1. The symbol tag for futures, options, cash_spot, and fixed income instruments for NE, HS, and GD modes is a fixed string which is configurable on client side. It is usually the native exchange symbol.
Example: JEY
Spreads are not supported at all for HS and GD modes.
Currently supported strategies in NE mode are:
- Two-leg calendar (intra-commodity) and inter-commodity spreads;
- Strategy as a single instrument also known as SI Spread (Soy Crush);
2. The symbol tag for calendar spreads in NE mode is formed in the following ways:
•When last digit of the year is used in Symbol construction (Here and in cases mentioned below is configured on FIX Client session side for NE mode).
ExhangeSymbol + FirstLegMonthCode + FirstLegYearLastDigit + SecondLegMonthCode + SecondLegYearLastDigit. The standard FGHJKMNQUVXZ month codes are used. Example: JEYH4M5
•When two last digits of the year are used in Symbol construction (is configured on FIX Client session side for NE mode) then the symbol tag for calendar spreads in NE mode is formed in the following way:
ExhangeSymbol + FirstLegMonthCode + FirstLegYearLastTwoDigits + SecondLegMonthCode + SecondLegYearLastTwoDigits. The standard FGHJKMNQUVXZ month codes are used. Example: JEYH24M25
3. The symbol tag for inter-commodity spreads in NE mode is formed in the following way:
•When last digit of the year should be used in Symbol construction
"CC1M1Y1-CC2M2Y2:R1R2" or "CC1M1Y1-CC2M2Y2" (when all legs ratios are 1) where
CC1 – first leg exchange symbol;
M1 – first leg month code (the standard FGHJKMNQUVXZ month codes are used);
Y1 – first leg year last digit;
CC2 – second leg exchange symbol;
M2 – second leg month code (the standard FGHJKMNQUVXZ month codes are used);
Y2 – second leg year last digit.
R1 – 2 digit absolute value of first leg ratio;
R2 – 2 digit absolute value of second leg ratio.
Example: WMAZN7-YMAZN7:0318 or WMAZN7-YMAZN7 (when all legs ratios absolute values are 1).
•When last 2 digits of the year should be used in Symbol construction.
Example: WMAZN27-YMAZN27:0318 or WMAZN27-YMAZN27 (when all legs ratios absolute values are 1).
4. The symbol for strategy as a single instrument in NE mode is formed in the following way:
•When last digit of the year should be used in Symbol construction.
"CCC M1Y1M2Y2M3Y3", where
CCC –Exchange symbol for the instrument;
M1 – first leg month code (the standard FGHJKMNQUVXZ month codes are used);
Y1 – first leg year last digit;
M2 – second leg month code (the standard FGHJKMNQUVXZ month codes are used);
Y2 – second leg year last digit;
M3 – third leg month code (the standard FGHJKMNQUVXZ month codes are used);
Y3 – third leg year last digit;
Quantity/side ratio of the legs is +1:+1:-1.
Buying a Single Instrument Strategy Spread buys leg1, buys leg2, and sells leg3.
Selling a Single Instrument Strategy Spread sells leg1, sells leg2, and buys leg3.
Example: SOM V3V3X3 or SOM K3K3K3.
•When last 2 digits of the year should be used in Symbol construction.
Example: SOM V23V23X23 or SOM K23K23K23.
Symbol tag may also be extended in the three following ways in NE mode and can be constructed with one digit year or two digit (this is configured on FIX Client session side):
1. Extension mode:
- for futures the tag is appended with month-year(MY):
Symbol tag should be formed with one digit year.
o monthly (e.g. ESZ7)
o weekly (e.g. ENOW4Z7)
o daily (e.g. GD05Z7)
Symbol tag should be formed with two digit year.
o monthly (e.g. ESZ27)
o weekly (e.g. ENOW4Z27)
o daily (e.g. GD05Z27)
- for strategies the leg exchange symbol is repeated for each leg.
Symbol tag should be formed with one digit year.
o calendar spread (e.g. FTMIBZ9-FTMIBU0)
o inter-commodity spread (e.g. WMAZZ6-YMAZZ6)
o single instrument strategy (e.g. SOM V3V3X3)
Symbol tag should be formed with two digit year.
o calendar spread (e.g. FTMIBZ09-FTMIBU10)
o inter-commodity spread (e.g. WMAZZ16-YMAZZ16)
o single instrument strategy (e.g. SOM V23V23X23)
- for options month-year(MY) is appended right after the exchange symbol, followed by option type with strike price, separated with space.
Symbol tag should be formed with one digit year.
o monthly (e.g. OZFZ7 P1142)
o weekly (e.g. KO4Z7 P1250)
Symbol tag should be formed with two digit year.
o monthly (e.g. OZFZ27 P1142)
o weekly (e.g. KO4Z27 P1250)
When Symbol(55) extension mode 1 is set and <NoLegs> repeating group is being populated, its LegSymbol(600) member is constructed as an extended symbol as well.
2. Extension mode:
- Extension mode 2 parameter doesn’t affect futures and options symbols creation.
- for strategies:
o calendar spread - CQG symbol may be used for Symbol(55) field. When Symbol tag should be formed with one digit year (e.g. EPS1Z8) and when Symbol tag should be formed with two digits year (e.g. EPS1Z28);
o inter-commodity spread and single instrument strategy - the same symbol construction which is when Extension mode is 1.
Extension mode 2 doesn’t affect LegSymbol(600) field value creation.
All symbol extensions are mutually exclusive with external orders functionality.
3. Extension mode:
For futures, options and calendar / intercommodity spreads it is like CQG long symbol. In this mode year digits in symbol construction aren’t configurable on FIX Client session side
Examples:
•regular futures: F.US.GLDF18;
•weekly futures: F.US.EDA4Z12;
•daily futures: F.US.GD05Z10;
•regular options: P.US.HSIK171142;
•weekly options: P.US.KO4Z121250;
•calendar spreads: F.US.ISPS9Z19;
•inter-commodity spreads: F.US.WMAZYMAZZ16;
•strategy as single instrument: F.US.SOM01V23;
Extension mode 3 doesn’t affect LegSymbol(600) field value creation.
Symbol tag may also be extended in the following way in HS mode (this is configurable per FIX session on Client side):
3. Extension mode:
For cash spots it is like CQG long symbol.
Example: X.US.BRBU01: