The Derivative Security List message is used to return a list of securities that matches the criteria specified in a Derivative Security List Request.

The Derivative Security List message is used to send a predefined list of securities (usually options) based on a common underlying and option class. It can also be used to send the rules for security creation (usually options) which imply the existence of a set of securities.

Other uses of this message may include:

  1. Convey compreshensive set of option classes for all market segments in which these option classes participates in.
  2. Convey the option classes' trading rules that differ from the default trading rules for the market segment.

Derivative Security List


Tag Field Name Req'd Comments
Component Block - <StandardHeader> Y MsgType = AA (2 A's)
Component Block - <ApplicationSequenceControl> N
964 SecurityReportID N
320 SecurityReqID N
322 SecurityResponseID N Identifier for the Derivative Security List message
560 SecurityRequestResult N Result of the Security Request identified by SecurityReqID
1607 SecurityRejectReason N

Used to specify a rejection reason when SecurityResponseType <323> is equal to 1 (Invalid or unsupported request) or 5 (Request for instrument data not supported).

715 ClearingBusinessDate N
Component Block - <UnderlyingInstrument> N Underlying security for which derivatives are being returned
Component Block - <DerivativeSecurityDefinition> N Group block which contains all information for an option family. If provided DerivativeSecurityDefinition qualifies the strikes specified in the Instrument block.
779 LastUpdateTime N

Represents the time at which a security was last updated

60 TransactTime N
393 TotNoRelatedSym N Used to indicate the total number of securities being returned for this request. Used in the event that message fragmentation is required.
893 LastFragment N Indicates whether this is the last fragment in a sequence of message fragments. Only required where message has been fragmented.
Component Block - <RelSymDerivSecGrp> N Specifies the number of repeating symbols (instruments) specified
Component Block - <StandardTrailer> Y