Optional block which can be used to to summarize common attributes shared across a set of option instruments which belong to the same series.
Added
FIX.5.0
EP-1
Expand Components | Collapse Components
| Field or Component | Field Name | FIXML name | Req'd | Comments | Depr. |
|---|
| Component(-) | DerivativeInstrument | DerivInstrmt |
Optional block which can be used to to summarize common attributes shared across a set of option instruments which belong to the same series. |
| 1214 | DerivativeSymbol | @Sym |
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 | @Sfx |
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 | @ID |
Takes precedence in identifying security to counterparty over SecurityAltID block. Requires SecurityIDSource if specified. | ||
| 1217 | DerivativeSecurityIDSource | @Src |
Required if SecurityID is specified. |
| Component(-) | DerivativeSecurityAltIDGrp | AID |
| Repeating Group 1218 | NoDerivativeSecurityAltID |
| 1219 | DerivativeSecurityAltID | @ID | |||
| 1220 | DerivativeSecurityAltIDSource | @Src |
| end Repeating Group |
| end Component |
| 1246 | DerivativeProduct | @Prod |
Indicates the type of product the security is associated with (high-level category) | ||
| 1228 | DerivativeProductComplex | @ProdCmplx |
Identifies an entire suite of products for a given market. In Futures this may be "interest rates", "agricultural", "equity indexes", etc | ||
| 1243 | DerivFlexProductEligibilityIndicator | @FlexProdElig |
Used to indicate if a product or group of product supports the creation of flexible securities | ||
| 1247 | DerivativeSecurityGroup | @SecGrp |
An exchange specific name assigned to a group of related securities which may be concurrently affected by market events and actions. | ||
| 1248 | DerivativeCFICode | @CFI |
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 | @SecTyp |
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 | @SecSubTyp |
Sub-type qualification/identification of the SecurityType (e.g. for SecurityType=MLEG). If specified, SecurityType is required. | ||
| 1251 | DerivativeMaturityMonthYear | @MMY |
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 | @MatDt |
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 | @MatTm | |||
| 1254 | DerivativeSettleOnOpenFlag | @OpenCloseSettlFlag |
Indicator to determine if Instrument is Settle on Open. | ||
| 1255 | DerivativeInstrmtAssignmentMethod | @AsgnMeth | |||
| 1256 | DerivativeSecurityStatus | @Status |
Gives the current state of the instrument | ||
| 1276 | DerivativeIssueDate | @IssDt |
Date instrument was issued. For Fixed Income IOIs for new issues, specifies the issue date. | ||
| 1257 | DerivativeInstrRegistry | @Rgstry |
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 | @Ctry |
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 | @StPrv |
A two-character state or province abbreviation. | ||
| 1260 | DerivativeLocaleOfIssue | @Lcl |
The three-character IATA code for a locale (e.g. airport code for Municipal Bonds). | ||
| 1261 | DerivativeStrikePrice | @StrkPx |
Used for derivatives, such as options and covered warrants | ||
| 1262 | DerivativeStrikeCurrency | @StrkCcy |
Used for derivatives | ||
| 1263 | DerivativeStrikeMultiplier | @StrkMult |
Used for derivatives. Multiplier applied to the strike price for the purpose of calculating the settlement value. | ||
| 1264 | DerivativeStrikeValue | @StrkValu |
Used for derivatives. The number of shares/units for the financial instrument involved in the option trade. | ||
| 1265 | DerivativeOptAttribute | @OptAt |
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 | @Mult |
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 | @MultTyp | |||
| 1442 | DerivativeFlowScheduleType | @FlowSchedTyp | |||
| 1267 | DerivativeMinPriceIncrement | @MinPxIncr |
Minimum price increment for the instrument. Could also be used to represent tick value. | ||
| 1268 | DerivativeMinPriceIncrementAmount | @MinPxIncrAmt |
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 | @UOM | |||
| 1270 | DerivativeUnitOfMeasureQty | @UOMQty | |||
| 1315 | DerivativePriceUnitOfMeasure | @PxUOM | |||
| 1316 | DerivativePriceUnitOfMeasureQty | @PxUOMQty | |||
| 1317 | DerivativeSettlMethod | @SettlMeth |
Settlement method for a contract. Can be used as an alternative to CFI Code value | ||
