Appendix – EventCommunication Category

Components

LinesOfTextGrp

Tag Name Req’d Description
33 NoLinesOfText N
→58 Text Y Repeating field, number of instances defined in LinesOfText
→354 EncodedTextLen N Must be set if EncodedText field is specified and must immediately precede it.
→355 EncodedText N Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.

NewsRefGrp

Tag Name Req’d Description
1475 NoNewsRefIDs N
→1476 NewsRefID N Required if NoNewsRefIDs(2144) > 0.
News item being referenced.
→1477 NewsRefType N Type of reference.

Messages

News Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = B
Component ApplicationSequenceControl N
1472 NewsID N Unique identifer for News message
Component NewsRefGrp N News items referenced by this News message
1473 NewsCategory N
1474 LanguageCode N Used to optionally specify the national language used for the News item.
42 OrigTime N
61 Urgency N
148 Headline Y Specifies the headline text
358 EncodedHeadlineLen N Must be set if EncodedHeadline field is specified and must immediately precede it.
359 EncodedHeadline N Encoded (non-ASCII characters) representation of the Headline field in the encoded format specified via the MessageEncoding field.
Component RoutingGrp N Required if any RoutingType and RoutingIDs are specified. Indicates the number within repeating group.
1301 MarketID N Used to optionally specify the market to which this News applies.
1300 MarketSegmentID N Used to optionally specify the market segment to which this News applies.
Component InstrmtGrp N Specifies the number of repeating symbols (instruments) specified
Component InstrmtLegGrp N Number of legs
Identifies a Multi-leg Execution if present and non-zero.
Component UndInstrmtGrp N Number of underlyings
Component LinesOfTextGrp Y Specifies the number of repeating lines of text specified
149 URLLink N A URL (Uniform Resource Locator) link to additional information (i.e. http://www.XYZ.com/research.html)
95 RawDataLength N
96 RawData N
Component StandardTrailer Y

Email Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = C
164 EmailThreadID Y Unique identifier for the email message thread
94 EmailType Y
42 OrigTime N
147 Subject Y Specifies the Subject text
356 EncodedSubjectLen N Must be set if EncodedSubject field is specified and must immediately precede it.
357 EncodedSubject N Encoded (non-ASCII characters) representation of the Subject field in the encoded format specified via the MessageEncoding field.
Component RoutingGrp N Required if any RoutingType and RoutingIDs are specified. Indicates the number within repeating group.
Component InstrmtGrp N Specifies the number of repeating symbols (instruments) specified
Component UndInstrmtGrp N Number of underlyings
Component InstrmtLegGrp N Number of legs
Identifies a Multi-leg Execution if present and non-zero.
37 OrderID N
11 ClOrdID N
Component LinesOfTextGrp Y Specifies the number of repeating lines of text specified
95 RawDataLength N
96 RawData N
Component StandardTrailer Y

Appendix – Indication Category

Components

IOIQualGrp

Tag Name Req’d Description
199 NoIOIQualifiers N
→104 IOIQualifier N Required if NoIOIQualifiers > 0

InstrmtLegIOIGrp

Tag Name Req’d Description
555 NoLegs N
Component InstrumentLeg N Required for multileg IOIs
For Swaps one leg is Buy and other leg is Sell
→682 LegIOIQty N Required for multileg IOIs and for each leg.
Component LegStipulations N

Messages

IOI Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = 6
Component ApplicationSequenceControl N
23 IOIID Y
28 IOITransType Y
26 IOIRefID N Required for Cancel and Replace IOITransType messages
Component Instrument Y Insert here the set of Instrument (symbology) fields defined in Common Components of Application Messages
Component Parties N Insert here the set of Parties (firm identification) fields defined in Common Components of Application Messages.
Component FinancingDetails N Insert here the set of FinancingDetails (symbology) fields defined in Common Components of Application Messages
Component UndInstrmtGrp N Number of underlyings
54 Side Y Side of Indication
Valid subset of values:
1 = Buy
2 = Sell
7 = Undisclosed
B = As Defined (for multilegs)
C = Opposite (for multilegs)
854 QtyType N
Component OrderQtyData N Insert 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)
27 IOIQty Y The value zero is used if NoLegs repeating group is used
15 Currency N
Component Stipulations N Insert here the set of Stipulations (symbology) fields defined in Common Components of Application Messages
Component InstrmtLegIOIGrp N Required for multileg IOIs
423 PriceType N
44 Price N
62 ValidUntilTime N
25 IOIQltyInd N
130 IOINaturalFlag N
Component IOIQualGrp N Required if any IOIQualifiers are specified. Indicates the number of repeating IOIQualifiers.
58 Text N
354 EncodedTextLen N Must be set if EncodedText field is specified and must immediately precede it.
355 EncodedText N Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
60 TransactTime N
149 URLLink N A URL (Uniform Resource Locator) link to additional information (i.e. http://www.XYZ.com/research.html)
Component RoutingGrp N Required if any RoutingType and RoutingIDs are specified. Indicates the number within repeating group.
Component SpreadOrBenchmarkCurveData N Insert here the set of SpreadOrBenchmarkCurveData (Fixed Income spread or benchmark curve) fields defined in Common Components of Application Messages
Component YieldData N
Component StandardTrailer Y
Tag Name Req’d Description
Component StandardHeader Y MsgType = 7
2 AdvId Y
5 AdvTransType Y
3 AdvRefID N Required for Cancel and Replace AdvTransType messages
Component Instrument Y Insert here the set of Instrument (symbology) fields defined in Common Components of Application Messages
Component InstrmtLegGrp N Number of legs
Identifies a Multi-leg Execution if present and non-zero.
Component UndInstrmtGrp N Number of underlyings
4 AdvSide Y
53 Quantity Y
854 QtyType N
44 Price N
15 Currency N
75 TradeDate N
60 TransactTime N
58 Text N
354 EncodedTextLen N Must be set if EncodedText field is specified and must immediately precede it.
355 EncodedText N Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
149 URLLink N A URL (Uniform Resource Locator) link to additional information (i.e. http://www.XYZ.com/research.html)
30 LastMkt N
336 TradingSessionID N
625 TradingSessionSubID N
Component StandardTrailer Y

Appendix – MarketData Category

Components

InstrmtMDReqGrp

Tag Name Req’d Description
146 NoRelatedSym N
Component Instrument Y Insert here the set of Instrument (symbology) fields defined in Common Components of Application Messages
Component UndInstrmtGrp N
Component InstrmtLegGrp N
→15 Currency N
→537 QuoteType N
→63 SettlType N For NDFs either SettlType (specifying the tenor) or SettlDate must be specified.
→64 SettlDate N SettlType (specifying the tenor) or SettlDate must be specified.
→271 MDEntrySize N Quantity 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.
→1500 MDStreamID N

MDFullGrp

Tag Name Req’d Description
268 NoMDEntries N
→269 MDEntryType Y Must be the first field in this repeating group.
→278 MDEntryID N Conditionally required when maintaining an order-depth book, that is, when AggregatedBook (266) is N. allows subsequent Incremental changes to be applied using MDEntryID.
→270 MDEntryPx N Conditionally required if MDEntryType is not Imbalance(A) ), Trade Volume (B), or Open Interest(C); Conditionally required when MDEntryType = auction clearing price
→423 PriceType N
Component YieldData N Insert here the set of YieldData (yield-related) fields defined in Common Components of Application Messages
Component SpreadOrBenchmarkCurveData N Insert here the set of SpreadOrBenchmarkCurveData (Fixed Income spread or benchmark curve) fields defined in Common Components of Application Messages
→40 OrdType N Used to support market mechanism type; limit order, market order, committed principal order
→15 Currency N Can be used to specify the currency of the quoted price.
→120 SettlCurrency N Required for NDFs to specify the settlement currency (fixing currency).
Component RateSource N
→271 MDEntrySize N Conditionally required if MDEntryType = Bid(0), Offer(1), Trade(2) ), Trade Volume (B), or Open Interest(C)
conditionally required when MDEntryType = auction clearing price
Component SecSizesGrp N
→1093 LotType N Can be used to specify the lot type of the quoted size in order depth books.
→272 MDEntryDate N
→273 MDEntryTime N
→274 TickDirection N
→275 MDMkt N Market posting quote / trade. Valid values: See Volume 6: Appendix 6-C
→336 TradingSessionID N
→625 TradingSessionSubID N
→326 SecurityTradingStatus N
→327 HaltReason N
→276 QuoteCondition N Space-delimited list of conditions describing a quote.
→277 TradeCondition N Space-delimited list of conditions describing a trade
→282 MDEntryOriginator N
→283 LocationID N
→284 DeskID N
→286 OpenCloseSettlFlag N Used if MDEntryType = Opening Price(4), Closing Price(5), or Settlement Price(6).
→59 TimeInForce N For optional use when this Bid or Offer represents an order
→432 ExpireDate N For optional use when this Bid or Offer represents an order. ExpireDate and ExpireTime cannot both be specified in one Market Data Entry.
→126 ExpireTime N For optional use when this Bid or Offer represents an order. ExpireDate and ExpireTime cannot both be specified in one Market Data Entry.
→110 MinQty N For optional use when this Bid or Offer represents an order
→18 ExecInst N Can contain multiple instructions, space delimited.
→287 SellerDays N
→37 OrderID N For optional use when this Bid, Offer, or Trade represents an order
→198 SecondaryOrderID N For optional use to support Hit/Take (selecting a specific order from the feed) without disclosing a private order id.
→299 QuoteEntryID N For optional use when this Bid, Offer, or Trade represents a quote
→288 MDEntryBuyer N For optional use in reporting Trades
→289 MDEntrySeller N For optional use in reporting Trades
→346 NumberOfOrders N In an Aggregated Book, used to show how many individual orders make up an MDEntry
→290 MDEntryPositionNo N Display position of a bid or offer, numbered from most competitive to least competitive, per market side, beginning with 1
→546 Scope N
→811 PriceDelta N
→828 TrdType N Specifies trade type when a trade is being reported. Must be used when MDEntryType(269) = Trade(2).
→58 Text N Text to describe the Market Data Entry. Part of repeating group.
→354 EncodedTextLen N Must be set if EncodedText field is specified and must immediately precede it.
→355 EncodedText N Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
→1023 MDPriceLevel N Display position of a bid or offer, numbered from most competitive to least competitive, per market side, beginning with 1
→528 OrderCapacity N Designates the capacity of the firm placing the order
→1024 MDOriginType N
→332 HighPx N Used to report high price in association with trade, bid or ask rather than a separate entity
→333 LowPx N Used to report low price in association with trade, bid or ask rather than a separate entitty
→1025 FirstPx N Indicates the first price of a trading session; can be a bid, ask, or trade price.
→31 LastPx N Indicates the last price of a trading session; can be a bid, ask, or trade price.
→1020 TradeVolume N Used to report trade volume in association with trade, bid or ask rather than a separate entity
→63 SettlType N
→64 SettlDate N Indicates date on which instrument will settle.
For NDFs required for specifying the value date.
→1070 MDQuoteType N
→83 RptSeq N Used to identify the sequence number within a feed type
→1048 DealingCapacity N Identifies role of dealer; Agent, Principal, RisklessPrincipal
→1026 MDEntrySpotRate N
→1027 MDEntryForwardPoints N
Component Parties N

