Component Instrument from FIX Client

Overview

When sending the instrument component block in a FIX client request, you can specify the instrument in any of the following methods:

  • By single security ID

  • By multiple alternative security IDs

  • By security attributes

When specifying by single security ID

Note

Each instrument is identified by one set of tags:

  • SecurityID

  • IDSource

  • SecurityExchange or ExDestination

  • Symbol(exchange product symbol, optional)

SecurityID - 48

Tag number

Field Name

Required

Data type

48

SecurityID

Y

String

Comments

ID of the instrument. The contents(value) of this tag is interpreted based on the value of IDSource tag (See below).

IDSource - 22

Tag number

Field Name

Required

Data type

22

IDSource

Y

String

Comments

Source for the value of tag 48 (SecurityID). If IDSource is missing, it will be considered that it has value 96.

Supported values include:

  • 8 Exchange security ID

  • 96 QST internal instrument id

  • 97 Alias

  • 98 Exchange instrument symbol

Note

  • 97 Alias can be used only for outright futures, options, calendar spreads, and butterfly spreads.

  • We recommend you to use 96 value as much as possible.

SecurityExchange - 207

Tag number

Field Name

Required

Data type

207

SecurityExchange

C

Exchange

Comments

Name of the market where the instrument trades.

QST FIX server uses this value to identify the exchange that offers the security.

Supported values include:

  • CME - For all exchanges that are part of the CME Group(NYMEX, COMEX, CBOT, CME, KCBT).

  • ICE - For ICE US.

  • BMD - For BMD.

Condition: Required when Tag 100 (ExDestination) is absent and when tag 22 (IDSource) is 8 (Exchange security ID), 97 (Alias) or 98 (Exchange instrument symbol).

ExDestination - 100

Tag number

Field Name

Required

Data type

100

ExDestination

C

Exchange

Comments

Market Identifier Code (MIC) of the sub-market where the instrument trades(according to ISO 10383).

Supported values:

  • XCBT

  • XCME

  • XNYM

  • XCEC

  • KCBT

  • IFUS

  • XKLS

Condition: Required when Tag 207 (SecurityExchange) is absent and when tag 22 (IDSource) is 8 (Exchange security ID), 97 (Alias) or 98 (Exchange instrument symbol).

Symbol - 55

Tag number

Field Name

Required

Data type

55

Symbol

N

String

Comments

Exchange-provided product symbol for the tradable product.

When specifying by multiple alternative security IDs

Note

When using this method, the client can provide multiple methods of identification of the same instrument. The QST FIX server will use the first method from the group that can successfully identify the instrument.

SecurityExchange - 207

Tag number

Field Name

Required

Data type

207

SecurityExchange

C

Exchange

Comments

Name of the market where the instrument trades.

QST FIX server uses this value to identify the exchange that offers the security.

Supported values include:

  • CME - For all exchanges that are part of the CME Group(NYMEX, COMEX, CBOT, CME, KCBT).

  • ICE - For ICE US.

  • BMD - For BMD.

Condition: Required when Tag 100 (ExDestination) is absent.

ExDestination - 100

Tag number

Field Name

Required

Data type

100

ExDestination

C

Exchange

Comments

Market Identifier Code (MIC) of the sub-market where the instrument trades(according to ISO 10383).

Supported values:

  • XCBT

  • XCME

  • XNYM

  • XCEC

  • KCBT

  • IFUS

  • XKLS

Condition: Required when Tag 207 (SecurityExchange) is absent.

NoSecurityAltID - 454

Tag number

Field Name

Required

Data type

454

NoSecurityAltID

Y

NumInGroup

Comments

Number of alternate security IDs in this repeating group

SecurityAlt Group

SecurityAltID - 455

Tag number

Field Name

Required

Data type

455

SecurityAltID

Y

String

Comments

ID of the instrument. The contents(value) of this tag is interpreted based on the value of SecurityAltIDSource tag (See below).

SecurityAltIDSource - 456

Tag number

Field Name

Required

Data type

456

SecurityAltIDSource

Y

String

Comments

Source for the value of tag 455 (SecurityAltID).

Supported values include:

  • 8 Exchange security ID

  • 97 Alias

  • 98 Exchange instrument symbol

  • 99 QST internal symbol representation of the instrument

Note

97 Alias can be used only for outright futures, options, calendar spreads, and butterfly spreads.

Symbol - 55

Tag number

Field Name

Required

Data type

55

Symbol

N

String

Comments

Exchange-provided product symbol for the tradable product.

SecurityType - 167

Tag number

Field Name

Required

Data type

167

SecurityType

Y

String

Comments

Asset class of the instrument.

