifecycle event.
→2374TradeContinuationTextN
→2372EncodedTradeContinuationTextLenNMust be set if EncodedTradeContinuationText(2371) field is specified and must immediately precede it.
→2371EncodedTradeContinuationTextNEncoded (non-ASCII characters) representation of the TradeContinuationText(2374) field in the encoded format specified via the MessageEncoding(347) field.
→443StrikeTimeNConditionally required when QuoteQual(695) = d (Deferred spot) is specified.

QuotReqLegsGrp

TagNameReq’dDescription
555NoLegsN
ComponentInstrumentLegNRequired if NoLegs(555) > 0.
→685LegOrderQtyN
→687LegQtyNThe LegQty(687) field is deprecated. The use of LegOrderQty(685) is recommended instead.
→2346LegMidPxNFor OTC swaps, may be used to provide the estimated mid-market mark.
→690LegSwapTypeN
→587LegSettlTypeN
→588LegSettlDateN
ComponentLegStipulationsN
ComponentNestedPartiesN
ComponentLegBenchmarkCurveDataN
→654LegRefIDNUse of LegRefID(654) in this component is deprecated. Recommend the use of LegID(1788) in the InstrumentLeg component.

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
→2115NegotiationMethodN
→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.
ComponentPriceQualifierGrpN
→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
→443StrikeTimeNConditionally required when QuoteQual(695) = d (Deferred spot) is specified.

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

QuoteAttributeGrp

TagNameReq’dDescription
2706NoQuoteAttributesN
→2707QuoteAttributeTypeNRequired if NoQuoteAttributes(2706) > 0.
→2708QuoteAttributeValueNRequired if NoQuoteAttributes(2706) > 0.

