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FIX 5.0 SP2 : <DerivativeInstrument> component block

Structure | Used In

Description

Structure

Tag Field Name Req'd Comments
1214 DerivativeSymbol N

Common, "human understood" representation of the security. SecurityID value can be specified if no symbol exists (e.g. non-exchange traded Collective Investment Vehicles)

Use "[N/A]" for products which do not have a symbol.

1215 DerivativeSymbolSfx N Used in Fixed Income with a value of "WI" to indicate "When Issued" for a security to be reissued under an old CUSIP or ISIN or with a value of "CD" to indicate a EUCP with lump-sum interest rather than discount price.
1216 DerivativeSecurityID N Takes precedence in identifying security to counterparty over SecurityAltID block. Requires SecurityIDSource if specified.
1217 DerivativeSecurityIDSource N Required if SecurityID is specified.
Component Block - <DerivativeSecurityAltIDGrp> N
1246 DerivativeProduct N Indicates the type of product the security is associated with (high-level category)
1228 DerivativeProductComplex N Identifies an entire suite of products for a given market. In Futures this may be "interest rates", "agricultural", "equity indexes", etc
1243 DerivFlexProductEligibilityIndicator N Used to indicate if a product or group of product supports the creation of flexible securities
1247 DerivativeSecurityGroup N An exchange specific name assigned to a group of related securities which may be concurrently affected by market events and actions.
1248 DerivativeCFICode N Indicates the type of security using ISO 10962 standard, Classification of Financial Instruments (CFI code) values. It is recommended that CFICode be used instead of SecurityType for non-Fixed Income instruments.
1249 DerivativeSecurityType N

It is recommended that CFICode be used instead of SecurityType for non-Fixed Income instruments.

Required for Fixed Income. Refer to Volume 7 - Fixed Income

Futures and Options should be specified using the CFICode[461] field instead of SecurityType[167] (Refer to Volume 7 - Recommendations and Guidelines for Futures and Options Markets.)

1250 DerivativeSecuritySubType N Sub-type qualification/identification of the SecurityType (e.g. for SecurityType=MLEG). If specified, SecurityType is required.
1251 DerivativeMaturityMonthYear N Specifies the month and year of maturity. Applicable for standardized derivatives which are typically only referenced by month and year (e.g. S and P futures). Note MaturityDate (a full date) can also be specified.
1252 DerivativeMaturityDate N

Specifies date of maturity (a full date). Note that standardized derivatives which are typically only referenced by month and year (e.g. S and P futures).may use MaturityMonthYear and or this field.

When using MaturityMonthYear, it is recommended that markets and sell sides report the MaturityDate on all outbound messages as a means of data enrichment.

1253 DerivativeMaturityTime N
1254 DerivativeSettleOnOpenFlag N Indicator to determine if Instrument is Settle on Open.
1255 DerivativeInstrmtAssignmentMethod N
1256 DerivativeSecurityStatus N Gives the current state of the instrument
1276 DerivativeIssueDate N Date instrument was issued. For Fixed Income IOIs for new issues, specifies the issue date.
1257 DerivativeInstrRegistry N The location at which records of ownership are maintained for this instrument, and at which ownership changes must be recorded. Can be used in conjunction with ISIN to address ISIN uniqueness issues.
1258 DerivativeCountryOfIssue N ISO Country code of instrument issue (e.g. the country portion typically used in ISIN). Can be used in conjunction with non-ISIN SecurityID (e.g. CUSIP for Municipal Bonds without ISIN) to provide uniqueness.
1259 DerivativeStateOrProvinceOfIssue N A two-character state or province abbreviation.
1261 DerivativeStrikePrice N Used for derivatives, such as options and covered warrants
1260 DerivativeLocaleOfIssue N The three-character IATA code for a locale (e.g. airport code for Municipal Bonds).
1262 DerivativeStrikeCurrency N Used for derivatives
1263 DerivativeStrikeMultiplier N Used for derivatives. Multiplier applied to the strike price for the purpose of calculating the settlement value.
1264 DerivativeStrikeValue N Used for derivatives. The number of shares/units for the financial instrument involved in the option trade.
1265 DerivativeOptAttribute N Used for derivatives, such as options and covered warrants to indicate a versioning of the contract when required due to corporate actions to the underlying. Should not be used to indicate type of option - use the CFICode[461] for this purpose.
1266 DerivativeContractMultiplier N For Fixed Income, Convertible Bonds, Derivatives, etc. Note: If used, quantities should be expressed in the "nominal" (e.g. contracts vs. shares) amount.
1267 DerivativeMinPriceIncrement N Minimum price increment for the instrument. Could also be used to represent tick value.
1268 DerivativeMinPriceIncrementAmount N Minimum price increment amount associated with the MinPriceIncrement [969]. For listed derivatives, the value can be calculated by multiplying MinPriceIncrement by ContractValueFactor [231]
1269 DerivativeUnitOfMeasure N
1270 DerivativeUnitOfMeasureQty N
1315 DerivativePriceUnitOfMeasure N
1316 DerivativePriceUnitOfMeasureQty N
1299 DerivativeExerciseStyle N Type of exercise of a derivatives security
1225 DerivativeOptPayAmount N Cash amount indicating the pay out associated with an option. For binary options this is a fixed amount
1271 DerivativeTimeUnit N Used to indicate a time unit for the contract (e.g., days, weeks, months, etc.)
1272 DerivativeSecurityExchange N Can be used to identify the security.
1273 DerivativePositionLimit N Position Limit for the instrument.
1274 DerivativeNTPositionLimit N Near-term Position Limit for the instrument.
1275 DerivativeIssuer N
1277 DerivativeEncodedIssuerLen N Must be set if EncodedIssuer field is specified and must immediately precede it.
1278 DerivativeEncodedIssuer N Encoded (non-ASCII characters) representation of the Issuer field in the encoded format specified via the MessageEncoding field.
1279 DerivativeSecurityDesc N
1280 DerivativeEncodedSecurityDescLen N Must be set if EncodedSecurityDesc field is specified and must immediately precede it.
1281 DerivativeEncodedSecurityDesc N Encoded (non-ASCII characters) representation of the SecurityDesc field in the encoded format specified via the MessageEncoding field.
1285 DerivativeContractSettlMonth N Must be present for MBS or TBA
Component Block - <DerivativeEventsGrp> N
Component Block - <DerivativeInstrumentParties> N
1317 DerivativeSettlMethod N Settlement method for a contract. Can be used as an alternative to CFI Code value
1318 DerivativePriceQuoteMethod N Method for price quotation
1319 DerivativeValuationMethod N For futures, indicates type of valuation method applied
1320 DerivativeListMethod N Indicates whether strikes are pre-listed only or can also be defined via user request
1321 DerivativeCapPrice N Used to express the ceiling price of a capped call
1322 DerivativeFloorPrice N Used to express the floor price of a capped put
1323 DerivativePutOrCall N
Component Block - <DerivativeSecurityXML> N Embedded XML document describing security.
1438 DerivativeContractMultiplierUnit N
1442 DerivativeFlowScheduleType N

Used In

Onix Solutions