Security Definition (d) Message

Purpose

Used to send contract information in response to a security definition request or as an async security definition.

Message Direction

From QST FIX server to a FIX client

Supported tags

Note

Each Security Definition message should start with Standard Header component(with the tag 35 (MsgType) = d) and end with the Standard Trailer.

SecurityReqID - 320

Tag number

Field Name

Required

Data type

320

SecurityReqID

Y

String

Comments

Unique ID for this request

QST FIX server populates this tag with the value of the tag in the incoming Security Definition Request (c) message.

SecurityResponseID - 322

Tag number

Field Name

Required

Data type

322

SecurityResponseID

Y

int

Comments

Unique ID for this Security Definition (d) message.

SecurityResponseType - 323

Tag number

Field Name

Required

Data type

323

SecurityResponseType

Y

String

Comments

Type of security definition response

Supported values:

  • 4 List of securities returned per request

  • 5 Reject security proposal

  • 6 Cannot match the search criteria

UnderlyingSecurityID - 309

Tag number

Field Name

Required

Data type

309

UnderlyingSecurityID

N

String

Comments

Underlying security’s SecurityID.

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

Component Instrument from QST FIX server response

Here is the content of this component: Instrument from QST FIX server response

TotalNumSecurities - 393

Tag number

Field Name

Required

Data type

393

TotalNumSecurities

Y

int

Comments

Number of securities that match the filter set in the Security Definition Request (c) message

ExchTickSize - 16552

Tag number

Field Name

Required

Data type

16552

ExchTickSize

Y

decimal

Comments

Size of one base tick for this security

See the section called Determining tick sizes and tick values for more information.

ExchPointValue - 16554

Tag number

Field Name

Required

Data type

16554

ExchPointValue

N

decimal

Comments

Size of one point for this security

See the section called Determining tick sizes and tick values for more information.

DeliveryTerm - 18211

Tag number

Field Name

Required

Data type

18211

DeliveryTerm

N

String

Comments

Note

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

Term of delivery for the instrument.

Supported values include:

  • M Month

  • D Day

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

  • B Bond

  • E Equity Outright

  • ED Equity Derivative

  • I Index

  • FX Index

  • CFD Index

  • PHY Index

NoMdFeedTypes - 1141

Warning

Supported only for clients that use API V2.0 version of the protocol.

Tag number

Field Name

Required

Data type

1141

NoMdFeedTypes

N

Int

Comments

Number of repeating FeedType repeating group entries. Indicates number of repeating groups and length of each repeating group in the message.

NoMdFeedTypes Group

MDFeedType - 1022

Warning

Supported only for clients that use API V2.0 version of the protocol.

Tag number

Field Name

Required

Data type

1022

MDFeedType

N

String

Comments

Describes a class of service for a given data feed.

Supported values include:

  • O Outright book depth

  • I Implied book depth

MarketDepth - 264

Warning

Supported only for clients that use API V2.0 version of the protocol.

Tag number

Field Name

Required

Data type

264

MarketDepth

N

int

Comments

Identifies the depth of book.

Note

If this field has the value 0, it means that the depth of the book is unlimited.

NoEvents - 864

Tag number

Field Name

Required

Data type

864

NoEvents

N

NumInGroup

Comments

Number of entries in the event types repeating group

NoEvents Group

EventType - 865

Tag number

Field Name

Required

Data type

865

EventType

N

int

Comments

Type of event

Supported values include:

  • 5 Expiration date

  • 6 Activation date

EventDate - 866

Tag number

Field Name

Required

Data type

866

EventDate

N

LOCALMKtdATE

Comments

Date the event occurred

NoInstrAttrib - 870

Tag number

Field Name

Required

Data type

870

NoInstrAttrib

N

NumInGroup

Comments

Number of entries in the instrument attribute repeating group.

NoInstrAttrib Group

InstrAttribType - 871

Tag number

Field Name

Required

Data type

871

InstrAttribType

N

Int

Comments

Code to represent the type of instrument attribute.

Supported values include:

  • 1 Deactivation price

  • 2 Lower strike

  • 3 Upper strike

  • 4 Parity

  • 5 Leverage factor

  • 6 Series

  • 7 Is short sell eligible

  • 8 Is sip

  • 9 Cpf investment scheme

  • 10 Book type

InstrAttribValue - 872

Tag number

Field Name

Required

Data type

872

InstrAttribValue

N

String

Comments

Attribute value appropriate to the InstrAttribType (871) field.

ExerciseStyle - 1194

Tag number

Field Name

Required

Data type

1194

ExerciseStyle

N

Char

Comments

Exercise style of the product.

Supported values:

  • A American

  • E European

  • B Bermudan

  • C Canary

RoundLot - 561

Tag number

Field Name

Required

Data type

561

RoundLot

N

Double

Comments

The trading lot size of a security.

MarketSegmentDesc - 1396

Tag number

Field Name

Required

Data type

1396

MarketSegmentDesc

N

String

Comments

Description of the market segment.

MarketSegmentID - 1300

Tag number

Field Name

Required

Data type

1300

MarketSegmentID

C

String

Comments

Market segment id.

Condition: It will be populated when MarketSegmentDesc (1396) is populated.

Issuer - 106

Tag number

Field Name

Required

Data type

106

Issuer

N

String

Comments

Name of security issuer.