MDIncGrp

Tag Name Req’d Description
268 NoMDEntries N
→279 MDUpdateAction Y Must be first field in this repeating group.
→285 DeleteReason N If MDUpdateAction = Delete(2), can be used to specify a reason for the deletion.
→1173 MDSubBookType N Can be used to define a subordinate book.
→264 MarketDepth N Can be used to define the current depth of the book.
→269 MDEntryType N Conditionally required if MDUpdateAction = New(0). Cannot be changed.
→278 MDEntryID N If specified, must be unique among currently active entries if MDUpdateAction = New (0), must be the same as a previous MDEntryID if MDUpdateAction = Delete (2), and must be the same as a previous MDEntryID if MDUpdateAction = Change (1) and MDEntryRefID is not specified, or must be unique among currently active entries if MDUpdateAction = Change(1) and MDEntryRefID is specified..
→280 MDEntryRefID N If MDUpdateAction = New(0), for the first Market Data Entry in a message, either this field or a Symbol must be specified. If MDUpdateAction = Change(1), this must refer to a previous MDEntryID.
→1500 MDStreamID N
Component Instrument N Insert here the set of Instrument (symbology) fields defined in Common Components of Application Messages
Either Symbol (the instrument component block) or MDEntryRefID must be specified if MDUpdateAction = New(0) for the first Market Data Entry in a message. For subsequent Market Data Entries where MDUpdateAction = New(0), the default is the instrument used in the previous Market Data Entry if neither Symbol nor MDEntryRefID are specified, or in the case of options and futures, the previous instrument with changes specified in MaturityMonthYear, MaturityDay, StrikePrice, OptAttribute, and SecurityExchange. May not be changed.
Component UndInstrmtGrp N
Component InstrmtLegGrp N
→291 FinancialStatus N
→292 CorporateAction N
→270 MDEntryPx N Conditionally required when MDUpdateAction = New(0) and MDEntryType is not Imbalance(A) ), Trade Volume (B), or Open Interest (C).
Conditionally required when MDEntryType = auction clearing price
→423 PriceType N
Component YieldData N Insert here the set of YieldData (yield-related) fields defined in Common Components of Application Messages
Component SpreadOrBenchmarkCurveData N Insert here the set of SpreadOrBenchmarkCurveData (Fixed Income spread or benchmark curve) fields defined in Common Components of Application Messages
→40 OrdType N Used to support market mechanism type; limit order, market order, committed principal order
→15 Currency N Can be used to specify the currency of the quoted price.
→120 SettlCurrency N Required for NDFs to specify the settlement currency (fixing currency).
Component RateSource N
→271 MDEntrySize N Conditionally required when MDUpdateAction = New(0) andMDEntryType = Bid(0), Offer(1), Trade(2) ), Trade Volume(B), or Open Interest(C).
Conditionally required when MDEntryType = auction clearing price
Component SecSizesGrp N
→1093 LotType N Can be used to specify the lot type of the quoted size in order depth books.
→272 MDEntryDate N
→273 MDEntryTime N
→274 TickDirection N
→275 MDMkt N Market posting quote / trade. Valid values: See Volume 6: Appendix 6-C
→336 TradingSessionID N
→625 TradingSessionSubID N
→326 SecurityTradingStatus N
→327 HaltReason N
→276 QuoteCondition N Space-delimited list of conditions describing a quote.
→277 TradeCondition N Space-delimited list of conditions describing a trade
→828 TrdType N For optional use in reporting Trades
→574 MatchType N For optional use in reporting Trades
→282 MDEntryOriginator N
→283 LocationID N
→284 DeskID N
→286 OpenCloseSettlFlag N Used if MDEntryType = Opening Price(4), Closing Price(5), or Settlement Price(6).
→59 TimeInForce N For optional use when this Bid or Offer represents an order
→432 ExpireDate N For optional use when this Bid or Offer represents an order. ExpireDate and ExpireTime cannot both be specified in one Market Data Entry.
→126 ExpireTime N For optional use when this Bid or Offer represents an order. ExpireDate and ExpireTime cannot both be specified in one Market Data Entry.
→110 MinQty N For optional use when this Bid or Offer represents an order
→18 ExecInst N Can contain multiple instructions, space delimited.
→287 SellerDays N
→37 OrderID N For optional use when this Bid, Offer, or Trade represents an order
→198 SecondaryOrderID N For optional use to support Hit/Take (selecting a specific order from the feed) without disclosing a private order id.
→299 QuoteEntryID N For optional use when this Bid, Offer, or Trade represents a quote
→1003 TradeID N For optional use in reporting Trades
→288 MDEntryBuyer N For optional use in reporting Trades
→289 MDEntrySeller N For optional use in reporting Trades
→346 NumberOfOrders N In an Aggregated Book, used to show how many individual orders make up an MDEntry
→290 MDEntryPositionNo N Display position of a bid or offer, numbered from most competitive to least competitive, per market side, beginning with 1
→546 Scope N
→811 PriceDelta N
→451 NetChgPrevDay N
→58 Text N Text to describe the Market Data Entry. Part of repeating group.
→354 EncodedTextLen N Must be set if EncodedText field is specified and must immediately precede it.
→355 EncodedText N Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
→1023 MDPriceLevel N
→528 OrderCapacity N
→1024 MDOriginType N
→332 HighPx N
→333 LowPx N
→1025 FirstPx N Indicates the first price of a trading session; can be a bid, ask, or a trade price.
→31 LastPx N Indicates the last price of a trading session; can be a bid, ask, or a trade price.
→1020 TradeVolume N
→63 SettlType N
→64 SettlDate N Indicates date on which instrument will settle.
For NDFs required for specifying the value date.
→483 TransBkdTime N For optional use in reporting Trades. Used to specify the time of trade agreement for privately negotiated trades.
→60 TransactTime N For optional use in reporting Trades. Used to specify the time of matching.
→1070 MDQuoteType N
→83 RptSeq N Allows sequence number to be specified within a feed type
→1048 DealingCapacity N Identifies role of dealer; Agent, Principal, RisklessPrincipal
→1026 MDEntrySpotRate N
→1027 MDEntryForwardPoints N
Component StatsIndGrp N
Component Parties N

MDReqGrp

Tag Name Req’d Description
267 NoMDEntryTypes N
→269 MDEntryType Y Must 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

Tag Name Req’d Description
816 NoAltMDSource N
→817 AltMDSourceID N Alternative Market Data Source

SecSizesGrp

Tag Name Req’d Description
1177 NoOfSecSizes N
→1178 MDSecSizeType N Defines the type of secondary size specified in MDSecSize(1179). Must be first field in this repeating group
→1179 MDSecSize N

StatsIndGrp

Tag Name Req’d Description
1175 NoStatsIndicators N
→1176 StatsType N Indicates 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

Tag Name Req’d Description
1499 NoAsgnReqs N
Component Parties N
Component StrmAsgnReqInstrmtGrp N

StrmAsgnReqInstrmtGrp

Tag Name Req’d Description
146 NoRelatedSym N
Component Instrument N
→63 SettlType N
→271 MDEntrySize N
→1500 MDStreamID N

StrmAsgnRptGrp

Tag Name Req’d Description
1499 NoAsgnReqs N
Component Parties N
Component StrmAsgnRptInstrmtGrp N

StrmAsgnRptInstrmtGrp

Tag Name Req’d Description
146 NoRelatedSym N
Component Instrument N
→63 SettlType N
→1617 StreamAsgnType N
→1500 MDStreamID N
→1502 StreamAsgnRejReason N
→58 Text N
→354 EncodedTextLen N
→355 EncodedText N

Messages

StreamAssignmentRequest Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = CC
1497 StreamAsgnReqID Y Unique identifier of the request.
1498 StreamAsgnReqType Y Type of assignment being requested.
Component StrmAsgnReqGrp Y Assignment requests
Component StandardTrailer Y

StreamAssignmentReport Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = CD
1501 StreamAsgnRptID Y Unique identifier of the Stream Assignment Report.
1498 StreamAsgnReqType N Required if report is being sent in response to a StreamAssignmentRequest. The value should be the same as the value in the corresponding request.
1497 StreamAsgnReqID N Conditionally required if Stream Assignment Report is being sent in response to a StreamAssignmentRequest(MsgType=CC). Not required for unsolicited stream assignments.
Component StrmAsgnRptGrp N Stream assignments
Component StandardTrailer Y

StreamAssignmentReportACK Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = CE
1503 StreamAsgnAckType Y
1501 StreamAsgnRptID Y
1502 StreamAsgnRejReason N
58 Text N Can be used to provide additional information regarding the assignment report, such as reject description.
354 EncodedTextLen N
355 EncodedText N
Component StandardTrailer Y

MarketDataRequest Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = V
262 MDReqID Y Must be unique, or the ID of previous Market Data Request to disable if SubscriptionRequestType = Disable previous Snapshot + Updates Request (2).
263 SubscriptionRequestType Y SubscriptionRequestType 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.
Component Parties N Insert here the set of Parties (firm identification) fields defined in Common Components of Application Messages
264 MarketDepth Y
265 MDUpdateType N Required if SubscriptionRequestType = Snapshot + Updates (1).
266 AggregatedBook N
286 OpenCloseSettlFlag N Can be used to clarify a request if MDEntryType = Opening Price(4), Closing Price(5), or Settlement Price(6).
546 Scope N Defines the scope(s) of the request
547 MDImplicitDelete N Can be used when MarketDepth >= 2 and MDUpdateType = Incremental Refresh(1).
Component MDReqGrp Y Number of MDEntryType fields requested.
Component InstrmtMDReqGrp Y Number of symbols (instruments) requested.
Component TrdgSesGrp N Number of trading sessions for which the request is valid.
815 ApplQueueAction N Action to take if application level queuing exists
812 ApplQueueMax N Maximum application queue depth that must be exceeded before queuing action is taken.
1070 MDQuoteType N
Component StandardTrailer Y

MarketDataSnapshotFullRefresh Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = W
Component ApplicationSequenceControl N
911 TotNumReports N Total number or reports returned in response to a request.
963 MDReportID N Unique indentifier for Market Data Report
715 ClearingBusinessDate N
1021 MDBookType N Describes the type of book for which the feed is intended. Can be used when multiple feeds are provided over the same connection
1173 MDSubBookType N Can be used to define a subordinate book.
264 MarketDepth N Can be used to define the current depth of the book.
1022 MDFeedType N Describes a class of service for a given data feed, ie Regular and Market Maker
1187 RefreshIndicator N
75 TradeDate N Used to specify the trading date for which a set of market data applies
262 MDReqID N Conditionally required if this message is in response to a Market Data Request.
1500 MDStreamID N
Component Instrument Y Insert here the set of Instrument (symbology) fields defined in Common Components of Application Messages
Component UndInstrmtGrp N Number of underlyings
Component InstrmtLegGrp N Required for multileg quotes
291 FinancialStatus N
292 CorporateAction N
451 NetChgPrevDay N
Component MDFullGrp Y Number of entries following.
813 ApplQueueDepth N Depth of application messages queued for transmission as of delivery of this message
814 ApplQueueResolution N Action taken to resolve application queuing
Component RoutingGrp N
Component StandardTrailer Y

MarketDataIncrementalRefresh Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = X
Component ApplicationSequenceControl N
1021 MDBookType N Describes the type of book for which the feed is intended. Can be used when multiple feeds are provided over the same connection
1022 MDFeedType N Describes a class of service for a given data feed, ie Regular and Market Maker
75 TradeDate N Used to specify the trading date for which a set of market data applies
262 MDReqID N Conditionally required if this message is in response to a Market Data Request.
Component MDIncGrp Y Number of entries following.
813 ApplQueueDepth N Depth of application messages queued for transmission as of delivery of this message
814 ApplQueueResolution N Action taken to resolve application queuing
Component RoutingGrp N
Component StandardTrailer Y

MarketDataRequestReject Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = Y
262 MDReqID Y Must refer to the MDReqID of the request.
Component Parties N Insert here the set of Parties (firm identification) fields defined in Common Components of Application Messages
281 MDReqRejReason N
Component MDRjctGrp N
58 Text N
354 EncodedTextLen N Must be set if EncodedText field is specified and must immediately precede it.
355 EncodedText N Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
Component StandardTrailer Y

Appendix – MarketStructureReferenceData Category

Components

TrdSessLstGrp

Tag Name Req’d Description
386 NoTradingSessions N
→336 TradingSessionID Y Identifier for Trading Session
→625 TradingSessionSubID N
→1327 TradSesUpdateAction N
→207 SecurityExchange N
→1301 MarketID N Market for which Trading Session applies
→1300 MarketSegmentID N Market Segment for which Trading Session applies
→1326 TradingSessionDesc N
→338 TradSesMethod N Method of Trading
→339 TradSesMode N Trading Session Mode
→325 UnsolicitedIndicator N Y if message is sent unsolicited as a result of a previous subscription request.
→340 TradSesStatus Y State of trading session.
→567 TradSesStatusRejReason N Used with TradSesStatus = Request Rejected
→341 TradSesStartTime N Starting time of trading session
→342 TradSesOpenTime N Time of the opening of the trading session
→343 TradSesPreCloseTime N Time of pre-close of trading session
→344 TradSesCloseTime N Closing time of trading session
→345 TradSesEndTime N End time of trading session
→387 TotalVolumeTraded N
Component TradingSessionRules N Insert here the set of TradingSessionRules fields defined in common components of application messages
→60 TransactTime N
→58 Text N
→354 EncodedTextLen N Must be set if EncodedText field is specified and must immediately precede it.
→355 EncodedText N Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.

