Added
FIX.5.0
EP-1
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Field or Component | Field Name | FIXML name | Req'd | Comments | Depr. |
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Repeating Group 1310 | NoMarketSegments |
Number of Market Segments on which a security may trade. |
1301 | MarketID | @MktID |
Identifies the market which lists and trades the instrument. | |||
1300 | MarketSegmentID | @MktSegID |
Identifies the segment of the market to which the specify trading rules and listing rules apply. |
Component(-) | SecurityTradingRules | SecTrdgRules |
Component(-) | BaseTradingRules | BaseTrdgRules |
This block contains the base trading rules |
Component(-) | TickRules | TickRules |
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 |
Repeating Group 1205 | NoTickRules |
Number of tick rules. 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. |
1206 | StartTickPriceRange | @StartTickPxRng |
Starting price range for specified tick increment | |||
1207 | EndTickPriceRange | @EndTickPxRng |
Ending price range for the specified tick increment | |||
1208 | TickIncrement | @TickIncr |
Tick increment for stated price range. Specifies the valid price increments at which a security can be quoted and traded | |||
1209 | TickRuleType | @TickRuleTyp |
Specifies the type of tick rule which is being described |
end Repeating Group |
end Component |
Component(-) | LotTypeRules | LotTypeRules |
Specifies the lot types that are valid for trading. |
Repeating Group 1234 | NoLotTypeRules |
Number of Lot Types |
1093 | LotType | @LotTyp |
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 | @MinLotSz |
Minimum lot size allowed based on lot type specified in LotType(1093) |
end Repeating Group |
end Component |
Component(-) | PriceLimits | PxLmts |
Specifies the price limits that are valid for trading. |
1306 | PriceLimitType | @PxLmtTyp |
Describes the how the price limits are expressed | |||
1148 | LowLimitPrice | @LowLmtPx |
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 | @HiLmtPx |
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 | @TrdgRefPx |
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. |
end Component |
827 | ExpirationCycle | @ExpirationCycle | ||||
562 | MinTradeVol | @MinTrdVol |
The minimum order quantity that can be submitted for an order. | |||
1140 | MaxTradeVol | @MaxTrdVol |
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 | @MxPxVar |
The maximum price variation of an execution from one event to the next for a given security. Expressed in absolute price terms. | |||
1144 | ImpliedMarketIndicator | @ImpldMktInd | ||||
1245 | TradingCurrency | @TrdCcy |
Used when the trading currency can differ from the price currency | |||
561 | RoundLot | @RndLot |
Trading lot size of security | |||
1377 | MultilegModel | @MlegModel |
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 | @MlegPxMeth |
Used for multileg security only. Defines the method used when applying the multileg price to the legs. | |||
423 | PriceType | @PxTyp |
Defines the default Price Type used for trading. |
end Component |
Component(-) | TradingSessionRulesGrp | TrdgSesRulesGrp |
This block contains the trading rules specific to a trading session |
Repeating Group 1309 | NoTradingSessionRules |
Allows trading rules to be expressed by trading session |
336 | TradingSessionID | @SesID |
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 | @SesSub |
Identifier for the trading session Set to [N/A] if values are not specific to trading session sub id |
Component(-) | TradingSessionRules | TrdgSesRules |
Contains trading rules specified at the trading session level |
Component(-) | OrdTypeRules | OrdTypRules |
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. |
Repeating Group 1237 | NoOrdTypeRules |
Number of order types |
40 | OrdType | @OrdTyp |
Indicates order types that are valid for the specified market segment. |
end Repeating Group |
end Component |
Component(-) | TimeInForceRules | TmInForceRules |
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 |
Repeating Group 1239 | NoTimeInForceRules |
Number of time in force techniques |
59 | TimeInForce | @TmInForce |
Indicates time in force techniques that are valid for the specified market segment |
end Repeating Group |
end Component |
Component(-) | ExecInstRules | ExecInstRules |
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 |
Repeating Group 1232 | NoExecInstRules |
Number of execution instructions |
1308 | ExecInstValue | @ExecInstValu |
Indicates execution instructions that are valid for the specified market segment |
end Repeating Group |
end Component |
Component(-) | MatchRules | MtchRules |
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 |
Repeating Group 1235 | NoMatchRules |
Number of match rules |
1142 | MatchAlgorithm | @MtchAlgo |
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 | @MtchTyp |
The point in the matching process at which this trade was matched. |
end Repeating Group |
end Component |
Component(-) | MarketDataFeedTypes | MDFeedTyps |
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 |
Repeating Group 1141 | NoMDFeedTypes |
The number of feed types and corresponding book depths associated with a security |
1022 | MDFeedType | @MDFeedTyp |
Describes a class of service for a given data feed | |||
264 | MarketDepth | @MktDepth |
The depth of book associated with a particular feed type | |||
1021 | MDBookType | @MDBkTyp |
Describes the type of book for which the feed is intended. Can be used when multiple feeds are provided over the same connection |
end Repeating Group |
end Component |
end Component |
end Repeating Group |
end Component |
Component(-) | NestedInstrumentAttribute | Attrb |
Repeating Group 1312 | NoNestedInstrAttrib |
1210 | NestedInstrAttribType | @Typ |
Code to represent the type of instrument attribute | |||
1211 | NestedInstrAttribValue | @Val |
Attribute value appropriate to the NestedInstrAttribType field |
end Repeating Group |
end Component |
end Component |
Component(-) | StrikeRules | StrkRules |
This block specifies the rules for determining how new strikes should be listed within the stated price range of the underlying instrument. |
Repeating Group 1201 | NoStrikeRules |
Number of strike rule entries. This block specifies the rules for determining how new strikes should be listed within the stated price range of the underlying instrument |
1223 | StrikeRuleID | @StrkRule |
Allows strike rule to be referenced via an identifier so that rules do not need to be explicitly enumerated | |||
1202 | StartStrikePxRange | @StartStrkPxRng |
Starting price for the range to which the StrikeIncrement applies. Price refers to the price of the underlying | |||
1203 | EndStrikePxRange | @EndStrkPxRng |
Ending price of the range to which the StrikeIncrement applies. Price refers to the price of the underlying | |||
1204 | StrikeIncrement | @StrkIncr |
Value by which strike price should be incremented within the specified price | |||
1304 | StrikeExerciseStyle | @StrkExrStyle |
Enumeration that represents the exercise style for a class of options Same values as ExerciseStyle |
Component(-) | MaturityRules | MatRules |
Describes the maturity rules for a given set of strikes as defined by StrikeRules |
Repeating Group 1236 | NoMaturityRules |
Number of maturity rule entries. This block specifies the rules for determining how new strikes should be listed within the stated price range of the underlying instrument |
1222 | MaturityRuleID | @MatRuleID |
Allows maturity rule to be referenced via an identifier so that rules do not need to be explicitly enumerated | |||
1303 | MaturityMonthYearFormat | @MMYFmt |
Format used to generate the MMY for each option contract: | |||
1302 | MaturityMonthYearIncrementUnits | @MMYIncrUnits |
enumeration specifying the increment unit: | |||
1241 | StartMaturityMonthYear | @StartMMY |
Starting maturity for the range to which the StrikeIncrement applies. Price refers to the price of the underlying | |||
1226 | EndMaturityMonthYear | @EndMMY |
Ending maturity monthy year to which the StrikeIncrement applies. Price refers to the price of the underlying | |||
1229 | MaturityMonthYearIncrement | @MMYIncr |
Value by which maturity month year should be incremented within the specified price range. |
end Repeating Group |
end Component |
end Repeating Group |
end Component |
end Repeating Group |
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