Component Instrument from QST FIX server response

Overview

When the QST FIX server returns an instrument component block in a response, it includes tags that provide additional information about the instrument.

Supported tags

SecurityID - 48

Tag number

Field Name

Required

Data type

48

SecurityID

Y

String

Comments

QST internal instrument ID that uniquely identifies the instrument in the QST platform.

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.

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

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

C

String

Comments

Exchange-provided product symbol for the tradable product.

SecurityType - 167

Tag number

Field Name

Required

Data type

167

SecurityType

C

String

Comments

Asset class of the instrument.

Supported values:

  • FUT Future

  • MLEG Multi-leg

  • OPT Option

SecurityDesc - 107

Tag number

Field Name

Required

Data type

107

SecurityDesc

N

String

Comments

Security description.

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

N

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

Product - 460

Tag number

Field Name

Required

Data type

460

Product

N

Int

Comments

Note

Supported only for clients that use API V1.0 version of the protocol.

Indicates the type of product the security is associated with.

Supported values include:

  • 2 Commodity

  • 4 Currency

  • 6 Government

  • 5 Equity

  • 12 Others

  • 14 Energy

CFICode - 461

Tag number

Field Name

Required

Data type

461

CFICode

C

String

Comments

Note

Supported only for clients that use API V1.0 version of the protocol.

Supported values include:

  • F Future

  • OP Option Put

  • OC Option Call

  • M 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: Sent when Tag 167 (SecurityType) is OPT

StrikePrice - 202

Tag number

Field Name

Required

Data type

202

StrikePrice

C

Price

Comments

Strike price for an option

Condition: Sent when Tag 167 (SecurityType) is OPT

DisplayFactor - 9787

Tag number

Field Name

Required

Data type

9787

DisplayFactor

N

Float

Comments

Factor to use when multiplying prices sent from a FIX client and dividing prices sent from QST FIX server

Currency - 15

Tag number

Field Name

Required

Data type

15

Currency

C

Currency

Comments

ISO-standard symbol for the instrument’s trading currency.

NoSecurityAltID - 454

Tag number

Field Name

Required

Data type

454

NoSecurityAltID

C

int

Comments

Number of alternate security IDs contained in this repeating group

Condition: Sent when there are one or more alternate security IDs

SecurityAltID Group

SecurityAltID - 455

Tag number

Field Name

Required

Data type

455

SecurityAltID

Y

String

Comments

Alternate ID for an instrument or security, typically for display purposes.

SecurityAltIDSource - 456

Tag number

Field Name

Required

Data type

456

SecurityAltIDSource

C

String

Comments

Source for the value of tag 455 (SecurityAltID).

Supported values include:

  • 8 Exchange security ID

  • 92 QST internal product family ID

  • 93 QST internal product 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.

SecuritySubType - 762

Tag number

Field Name

Required

Data type

762

SecuritySubType

N

String

Comments

Sub-type qualification or identification of the SecurityType

For example, an instrument with SecurityType**(**167)=``MLEG`` might use this tag to specify the name of the option or futures strategy, such as “Calendar”, “Vertical”, or “Butterfly”.

For equity outrights (E security type) we have the following subtypes:

  • S - Stocks

  • RE - REITs

  • U - Unit Trusts

  • E - ETFs

  • D - Depositary Receipts

  • PS - Preferred Stock

  • D - Depositary Receipts

  • M - Mutual Funds

  • SS - Stapled Securities

  • BT - Business Trusts

  • CF - Closed End Funds

For equity derivatives (ED security type) we have the following subtypes:

  • DW - Derivative Warrant

  • CBB - Callable Bull Bear Contract

  • IW - Inline Warrant

  • CW - Company Warrant

  • DL - Daily Leverage Certificate

  • SW - Structured Warrant

LegInstrumentGrp Component

NoLegs - 202

Tag number

Field Name

Required

Data type

202

NoLegs

C

String

Comments

Number of legs in the repeating group

Condition: Populated only when it’s a multi leg contract.

Leg Group

Contents of a leg.

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 (LegExDestination) 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

Y

String

Comments

QST internal instrument ID that uniquely identifies the instrument in the QST platform.

LegIDSource - 603

Tag number

Field Name

Required

Data type

603

LegIDSource

Y

String

Comments

Multileg instrument’s individual security’s SecurityIDSource.

Always populated with value 96.

LegSymbol - 600

Tag number

Field Name

Required

Data type

600

LegSymbol

N

String

Comments

Exchange-provided product symbol for the tradable product.

LegSecurityDesc - 620

Tag number

Field Name

Required

Data type

620

LegSecurityDesc

N

String

Comments

Leg security description.

LegSecurityType - 609

Tag number

Field Name

Required

Data type

609

LegSecurityType

N

String

Comments

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

Supported values include:

  • FUT Future

  • MLEG Multi-leg

  • OPT Option

LegSecuritySubType - 764

Tag number

Field Name

Required

Data type

764

LegSecuritySubType

N

String

Comments

SecuritySubType of the leg instrument.

Sub-type qualification or identification of the SecurityType For example, an instrument with SecurityType**(**167)=``MLEG`` might use this tag to specify the name of the option or futures strategy, such as “Calendar”, “Vertical”, or “Butterfly”.

LegMaturityDay - 18314

Tag number

Field Name

Required

Data type

18314

LegMaturityDay

N

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

Multi-leg instrument’s individual security’s MaturityMonthYear

LegMaturityDate - 611

Tag number

Field Name

Required

Data type

611

LegMaturityDate

N

LocalMktDate

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

LegStrikePrice - 612

Tag number

Field Name

Required

Data type

612

LegStrikePrice

C

Price

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

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

Y

char

Comments

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

Supported values include:

  • 1 Buy

  • 2 Sell

LegRatioQty - 624

Tag number

Field Name

Required

Data type

624

LegRatioQty

Y

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.

LegCurrency - 556

Tag number

Field Name

Required

Data type

556

LegCurrency

N

Currency

Comments

Currency associated with a particular leg’s price

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

Y

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

  • 92 QST internal product family ID

  • 93 QST internal product 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.