Messages

TradingSessionListRequest Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = BI
335 TradSesReqID Y Must be unique, or the ID of previous Trading Session Status Request to disable if SubscriptionRequestType = Disable previous Snapshot + Update Request (2).
1301 MarketID N Market for which Trading Session applies
1300 MarketSegmentID N Market Segment for which Trading Session applies
336 TradingSessionID N Trading Session for which status is being requested
625 TradingSessionSubID N
207 SecurityExchange N
338 TradSesMethod N Method of Trading
339 TradSesMode N Trading Session Mode
263 SubscriptionRequestType Y
Component StandardTrailer Y

TradingSessionList Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = BJ
Component ApplicationSequenceControl N
335 TradSesReqID N Provided for a response to a specific Trading Session List Request message (snapshot).
Component TrdSessLstGrp Y
Component StandardTrailer Y

TradingSessionListUpdateReport Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = BS
Component ApplicationSequenceControl N
335 TradSesReqID N Provided for a response to a specific Trading Session List Request message (snapshot).
Component TrdSessLstGrp Y
Component StandardTrailer Y

MarketDefinitionRequest Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = BT
1393 MarketReqID Y Must be unique, or the ID of previous Market Segment Request to disable if SubscriptionRequestType = Disable previous Snapshot + Updates Request(2).
263 SubscriptionRequestType Y
1301 MarketID N Conditionally required if MarketSegmentID(1300) is specified on the request
1300 MarketSegmentID N
1325 ParentMktSegmID N Specifies that the Market Segment is a sub segment of the Market Segment defined in this field.
Component StandardTrailer Y

MarketDefinition Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = BU
Component ApplicationSequenceControl N
1394 MarketReportID Y Unique identifier for each Market Definition message
1393 MarketReqID N
1301 MarketID Y
1300 MarketSegmentID N
1396 MarketSegmentDesc N
1397 EncodedMktSegmDescLen N Must be set if EncodedMktSegmDesc field is specified and must immediately precede it.
1398 EncodedMktSegmDesc N Encoded (non-ASCII characters) representation of the MarketSegmDesc field in the encoded format specified via the MessageEncoding field.
1325 ParentMktSegmID N Specifies that the Market Segment is a sub segment of the Market Segment defined in this field.
15 Currency N The default trading currency
Component BaseTradingRules N Insert here the set of BaseTradingRules fields defined in common components of application messages
Component OrdTypeRules N Insert here the set of OrdTypeRules fields defined in common components of application messages
Component TimeInForceRules N Insert here the set of TimeInForceRules fields defined in common components of application messages
Component ExecInstRules N Insert here the set of ExecInstRules fields defined in common components of application messages
60 TransactTime N
58 Text N Comment, instructions, or other identifying information.
354 EncodedTextLen N Must be set if EncodedText field is specified and must immediately precede it.
355 EncodedText N Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
Component StandardTrailer Y

MarketDefinitionUpdateReport Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = BV
Component ApplicationSequenceControl N
1394 MarketReportID Y Unique identifier for each Market Definition message
1393 MarketReqID N
1395 MarketUpdateAction N Specifies the action taken
1301 MarketID Y
1300 MarketSegmentID N
1396 MarketSegmentDesc N
1397 EncodedMktSegmDescLen N Must be set if EncodedMktSegmDesc field is specified and must immediately precede it.
1398 EncodedMktSegmDesc N Encoded (non-ASCII characters) representation of the MarketSegmDesc field in the encoded format specified via the MessageEncoding field.
1325 ParentMktSegmID N Specifies that the Market Segment is a sub segment of the Market Segment defined in this field.
15 Currency N The default trading currency
Component BaseTradingRules N Insert here the set of BaseTradingRules fields defined in common components of application messages
Component OrdTypeRules N Insert here the set of OrdTypeRules fields defined in common components of application messages
Component TimeInForceRules N Insert here the set of TimeInForceRules fields defined in common components of application messages
Component ExecInstRules N Insert here the set of ExecInstRules fields defined in common components of application messages
60 TransactTime N
58 Text N Comment, instructions, or other identifying information.
354 EncodedTextLen N Must be set if EncodedText field is specified and must immediately precede it.
355 EncodedText N Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
Component StandardTrailer Y

TradingSessionStatusRequest Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = g (lowercase)
335 TradSesReqID Y Must be unique, or the ID of previous Trading Session Status Request to disable if SubscriptionRequestType = Disable previous Snapshot + Updates Request (2).
1301 MarketID N Market for which Trading Session applies
1300 MarketSegmentID N Market Segment for which Trading Session applies
336 TradingSessionID N Trading Session for which status is being requested
625 TradingSessionSubID N
338 TradSesMethod N Method of trading
339 TradSesMode N Trading Session Mode
263 SubscriptionRequestType Y
207 SecurityExchange N
Component StandardTrailer Y

TradingSessionStatus Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = h (lowercase)
Component ApplicationSequenceControl N
335 TradSesReqID N Provided for a response to a specific Trading Session Status Request message (snapshot).
1301 MarketID N Market for which Trading Session applies
1300 MarketSegmentID N Market Segment for which Trading Session applies
336 TradingSessionID Y Identifier for Trading Session
625 TradingSessionSubID N
338 TradSesMethod N Method of trading:
339 TradSesMode N Trading Session Mode
325 UnsolicitedIndicator N Set to ‘Y’ if message is sent unsolicited as a result of a previous subscription request.
340 TradSesStatus Y State of the trading session
1368 TradSesEvent N Identifies an event related to the trading status of a trading session
567 TradSesStatusRejReason N Use with TradSesStatus = Request Rejected
341 TradSesStartTime N Starting time of the trading session
342 TradSesOpenTime N Time of the opening of the trading session
343 TradSesPreCloseTime N Time of the pre-close of the trading session
344 TradSesCloseTime N Closing time of the trading session
345 TradSesEndTime N End time of the trading session
387 TotalVolumeTraded N
58 Text N
354 EncodedTextLen N Must be set if EncodedText field is specified and must immediately precede it.
355 EncodedText N Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
Component Instrument N
Component StandardTrailer Y

Appendix – QuotationNegotiation Category

Components

LegQuotGrp

Tag Name Req’d Description
555 NoLegs N
Component InstrumentLeg N Required for multileg quotes
For Swaps one leg is Buy and other leg is Sell
→687 LegQty N
→685 LegOrderQty N When reporting an Execution, LegOrderQty may be used on Execution Report to echo back original LegOrderQty submission.
This field should be used to specify OrderQty at the leg level rather than LegQty (deprecated).
→690 LegSwapType N
→587 LegSettlType N
→588 LegSettlDate N
Component LegStipulations N
Component NestedParties N
→686 LegPriceType N Code to represent type of price presented in LegBidPx and LegOfferPx. Required if LegBidPx or PegOfferPx is present.
→681 LegBidPx N
→684 LegOfferPx N
Component LegBenchmarkCurveData N
→654 LegRefID N Initiator can optionally provide a unique identifier for the specific leg. Required for FX Swaps
→1067 LegBidForwardPoints N
→1068 LegOfferForwardPoints N

LegQuotStatGrp

Tag Name Req’d Description
555 NoLegs N
Component InstrumentLeg N Required for multileg quote status reports
For Swaps one leg is Buy and other leg is Sell
→687 LegQty N
→685 LegOrderQty N When reporting an Execution, LegOrderQty may be used on Execution Report to echo back original LegOrderQty submission.
This field should be used to specify OrderQty at the leg level rather than LegQty (deprecated).
→690 LegSwapType N
→587 LegSettlType N
→588 LegSettlDate N
Component LegStipulations N
Component NestedParties N

QuotCxlEntriesGrp

Tag Name Req’d Description
295 NoQuoteEntries N
Component Instrument N Insert here the set of Instrument (symbology) fields defined in Common Components of Application Messages
Component FinancingDetails N Insert here the set of FinancingDetails (symbology) fields defined in Common Components of Application Messages
Component UndInstrmtGrp N
Component InstrmtLegGrp N

QuotEntryAckGrp

Tag Name Req’d Description
295 NoQuoteEntries N
→299 QuoteEntryID N Uniquely identifies the quote across the complete set of all quotes for a given quote provider.
First field in repeating group. Required if NoQuoteEntries > 0.
Component Instrument N Insert here the set of Instrument (symbology) fields defined in Common Components of Application Messages
Component InstrmtLegGrp N
→132 BidPx N If 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.
→133 OfferPx N If 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.
→134 BidSize N
→135 OfferSize N
→62 ValidUntilTime N
→188 BidSpotRate N May be applicable for F/X quotes
→190 OfferSpotRate N May be applicable for F/X quotes
→189 BidForwardPoints N May be applicable for F/X quotes
→191 OfferForwardPoints N May be applicable for F/X quotes
→631 MidPx N
→632 BidYield N
→633 MidYield N
→634 OfferYield N
→60 TransactTime N
→336 TradingSessionID N
→625 TradingSessionSubID N
→64 SettlDate N Can be used with forex quotes to specify a specific value date
→40 OrdType N Can be used to specify the type of order the quote is for
→193 SettlDate2 N Can be used with OrdType = Forex – Swap to specify the value date for the future portion of a F/X swap.
→192 OrderQty2 N Can be used with OrdType = Forex – Swap to specify the order quantity for the future portion of a F/X swap.
→642 BidForwardPoints2 N Bid F/X forward points of the future portion of a F/X swap quote added to spot rate. May be a negative value
→643 OfferForwardPoints2 N Offer F/X forward points of the future portion of a F/X swap quote added to spot rate. May be a negative value
→15 Currency N Can be used to specify the currency of the quoted price.
→775 BookingType N
→528 OrderCapacity N
→529 OrderRestrictions N
→1167 QuoteEntryStatus N
→368 QuoteEntryRejectReason N Reason Quote Entry was rejected.