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
117QuoteIDNContains the QuoteID(117) of a single Quote(MsgType=S) or QuoteEntryID(299) of a MassQuote(MsgType=i).
390BidIDNContains the BidID(390) of a single Quote(35=S).
1867OfferIDNContains the QuoteID(1867) of a single Quote(35=S).
1751SecondaryQuoteIDN
1166QuoteMsgIDNContains the QuoteMsgID(1166) of a single Quote(MsgType=S) or QuoteID(117) of a MassQuote(MsgType=i).
693QuoteRespIDNRequired when responding to a QuoteResponse(35=AJ) message.
537QuoteTypeNIf not specified, the default is an indicative quote.
298QuoteCancelTypeN
ComponentPartiesN
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.
ComponentFinancingDetailsN
ComponentUndInstrmtGrpN
54SideN
ComponentOrderQtyDataNConditionally required for quotes of single instrument depending on the type of instrument when QuoteType(537)=1 (Tradeable).
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.
2878TerminationDateN
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
581AccountTypeN
ComponentLegQuotStatGrpNConditionally required for multileg quote status reports.
ComponentQuotQualGrpN
2830EventInitiatorTypeN
2115NegotiationMethodN
126ExpireTimeN
44PriceN
423PriceTypeN
ComponentPriceQualifierGrpN
ComponentSpreadOrBenchmarkCurveDataN
ComponentYieldDataN
1747BidQuoteIDN
1748OfferQuoteIDN
1745BidMDEntryIDN
1746OfferMDEntryIDN
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
647MinBidSizeNUsed for markets that use a minimum and maximum bid size.
134BidSizeNIf MinBidSize(647) is specified, BidSize(134) is interpreted to contain the maximum bid size.
1749TotalBidSizeN
648MinOfferSizeNUsed for markets that use a minimum and maximum offer size.
135OfferSizeNIf MinOfferSize(648) is specified, OfferSize(135) is interpreted to contain the maximum offer size.
1750TotalOfferSizeN
110MinQtyN
62ValidUntilTimeN
188BidSpotRateN
190OfferSpotRateN
189BidForwardPointsN
191OfferForwardPointsN
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.
ComponentCommissionDataNCan be used to show the counterparty the commission associated with the transaction.
582CustOrderCapacityN
100ExDestinationNUsed when routing quotes to multiple markets
1133ExDestinationIDSourceN
775BookingTypeN
528OrderCapacityN
529OrderRestrictionsN
297QuoteStatusN
300QuoteRejectReasonN
1328RejectTextNReason description for rejecting the quote.
1664EncodedRejectTextLenNMust be set if EncodedRejectText(1665) field is specified and must immediately precede it.
1665EncodedRejectTextNEncoded (non-ASCII characters) representation of the RejectText(1328) field in the encoded format specified via the MessageEncoding(347) field.
1937TradeContinuationNIf specified, this should echo the value in the message this status message is in response to.
2374TradeContinuationTextN
2372EncodedTradeContinuationTextLenNMust be set if EncodedTradeContinuationText(2371) field is specified and must immediately precede it.
2371EncodedTradeContinuationTextNEncoded (non-ASCII characters) representation of the TradeContinuationText(2374) field in the encoded format specified via the MessageEncoding(347) field.
ComponentThrottleResponseN
58TextN
354EncodedTextLenN
355EncodedTextN
443StrikeTimeNConditionally required when QuoteQual(695) = d (Deferred spot) is specified.
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.
131QuoteReqIDNContains the QuoteReqID(131) of the QuoteRequest(35=R).
694QuoteRespTypeY
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
828TrdTypeNMay be used by SEFs (Swap Execution Facilities) to indicate a block swap transaction.
2347RegulatoryTransactionTypeN
2115NegotiationMethodN
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.
ComponentOrderQtyDataNConditionally required when countering a single instrument quote or hit/lift an IOI or Quote when applicable for the type of instrument.
110MinQtyN
63SettlTypeN
64SettlDateNCan be used with forex quotes to specify a specific value date
2878TerminationDateN
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 QuoteResponse(35=AJ) will expire. Required for FI when the QuoteRespType(694) is either 1 (Hit/Lift) or 2 (Counter quote) to indicate to the respondent when the 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.
ComponentCommissionDataNCan 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
ComponentPriceQualifierGrpN
1917CoverPriceN
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
1937TradeContinuationNMay be used to indicate the quote/negotiation is for the specified post-execution trade continuation or lifecycle event.
2374TradeContinuationTextN
2372EncodedTradeContinuationTextLenNMust be set if EncodedTradeContinuationText(2371) field is specified and must immediately precede it.
2371EncodedTradeContinuationTextNEncoded (non-ASCII characters) representation of the TradeContinuationText(2374) field in the encoded format specified via the MessageEncoding(347) field.
443StrikeTimeNConditionally required when QuoteQual(695) = d (Deferred spot) is specified.
ComponentStandardTrailerY