Supported values:

  • FUT Future

  • MLEG Multi-leg

  • OPT Option

When specifying by security attributes

Note

When using this method, you can identify instruments by specifying their attributes, as an alternative to using security IDs.

SecurityExchange - 207

Tag number

Field Name

Required

Data type

207

SecurityExchange

C

Exchange

Comments

Name of the market where the instrument trades.

QST FIX server uses this value to identify the exchange that offers the security.

Supported values include:

  • CME - For all exchanges that are part of the CME Group(NYMEX, COMEX, CBOT, CME, KCBT).

  • ICE - For ICE US.

  • BMD - For BMD.

Condition: Required when Tag 100 (ExDestination) is absent.

ExDestination - 100

Tag number

Field Name

Required

Data type

100

ExDestination

C

Exchange

Comments

Market Identifier Code (MIC) of the sub-market where the instrument trades(according to ISO 10383).

Supported values:

  • XCBT

  • XCME

  • XNYM

  • XCEC

  • KCBT

  • IFUS

  • XKLS

Condition: Required when Tag 207 (SecurityExchange) is absent and when tag 22 (IDSource) is 8 (Exchange security ID), 97 (Alias) or 98 (Exchange instrument symbol).

SecurityType - 167

Tag number

Field Name

Required

Data type

167

SecurityType

Y

String

Comments

Asset class of the instrument.

Supported values:

  • FUT Future

  • MLEG Multi-leg

  • OPT Option

Symbol - 55

Tag number

Field Name

Required

Data type

55

Symbol

C

String

Comments

Exchange-provided product symbol for the tradable product.

Condition: Not used when Tag 167 (SecurityType)=``MLEG``.

MaturityDay - 205

Tag number

Field Name

Required

Data type

205

MaturityDay

C

DayOfMonth

Comments

Maturity day for the instrument, provided only for daily(non-monthly) instruments.

QST FIX server uses this value and Tag 200 (MaturityMonthYear) to specify the maturity date when Tag 167 (SecurityType) is not MLEG.

Range: 1-31

Note

If included, tag 541 (MaturityDate) will override this tag.

Condition: Required when multiple contracts exist for the same month.

MaturityMonthYear - 200

Tag number

Field Name

Required

Data type

200

MaturityMonthYear

C

MonthYear

Comments

Month and year the instrument reaches maturity in the format YYYYMM.

Note

If included, tag 541 (MaturityDate) will override this tag.

Condition: Required when Tag 167 (SecurityType) is not MLEG

MaturityDate - 541

Tag number

Field Name

Required

Data type

541

MaturityDate

C

LocalMktDate

Comments

Maturity date in format YYYYMMDD.

Note

This tag value overrides tag 200 (MaturityMonthYear) and tag 205 (MaturityDay), if they are also specified.

Condition: Required when Tag 167 (SecurityType) is not MLEG

PutOrCall - 201

Tag number

Field Name

Required

Data type

201

PutOrCall

C

int

Comments

Whether the option represents a put or call

Supported values include:

  • 0 Put

  • 1 Call

Condition: Required when Tag 167 (SecurityType) is OPT

StrikePrice - 202

Tag number

Field Name

Required

Data type

202

StrikePrice

C

Price

Comments

Stirke price for an option

Condition: Required when Tag 167 (SecurityType) is OPT

LegInstrumentGrp Component

Repeating group of legs in a multileg instrument

The leg instrument group component block uses the same structure as the instrument component block sent from QST FIX server to FIX clients, except that all of its tags represent the legs of an exchange-traded strategy. For example, instead of Tag 55 (Symbol) this block contains Tag 600 (LegSymbol).

Condition: Required when the value of tag 167 (SecurityType) is MLEG.

LegInstrumentGrp Component

NoLegs - 555

Tag number

Field Name

Required

Data type

555

NoLegs

Y

String

Comments

Number of legs in the repeating group

Leg Group

Contents of a leg.

Note

Only one of the following tags should be specified:

  • LegSecurityExchange

  • LegExDestination

  • LegSecurityId

LegSecurityExchange - 616

Tag number

Field Name

Required

Data type

616

LegSecurityExchange

C

Exchange

Comments

Name of the market where the instrument trades.

QST FIX server uses this value to identify the exchange that offers the security.

Supported values include:

  • CME - For all exchanges that are part of the CME Group(NYMEX, COMEX, CBOT, CME, KCBT).

  • ICE - For ICE US.

Condition:

  • Both Tag 18100 (LegExtDestination) and Tag 602 (LegSecurityId) are absent.

LegExDestination - 18100

Tag number

Field Name

Required

Data type

18100

LegExDestination

C

Exchange

Comments

Market Identifier Code (MIC) of the sub-market where the instrument trades(according to ISO 10383).