| 1318 | DerivativePriceQuoteMethod | @PxQteMeth |
Method for price quotation | ||
| 1319 | DerivativeValuationMethod | @ValMeth |
For futures, indicates type of valuation method applied | ||
| 1320 | DerivativeListMethod | @ListMeth |
Indicates whether strikes are pre-listed only or can also be defined via user request | ||
| 1321 | DerivativeCapPrice | @CapPx |
Used to express the ceiling price of a capped call | ||
| 1322 | DerivativeFloorPrice | @FlrPx |
Used to express the floor price of a capped put | ||
| 1323 | DerivativePutOrCall | @PutCall | |||
| 1299 | DerivativeExerciseStyle | @ExerStyle |
Type of exercise of a derivatives security | ||
| 1225 | DerivativeOptPayAmount | @OptPayAmt |
Cash amount indicating the pay out associated with an option. For binary options this is a fixed amount | ||
| 1271 | DerivativeTimeUnit | @TmUnit |
Used to indicate a time unit for the contract (e.g., days, weeks, months, etc.) | ||
| 1272 | DerivativeSecurityExchange | @Exch |
Can be used to identify the security. | ||
| 1273 | DerivativePositionLimit | @PosLmt |
Position Limit for the instrument. | ||
| 1274 | DerivativeNTPositionLimit | @NTPosLmt |
Near-term Position Limit for the instrument. | ||
| 1275 | DerivativeIssuer | @Issr | |||
| 1277 | DerivativeEncodedIssuerLen | @EncIssrLen |
Must be set if EncodedIssuer field is specified and must immediately precede it. | ||
| 1278 | DerivativeEncodedIssuer | @EncIssr |
Encoded (non-ASCII characters) representation of the Issuer field in the encoded format specified via the MessageEncoding field. | ||
| 1279 | DerivativeSecurityDesc | @Desc | |||
| 1280 | DerivativeEncodedSecurityDescLen | @EncSecDescLen |
Must be set if EncodedSecurityDesc field is specified and must immediately precede it. | ||
| 1281 | DerivativeEncodedSecurityDesc | @EncSecDesc |
Encoded (non-ASCII characters) representation of the SecurityDesc field in the encoded format specified via the MessageEncoding field. |
| Component(-) | DerivativeSecurityXML | SecXML |
Embedded XML document describing security. |
| 1282 | DerivativeSecurityXMLLen |
Must be set if SecurityXML field is specified andd must immediately precede it. | |||
| 1283 | DerivativeSecurityXML |
XML Data Stream describing the Security. | |||
| 1284 | DerivativeSecurityXMLSchema | @Schema |
XML Schema used to validate the XML used to describe the Security. |
| end Component |
| 1285 | DerivativeContractSettlMonth | @CSetMo |
Must be present for MBS or TBA |
| Component(-) | DerivativeEventsGrp | Evnt |
| Repeating Group 1286 | NoDerivativeEvents |
| 1287 | DerivativeEventType | @EventTyp |
Indicates type of event describing security | ||
| 1288 | DerivativeEventDate | @Dt | |||
| 1289 | DerivativeEventTime | @Tm |
Specific time of event. To be used in combination with EventDate [1288] | ||
| 1290 | DerivativeEventPx | @Px | |||
| 1291 | DerivativeEventText | @Txt |
| end Repeating Group |
| end Component |
| Component(-) | DerivativeInstrumentParties | Pty |
| Repeating Group 1292 | NoDerivativeInstrumentParties |
Should contain unique combinations of DerivativeInstrumentPartyID, DerivativeInstrumentPartyIDSource, and DerivativeInstrumentPartyRole |
| 1293 | DerivativeInstrumentPartyID | @ID |
Used to identify party id related to instrument series | ||
| 1294 | DerivativeInstrumentPartyIDSource | @Src |
Used to identify source of instrument series party id | ||
| 1295 | DerivativeInstrumentPartyRole | @R |
Used to identify the role of instrument series party id |
| Component(-) | DerivativeInstrumentPartySubIDsGrp | Sub |
| Repeating Group 1296 | NoDerivativeInstrumentPartySubIDs |
| 1297 | DerivativeInstrumentPartySubID | @ID | |||
| 1298 | DerivativeInstrumentPartySubIDType | @Typ |
| end Repeating Group |
| end Component |
| end Repeating Group |
| end Component |
| end Component |
| Component(-) | DerivativeInstrumentAttribute | Attrb |
Additional attribution for the instrument series |
| Repeating Group 1311 | NoDerivativeInstrAttrib |
| 1313 | DerivativeInstrAttribType | @Typ | |||
| 1314 | DerivativeInstrAttribValue | @Val |
| end Repeating Group |
| end Component |
| Component(-) | MarketSegmentGrp | MktSegGrp |
Security trading and listing attributes for the series level |
| 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 |
| end Component |
|