QuoteAck Message

TagNameReq’dDescription
ComponentStandardHeaderY35=CW
117QuoteIDNContains the QuoteID(117) of a single Quote(35=S).
1166QuoteMsgIDNContains the QuoteMsgID(1166) of a single Quote(35=S) or QuoteCancel(35=Z).
131QuoteReqIDN
537QuoteTypeN
298QuoteCancelTypeN
1751SecondaryQuoteIDN
1865QuoteAckStatusY
300QuoteRejectReasonNConditionally required when QuoteAckStatus(1865) = 2(Rejected).
1328RejectTextN
1664EncodedRejectTextLenN
1665EncodedRejectTextN
ComponentPartiesN
ComponentQuoteAttributeGrpNMay be used by the quote receiver to inform quote provider of pre-trade transparency waiver determination in the context of MiFID II.
58TextN
354EncodedTextLenN
355EncodedTextN
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
376ComplianceIDN
2404ComplianceTextN
2351EncodedComplianceTextLenNMust be set if EncodedComplianceText(2352) field is specified and must immediately precede it.
2352EncodedComplianceTextNEncoded (non-ASCII characters) representation of the ComplianceText(2404) field in the encoded format specified via the MessageEncoding(347) field.
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 QuoteRequest(35=R) message.
117QuoteIDY
390BidIDNUnique identifier for the bid side of the quote.
1867OfferIDNUnique identifier for the ask side of the quote.
1751SecondaryQuoteIDNCan be used when modifying an existing quote.
1166QuoteMsgIDNOptionally used to supply a message identifier for a quote.
693QuoteRespIDNRequired when responding to the QuoteResponse(35=AJ) message. The counterparty specified ID of the QuoteResponse(35=AJ) message.
537QuoteTypeNIf not specified, the default is an indicative quote.
2403QuoteModelTypeN
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.
2837SingleQuoteIndicatorN
ComponentQuotQualGrpN
828TrdTypeN
2115NegotiationMethodN
301QuoteResponseLevelN
ComponentQuoteAttributeGrpNMay be used by the quote provider to indicate pre-trade transparency waiver determination in the context of MiFID II.
ComponentValueChecksGrpN
ComponentPartiesN
336TradingSessionIDN
625TradingSessionSubIDN
ComponentInstrumentY
ComponentFinancingDetailsN
ComponentUndInstrmtGrpN
54SideNRequired for Tradeable or Counter quotes of single instruments
ComponentOrderQtyDataNConditionally required for Tradeable or Counter quotes of single instruments when applicable for the type of instrument.
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
ComponentStipulationsN
1AccountN
660AcctIDSourceN
581AccountTypeN
522OwnerTypeN
377SolicitedFlagN
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
647MinBidSizeNUsed for markets that use a minimum and maximum bid size.
134BidSizeNIf MinBidSize(647) is specified, BidSize(134) is interpreted to contain the maximum bid size.
1749TotalBidSizeN
648MinOfferSizeNUsed for markets that use a minimum and maximum offer size.
135OfferSizeNIf MinOfferSize(648) is specified, OfferSize(135) is interpreted to contain the maximum offer size.
1750TotalOfferSizeN
110MinQtyNFor use in private/directed quote negotiations.
1629ExposureDurationN
1916ExposureDurationUnitN
62ValidUntilTimeNThe time when the quote will expire
188BidSpotRateN
190OfferSpotRateN
189BidForwardPointsN
191OfferForwardPointsN
1065BidSwapPointsN
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.
ComponentCommissionDataNCan be used to show the counterparty the commission associated with the transaction.
582CustOrderCapacityN
100ExDestinationNUsed when routing quotes to multiple markets
1133ExDestinationIDSourceN
775BookingTypeN
528OrderCapacityN
529OrderRestrictionsN
423PriceTypeN
ComponentPriceQualifierGrpN
2533BidSpreadNSpreadOrBenchmarkCurveData component may be used to specify the benchmark.
2534OfferSpreadNSpreadOrBenchmarkCurveData component may be used to specify the benchmark.
ComponentSpreadOrBenchmarkCurveDataNSpread(218) may be used for a mid-spread value.
ComponentRelativeValueGrpN
ComponentYieldDataN
ComponentRoutingGrpN
1937TradeContinuationNMay be used to indicate the quote/negotiation is for the specified post-execution trade continuation or lifecycle event.
2374TradeContinuationTextN
2372EncodedTradeContinuationTextLenNMust be set if EncodedTradeContinuationText(2371) field is specified and must immediately precede it.
2371EncodedTradeContinuationTextNEncoded (non-ASCII characters) representation of the TradeContinuationText(2374) field in the encoded format specified via the MessageEncoding(347) field.
2362SelfMatchPreventionIDN
1685ThrottleInstN
376ComplianceIDN
2404ComplianceTextN
2351EncodedComplianceTextLenNMust be set if EncodedComplianceText(2352) field is specified and must immediately precede it.
2352EncodedComplianceTextNEncoded (non-ASCII characters) representation of the ComplianceText(2404) field in the encoded format specified via the MessageEncoding(347) field.
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.
443StrikeTimeNConditionally required when QuoteQual(695) = d (Deferred spot) is specified.
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 specified single quote) and SecondarlyQuoteID(1751) is not specified. Maps to QuoteID(117) of a single Quote(35=S) or QuoteEntryID(299) of a MassQuote(35=i)
1751SecondaryQuoteIDNConditionally required when QuoteCancelType(298) = 5 (Cancel specific single quote) and QuoteID(117) is not specified.
1166QuoteMsgIDNOptionally used to supply a message identifier for a quote cancel.
298QuoteCancelTypeYIdentifies the type of Quote Cancel request.
537QuoteTypeNConditionally required when QuoteCancelType(298)=6(Cancel by type of quote).
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

