Fix5.0 To MDDB - 3

SecurityDefn
Tag or component Component (-) Field name ApplicationSequenceControl FIXML name ApplSeqCtrl
1180 ApplID
@ApplID
1181 ApplSeqNum
@ApplSeqNum
1350 ApplLastSeqNum
@ApplLastSeqNum
1352 ApplResendFlag end Component 964 SecurityReportID
@ApplResendFlag @RptID
715 ClearingBusinessDate 320 SecurityReqID 322 SecurityResponseID
@BizDt @ReqID @RspID
323 SecurityResponseType
@RspTyp
292 CorporateAction
@CorpActn
Component (-)
Instrument
Instrmt
Page 1
SecurityDefn
55 Symbol
@Sym
65 SymbolSfx
@Sfx
48 SecurityID 22 SecurityIDSource Component (-) SecAltIDGrp Repeating Group 454 NoSecurityAltID 455 SecurityAltID 456 SecurityAltIDSource end Repeating Group end Component 460 Product
@ID @Src AID @AltID @AltIDSrc
@Prod
1227 ProductComplex
@ProdCmplx
1151 SecurityGroup
@SecGrp
461 CFICode
@CFI
167 SecurityType
@SecTyp
Page 2
SecurityDefn
762 SecuritySubType
@SubTyp
200 MaturityMonthYear
@MMY
541 MaturityDate 1079 MaturityTime 966 SettleOnOpenFlag 1049 InstrmtAssignmentMethod 965 SecurityStatus
@MatDt @MatTm @SettlOnOpenFlag @AsgnMeth @Status
224 CouponPaymentDate
@CpnPmt
1449 RestructuringType
@RestrctTyp
1450 Seniority
@Snrty
1451 NotionalPercentageOutstanding
@NotlPctOut
1452 OriginalNotionalPercentageOutstanding 1457 AttachmentPoint 1458 DetachmentPoint
@OrigNotlPctOut @AttchPnt @DetchPnt
Page 3
SecurityDefn
225 IssueDate @Issued
228 Factor 255 CreditRating
@Fctr @CrdRtg
543 InstrRegistry
@Rgstry
470 CountryOfIssue 471 StateOrProvinceOfIssue 472 LocaleOfIssue 240 RedemptionDate 202 StrikePrice 947 StrikeCurrency
@IssuCtry @StPrv @Lcl @Redeem @StrkPx @StrkCcy
967 StrikeMultiplier
@StrkMult
968 StrikeValue
@StrkValu
1478 StrikePriceDeterminationMethod
@StrkPxDtrmnMeth
1479 StrikePriceBoundaryMethod
@StrkPxBndryMeth
Page 4
SecurityDefn
1480 StrikePriceBoundaryPrecision
@StrkPxBndryPrcsn
1481 UnderlyingPriceDeterminationMethod
@PxDtrmnMeth
206 OptAttribute
@OptAt
231 ContractMultiplier 1435 ContractMultiplierUnit
@Mult @MultTyp
1439 FlowScheduleType 969 MinPriceIncrement
@FlowSchedTyp @MinPxIncr
1146 MinPriceIncrementAmount 996 UnitOfMeasure 1147 UnitOfMeasureQty
@MinPxIncrAmt @UOM @UOMQty
1191 PriceUnitOfMeasure
@PxUOM
1192 PriceUnitOfMeasureQty 1193 SettlMethod 1194 ExerciseStyle 1482 OptPayoutType
@PxUOMQty @SettlMeth @ExerStyle @OptPayoutTyp
1195 OptPayoutAmount
@OptPayAmt
Page 5
SecurityDefn
1196 PriceQuoteMethod 1197 ValuationMethod 1198 ListMethod 1199 CapPrice 1200 FloorPrice 201 PutOrCall
@PxQteMeth @ValMeth @ListMeth @CapPx @FlrPx @PutCall
1244 FlexibleIndicator 1242 FlexProductEligibilityIndicator
@FlexInd @FlexProdElig
997 TimeUnit 223 CouponRate 207 SecurityExchange
@TmUnit @CpnRt @Exch
970 PositionLimit
@PosLmt
971 NTPositionLimit 106 Issuer 348 EncodedIssuerLen