QuotEntryGrp

Tag Name Req’d Description
295 NoQuoteEntries N
→299 QuoteEntryID Y Uniquely identifies the quote across the complete set of all quotes for a given quote provider.
Component Instrument N Insert here the set of Instrument (symbology) fields defined in Common Components of Application Messages
Component InstrmtLegGrp N
→132 BidPx N If 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.
→133 OfferPx N If 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.
→134 BidSize N
→135 OfferSize N
→62 ValidUntilTime N
→188 BidSpotRate N May be applicable for F/X quotes
→190 OfferSpotRate N May be applicable for F/X quotes
→189 BidForwardPoints N May be applicable for F/X quotes
→191 OfferForwardPoints N May be applicable for F/X quotes
→631 MidPx N
→632 BidYield N
→633 MidYield N
→634 OfferYield N
→60 TransactTime N
→336 TradingSessionID N
→625 TradingSessionSubID N
→64 SettlDate N Can be used with forex quotes to specify a specific value date
→40 OrdType N Can be used to specify the type of order the quote is for
→193 SettlDate2 N Can be used with OrdType = Forex – Swap to specify the value date for the future portion of a F/X swap.
→192 OrderQty2 N Can be used with OrdType = Forex – Swap to specify the order quantity for the future portion of a F/X swap.
→642 BidForwardPoints2 N Bid F/X forward points of the future portion of a F/X swap quote added to spot rate. May be a negative value
→643 OfferForwardPoints2 N Offer F/X forward points of the future portion of a F/X swap quote added to spot rate. May be a negative value
→15 Currency N Can be used to specify the currency of the quoted price.
→775 BookingType N
→528 OrderCapacity N
→529 OrderRestrictions N

QuotQualGrp

Tag Name Req’d Description
735 NoQuoteQualifiers N
→695 QuoteQualifier N Required if NoQuoteQualifiers > 1

QuotReqGrp

Tag Name Req’d Description
146 NoRelatedSym N
Component Instrument Y Insert here the set of Instrument (symbology) fields defined in Common Components of Application Messages
Component FinancingDetails N Insert here the set of FinancingDetails (symbology) fields defined in Common Components of Application Messages
Component UndInstrmtGrp N
→140 PrevClosePx N Useful for verifying security identification
→303 QuoteRequestType N Indicates the type of Quote Request (e.g. Manual vs. Automatic) being generated.
→537 QuoteType N Type 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.
→336 TradingSessionID N
→625 TradingSessionSubID N
→229 TradeOriginationDate N
→54 Side N If 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.
→854 QtyType N Type of quantity specified in a quantity field.
For FX, if used, should be 0.
Component OrderQtyData N Required for single instrument quoting.
Required for Fixed Income if QuoteType is Tradeable.
→110 MinQty N
→63 SettlType N For NDFs either SettlType (specifying the tenor) or SettlDate must be specified.
→64 SettlDate N Can 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.
→193 SettlDate2 N Can be used with OrdType = Forex – Swap to specify the value date for the future portion of a F/X swap.
→192 OrderQty2 N Can be used with OrdType = Forex – Swap to specify the order quantity for the future portion of a F/X swap.
→15 Currency N Can be used to specify the desired currency of the quoted price. May differ from the ‘normal’ trading currency of the instrument being quote requested.
→120 SettlCurrency N Required for NDFs to specify the settlement currency (fixing currency).
Component RateSource N
Component Stipulations N Insert here the set of Stipulations (repeating group of Fixed Income stipulations) fields defined in Common Components of Application Messages
→1 Account N
→660 AcctIDSource N
→581 AccountType N
Component QuotReqLegsGrp N
Component QuotQualGrp N
→692 QuotePriceType N Initiator 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.
→40 OrdType N Can be used to specify the type of order the quote request is for
→62 ValidUntilTime N Used by the quote initiator to indicate the period of time the resulting Quote must be valid until
→126 ExpireTime N The time when Quote Request will expire.
→60 TransactTime N Time transaction was entered
Component SpreadOrBenchmarkCurveData N Insert here the set of SpreadOrBenchmarkCurveData (Fixed Income spread or benchmark curve) fields defined in Common Components of Application Messages
→423 PriceType N
→44 Price N Quoted or target price
→640 Price2 N Can be used with OrdType = Forex – Swap to specify the Quoted or target price for the future portion of a F/X swap.
Component YieldData N Insert here the set of YieldData (yield-related) fields defined in Common Components of Application Messages
Component Parties N

QuotReqLegsGrp

Tag Name Req’d Description
555 NoLegs N
Component InstrumentLeg N Required for multileg quotes
For Swaps one leg is Buy and other leg is Sell
→687 LegQty N
→685 LegOrderQty N When reporting an Execution, LegOrderQty may be used on Execution Report to echo back original LegOrderQty submission.
This field should be used to specify OrderQty at the leg level rather than LegQty (deprecated).
→690 LegSwapType N
→587 LegSettlType N
→588 LegSettlDate N
Component LegStipulations N
Component NestedParties N
Component LegBenchmarkCurveData N
→654 LegRefID N Initiator can optionally provide a unique identifier for the specific leg.

QuotReqRjctGrp

Tag Name Req’d Description
146 NoRelatedSym N
Component Instrument Y Insert here the set of Instrument (symbology) fields defined in Common Components of Application Messages
Component FinancingDetails N Insert here the set of FinancingDetails (symbology) fields defined in Common Components of Application Messages
Component UndInstrmtGrp N
→140 PrevClosePx N Useful for verifying security identification
→303 QuoteRequestType N Indicates the type of Quote Request (e.g. Manual vs. Automatic) being generated.
→537 QuoteType N Type of quote being requested from counterparty or market (e.g. Indicative, Firm, or Restricted Tradeable)
→336 TradingSessionID N
→625 TradingSessionSubID N
→229 TradeOriginationDate N
→54 Side N If 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.
→854 QtyType N
Component OrderQtyData N Insert here the set of OrderQytData fields defined in Common Components of Application Messages
Required if component is specified in Quote Request message.
→63 SettlType N
→64 SettlDate N Can be used (e.g. with forex quotes) to specify the desired value date
→193 SettlDate2 N Can be used with OrdType = Forex – Swap to specify the value date for the future portion of a F/X swap.
→192 OrderQty2 N Can be used with OrdType = Forex – Swap to specify the order quantity for the future portion of a F/X swap.
→15 Currency N Can be used to specify the desired currency of the quoted price. May differ from the ‘normal’ trading currency of the instrument being quote requested.
Component Stipulations N Insert here the set of Stipulations (repeating group of Fixed Income stipulations) fields defined in Common Components of Application Messages
→1 Account N
→660 AcctIDSource N
→581 AccountType N
Component QuotReqLegsGrp N
Component QuotQualGrp N
→692 QuotePriceType N Initiator 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.
→40 OrdType N Can be used to specify the type of order the quote request is for
→126 ExpireTime N The time when Quote Request will expire.
→60 TransactTime N Time transaction was entered
Component SpreadOrBenchmarkCurveData N Insert here the set of SpreadOrBenchmarkCurveData (Fixed Income spread or benchmark curve) fields defined in Common Components of Application Messages
→423 PriceType N
→44 Price N Quoted or target price
→640 Price2 N Can be used with OrdType = Forex – Swap to specify the Quoted or target price for the future portion of a F/X swap.
Component YieldData N Insert here the set of YieldData (yield-related) fields defined in Common Components of Application Messages
Component Parties N Insert here the set of Parties (firm identification) fields defined in Common Components of Application Messages

QuotSetAckGrp

Tag Name Req’d Description
296 NoQuoteSets N
→302 QuoteSetID N First field in repeating group. Required if NoQuoteSets > 0
Component UnderlyingInstrument N Insert here the set of UnderlyingInstrument (underlying symbology) fields defined in Common Components of Application Messages
Required if NoQuoteSets > 0
→367 QuoteSetValidUntilTime N
→304 TotNoQuoteEntries N Total 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
→1168 TotNoCxldQuotes N Total number of quotes canceled for the quote set across all messages.
→1169 TotNoAccQuotes N Total number of quotes accepted for the quote set across all messages.
→1170 TotNoRejQuotes N Total number of quotes rejected for the quote set across all messages.
→893 LastFragment N Indicates whether this is the last fragment in a sequence of message fragments. Only required where message has been fragmented.
Component QuotEntryAckGrp N

QuotSetGrp

Tag Name Req’d Description
296 NoQuoteSets N
→302 QuoteSetID Y Sequential number for the Quote Set. For a given QuoteID – assumed to start at 1.
Must be the first field in the repeating group.
Component UnderlyingInstrument N Insert here the set of UnderlyingInstrument (underlying symbology) fields defined in Common Components of Application Messages
→367 QuoteSetValidUntilTime N
→304 TotNoQuoteEntries Y Total 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.
→893 LastFragment N Indicates whether this is the last fragment in a sequence of message fragments. Only required where message has been fragmented.
Component QuotEntryGrp Y

RFQReqGrp

Tag Name Req’d Description
146 NoRelatedSym N
Component Instrument Y Insert here the set of Instrument (symbology) fields defined in Common Components of Application Messages
Component UndInstrmtGrp N
Component InstrmtLegGrp N
→140 PrevClosePx N Useful for verifying security identification
→303 QuoteRequestType N Indicates the type of Quote Request (e.g. Manual vs. Automatic) being generated.
→537 QuoteType N Type of quote being requested from counterparty or market (e.g. Indicative, Firm, or Restricted Tradeable)
→336 TradingSessionID N
→625 TradingSessionSubID N

Messages

QuoteRequestReject Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = AG
131 QuoteReqID Y
644 RFQReqID N For tradeable quote model – used to indicate to which RFQ Request this Quote Request is in response.
658 QuoteRequestRejectReason Y Reason Quote was rejected
1171 PrivateQuote N Used 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.
1172 RespondentType N
1091 PreTradeAnonymity N
Component RootParties N Insert 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..
Component QuotReqRjctGrp Y Number of related symbols (instruments) in Request
58 Text N
354 EncodedTextLen N Must be set if EncodedText field is specified and must immediately precede it.
355 EncodedText N Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
Component StandardTrailer Y

RFQRequest Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = AH
644 RFQReqID Y
Component Parties N Insert here the set of Parties (firm identification) fields defined in COMMON COMPONENTS OF APPLICATION MESSAGES
Component RFQReqGrp Y Number of related symbols (instruments) in Request
263 SubscriptionRequestType N Used to subscribe for Quote Requests that are sent into a market
1171 PrivateQuote N Used 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.
Component StandardTrailer Y

QuoteStatusReport Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = AI
649 QuoteStatusReqID N
131 QuoteReqID N Required when quote is in response to a Quote Request message
117 QuoteID N Maps to QuoteID(117) of a single Quote(MsgType=S) or QuoteEntryID(299) of a MassQuote(MsgType=i).
1166 QuoteMsgID N Maps to QuoteMsgID(1166) of a single Quote(MsgType=S) or QuoteID(117) of a MassQuote(MsgType=i).
693 QuoteRespID N Required when responding to a Quote Response message.
537 QuoteType N Quote Type
If not specified, the default is an indicative quote
298 QuoteCancelType N
Component Parties N Insert here the set of Parties (firm identification) fields defined in Common Components of Application Messages
Component TargetParties N Can be populated with the values provided on the associated QuoteStatusRequest(MsgType=A).
336 TradingSessionID N
625 TradingSessionSubID N
Component Instrument N Conditionally required when reporting status of a single security quote.
Component FinancingDetails N Insert here the set of FinancingDetails (symbology) fields defined in Common Components of Application Messages
Component UndInstrmtGrp N Number of underlyings
54 Side N
Component OrderQtyData N Required for Tradeable quotes of single instruments
63 SettlType N
64 SettlDate N Can be used with forex quotes to specify a specific value date
193 SettlDate2 N Can be used with OrdType = Forex – Swap to specify the value date for the future portion of a F/X swap.
192 OrderQty2 N Can be used with OrdType = Forex – Swap to specify the order quantity for the future portion of a F/X swap.
15 Currency N Can be used to specify the currency of the quoted prices. May differ from the ‘normal’ trading currency of the instrument being quoted
Component Stipulations N
1 Account N
660 AcctIDSource N
581 AccountType N Type of account associated with the order (Origin)
Component LegQuotStatGrp N Required for multileg quote status reports
Component QuotQualGrp N
126 ExpireTime N
44 Price N
423 PriceType N
Component SpreadOrBenchmarkCurveData N
Component YieldData N
132 BidPx N If 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.
133 OfferPx N If 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.
645 MktBidPx N Can be used by markets that require showing the current best bid and offer
646 MktOfferPx N Can be used by markets that require showing the current best bid and offer
647 MinBidSize N Specifies the minimum bid size. Used for markets that use a minimum and maximum bid size.
134 BidSize N Specifies the bid size. If MinBidSize is specified, BidSize is interpreted to contain the maximum bid size.
648 MinOfferSize N Specifies the minimum offer size. If MinOfferSize is specified, OfferSize is interpreted to contain the maximum offer size.
135 OfferSize N Specified the offer size. If MinOfferSize is specified, OfferSize is interpreted to contain the maximum offer size.
110 MinQty N
62 ValidUntilTime N
188 BidSpotRate N May be applicable for F/X quotes
190 OfferSpotRate N May be applicable for F/X quotes
189 BidForwardPoints N May be applicable for F/X quotes
191 OfferForwardPoints N May be applicable for F/X quotes
631 MidPx N
632 BidYield N
633 MidYield N
634 OfferYield N
60 TransactTime N
40 OrdType N Can be used to specify the type of order the quote is for
642 BidForwardPoints2 N Bid F/X forward points of the future portion of a F/X swap quote added to spot rate. May be a negative value
643 OfferForwardPoints2 N Offer F/X forward points of the future portion of a F/X swap quote added to spot rate. May be a negative value
656 SettlCurrBidFxRate N Can 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
657 SettlCurrOfferFxRate N Can 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
156 SettlCurrFxRateCalc N Can be used when the quote is provided in a currency other than the instruments trading currency.
13 CommType N Can be used to show the counterparty the commission associated with the transaction.
12 Commission N Can be used to show the counterparty the commission associated with the transaction.
582 CustOrderCapacity N For Futures Exchanges
100 ExDestination N Used when routing quotes to multiple markets
1133 ExDestinationIDSource N
775 BookingType N
528 OrderCapacity N
529 OrderRestrictions N
297 QuoteStatus N Quote Status
300 QuoteRejectReason N Reason Quote was rejected
58 Text N
354 EncodedTextLen N
355 EncodedText N
Component StandardTrailer Y