MassQuoteAck 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)
376ComplianceIDN
2404ComplianceTextN
2351EncodedComplianceTextLenNMust be set if EncodedComplianceText(2352) field is specified and must immediately precede it.
2352EncodedComplianceTextNEncoded (non-ASCII characters) representation of the ComplianceText(2404) field in the encoded format specified via the MessageEncoding(347) field.
58TextN
354EncodedTextLenN
355EncodedTextN
ComponentQuotSetAckGrpNThe number of sets of quotes in the message
ComponentThrottleResponseN
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
2403QuoteModelTypeN
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
2362SelfMatchPreventionIDN
1685ThrottleInstN
376ComplianceIDN
2404ComplianceTextN
2351EncodedComplianceTextLenNMust be set if EncodedComplianceText(2352) field is specified and must immediately precede it.
2352EncodedComplianceTextNEncoded (non-ASCII characters) representation of the ComplianceText(2404) field in the encoded format specified via the MessageEncoding(347) field.
ComponentStandardTrailerY

Appendix – SecuritiesReferenceData Category

Components

ClearingAccountTypeGrp

TagNameReq’dDescription
1918NoClearingAccountTypesN
→1816ClearingAccountTypeNRequired if NoClearingAccountTypes(1918) > 0.

ClearingPriceParametersGrp

TagNameReq’dDescription
2580NoClearingPriceParametersN
→2581BusinessDayTypeNRequired if NoClearingPriceParameters (2580) > 0. Use to identify the relative business day to which the parameters apply.
→2582ClearingPriceOffsetN
→2583VegaMultiplierN
→2584AnnualTradingBusinessDaysN
→2585TotalTradingBusinessDaysN
→2586TradingBusinessDaysN
→2588StandardVarianceN
→2587RealizedVarianceN
→2589RelatedClosePriceN
→1190RiskFreeRateNInterest rate until the instrument expires and used to calculate DiscountFactor(1592).
→2590OvernightInterestRateNUsed to calculate AccumulatedReturnModifiedVariationMargin(2591).
→2591AccumulatedReturnModifiedVariationMarginN
→1592DiscountFactorN
→1188VolatilityN
→2528ClearingSettlPriceN
→2592CalculationMethodN

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
1722DerivativeUnitOfMeasureCurrencyN
1315DerivativePriceUnitOfMeasureN
1316DerivativePriceUnitOfMeasureQtyN
1723DerivativePriceUnitOfMeasureCurrencyN
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
1576DerivativePriceQuoteCurrencyN
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
2684DerivativeInTheMoneyConditionNUsed to express in-the-moneyness behavior in general terms for the option without the use of DerivativeStrikePrice(1261) and DerivativePutOrCall(1323).
2688DerivativeContraryInstructionEligibilityIndicatorN
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
→2377DerivativeInstrumentPartyRoleQualifierN
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
ComponentSecurityClassificationGrpNUsed to specify forms of product classifications

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

PriceMovementGrp

TagNameReq’dDescription
1919NoPriceMovementsN
ComponentPriceMovementValueGrpNRequired if NoPriceMovements(1919) > 0.
ComponentClearingAccountTypeGrpN

PriceMovementValueGrp

TagNameReq’dDescription
1920NoPriceMovementValuesN
→1921PriceMovementValueNRequired if NoPriceMovementValues(1919) > 0.
→1922PriceMovementPointN
→1923PriceMovementTypeN

RelSymDerivSecGrp

TagNameReq’dDescription
146NoRelatedSymN
ComponentInstrumentN
ComponentSecondaryPriceLimitsNSecondary price limit rules
→15CurrencyN
→292CorporateActionNIdentifies the type of Corporate Action
ComponentInstrumentExtensionN
ComponentInstrmtLegGrpN
→1504RelSymTransactTimeN
→1606NumOfSimpleInstrumentsNNumber of simple instruments.
→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
ComponentSecurityClassificationGrpNUsed to specify forms of product classifications
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
ComponentRelatedInstrumentGrpN
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
ComponentPriceMovementGrpN
→1504RelSymTransactTimeN
→1606NumOfSimpleInstrumentsNNumber of simple instruments.
→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
ComponentRelatedInstrumentGrpN
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

