Standard Header

Y

MsgType = c

320

SecurityReqID

String(64)

Y

Unique ID for this request as assigned by the FIX client.

321

SecurityRequestType

Int

Y

Type of security definition request.

Valid values:

0 = Request security identity and specifications. Requestor provides security identification (symbol) and wants specifications (e.g. leg contracts, sides ratios) in response.

1 = Request security identity for the specifications provided (name of the security is not provided). Requestor provides security specifications (e.g. leg contracts, sides ratios) and wants identification (symbol) in response.

1

Account

String(256)

C

Account ID (managed by the CQG gateway). It's required when sending SecurityRequestType=1 for exchanges in this list:

•      Eurex

22

IDSource

String

N

Reserved for contract identification used by custom FIX API vendor contract symbol mappings.

It should not appear for FIX vendors that do not have it explicitly configured.

48

SecurityID

String

N

Reserved for contract identification used by custom FIX API vendor contract symbol mappings.

It should not appear for FIX vendors that do not have it explicitly configured.

55

Symbol

String(64)

C

Identifier of an existing contract. Required if SecurityRequestType=0.

An identifier for an instrument that can be traded on a CQG system.

CQG has established symbols to represent each issue traded at the various international exchanges. When possible CQG symbols correspond to those used by the individual exchanges. However, exchange symbols may conflict with symbols and data formats used by other exchanges.

When this occurs, alternative CQG symbols are used. Custom symbols can be used when symbol mapping is enabled for FIX vendor and appropriate conversion algorithm is selected. See Syntax for Symbol (tag 55).

167

SecurityType

String

N

Indicates type of security.

Reserved for contract identification used by custom FIX API vendor contract symbol mappings. It should not appear for FIX vendors that do not have it explicitly configured. Indicates type of security.

200

MaturityMonthYear

MonthYear

N

Month and Year of the maturity.

Format: YYYYMM.

Reserved for contract identification used by custom FIX API vendor contract symbol mappings. It should not appear for FIX vendors that do not have it explicitly configured.

For FIX message consistency, CQG defines maturity as contract last trading date.

201

PutOrCall

Int

N

Indicates whether an option is a put or call.

Valid values:

0 = put

1 = call

Reserved for contract identification used by custom FIX API vendor contract symbol mappings. It should not appear for FIX vendors that do not have it explicitly configured.

202

StrikePrice

Price

N

Option strike price.

Reserved for contract identification used by custom FIX API vendor contract symbol mappings. It should not appear for FIX vendors that do not have it explicitly configured.

205

MaturityDay

Int

N

Day of the maturity.

Reserved for contract identification used by custom FIX API vendor contract symbol mappings. It should not appear for FIX vendors that do not have it explicitly configured.

For FIX message consistency, CQG defines maturity as contract last trading date.

207

SecurityExchange

String

N

Market used to help identify a security.

Reserved for contract identification used by custom FIX API vendor contract symbol mappings. It should not appear for FIX vendors that do not have it explicitly configured. Market used to help identify a security.

223

CouponRate

Price

N

For fixed income. Coupon rate of the bond.

Reserved for contract identification used by custom FIX API vendor contract symbol mappings. It should not appear for FIX vendors that do not have it explicitly configured.

541

MaturityDate

LocalMktDate

N

Date of maturity.

Reserved for contract identification used by custom FIX API vendor contract symbol mappings. It should not appear for FIX vendors that do not have it explicitly configured.

For FIX message consistency, CQG defines maturity as contract last trading date.

20049

UserStrategyType

String(64)

C

Indicates strategy type the user is intending to define. Required when SecurityRequestType (321) = 1. List of possible values.

20607

ContractDate

LocalMktDate

N

Contract date of the symbol.

Reserved for contract identification used by custom FIX API Vendor contract symbol mappings. It should not appear for FIX vendors which do not have it explicitly configured

20608

ContractDay

Int

N

Contract day of the symbol.

Reserved for contract identification used by custom FIX API Vendor contract symbol mappings. It should not appear for FIX vendors which do not have it explicitly configured

20609

ContractMonthYear

MonthYear

N

Contract month and year of the symbol.

Format: YYYYMM.

Reserved for contract identification used by custom FIX API Vendor contract symbol mappings. It should not appear for FIX vendors which do not have it explicitly configured

Start of component block, expanded in line < UnderlyingSecurityGrp >

146

NoRelatedSym

Int

C

Number of legs that make up the Security (UDS). UDS are always defined from the buy perspective, so leg qty/sides below correspond to buying the strategy.

Required if SecurityRequestType=1.

➔

20050

LegNumber

Int

C

Leg number within the strategy (1-based).

Must be the first field in the repeating group.

Required if NoRelatedSym > 0.

➔

311

UnderlyingSymbol

String(64)

C

Contract of the leg.

Corresponds to Symbol (55); see description in New Order Single (D).

Required if NoRelatedSym > 0.

➔

312

UnderlyingSymbolSfx

String

N

Corresponds to SymbolSfx (65); see description in New Order Single (D).

➔

309

UnderlyingSecurityID

String

N

Corresponds to SecurityID (48); see description in New Order Single (D).

➔

305

UnderlyingIDSource

String

N

Corresponds to IDSource (22); see description in New Order Single (D).

➔

310

UnderlyingSecurityType

String

N

Corresponds to SecurityType (167); see description in New Order Single (D).

➔

313

UnderlyingMaturityMonthYear

MonthYear

N

Format: YYYYMM.

Corresponds to MaturityMonthYear (200); see description in New Order Single (D).

➔

314

UnderlyingMaturityDay

Int

N

Corresponds to MaturityDay (205); see description in New Order Single (D).

➔

315

UnderlyingPutOrCall

Int

N

Corresponds to PutOrCall (201); see description in New Order Single (D).

➔

316

UnderlyingStrikePrice

Price

N

Corresponds to StrikePrice (202); see description in New Order Single (D).

➔

50542

UnderlyingMaturityDate

LocalMktDate

N

Corresponds to MaturityDate (541); see description in New Order Single (D).

➔

308

UnderlyingSecurityExchange

String

N

Corresponds to SecurityExchange (207); see description in New Order Single (D).

➔

435

UnderlyingCouponRate

Price

N

Corresponds to CouponRate (223); see description in New Order Single (D).

➔

20051

UnderlyingExDestination

String

N

Corresponds to ExDestination (100); see description in New Order Single (D).

➔

319

RatioQty

Qty

C

This leg’s quantity ratio. Required if NoRelatedSym > 0.

➔

54

Side

Char

C

This leg’s side.

Valid values:

1 = Buy

2 = Sell

Required if NoRelatedSym > 0.

à

50566

LegPrice

Price

N

Price of covering futures contract. Send only for a Covered options UDS.

à

51017

LegOptionDelta

Float

N

Delta used to calculate the quantity of futures used to cover the option or options spread.

If this tag is present when RatioQty tag is specified for the same repeating group, message will be rejected.

Value range depends on specific exchange rules.

End of component block, expanded in line < UnderlyingSecurityGrp >

Standard Trailer

Y