QuoteResponse Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = AJ
693 QuoteRespID Y Unique ID as assigned by the Initiator
117 QuoteID N Required only when responding to a Quote.
1166 QuoteMsgID N Optionally used when responding to a Quote.
694 QuoteRespType Y Type of response this Quote Response is.
11 ClOrdID N Unique ID as assigned by the Initiator. Required only in two-party models when QuoteRespType(694) = 1 (Hit/Lift) or 2 (Counter quote).
528 OrderCapacity N
529 OrderRestrictions N
23 IOIID N Required only when responding to an IOI.
537 QuoteType N Default is Indicative.
1091 PreTradeAnonymity N
Component QuotQualGrp N
Component Parties N Insert here the set of Parties (firm identification) fields defined in Common Components of Application Messages
336 TradingSessionID N
625 TradingSessionSubID N
Component Instrument Y Insert here the set of Instrument (symbology) fields defined in Common Components of Application Messages
For multilegs supply minimally a value for Symbol (55).
Component FinancingDetails N Insert here the set of FinancingDetails (symbology) fields defined in Common Components of Application Messages
For multilegs supply minimally a value for Symbol (55).
Component UndInstrmtGrp N Number of underlyings
54 Side N Required when countering a single instrument quote or hit/lift an IOI or Quote.
Component OrderQtyData N Insert here the set of OrderQtyData fields defined in Common Components of Application Messages
Required when countering a single instrument quote or hit/lift an IOI or Quote.
110 MinQty N
63 SettlType N
64 SettlDate N Can be used with forex quotes to specify a specific value date
193 SettlDate2 N Can be used with OrdType = Forex – Swap to specify the value date for the future portion of a F/X swap.
192 OrderQty2 N Can be used with OrdType = Forex – Swap to specify the order quantity for the future portion of a F/X swap.
15 Currency N Can be used to specify the currency of the quoted prices. May differ from the ‘normal’ trading currency of the instrument being quoted
Component Stipulations N Optional
1 Account N
660 AcctIDSource N Used to identify the source of the Account code.
581 AccountType N Type of account associated with the order (Origin)
Component LegQuotGrp N Required for multileg quote response
132 BidPx N If 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.
133 OfferPx N If 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.
645 MktBidPx N Can be used by markets that require showing the current best bid and offer
646 MktOfferPx N Can be used by markets that require showing the current best bid and offer
647 MinBidSize N Specifies the minimum bid size. Used for markets that use a minimum and maximum bid size.
134 BidSize N Specifies the bid size. If MinBidSize is specified, BidSize is interpreted to contain the maximum bid size.
648 MinOfferSize N Specifies the minimum offer size. If MinOfferSize is specified, OfferSize is interpreted to contain the maximum offer size.
135 OfferSize N Specified the offer size. If MinOfferSize is specified, OfferSize is interpreted to contain the maximum offer size.
62 ValidUntilTime N The time when the quote will expire.
Required for FI when the QuoteRespType is 2 (Counter quote) to indicate to the Respondent when the counter offer is valid until.
188 BidSpotRate N May be applicable for F/X quotes
190 OfferSpotRate N May be applicable for F/X quotes
189 BidForwardPoints N May be applicable for F/X quotes
191 OfferForwardPoints N May be applicable for F/X quotes
631 MidPx N
632 BidYield N
633 MidYield N
634 OfferYield N
60 TransactTime N
40 OrdType N Can be used to specify the type of order the quote is for.
642 BidForwardPoints2 N Bid F/X forward points of the future portion of a F/X swap quote added to spot rate. May be a negative value
643 OfferForwardPoints2 N Offer F/X forward points of the future portion of a F/X swap quote added to spot rate. May be a negative value
656 SettlCurrBidFxRate N Can 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
657 SettlCurrOfferFxRate N Can 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
156 SettlCurrFxRateCalc N Can be used when the quote is provided in a currency other than the instruments trading currency.
12 Commission N Can be used to show the counterparty the commission associated with the transaction.
13 CommType N Can be used to show the counterparty the commission associated with the transaction.
582 CustOrderCapacity N For Futures Exchanges
100 ExDestination N Used when routing quotes to multiple markets
1133 ExDestinationIDSource N
58 Text N
354 EncodedTextLen N Must be set if EncodedText field is specified and must immediately precede it.
355 EncodedText N Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
44 Price N
423 PriceType N
Component SpreadOrBenchmarkCurveData N Insert here the set of SpreadOrBenchmarkCurveData fields defined in Common Components of Application Messages
Component YieldData N Insert here the set of YieldData fields defined in Common Components of Application Messages
Component StandardTrailer Y

QuoteRequest Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = R
131 QuoteReqID Y
644 RFQReqID N For tradeable quote model – used to indicate to which RFQ Request this Quote Request is in response.
11 ClOrdID N Required only in two party models when QuoteType(537) = ‘1’ (Tradeable) and the OrdType(40) = ‘2’ (Limit).
775 BookingType N
528 OrderCapacity N
529 OrderRestrictions N
1171 PrivateQuote N Used 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.
1172 RespondentType N
1091 PreTradeAnonymity N
Component RootParties N Insert 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..
Component QuotReqGrp Y Number of related symbols (instruments) in Request
58 Text N
354 EncodedTextLen N Must be set if EncodedText field is specified and must immediately precede it.
355 EncodedText N Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
Component StandardTrailer Y

Quote Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = S
131 QuoteReqID N Required when quote is in response to a Quote Request message
117 QuoteID Y
1166 QuoteMsgID N Optionally used to supply a message identifier for a quote.
693 QuoteRespID N Required when responding to the Quote Response message. The counterparty specified ID of the Quote Response message.
537 QuoteType N Quote Type
If not specified, the default is an indicative quote
1171 PrivateQuote N Used 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.
Component QuotQualGrp N
301 QuoteResponseLevel N Level of Response requested from receiver of quote messages.
Component Parties N Insert here the set of Parties (firm identification) fields defined in Common Components of Application Messages
336 TradingSessionID N
625 TradingSessionSubID N
Component Instrument Y Insert here the set of Instrument (symbology) fields defined in Common Components of Application Messages
Component FinancingDetails N Insert here the set of FinancingDetails (symbology) fields defined in Common Components of Application Messages
Component UndInstrmtGrp N Number of underlyings
54 Side N Required for Tradeable or Counter quotes of single instruments
Component OrderQtyData N Required for Tradeable quotes or Counter quotes of single instruments
63 SettlType N
64 SettlDate N Can be used with forex quotes to specify a specific value date.
For NDFs this is required.
193 SettlDate2 N Can be used with OrdType = Forex – Swap to specify the value date for the future portion of a F/X swap.
192 OrderQty2 N Can be used with OrdType = Forex – Swap to specify the order quantity for the future portion of a F/X swap.
15 Currency N Can be used to specify the currency of the quoted prices. May differ from the ‘normal’ trading currency of the instrument being quoted
120 SettlCurrency N Required for NDFs to specify the settlement currency (fixing currency).
Component RateSource N
Component Stipulations N Insert here the set of Stipulations (repeating group of Fixed Income stipulations) fields defined in Common Components of Application Messages
1 Account N
660 AcctIDSource N
581 AccountType N Type of account associated with the order (Origin)
Component LegQuotGrp N Required for multileg quotes
132 BidPx N If 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.
133 OfferPx N If 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.
645 MktBidPx N Can be used by markets that require showing the current best bid and offer
646 MktOfferPx N Can be used by markets that require showing the current best bid and offer
647 MinBidSize N Specifies the minimum bid size. Used for markets that use a minimum and maximum bid size.
134 BidSize N Specifies the bid size. If MinBidSize is specified, BidSize is interpreted to contain the maximum bid size.
648 MinOfferSize N Specifies the minimum offer size. If MinOfferSize is specified, OfferSize is interpreted to contain the maximum offer size.
135 OfferSize N Specified the offer size. If MinOfferSize is specified, OfferSize is interpreted to contain the maximum offer size.
110 MinQty N For use in private/directed quote negotiations.
62 ValidUntilTime N The time when the quote will expire
188 BidSpotRate N May be applicable for F/X quotes
190 OfferSpotRate N May be applicable for F/X quotes
189 BidForwardPoints N May be applicable for F/X quotes
191 OfferForwardPoints N May be applicable for F/X quotes
1065 BidSwapPoints N Bid swap points of an FX Swap quote.
1066 OfferSwapPoints N
631 MidPx N
632 BidYield N
633 MidYield N
634 OfferYield N
60 TransactTime N
40 OrdType N Can be used to specify the type of order the quote is for
642 BidForwardPoints2 N Bid F/X forward points of the future portion of a F/X swap quote added to spot rate. May be a negative value
643 OfferForwardPoints2 N Offer F/X forward points of the future portion of a F/X swap quote added to spot rate. May be a negative value
656 SettlCurrBidFxRate N Can 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
657 SettlCurrOfferFxRate N Can 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
156 SettlCurrFxRateCalc N Can be used when the quote is provided in a currency other than the instruments trading currency.
13 CommType N Can be used to show the counterparty the commission associated with the transaction.
12 Commission N Can be used to show the counterparty the commission associated with the transaction.
582 CustOrderCapacity N For Futures Exchanges
100 ExDestination N Used when routing quotes to multiple markets
1133 ExDestinationIDSource N
775 BookingType N
528 OrderCapacity N
529 OrderRestrictions N
423 PriceType N
Component SpreadOrBenchmarkCurveData N
Component YieldData N
58 Text N
354 EncodedTextLen N Must be set if EncodedText field is specified and must immediately precede it.
355 EncodedText N Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
Component StandardTrailer Y

QuoteCancel Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = Z
131 QuoteReqID N Required when quote is in response to a Quote Request message
117 QuoteID N Conditionally required when QuoteCancelType(298) = 5 (cancel quote specified in QuoteID). Maps to QuoteID(117) of a single Quote(MsgType=S) or QuoteEntryID(299) of a MassQuote(MsgType=i).
1166 QuoteMsgID N Optionally used to supply a message identifier for a quote cancel.
298 QuoteCancelType Y Identifies the type of Quote Cancel request.
537 QuoteType N Conditional Required when QuoteCancelType(298)=6[Cancel by QuoteType]
301 QuoteResponseLevel N Level of Response requested from receiver of quote messages.
Component Parties N Insert here the set of Parties (firm identification) fields defined in Common Components of Application Messages
Component TargetParties N Can be used to specify the parties to whom the Quote Cancel should be applied.
1 Account N
660 AcctIDSource N
581 AccountType N Type of account associated with the order (Origin)
336 TradingSessionID N
625 TradingSessionSubID N
Component QuotCxlEntriesGrp N The number of securities (instruments) whose quotes are to be canceled
Not required when cancelling all quotes.
Component StandardTrailer Y