SecMassStatGrp

TagNameReq’dDescription
146NoRelatedSymN
ComponentInstrumentNInsert here the set of Instrument (symbology) fields defined in Common Components of Application Messages. Conditionally required if NoRelatedSym > 0.
ComponentInstrumentExtensionNInsert here the set of InstrumentExtension fields defined in Common Components of Application Messages.
ComponentFinancingDetailsN
ComponentUndInstrmtGrpN
ComponentInstrmtLegGrpN
ComponentRelatedInstrumentGrpN
→326SecurityTradingStatusNConditionally required if NoRelatedSym > 0.
→1174SecurityTradingEventN
→327HaltReasonN
→291FinancialStatusN
→292CorporateActionN
→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.

SecTypesGrp

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

SecondaryPriceLimits

TagNameReq’dDescription
1305SecondaryPriceLimitTypeN
1221SecondaryLowLimitPriceN
1230SecondaryHighLimitPriceN
1240SecondaryTradingReferencePriceN

SecurityClassificationGrp

TagNameReq’dDescription
1582NoSecurityClassificationsN
→1583SecurityClassificationReasonNConditionally required if NoSecurityClassifications > 0.
→1584SecurityClassificationValueN

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
1607SecurityRejectReasonNUsed to specify a rejection reason when SecurityResponseType (323) is equal to 1 (Invalid or unsupported request) or 5 (Request for instrument data not supported).
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.
779LastUpdateTimeNRepresents the time at which a security was last updated
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
964SecurityReportIDNUsed to identify the SecurityDefinitionUpdateReport(35=BP) message in a bulk message transfer. Not used in request/response messaging.
320SecurityReqIDNConditionally required when responding to the SecurityDefinitionRequest(35=c) message.
322SecurityResponseIDNUsed to identify the SecurityDefinitionUpdateReport(35=BP) message.
323SecurityResponseTypeN
715ClearingBusinessDateN
980SecurityUpdateActionN
292CorporateActionN
ComponentInstrumentN
ComponentInstrumentExtensionN
ComponentFinancingDetailsN
ComponentUndInstrmtGrpN
ComponentRelatedInstrumentGrpN
15CurrencyN
2572PreviousAdjustedOpenInterestN
2573PreviousUnadjustedOpenInterestN
734PriorSettlPriceN
58TextN
354EncodedTextLenNMust be set if EncodedText(355) field is specified and must immediately precede it.
355EncodedTextNEncoded (non-ASCII characters) representation of the Text(58) field in the encoded format specified via the MessageEncoding(347) field.
ComponentStipulationsN
1606NumOfSimpleInstrumentsN
2562NumOfComplexInstrumentsN
ComponentInstrmtLegGrpN
ComponentSpreadOrBenchmarkCurveDataN
ComponentYieldDataN
ComponentMarketSegmentGrpNContains all the security details related to listing and trading the security
779LastUpdateTimeNRepresents the time at which a security was last updated
2400EffectiveBusinessDateN
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
779LastUpdateTimeNRepresents the time at which a security was last updated
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

SecurityMassStatusRequest Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType = CN
324SecurityStatusReqIDYMust be unique, or the ID of previous Security Mass Status Request to disable if SubscriptionRequestType = Disable previous Snapshot + Updates Request (2).
ComponentInstrumentScopeN
263SubscriptionRequestTypeYSubcriptionRequestType 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.
1465SecurityListIDN
1301MarketIDN
1300MarketSegmentIDN
336TradingSessionIDN
625TradingSessionSubIDN
ComponentStandardTrailerY

