v1.0, May 2023
o Nasdaq Nordic Derivatives (NND) Flexes
This document describes parameter conventions for User Defined Instrument (UDI) definition requests sent via WebAPI (instrument_definition_2.InstrumentDefinition).
These are UDI definition parameters whose meaning does not depend on exchange.
|
Parameter |
WebAPI message field |
Description |
Sample |
|
CQG instrument type |
cqg_instrument_type |
Base CQG instrument type for the UDI. Currently support futures and options only. |
CQG_INSTRUMENT_TYPE_FUTURE |
|
Maturity date |
maturity_timestamp |
Contract maturity date, local exchange date, date part only (ignore time part of timestamp). |
|
Nasdaq Nordic Derivatives (NND) Flexes
|
Parameter |
WebAPI message field |
Required |
Description |
Sample |
|
Underlying contract |
underlying_contract_symbol (underlying_contract_id is not used with NND) |
yes |
NND’s recognized symbol for the underlying, passed through to NND without any validation by server. Generally will be an NNE equity or index. |
VOLVB |
|
Exchange instrument type |
exchange_instrument_type |
yes |
Strings shall match SecurityType(167) in NND’s Security Definition FIX request. See more details below the table. |
FUT |
|
Settlement method |
settlement_method |
yes |
Settlement method |
SETTLEMENT_METHOD_CASH / SM_CASH |
|
Exercise style |
exercise_style |
options only |
Exercise style |
EXERCISE_STYLE_EUROPEAN / ES_EURO |
|
Strike |
strike |
options only |
Strike price in NND’s format, supplied only with options instruments (exchange instrument type=OPT) |
190.0 |
|
Pricing convention |
pricing_convention |
yes |
Pricing convention or return type |
PRICING_CONVENTION_PRICE |
Exchange instrument type details
As mentioned above, the value sent must match SecurityType(167) in NND’s Security Definition FIX request. It must also be consistent with the provided cqg_instrument_type:
•FUT - NND futures. Sent as cqg_instrument_type = CQG_INSTRUMENT_TYPE_FUTURE.
•FWD - NND forwards. Sent as cqg_instrument_type = CQG_INSTRUMENT_TYPE_FUTURE because NND futures are forwards inside CQG.
•OPT - NND options. Sent as cqg_instrument_type = CQG_INSTRUMENT_TYPE_CALL_OPTION or CQG_INSTRUMENT_TYPE_PUT_OPTION for consistency with CQG’s general split between call and put options at the highest level.