Supported values:

  • XCBT

  • XCME

  • XNYM

  • XCEC

  • KCBT

  • IFUS

Condition:

  • Both Tag 616 (LegSecurityExchange) and Tag 602 (LegSecurityId) are absent.

LegSecurityId - 602

Tag number

Field Name

Required

Data type

602

LegSecurityId

C

String

Comments

QST internal instrument ID.

Condition:

  • Both Tag 18100 (LegExDestination) and Tag 616 (LegSecurityExchange) are absent.

LegSymbol - 600

Tag number

Field Name

Required

Data type

600

LegSymbol

C

String

Comments

Exchange-provided product symbol for the tradable product.

LegSecurityType - 609

Tag number

Field Name

Required

Data type

609

LegSecurityType

Y

String

Comments

Multi-leg instrument’s individual security’s SecurityType.

Supported values include:

  • FUT Future

  • MLEG Multi-leg

  • OPT Option

LegMaturityDay - 18314

Tag number

Field Name

Required

Data type

18314

LegMaturityDay

C

DayOfMonth

Comments

Maturity day for the instrument, provided only for daily(non-monthly) instruments.

QST FIX server uses this value and Tag 610 (LegMaturityMonthYear) to specify the maturity date when Tag 609 (LegSecurityType) is not MLEG.

Range: 1-31

Note

If included, tag 611 (LegMaturityDate) will override this tag.

Condition: Required when multiple contracts exist for the same month.

LegMaturityMonthYear - 610

Tag number

Field Name

Required

Data type

610

LegMaturityMonthYear

N

MonthYear

Comments

Month and year the instrument reaches maturity in the format YYYYMM.

Note

If included, tag 611 (LegMaturityDate) will override this tag.

Condition: Required when Tag 609 (LegSecurityType) is not MLEG

LegMaturityDate - 611

Tag number

Field Name

Required

Data type

611

LegMaturityDate

C

LocalMktDate

Comments

Maturity date in format YYYYMMDD.

Note

This tag value overrides tag 610 (LegMaturityMonthYear) and tag 18314 (LegMaturityDay), if they are also specified.

Condition: Required when Tag 609 (LegSecurityType) is not MLEG

LegStrikePrice - 612

Tag number

Field Name

Required

Data type

612

LegStrikePrice

C

Price

Comments

Multi-leg instrument’s individual security’s StrikePrice.

Condition: Required when Tag 609 (LegSecurityType) is OPT

LegPutOrCall - 1358

Tag number

Field Name

Required

Data type

1358

LegPutOrCall

C

int

Comments

Whether the option represents a put or call

Supported values include:

  • 0 Put

  • 1 Call

Condition: Required when Tag 609 (LegSecurityType) is OPT

LegSide - 624

Tag number

Field Name

Required

Data type

624

LegSide

N

char

Comments

The side of this individual leg (multi-leg security).

Supported values:

  • 1 Buy

  • 2 Sell

LegRatioQty - 624

Tag number

Field Name

Required

Data type

624

LegRatioQty

N

Qty

Comments

Ratio of quantity for this individual leg relative to the entire multi-leg security

The value represents one of the following:

  • For a leg of a covered strategy (such as a volatility trade) on CME, the value represents the delta (expressed as an integer between 1 and 100).

  • In all other cases, the value represents the quantity of this leg in the strategy.

NoLegSecurityAltID - 604

Note

If not identifying the instrument by QST internal instrument id(LegSecurityId), the client must provide at least one alternate leg security ID.

Tag number

Field Name

Required

Data type

604

NoLegSecurityAltID

C

NumInGroup

Comments

Number of alternate leg security IDs contained in this repeating group

Condition: Sent when there are one or more alternate leg security IDs, when LegSecurityId tag is not present.

LegSecurityAltIDGrp Group

The LegSecurityAltIDGrp group is used to identify a number alternate security identifiers for an instrument leg.

LegSecurityAltID - 605

Tag number

Field Name

Required

Data type

605

LegSecurityAltID

Y

String

Comments

ID of the instrument. The contents(value) of this tag is interpreted based on the value of LegSecurityAltIDSource tag(See below).

LegSecurityAltIDSource - 606

Tag number

Field Name

Required

Data type

606

LegSecurityAltIDSource

Y

String

Comments

Source for the value of tag 605 (LegSecurityAltID).

Supported values include:

  • 8 Exchange security ID

  • 97 Alias

  • 98 Exchange instrument symbol

  • 99 QST internal symbol representation of the instrument

Note

97 Alias can be used only for outright futures, options, calendar spreads, and butterfly spreads.