SecurityMassStatus Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType = CO
ComponentApplicationSequenceControlN
324SecurityStatusReqIDNRequired when mass status is in response to a SecurityMassStatusRequest(35=CN) message.
1465SecurityListIDNIdentifies all securities for a security list identifier.
1301MarketIDNIdentifies all securities for a market.
1300MarketSegmentIDNIdentifies all securities for a market segment.
75TradeDateNBusiness day that the state change applies to.
336TradingSessionIDNIdentifies all securities for a trading session.
625TradingSessionSubIDNIdentifies all securities for a trading sub-session.
ComponentInstrumentScopeN
325UnsolicitedIndicatorNSet to Y if message is sent as a result of a subscription request not a snapshot request.
1679SecurityMassTradingStatusN
2447FastMarketIndicatorN
1680SecurityMassTradingEventN
1681MassHaltReasonN
1021MDBookTypeNUsed to relay changes in the book type.
264MarketDepthNUsed to relay changes in Market Depth.
60TransactTimeNTime of state change for security list.
334AdjustmentN
ComponentSecMassStatGrpN
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.
ComponentInstrumentN
ComponentInstrumentExtensionN
ComponentFinancingDetailsN
ComponentUndInstrmtGrpN
ComponentRelatedInstrumentGrpN
15CurrencyN
376ComplianceIDN
2404ComplianceTextN
2351EncodedComplianceTextLenNMust be set if EncodedComplianceText(2352) field is specified and must immediately precede it.
2352EncodedComplianceTextNEncoded (non-ASCII characters) representation of the ComplianceText(2404) field in the encoded format specified via the MessageEncoding(347) field.
58TextN
354EncodedTextLenNMust be set if EncodedText(355) field is specified and must immediately precede it.
355EncodedTextNEncoded (non-ASCII characters) representation of the Text(58) field in the encoded format specified via the MessageEncoding(347) 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
ComponentInstrmtLegGrpN
ComponentSpreadOrBenchmarkCurveDataN
ComponentYieldDataN
827ExpirationCycleN
263SubscriptionRequestTypeNSubscribe or unsubscribe for security status to security specified in request.
ComponentStandardTrailerY

SecurityDefinition Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType = d (lowercase)
ComponentApplicationSequenceControlN
964SecurityReportIDNUsed to identify the SecurityDefinition(35=d) message.
715ClearingBusinessDateN
320SecurityReqIDN
2422OrderRequestIDN
322SecurityResponseIDNUsed to identify the response to a SecurityDefinitionRequest(35=c) message.
323SecurityResponseTypeN
560SecurityRequestResultNAllow result of query request to be returned to requester
1607SecurityRejectReasonNUsed to specify a rejection reason when SecurityResponseType(323)=5 (Reject security proposal).
292CorporateActionN
ComponentInstrumentN
ComponentInstrumentExtensionN
ComponentFinancingDetailsN
ComponentUndInstrmtGrpN
ComponentRelatedInstrumentGrpN
ComponentSecurityClassificationGrpNUsed to specify forms of product classifications
15CurrencyNCurrency in which the price is denominated
2572PreviousAdjustedOpenInterestN
2573PreviousUnadjustedOpenInterestN
734PriorSettlPriceN
58TextN
354EncodedTextLenNMust be set if EncodedText(355) field is specified and must immediately precede it.
355EncodedTextNEncoded (non-ASCII characters) representation of the Text(58) field in the encoded format specified via the MessageEncoding(347) field.
ComponentStipulationsN
1606NumOfSimpleInstrumentsN
2562NumOfComplexInstrumentsN
ComponentInstrmtLegGrpN
ComponentSpreadOrBenchmarkCurveDataN
ComponentYieldDataN
ComponentMarketSegmentGrpNContains all the security details related to listing and trading the security
779LastUpdateTimeNRepresents the time at which a security was last updated
2400EffectiveBusinessDateN
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
ComponentFinancingDetailsN
ComponentUndInstrmtGrpNNumber of underlyings
ComponentInstrmtLegGrpNNumber of legs that make up the Security
ComponentRelatedInstrumentGrpN
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
ComponentInstrumentY
ComponentInstrumentExtensionN
ComponentFinancingDetailsN
ComponentUndInstrmtGrpN
ComponentInstrmtLegGrpN
ComponentRelatedInstrumentGrpN
15CurrencyN
1301MarketIDN
1300MarketSegmentIDN
75TradeDateNBusiness day that the state change applies to.
336TradingSessionIDN
625TradingSessionSubIDN
325UnsolicitedIndicatorNSet to ‘Y’ if message is sent as a result of a subscription request not a snapshot request
326SecurityTradingStatusN
1655MarketMakerActivityN
2447FastMarketIndicatorN
1174SecurityTradingEventN
2116NextAuctionTimeN
291FinancialStatusN
292CorporateActionN
327HaltReasonN
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.
ComponentClearingPriceParametersGrpN
730SettlPriceN
731SettlPriceTypeN
2451SettlPriceDeterminationMethodN
60TransactTimeNTime of status information.
334AdjustmentN
1025FirstPxNRepresents the price of the first fill of the trading session.
2448LinkageHandlingIndicatorN
58TextN
354EncodedTextLenNMust be set if EncodedText(355) field is specified and must immediately precede it.
355EncodedTextNEncoded (non-ASCII characters) representation of the Text(58) field in the encoded format specified via the MessageEncoding(347) 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
ComponentRelatedInstrumentGrpN
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
1607SecurityRejectReasonNUsed to specify a rejection reason when SecurityResponseType (323) is equal to 1 (Invalid or unsupported request) or 5 (Request for instrument data not supported).
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