@NTPosLmt @Issr @EncIssrLen
349 EncodedIssuer 107 SecurityDesc 350 EncodedSecurityDescLen
@EncIssr @Desc @EncSecDescLen
Component (-)
351 EncodedSecurityDesc SecurityXML 1184 SecurityXMLLen 1185 SecurityXML 1186 SecurityXMLSchema
@EncSecDesc SecXML
@Schema @Pool @CSetMo @CPPgm
end Component 691 Pool 667 ContractSettlMonth 875 CPProgram
Page 6
SecurityDefn
876 CPRegType Component (-) EvntGrp Repeating Group 864 NoEvents @CPRegT Evnt
865 EventType 866 EventDate 1145 EventTime 867 EventPx 868 EventText end Repeating Group end Component
@EventTyp @Dt @Tm @Px @Txt
873 DatedDate 874 InterestAccrualDate Component (-) InstrumentParties
@Dated @IntAcrl Pty
Repeating Group 1018 NoInstrumentParties 1019 InstrumentPartyID 1050 InstrumentPartyIDSource
@ID @Src
Page 7
SecurityDefn
1051 InstrumentPartyRole Component (-) InstrumentPtysSubGrp Repeating Group 1052 NoInstrumentPartySubIDs
@R Sub
1053 InstrumentPartySubID
@ID
1054 InstrumentPartySubIDType
@Typ
Page 8
SecurityDefn
end Repeating Group end Component end Repeating Group end Component Component (-) ComplexEvents Repeating Group 1483 NoComplexEvents
CmplxEvnt
1484 ComplexEventType
@Typ
1485 ComplexOptPayoutAmount
@OptPayAmt
1486 ComplexEventPrice
@Px
1487 ComplexEventPriceBoundaryMethod
@PxBndryMeth
1488 ComplexEventPriceBoundaryPrecision
@PxBndryPrcsn
1489 ComplexEventPriceTimeType
@PxTmTyp
1490 ComplexEventCondition Component (-) ComplexEventDates Repeating Group 1491 NoComplexEventDates
@Cond EvntDts
1492 ComplexEventStartDate
@StartDt
1493 ComplexEventEndDate Component (-) ComplexEventTimes Repeating Group 1494 NoComplexEventTimes
@EndDt EvntTms
Page 9
SecurityDefn
1495 ComplexEventStartTime
@StartTm
1496 ComplexEventEndTime end Repeating Group end Component end Repeating Group end Component end Repeating Group end Component end Component
@EndTm
Component (-)
InstrumentExtension 668 DeliveryForm 869 PctAtRisk Component (-) AttrbGrp Repeating Group 870 NoInstrAttrib
InstrmtExt @DlvryForm @PctAtRisk Attrb
871 872 end Repeating Group end Component end Component Component (-) Repeating Group 711
InstrAttribType InstrAttribValue
@Typ @Val
UndInstrmtGrp NoUnderlyings
Undly
Component (-)
UnderlyingInstrument UnderlyingSymbol UnderlyingSymbolSfx UnderlyingSecurityID UnderlyingSecurityIDSource Component (-) UndSecAltIDGrp Repeating Group 457 NoUnderlyingSecurityAltID 458 UnderlyingSecurityAltID 459 UnderlyingSecurityAltIDSource end Repeating Group end Component 462 UnderlyingProduct 463 UnderlyingCFICode 310 UnderlyingSecurityType 763 UnderlyingSecuritySubType 313 UnderlyingMaturityMonthYear 542 UnderlyingMaturityDate 1213 UnderlyingMaturityTime 241 UnderlyingCouponPaymentDate 1453 UnderlyingRestructuringType 1454 UnderlyingSeniority 1455 UnderlyingNotionalPercentageOutstanding 311 312 309 305