QuoteStatusRequest Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = a (lowercase)
649 QuoteStatusReqID N
117 QuoteID N Maps to:
– QuoteID(117) of a single Quote
– QuoteEntryID(299) of a Mass Quote.
Component Instrument N Conditionally required when requesting status of a single security quote.
Component FinancingDetails N Insert here the set of FinancingDetails (symbology) fields defined in Common Components of Application Messages
Component UndInstrmtGrp N Number of underlyings
Component InstrmtLegGrp N Required for multileg quotes
Component Parties N Insert here the set of Parties (firm identification) fields defined in Common Components of Application Messages
Component TargetParties N Can be used to specify the parties to whom the Quote Status Request should apply.
1 Account N
660 AcctIDSource N
581 AccountType N Type of account associated with the order (Origin)
336 TradingSessionID N
625 TradingSessionSubID N
263 SubscriptionRequestType N Used to subscribe for Quote Status Report messages
Component StandardTrailer Y

MassQuoteAcknowledgement Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = b (lowercase)
131 QuoteReqID N Required when acknowledgment is in response to a Quote Request message
117 QuoteID N Required 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
297 QuoteStatus Y Status of the mass quote acknowledgement.
300 QuoteRejectReason N Reason Quote was rejected.
301 QuoteResponseLevel N Level of Response requested from receiver of quote messages. Is echoed back to the counterparty.
537 QuoteType N Type of Quote
298 QuoteCancelType N
Component Parties N Insert here the set of Parties (firm identification) fields defined in Common Components of Application Messages
Component TargetParties N Should be populated if the Mass Quote Acknowledgement is acknowledging a mass quote cancellation by party.
1 Account N
660 AcctIDSource N
581 AccountType N Type of account associated with the order (Origin)
58 Text N
354 EncodedTextLen N
355 EncodedText N
Component QuotSetAckGrp N The number of sets of quotes in the message
Component StandardTrailer Y

MassQuote Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = i (lowercase)
131 QuoteReqID N Required when quote is in response to a Quote Request message
117 QuoteID Y
537 QuoteType N Type of Quote
Default is Indicative if not specified
301 QuoteResponseLevel N Level of Response requested from receiver of quote messages.
Component Parties N Insert here the set of Parties (firm identification) fields defined in Common Components of Application Messages
1 Account N
660 AcctIDSource N
581 AccountType N Type of account associated with the order (Origin)
293 DefBidSize N Default Bid Size for quote contained within this quote message – if not explicitly provided.
294 DefOfferSize N Default Offer Size for quotes contained within this quote message – if not explicitly provided.
Component QuotSetGrp Y The number of sets of quotes in the message
Component StandardTrailer Y

Appendix – SecuritiesReferenceData Category

Components

DerivativeEventsGrp

Tag Name Req’d Description
1286 NoDerivativeEvents N
→1287 DerivativeEventType N Indicates type of event describing security
→1288 DerivativeEventDate N
→1289 DerivativeEventTime N Specific time of event. To be used in combination with EventDate [1288]
→1290 DerivativeEventPx N
→1291 DerivativeEventText N

DerivativeInstrument

Tag Name Req’d Description
1214 DerivativeSymbol N Common, 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.
1215 DerivativeSymbolSfx N Used 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.
1216 DerivativeSecurityID N Takes precedence in identifying security to counterparty over SecurityAltID block. Requires SecurityIDSource if specified.
1217 DerivativeSecurityIDSource N Required if SecurityID is specified.
Component DerivativeSecurityAltIDGrp N
1246 DerivativeProduct N Indicates the type of product the security is associated with (high-level category)
1228 DerivativeProductComplex N Identifies an entire suite of products for a given market. In Futures this may be interest rates, agricultural, equity indexes, etc
1243 DerivFlexProductEligibilityIndicator N Used to indicate if a product or group of product supports the creation of flexible securities
1247 DerivativeSecurityGroup N An exchange specific name assigned to a group of related securities which may be concurrently affected by market events and actions.
1248 DerivativeCFICode N Indicates 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.
1249 DerivativeSecurityType N It 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.)
1250 DerivativeSecuritySubType N Sub-type qualification/identification of the SecurityType (e.g. for SecurityType=MLEG). If specified, SecurityType is required.
1251 DerivativeMaturityMonthYear N Specifies 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.
1252 DerivativeMaturityDate N Specifies 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.
1253 DerivativeMaturityTime N
1254 DerivativeSettleOnOpenFlag N Indicator to determine if Instrument is Settle on Open.
1255 DerivativeInstrmtAssignmentMethod N
1256 DerivativeSecurityStatus N Gives the current state of the instrument
1276 DerivativeIssueDate N Date instrument was issued. For Fixed Income IOIs for new issues, specifies the issue date.
1257 DerivativeInstrRegistry N The 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.
1258 DerivativeCountryOfIssue N ISO 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.
1259 DerivativeStateOrProvinceOfIssue N A two-character state or province abbreviation.
1260 DerivativeLocaleOfIssue N The three-character IATA code for a locale (e.g. airport code for Municipal Bonds).
1261 DerivativeStrikePrice N Used for derivatives, such as options and covered warrants
1262 DerivativeStrikeCurrency N Used for derivatives
1263 DerivativeStrikeMultiplier N Used for derivatives. Multiplier applied to the strike price for the purpose of calculating the settlement value.
1264 DerivativeStrikeValue N Used for derivatives. The number of shares/units for the financial instrument involved in the option trade.
1265 DerivativeOptAttribute N Used 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.
1266 DerivativeContractMultiplier N For Fixed Income, Convertible Bonds, Derivatives, etc. Note: If used, quantities should be expressed in the nominal (e.g. contracts vs. shares) amount.
1438 DerivativeContractMultiplierUnit N
1442 DerivativeFlowScheduleType N
1267 DerivativeMinPriceIncrement N Minimum price increment for the instrument. Could also be used to represent tick value.
1268 DerivativeMinPriceIncrementAmount N Minimum price increment amount associated with the MinPriceIncrement [969]. For listed derivatives, the value can be calculated by multiplying MinPriceIncrement by ContractValueFactor [231]
1269 DerivativeUnitOfMeasure N
1270 DerivativeUnitOfMeasureQty N
1315 DerivativePriceUnitOfMeasure N
1316 DerivativePriceUnitOfMeasureQty N
1317 DerivativeSettlMethod N Settlement method for a contract. Can be used as an alternative to CFI Code value
1318 DerivativePriceQuoteMethod N Method for price quotation
1319 DerivativeValuationMethod N For futures, indicates type of valuation method applied
1320 DerivativeListMethod N Indicates whether strikes are pre-listed only or can also be defined via user request
1321 DerivativeCapPrice N Used to express the ceiling price of a capped call
1322 DerivativeFloorPrice N Used to express the floor price of a capped put
1323 DerivativePutOrCall N
1299 DerivativeExerciseStyle N Type of exercise of a derivatives security
1225 DerivativeOptPayAmount N Cash amount indicating the pay out associated with an option. For binary options this is a fixed amount
1271 DerivativeTimeUnit N Used to indicate a time unit for the contract (e.g., days, weeks, months, etc.)
1272 DerivativeSecurityExchange N Can be used to identify the security.
1273 DerivativePositionLimit N Position Limit for the instrument.
1274 DerivativeNTPositionLimit N Near-term Position Limit for the instrument.
1275 DerivativeIssuer N
1277 DerivativeEncodedIssuerLen N Must be set if EncodedIssuer field is specified and must immediately precede it.
1278 DerivativeEncodedIssuer N Encoded (non-ASCII characters) representation of the Issuer field in the encoded format specified via the MessageEncoding field.
1279 DerivativeSecurityDesc N
1280 DerivativeEncodedSecurityDescLen N Must be set if EncodedSecurityDesc field is specified and must immediately precede it.
1281 DerivativeEncodedSecurityDesc N Encoded (non-ASCII characters) representation of the SecurityDesc field in the encoded format specified via the MessageEncoding field.
Component DerivativeSecurityXML N Embedded XML document describing security.
1285 DerivativeContractSettlMonth N Must be present for MBS or TBA
Component DerivativeEventsGrp N
Component DerivativeInstrumentParties N

DerivativeInstrumentAttribute

Tag Name Req’d Description
1311 NoDerivativeInstrAttrib N
→1313 DerivativeInstrAttribType N
→1314 DerivativeInstrAttribValue N

DerivativeInstrumentParties

Tag Name Req’d Description
1292 NoDerivativeInstrumentParties N
→1293 DerivativeInstrumentPartyID N Used to identify party id related to instrument series
→1294 DerivativeInstrumentPartyIDSource N Used to identify source of instrument series party id
→1295 DerivativeInstrumentPartyRole N Used to identify the role of instrument series party id
Component DerivativeInstrumentPartySubIDsGrp N

DerivativeInstrumentPartySubIDsGrp

Tag Name Req’d Description
1296 NoDerivativeInstrumentPartySubIDs N
→1297 DerivativeInstrumentPartySubID N
→1298 DerivativeInstrumentPartySubIDType N

DerivativeSecurityAltIDGrp

Tag Name Req’d Description
1218 NoDerivativeSecurityAltID N
→1219 DerivativeSecurityAltID N
→1220 DerivativeSecurityAltIDSource N

DerivativeSecurityDefinition

Tag Name Req’d Description
Component DerivativeInstrument N Optional block which can be used to to summarize common attributes shared across a set of option instruments which belong to the same series.
Component DerivativeInstrumentAttribute N Additional attribution for the instrument series
Component MarketSegmentGrp N Security trading and listing attributes for the series level

DerivativeSecurityXML

Tag Name Req’d Description
1282 DerivativeSecurityXMLLen N Must be set if SecurityXML field is specified andd must immediately precede it.
1283 DerivativeSecurityXML N XML Data Stream describing the Security.
1284 DerivativeSecurityXMLSchema N XML Schema used to validate the XML used to describe the Security.

InstrmtLegSecListGrp

Tag Name Req’d Description
555 NoLegs N
Component InstrumentLeg N Insert here the set of Instrument Legs (leg symbology) fields defined in Common Components of Application Messages
Required if NoLegs > 0
→690 LegSwapType N
→587 LegSettlType N
Component LegStipulations N Insert here the set of LegStipulations (leg symbology) fields defined in Common Components of Application Messages
Required if NoLegs > 0
Component LegBenchmarkCurveData N Insert here the set of LegBenchmarkCurveData (leg symbology) fields defined in Common Components of Application Messages
Required if NoLegs > 0

MarketSegmentGrp

Tag Name Req’d Description
1310 NoMarketSegments N
→1301 MarketID N Identifies the market which lists and trades the instrument.
→1300 MarketSegmentID N Identifies the segment of the market to which the specify trading rules and listing rules apply.
Component SecurityTradingRules N
Component StrikeRules N This block specifies the rules for determining how new strikes should be listed within the stated price range of the underlying instrument.

MaturityRules

Tag Name Req’d Description
1236 NoMaturityRules N
→1222 MaturityRuleID N Allows maturity rule to be referenced via an identifier so that rules do not need to be explicitly enumerated
→1303 MaturityMonthYearFormat N Format used to generate the MMY for each option contract:
→1302 MaturityMonthYearIncrementUnits N enumeration specifying the increment unit:
→1241 StartMaturityMonthYear N Starting maturity for the range to which the StrikeIncrement applies. Price refers to the price of the underlying
→1226 EndMaturityMonthYear N Ending maturity monthy year to which the StrikeIncrement applies. Price refers to the price of the underlying
→1229 MaturityMonthYearIncrement N Value by which maturity month year should be incremented within the specified price range.