AuctionTypeRuleGrp

TagNameReq’dDescription
2548NoAuctionTypeRulesN
→1803AuctionTypeNRequired if NoAuctionTypeRules(2548) > 0.
AuctionType(1803) = 0 (None) can be used to invalidate all auction types on the instrument level that are defined on a market segment level.
→2549AuctionTypeProductComplexNCan be used to limit auction order type to specific product suite. Use multiple entries with the same AuctionType(1803) if multiple but not all product suites are supported.

BaseTradingRules

TagNameReq’dDescription
ComponentTickRulesNSpecifies price tick rules for the security.
ComponentLotTypeRulesNSpecifies the lot types that are valid for trading.
ComponentPriceLimitsNSpecifies the price limits that are valid for trading.
ComponentPriceRangeRuleGrpNSpecifies the valid price range tables for trading.
ComponentQuoteSizeRuleGrpNSpecifies the valid quote sizes for trading.
827ExpirationCycleN
1786TradeVolTypeN
562MinTradeVolN
1140MaxTradeVolNFor listed derivatives this indicates the minimum quantity necessary for an order or trade to qualify as a block trade.
1143MaxPriceVariationN
1144ImpliedMarketIndicatorN
1245TradingCurrencyN
561RoundLotN
1377MultilegModelNUsed for multileg security only.
1378MultilegPriceMethodNUsed for multileg security only.
423PriceTypeNDefines the default price type used for trading.
2557FastMarketPercentageNCan be used as a factor to be applied to other base trading rules during a fast market, e.g. to widen price or size ranges by the specified percentage factor.
2559QuoteSideIndicatorN

ExecInstRules

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

InstrumentScope

TagNameReq’dDescription
1536InstrumentScopeSymbolN
1537InstrumentScopeSymbolSfxN
1538InstrumentScopeSecurityIDN
1539InstrumentScopeSecurityIDSourceN
ComponentInstrumentScopeSecurityAltIDGrpN
1543InstrumentScopeProductN
1544InstrumentScopeProductComplexN
1545InstrumentScopeSecurityGroupN
1546InstrumentScopeCFICodeN
1547InstrumentScopeSecurityTypeN
1548InstrumentScopeSecuritySubTypeN
1549InstrumentScopeMaturityMonthYearN
1550InstrumentScopeMaturityTimeN
1551InstrumentScopeRestructuringTypeN
1552InstrumentScopeSeniorityN
1553InstrumentScopePutOrCallN
1554InstrumentScopeFlexibleIndicatorN
1555InstrumentScopeCouponRateN
1616InstrumentScopeSecurityExchangeN
1556InstrumentScopeSecurityDescN
1620InstrumentScopeEncodedSecurityDescLenN
1621InstrumentScopeEncodedSecurityDescN
1557InstrumentScopeSettlTypeNCan be used to specify FX tenors.