CouponRate - 223

Tag number

Field Name

Required

Data type

223

CouponRate

N

Percentage

Comments

For fixed income. Coupon rate of the bond. Will be zero for step-up bonds.

NoTickRules - 1205

Tag number

Field Name

Required

Data type

1205

NoTickRules

N

NumInGroup

Comments

Number of entries in the tik rules repeating group.

NoTickRules Group

StartTickPriceRange - 1206

Tag number

Field Name

Required

Data type

1206

StartTickPriceRange

N

Price

Comments

Lower limit strike price for in-line warrants.

EndTickPriceRange - 1207

Tag number

Field Name

Required

Data type

1207

EndTickPriceRange

N

Price

Comments

Upper limit strike price for in-line warrants.

TickIncrement - 1208

Tag number

Field Name

Required

Data type

1208

TickIncrement

N

Price

Comments

Value of the tick at the current level.

IncludeStartTickPriceRange - 12061

Tag number

Field Name

Required

Data type

12061

IncludeStartTickPriceRange

N

Boolean

Comments

If true, the tick will be applied when the price is equal to the lower price limit.

IncludeEndTickPriceRange - 12071

Tag number

Field Name

Required

Data type

12071

IncludeEndTickPriceRange

N

Boolean

Comments

If true, the tick will be applied when the price is equal to the upper price limit.

PriceDisplayType - 16451

Tag number

Field Name

Required

Data type

16451

PriceDisplayType

Y

int

Comments

Price code indicating how QST FIX formats the price for display purpose.

Possible values:

  • 10 half cents (last digit is either 0 or 5)

  • 11 fourths (last digit is either 0, 2, 4 or 6)

  • 13 eights

  • 15 thirty seconds

  • 16 sixty fourths

  • 17 halth thirty seconds

  • 18 quater thirty seconds

  • 19 half six fourths

  • 57 eight thirty seconds

  • 0 unknown

Message Notes

Determining tick sizes and tick values

Note

  • Tick Size (for all prices) = Tag 16552 (ExchTickSize)

  • Tick Value (for all prices) = Tag 16552 (ExchTickSize) * Tag 16554 (ExchPointValue)

Working with spreads and strategies

When a FIX client requests a security definition for a spread or strategy, QST FIX server responds by sending:

  • A Security Definition (d) for the spread itself. A leg repeating group exists for each leg of the spread. Tag 555 (NoLegs) is set to the total number of leg repeating groups (spread legs) associated with the spread.

Examples

  1. Receiving security definition for a specific security type:

# Receiving security definition for a future:
8=FIX.4.2|9=369|35=d|34=6|49=QSTFIXAPI|52=20200722-16:20:14.551745|56=ciumpy1|15=USD|48=20153735|55=ES|100=XCME|107=E-Mini S&P 500 Outright Future|167=FUT|200=202109|207=CME|320=SRQ0005|322=SRQ0005:4|323=4|393=5|454=6|455=5439|456=8|455=1|456=92|455=1|456=93|455=ES Sep21|456=97|455=ESU1|456=98|455=ESU21|456=99|864=2|865=5|866=20200619|865=6|866=20210917|9787=0.01|16552=25|16554=0.5|10=071|

# Receiving security definition for an option:
8=FIX.4.2|9=415|35=d|34=1214|49=QSTFIXAPI|52=20200722-16:19:13.547652|56=ciumpy1|15=USD|48=20352237|55=ES|100=XCME|107=E-Mini S&P 500 American Option|167=OPT|200=202012|201=0|202=356000|207=CME|320=SRQ0005|322=SRQ0005:1212|323=4|393=1213|454=6|455=254038|456=8|455=1|456=92|455=3|456=93|455=ES Dec20 P356000|456=97|455=ESZ0 P3560|456=98|455=ESZ20P3560|456=99|864=2|865=5|866=20191220|865=6|866=20201218|9787=0.01|16552=5|16554=0.5|10=207|

# Receiving security definition for a strategy:
8=FIX.4.2|9=923|35=d|34=18|49=QSTFIXAPI|52=20200722-16:20:42.095011|56=ciumpy1|15=USD|48=20352834|55=ES|100=XCME|107=E-Mini S&P 500 Straddle Options Strategy|167=MLEG|200=202009|207=CME|320=SRQ0005|322=SRQ0005:16|323=4|393=17|454=5|455=802033|456=8|455=1|456=92|455=34|456=93|455=UD:1V: ST 0722802033|456=98|455=ESU20C2750:P2750[ST]|456=99|555=2|600=ES|602=18981703|603=96|604=6|605=132880|606=8|605=1|606=92|605=3|606=93|605=ES Sep20 C275000|606=97|605=ESU0 C2750|606=98|605=ESU20C2750|606=99|609=OPT|610=202009|612=275000|616=CME|620=E-Mini S&P 500 American Option|623=1|624=1|556=USD|1358=1|18100=XCME|600=ES|602=18968132|603=96|604=6|605=740401|606=8|605=1|606=92|605=3|606=93|605=ES Sep20 P275000|606=97|605=ESU0 P2750|606=98|605=ESU20P2750|606=99|609=OPT|610=202009|612=275000|616=CME|620=E-Mini S&P 500 American Option|623=1|624=1|556=USD|1358=0|18100=XCME|762=Straddle|864=2|865=5|866=20200722|865=6|866=20200724|9787=0.01|16552=5|10=188|