NestedInstrumentAttribute

Tag Name Req’d Description
1312 NoNestedInstrAttrib N
→1210 NestedInstrAttribType N Code to represent the type of instrument attribute
→1211 NestedInstrAttribValue N Attribute value appropriate to the NestedInstrAttribType field

RelSymDerivSecGrp

Tag Name Req’d Description
146 NoRelatedSym N
Component Instrument N
Component SecondaryPriceLimits N Secondary price limit rules
→15 Currency N
→292 CorporateAction N Identifies the type of Corporate Action
Component InstrumentExtension N
Component InstrmtLegGrp N
→1504 RelSymTransactTime N
→58 Text N Comment, instructions, or other identifying information.
→354 EncodedTextLen N Must be set if EncodedText field is specified and must immediately precede it.
→355 EncodedText N Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.

RelSymDerivSecUpdGrp

Tag Name Req’d Description
146 NoRelatedSym N
→1324 ListUpdateAction N If provided, then Instrument occurrence has explicitly changed
→292 CorporateAction N
Component Instrument N
Component InstrumentExtension N
Component SecondaryPriceLimits N Secondary price limit rules
→15 Currency N
Component InstrmtLegGrp N
→1504 RelSymTransactTime N
→58 Text N Comment, instructions, or other identifying information.
→354 EncodedTextLen N Must be set if EncodedText field is specified and must immediately precede it.
→355 EncodedText N Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.

SecListGrp

Tag Name Req’d Description
146 NoRelatedSym N
Component Instrument N Insert here the set of Instrument (symbology) fields defined in Common Components of Application Messages
of the requested Security
Component InstrumentExtension N Insert here the set of InstrumentExtension fields defined in Common Components of Application Messages
Component FinancingDetails N Insert here the set of FinancingDetails fields defined in Common Components of Application Messages
Component SecurityTradingRules N Used to provide listing rules
Component StrikeRules N Used to provide listing rules
Component UndInstrmtGrp N
→15 Currency N
Component Stipulations N Insert here the set of Stipulations fields defined in Common Components of Application Messages
Component InstrmtLegSecListGrp N
Component SpreadOrBenchmarkCurveData N Insert here the set of SpreadOrBenchmarkCurveData fields defined in Common Components of Application Messages
Component YieldData N Insert here the set of YieldData fields defined in Common Components of Application Messages
→1504 RelSymTransactTime N
→58 Text N Comment, instructions, or other identifying information.
→354 EncodedTextLen N Must be set if EncodedText field is specified and must immediately precede it.
→355 EncodedText N Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.

SecLstUpdRelSymGrp

Tag Name Req’d Description
146 NoRelatedSym N
→1324 ListUpdateAction N
Component Instrument N Insert here the set of Instrument (symbology) fields defined in common components of application messages of the requested Security
Component InstrumentExtension N Insert here the set of InstrumentExtension fields defined in COMMON COMPONENTS OF APPLICATION MESSAGES
Component FinancingDetails N Insert here the set of FinancingDetails fields defined in COMMON COMPONENTS OF APPLICATION MESSAGES
Component SecurityTradingRules N
Component StrikeRules N
Component UndInstrmtGrp N
→15 Currency N
Component Stipulations N
Component SecLstUpdRelSymsLegGrp N
Component SpreadOrBenchmarkCurveData N Insert here the set of SpreadOrBenchmarkCurveData fields defined in COMMON COMPONENTS OF APPLICATION MESSAGES
Component YieldData N Insert here the set of YieldData fields defined in COMMON COMPONENTS OF APPLICATION MESSAGES
→1504 RelSymTransactTime N
→58 Text N Comment, instructions, or other identifying information.
→354 EncodedTextLen N Must be set if EncodedText field is specified and must immediately precede it.
→355 EncodedText N Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.

SecLstUpdRelSymsLegGrp

Tag Name Req’d Description
555 NoLegs N
Component InstrumentLeg N Insert here the set of Instrument Legs (leg symbology) fields defined in common components of application messages Required if NoLegs > 0
→690 LegSwapType N
→587 LegSettlType N
Component LegStipulations N Insert here the set of LegStipulations (leg symbology) fields defined in common components of application messages Required if NoLegs > 0
Component LegBenchmarkCurveData N Insert here the set of LegBenchmarkCurveData (leg symbology) fields defined in common components of application messages Required if NoLegs > 0

SecTypesGrp

Tag Name Req’d Description
558 NoSecurityTypes N
→167 SecurityType N Required if NoSecurityTypes > 0
→762 SecuritySubType N
→460 Product N
→461 CFICode N
→60 TransactTime N

SecondaryPriceLimits

Tag Name Req’d Description
1305 SecondaryPriceLimitType N
1221 SecondaryLowLimitPrice N
1230 SecondaryHighLimitPrice N
1240 SecondaryTradingReferencePrice N

SecurityTradingRules

Tag Name Req’d Description
Component BaseTradingRules N This block contains the base trading rules
Component TradingSessionRulesGrp N This block contains the trading rules specific to a trading session
Component NestedInstrumentAttribute N

StrikeRules

Tag Name Req’d Description
1201 NoStrikeRules N
→1223 StrikeRuleID N Allows strike rule to be referenced via an identifier so that rules do not need to be explicitly enumerated
→1202 StartStrikePxRange N Starting price for the range to which the StrikeIncrement applies. Price refers to the price of the underlying
→1203 EndStrikePxRange N Ending price of the range to which the StrikeIncrement applies. Price refers to the price of the underlying
→1204 StrikeIncrement N Value by which strike price should be incremented within the specified price
→1304 StrikeExerciseStyle N Enumeration that represents the exercise style for a class of options
Same values as ExerciseStyle
Component MaturityRules N Describes the maturity rules for a given set of strikes as defined by StrikeRules

TradingSessionRulesGrp

Tag Name Req’d Description
1309 NoTradingSessionRules N
→336 TradingSessionID N Identifier for the trading session
Must be provided if NoTradingSessions > 0
Set to [N/A] if values are not specific to trading session
→625 TradingSessionSubID N Identifier for the trading session
Set to [N/A] if values are not specific to trading session sub id
Component TradingSessionRules N Contains trading rules specified at the trading session level

Messages

DerivativeSecurityList Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = AA (2 A’s)
Component ApplicationSequenceControl N
964 SecurityReportID N
320 SecurityReqID N
322 SecurityResponseID N Identifier for the Derivative Security List message
560 SecurityRequestResult N Result of the Security Request identified by SecurityReqID
715 ClearingBusinessDate N
Component UnderlyingInstrument N Underlying security for which derivatives are being returned
Component DerivativeSecurityDefinition N Group block which contains all information for an option family. If provided DerivativeSecurityDefinition qualifies the strikes specified in the Instrument block.
60 TransactTime N
393 TotNoRelatedSym N Used to indicate the total number of securities being returned for this request. Used in the event that message fragmentation is required.
893 LastFragment N Indicates whether this is the last fragment in a sequence of message fragments. Only required where message has been fragmented.
Component RelSymDerivSecGrp N Specifies the number of repeating symbols (instruments) specified
Component StandardTrailer Y

SecurityListUpdateReport Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = BK
Component ApplicationSequenceControl N
964 SecurityReportID N Identifier for the Security List Update message in a bulk transfer environment (No Request/Response)
1465 SecurityListID N Identifies a specific Security List entity
1466 SecurityListRefID N Provides a reference to another Security List
1467 SecurityListDesc N
1468 EncodedSecurityListDescLen N
1469 EncodedSecurityListDesc N
1470 SecurityListType N Identifies a list type
1471 SecurityListTypeSource N Identifies the sourec as a listype
320 SecurityReqID N
322 SecurityResponseID N Identifier for the Security List message.
560 SecurityRequestResult N Result of the Security Request identified by the SecurityReqID.
393 TotNoRelatedSym N Used to indicate the total number of securities being returned for this request. Used in the event that message fragmentation is required.
715 ClearingBusinessDate N
980 SecurityUpdateAction N
292 CorporateAction N Identifies the type of Corporate Action that triggered the update
1301 MarketID N Identifies the market which lists and trades the instrument.
1300 MarketSegmentID N Identifies the segment of the market specified in MarketID(96)
60 TransactTime N
893 LastFragment N Indicates whether this is the last fragment in a sequence of message fragments. Only required where message has been fragmented.
Component SecLstUpdRelSymGrp N Specifies the number of repeating symbols (instruments) specified
Component StandardTrailer Y

SecurityDefinitionUpdateReport Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = BP
Component ApplicationSequenceControl N
964 SecurityReportID N Identifier for the Security Definition Update message in a bulk transfer environment (No Request/Response)
320 SecurityReqID N
322 SecurityResponseID N Identifier for the Security Definition message.
323 SecurityResponseType N Response to the Security Definition Request.
715 ClearingBusinessDate N
980 SecurityUpdateAction N
292 CorporateAction N Identifies the type of Corporate Action
Component Instrument N
Component InstrumentExtension N
Component UndInstrmtGrp N
15 Currency N
58 Text N Comment, instructions, or other identifying information.
354 EncodedTextLen N Must be set if EncodedText field is specified and must immediately precede it.
355 EncodedText N Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
Component Stipulations N
Component InstrmtLegGrp N
Component SpreadOrBenchmarkCurveData N
Component YieldData N
Component MarketSegmentGrp N Contains all the security details related to listing and trading the security
60 TransactTime N
Component StandardTrailer Y

DerivativeSecurityListUpdateReport Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = BR
Component ApplicationSequenceControl N
320 SecurityReqID N
322 SecurityResponseID N Identifier for the Derivative Security List message
560 SecurityRequestResult N Result of the Security Request identified by SecurityReqID
980 SecurityUpdateAction N Updates can be applied to Underlying or option class. If Series information provided, then Series has explicitly changed
Component UnderlyingInstrument N Underlying security for which derivatives are being returned
Component DerivativeSecurityDefinition N Group 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
60 TransactTime N
393 TotNoRelatedSym N Used to indicate the total number of securities being returned for this request. Used in the event that message fragmentation is required.
893 LastFragment N Indicates whether this is the last fragment in a sequence of message fragments. Only required where message has been fragmented.
Component RelSymDerivSecUpdGrp N
Component StandardTrailer Y

SecurityDefinitionRequest Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = c (lowercase)
320 SecurityReqID Y
321 SecurityRequestType Y
1301 MarketID N Identifies the market for which the security definition request is being made.
1300 MarketSegmentID N Identifies the segment of the market for which the security definition request is being made.
Component Instrument N Insert here the set of Instrument (symbology) fields defined in Common Components of Application Messages
of the requested Security
Component InstrumentExtension N Insert here the set of InstrumentExtension fields defined in Common Components of Application Messages
Component UndInstrmtGrp N Number of underlyings
15 Currency N
58 Text N Comment, instructions, or other identifying information.
354 EncodedTextLen N Must be set if EncodedText field is specified and must immediately precede it.
355 EncodedText N Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
336 TradingSessionID N Optional Trading Session Identifier to specify a particular trading session for which you want to obtain a list of securities that are tradeable.
625 TradingSessionSubID N
Component Stipulations N
Component InstrmtLegGrp N Number of legs that make up the Security
Component SpreadOrBenchmarkCurveData N
Component YieldData N
827 ExpirationCycle N
263 SubscriptionRequestType N Subscribe or unsubscribe for security status to security specified in request.
Component StandardTrailer Y

SecurityDefinition Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = d (lowercase)
Component ApplicationSequenceControl N
964 SecurityReportID N Identifier for Security Definition message
715 ClearingBusinessDate N
320 SecurityReqID N
322 SecurityResponseID N Identifier for the Security Definition message
323 SecurityResponseType N Response to the Security Definition Request
292 CorporateAction N Identifies the type of Corporate Action
Component Instrument N Insert here the set of Instrument (symbology) fields defined in Common Components of Application Messages
of the requested Security
Component InstrumentExtension N Insert here the set of InstrumentExtension fields defined in Common Components of Application Messages
Component UndInstrmtGrp N Number of underlyings
15 Currency N Currency in which the price is denominated
58 Text N Comment, instructions, or other identifying information.
354 EncodedTextLen N Must be set if EncodedText field is specified and must immediately precede it.
355 EncodedText N Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
Component Stipulations N
Component InstrmtLegGrp N Number of legs that make up the Security
Component SpreadOrBenchmarkCurveData N
Component YieldData N
Component MarketSegmentGrp N Contains all the security details related to listing and trading the security
60 TransactTime N
Component StandardTrailer Y