InstrumentScopeGrp

TagNameReq’dDescription
1656NoInstrumentScopesN
→1535InstrumentScopeOperatorNRequired when NoInstrumentScopes > 0.
ComponentInstrumentScopeN

InstrumentScopeSecurityAltIDGrp

TagNameReq’dDescription
1540NoInstrumentScopeSecurityAltIDN
→1541InstrumentScopeSecurityAltIDNRequired when NoInstrumentScopeSecurityAltID > 0.
→1542InstrumentScopeSecurityAltIDSourceNRequired when NoInstrumentScopeSecurityAltID > 0.

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
→1022MDFeedTypeNRequired if NoMDFeedTypes(1141) > 0.
→1683MDSubFeedTypeN
→264MarketDepthNSpecifies the depth of book (or levels of market depth) for the feed type.
→2563MarketDepthTimeIntervalNConditionally required when MarketDepthTimeIntervalUnit(2564) is specified.
→2564MarketDepthTimeIntervalUnitNConditionally required when MarketDataTimeInterval(2563) is specified.
→2565MDRecoveryTimeIntervalNConditionally required when MDRecoveryTimeIntervalUnit(2566) is specified.
→2566MDRecoveryTimeIntervalUnitNConditionally required when MDRecoveryTimeInterval(2565) is specified.
→1021MDBookTypeN
→1173MDSubBookTypeN
→2567PrimaryServiceLocationIDN
→2568SecondaryServiceLocationIDN

MarketSegmentScopeGrp

TagNameReq’dDescription
1310NoMarketSegmentsN
→1301MarketIDNRequired if NoMarketSegments(1310) > 0.
→1300MarketSegmentIDN

MatchRules

TagNameReq’dDescription
1235NoMatchRulesN
→1142MatchAlgorithmNRequired if NoMatchRules(1235) > 0.
→574MatchTypeN
→2569MatchRuleProductComplexNCan be used to limit match rule to specific product suite.
→2570CustomerPriorityNCan be used to give customer orders priority for the given matching algorithm.

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.

PriceRangeRuleGrp

TagNameReq’dDescription
2550NoPriceRangeRulesN
→2551StartPriceRangeNRequired if NoPriceRangeRules(2550) > 0.
→2552EndPriceRangeN
→2553PriceRangeValueNMutually exclusive with PriceRangePercentage(2554).
→2554PriceRangePercentageNMutually exclusive with PriceRangeValue(2553).
→2556PriceRangeRuleIDNCan be used to provide an identifier so that the rule can be reference via the ID elsewhere.
→2555PriceRangeProductComplexNCan be used to limit price range to specific product suite.

QuoteSizeRuleGrp

TagNameReq’dDescription
2558NoQuoteSizeRulesN
→647MinBidSizeNRequired if NoQuoteSizeRules(2558) > 0.
→648MinOfferSizeNRequired if NoQuoteSizeRules(2558) > 0.
→2447FastMarketIndicatorNUsed to define the sizes applicable for fast market conditions.

RequestingPartyGrp

TagNameReq’dDescription
1657NoRequestingPartyIDsN
→1658RequestingPartyIDNRequired when NoRequestingPartyIDs > 0.
→1659RequestingPartyIDSourceNRequired when NoRequestingPartyIDs > 0.
→1660RequestingPartyRoleNRequired when NoRequestingPartyIDs > 0.
→2338RequestingPartyRoleQualifierN
ComponentRequestingPartySubGrpN

RequestingPartySubGrp

TagNameReq’dDescription
1661NoRequestingPartySubIDsN
→1662RequestingPartySubIDNRequired when NoRequestingPartySubIDs > 0.
→1663RequestingPartySubIDTypeNRequired when NoRequestingPartySubIDs > 0.

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
→1206StartTickPriceRangeNRequired if NoTickRules(1205) > 0.
→1207EndTickPriceRangeN
→1208TickIncrementN
→1209TickRuleTypeN
→2571TickRuleProductComplexNCan be used to limit tick rule to specific product suite.
→1830SettlPriceIncrementN
→1831SettlPriceSecondaryIncrementN

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.
ComponentAuctionTypeRuleGrpNSpecifies the auction order types that are valid for trading on the identified. 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.