SecurityStatusRequest Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = e (lowercase)
324 SecurityStatusReqID Y Must be unique, or the ID of previous Security Status Request to disable if SubscriptionRequestType = Disable previous Snapshot + Updates Request (2).
Component Instrument Y Insert here the set of Instrument (symbology) fields defined in Common Components of Application Messages
Component InstrumentExtension N Insert here the set of InstrumentExtension fields defined in Common Components of Application Messages
Component UndInstrmtGrp N Number of underlyings
Component InstrmtLegGrp N Number of legs that make up the Security
15 Currency N
263 SubscriptionRequestType Y SubscriptionRequestType 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.
1301 MarketID N
1300 MarketSegmentID N
336 TradingSessionID N
625 TradingSessionSubID N
Component StandardTrailer Y

SecurityStatus Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = f (lowercase)
Component ApplicationSequenceControl N
324 SecurityStatusReqID N
Component Instrument Y Insert here the set of Instrument (symbology) fields defined in Common Components of Application Messages
Component InstrumentExtension N Insert here the set of InstrumentExtension fields defined in Common Components of Application Messages
Component UndInstrmtGrp N Number of underlyings
Component InstrmtLegGrp N Required for multileg quotes
15 Currency N
1301 MarketID N
1300 MarketSegmentID N
336 TradingSessionID N
625 TradingSessionSubID N
325 UnsolicitedIndicator N Set to ‘Y’ if message is sent as a result of a subscription request not a snapshot request
326 SecurityTradingStatus N Identifies the trading status applicable to the transaction.
1174 SecurityTradingEvent N Identifies an event related to the trading status
291 FinancialStatus N
292 CorporateAction N
327 HaltReason N Denotes the reason for the Opening Delay or Trading Halt.
328 InViewOfCommon N
329 DueToRelated N
1021 MDBookType N Used to relay changes in the book type
264 MarketDepth N Used to relay changes in Market Depth.
330 BuyVolume N
331 SellVolume N
332 HighPx N
333 LowPx N
31 LastPx N Represents the last price for that security either on a Consolidated or an individual participant basis at the time it is disseminated.
60 TransactTime N Trade Dissemination Time
334 Adjustment N
1025 FirstPx N Represents the price of the first fill of the trading session.
58 Text N Comment, instructions, or other identifying information.
354 EncodedTextLen N Must be set if EncodedText field is specified and must immediately precede it.
355 EncodedText N Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
Component StandardTrailer Y

SecurityTypeRequest Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = v (lowercase V)
320 SecurityReqID Y
58 Text N Comment, instructions, or other identifying information.
354 EncodedTextLen N Must be set if EncodedText field is specified and must immediately precede it.
355 EncodedText N Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
1301 MarketID N Optional MarketID to specify a particular trading session for which you want to obtain a list of securities that are tradeable.
1300 MarketSegmentID N Optional Market Segment Identifier to specify a particular trading session for which you want to obtain a list of securities that are tradeable.
336 TradingSessionID N Optional Trading Session Identifier to specify a particular trading session for which you want to obtain a list of securities that are tradeable.
625 TradingSessionSubID N
460 Product N Used to qualify which security types are returned
167 SecurityType N Used to qualify which security type is returned
762 SecuritySubType N Used to qualify which security types are returned
Component StandardTrailer Y

SecurityTypes Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = w (lowercase W)
Component ApplicationSequenceControl N
320 SecurityReqID Y
322 SecurityResponseID Y Identifier for the security response message
323 SecurityResponseType Y The result of the security request identified by SecurityReqID
557 TotNoSecurityTypes N Indicates total number of security types in the event that multiple Security Type messages are used to return results
893 LastFragment N Indicates whether this is the last fragment in a sequence of message fragments. Only required where message has been fragmented.
Component SecTypesGrp N
58 Text N Comment, instructions, or other identifying information.
354 EncodedTextLen N Must be set if EncodedText field is specified and must immediately precede it.
355 EncodedText N Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
1301 MarketID N Optional MarketID to specify a particular trading session for which you want to obtain a list of securities that are tradeable.
1300 MarketSegmentID N Optional Market Segment Identifier to specify a particular trading session for which you want to obtain a list of securities that are tradeable.
336 TradingSessionID N Optional Trading Session Identifier to specify a particular trading session for which you want to obtain a list of securities that are tradeable.
625 TradingSessionSubID N
263 SubscriptionRequestType N Subscribe or unsubscribe for security status to security specified in request.
Component StandardTrailer Y

SecurityListRequest Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = x (lowercase X)
320 SecurityReqID Y
559 SecurityListRequestType Y Type of Security List Request being made
1465 SecurityListID N Identifies a specific list
1470 SecurityListType N Indentifies a list type
1471 SecurityListTypeSource N Identifies the source a list type
1301 MarketID N Identifies the market which lists and trades the instrument.
1300 MarketSegmentID N Identifies 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.
Component Instrument N Insert here the set of Instrument (symbology) fields defined in Common Components of Application Messages
of the requested Security
Component InstrumentExtension N Insert here the set of InstrumentExtension fields defined in Common Components of Application Messages
Component FinancingDetails N Insert here the set of FinancingDetails fields defined in Common Components of Application Messages
Component UndInstrmtGrp N Number of underlyings
Component InstrmtLegGrp N Number of legs that make up the Security
15 Currency N
58 Text N Comment, instructions, or other identifying information.
354 EncodedTextLen N Must be set if EncodedText field is specified and must immediately precede it.
355 EncodedText N Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
336 TradingSessionID N Optional Trading Session Identifier to specify a particular trading session for which you want to obtain a list of securities that are tradeable.
625 TradingSessionSubID N
263 SubscriptionRequestType N Subscribe or unsubscribe for security status to security specified in request.
Component StandardTrailer Y

SecurityList Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = y (lowercase Y)
Component ApplicationSequenceControl N
964 SecurityReportID N
715 ClearingBusinessDate N
1465 SecurityListID N Identifies a specific Security List Entry
1466 SecurityListRefID N Provides a reference to another Security List
1467 SecurityListDesc N
1468 EncodedSecurityListDescLen N
1469 EncodedSecurityListDesc N
1470 SecurityListType N Identifies a list type
1471 SecurityListTypeSource N Identifies the source of a list type
320 SecurityReqID N
322 SecurityResponseID N Identifier for the Security List message
560 SecurityRequestResult N Result of the Security Request identified by the SecurityReqID
60 TransactTime N
393 TotNoRelatedSym N Used to indicate the total number of securities being returned for this request. Used in the event that message fragmentation is required.
1301 MarketID N Identifies the market which lists and trades the instrument.
1300 MarketSegmentID N Identifies 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.
893 LastFragment N Indicates whether this is the last fragment in a sequence of message fragments. Only required where message has been fragmented.
Component SecListGrp N Specifies the number of repeating symbols (instruments) specified
Component StandardTrailer Y

DerivativeSecurityListRequest Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = z (lowercase Z)
320 SecurityReqID Y
559 SecurityListRequestType Y
1301 MarketID N
1300 MarketSegmentID N
Component UnderlyingInstrument N Specifies the underlying instrument
Component DerivativeInstrument N Group block which contains all information for an option family.
762 SecuritySubType N
15 Currency N
58 Text N Comment, instructions, or other identifying information.
354 EncodedTextLen N Must be set if EncodedText field is specified and must immediately precede it.
355 EncodedText N Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
336 TradingSessionID N Optional Trading Session Identifier to specify a particular trading session for which you want to obtain a list of securities that are tradeable.
625 TradingSessionSubID N
263 SubscriptionRequestType N Subscribe or unsubscribe for security status to security specified in request.
Component StandardTrailer Y

Appendix – Common Category

Components

BaseTradingRules

Tag Name Req’d Description
Component TickRules N This block specifies the rules for determining how a security ticks, i.e. the price increments at which it can be quoted and traded, depending on the current price of the security
Component LotTypeRules N Specifies the lot types that are valid for trading.
Component PriceLimits N Specifies the price limits that are valid for trading.
827 ExpirationCycle N
562 MinTradeVol N The minimum order quantity that can be submitted for an order.
1140 MaxTradeVol N The maximum order quantity that can be submitted for a security. For listed derivatives this indicates the minimum quantity necessary for an order or trade to qualify as a block trade
1143 MaxPriceVariation N The maximum price variation of an execution from one event to the next for a given security. Expressed in absolute price terms.
1144 ImpliedMarketIndicator N
1245 TradingCurrency N Used when the trading currency can differ from the price currency
561 RoundLot N Trading lot size of security
1377 MultilegModel N Used for multileg security only. Defines whether the security is pre-defined or user-defined. Not that value = 2 (User-defined, Non-Securitized, Multileg) does not apply for Securities.
1378 MultilegPriceMethod N Used for multileg security only. Defines the method used when applying the multileg price to the legs.
423 PriceType N Defines the default Price Type used for trading.

ExecInstRules

Tag Name Req’d Description
1232 NoExecInstRules N
→1308 ExecInstValue N Indicates execution instructions that are valid for the specified market segment

LegBenchmarkCurveData

Tag Name Req’d Description
676 LegBenchmarkCurveCurrency N
677 LegBenchmarkCurveName N
678 LegBenchmarkCurvePoint N
679 LegBenchmarkPrice N
680 LegBenchmarkPriceType N

LotTypeRules

Tag Name Req’d Description
1234 NoLotTypeRules N
→1093 LotType N Defines 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)
→1231 MinLotSize N Minimum lot size allowed based on lot type specified in LotType(1093)

MarketDataFeedTypes

Tag Name Req’d Description
1141 NoMDFeedTypes N
→1022 MDFeedType N Describes a class of service for a given data feed
→264 MarketDepth N The depth of book associated with a particular feed type
→1021 MDBookType N Describes the type of book for which the feed is intended. Can be used when multiple feeds are provided over the same connection

MatchRules

Tag Name Req’d Description
1235 NoMatchRules N
→1142 MatchAlgorithm N The type of algorithm used to match orders in a specific security on an electronic trading platform.
Possible values are FIFO, Allocation, Pro-rata, Lead Market Maker, Currency Calendar
→574 MatchType N The point in the matching process at which this trade was matched.

OrdTypeRules

Tag Name Req’d Description
1237 NoOrdTypeRules N
→40 OrdType N Indicates order types that are valid for the specified market segment.

PriceLimits

Tag Name Req’d Description
1306 PriceLimitType N Describes the how the price limits are expressed
1148 LowLimitPrice N Allowable 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
1149 HighLimitPrice N Allowable 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
1150 TradingReferencePrice N Reference price for the current trading price range usually representing the mid price between the HighLimitPrice and LowLimitPrice. The value may be the settlement price or closing price of the prior trading day.

RoutingGrp

Tag Name Req’d Description
215 NoRoutingIDs N
→216 RoutingType N Indicates type of RoutingID. Required if NoRoutingIDs is > 0.
→217 RoutingID N Identifies routing destination. Required if NoRoutingIDs is > 0.

TickRules

Tag Name Req’d Description
1205 NoTickRules N
→1206 StartTickPriceRange N Starting price range for specified tick increment
→1207 EndTickPriceRange N Ending price range for the specified tick increment
→1208 TickIncrement N Tick increment for stated price range. Specifies the valid price increments at which a security can be quoted and traded
→1209 TickRuleType N Specifies the type of tick rule which is being described

TimeInForceRules

Tag Name Req’d Description
1239 NoTimeInForceRules N
→59 TimeInForce N Indicates time in force techniques that are valid for the specified market segment

TradingSessionRules

Tag Name Req’d Description
Component OrdTypeRules N Specifies 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.
Component TimeInForceRules N specifies 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
Component ExecInstRules N specifies 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
Component MatchRules N specifies 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
Component MarketDataFeedTypes N specifies 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