Undly @Sym @Sfx @ID @Src UndAID @AltID @AltIDSrc
@Prod @CFI @SecTyp @SubTyp @MMY @Mat @MatTm @CpnPmt @RestrctTyp @Snrty @NotlPctOut
Page 10
SecurityDefn
1456 1459 1460 242 246 256 595 592 593 594 247 316 941 317 436 1437 1441 998 1423 1424 1425 1000 1419 435 308 306 362 363 307 364 365 877 878 UnderlyingOriginalNotionalPercentageOutstanding UnderlyingAttachmentPoint UnderlyingDetachmentPoint UnderlyingIssueDate UnderlyingFactor UnderlyingCreditRating UnderlyingInstrRegistry UnderlyingCountryOfIssue UnderlyingStateOrProvinceOfIssue UnderlyingLocaleOfIssue UnderlyingRedemptionDate UnderlyingStrikePrice UnderlyingStrikeCurrency UnderlyingOptAttribute UnderlyingContractMultiplier UnderlyingContractMultiplierUnit UnderlyingFlowScheduleType UnderlyingUnitOfMeasure UnderlyingUnitOfMeasureQty UnderlyingPriceUnitOfMeasure UnderlyingPriceUnitOfMeasureQty UnderlyingTimeUnit UnderlyingExerciseStyle UnderlyingCouponRate UnderlyingSecurityExchange UnderlyingIssuer EncodedUnderlyingIssuerLen EncodedUnderlyingIssuer UnderlyingSecurityDesc EncodedUnderlyingSecurityDescLen EncodedUnderlyingSecurityDesc UnderlyingCPProgram UnderlyingCPRegType @OrigNotlPctOut @AttchPnt @DetchPnt @Issued @Fctr @CrdRtg @Rgstry @Ctry @StOrProvnc @Lcl @Redeem @StrkPx @StrkCcy @OptA @Mult @MultTyp @FlowSchedTyp @UOM @UOMQty @PxUOM @PxUOMQty @TmUnit @ExerStyle @CpnRt @Exch @Issr @EncUndIssrLen @EncUndIssr @Desc @EncUndSecDescLen @EncUndSecDesc @CPPgm @CPRegTyp @AllocPct @Ccy @Qty @SettlTyp @CashAmt @CashTyp @Px
972 UnderlyingAllocationPercent 318 UnderlyingCurrency 879 UnderlyingQty 975 UnderlyingSettlementType 973 UnderlyingCashAmount 974 UnderlyingCashType 810 UnderlyingPx
882 UnderlyingDirtyPrice
@DirtPx
883 UnderlyingEndPrice 884 UnderlyingStartValue
@EndPx @StartVal
Page 11
SecurityDefn
885 UnderlyingCurrentValue 886 Component (-) Repeating Group 887 888 889 end Repeating Group end Component UnderlyingEndValue UnderlyingStipulations NoUnderlyingStips UnderlyingStipType UnderlyingStipValue @CurVal @EndVal Stip @Typ @Val
1044 UnderlyingAdjustedQuantity
@AdjQty
1045 UnderlyingFXRate 1046 UnderlyingFXRateCalc 1038 Component (-) Repeating Group 1058 1059 1060 1061 Component (-) Repeating Group 1062 1063 1064 end Repeating Group end Component end Repeating Group end Component 1039 UnderlyingCapValue UndlyInstrumentParties NoUndlyInstrumentParties UnderlyingInstrumentPartyID UnderlyingInstrumentPartyIDSource UnderlyingInstrumentPartyRole UndlyInstrumentPtysSubGrp NoUndlyInstrumentPartySubIDs UnderlyingInstrumentPartySubID UnderlyingInstrumentPartySubIDType
@FxRate @FxRateCalc @CapValu Pty @ID @Src @R Sub @ID @Typ
UnderlyingSettlMethod
@SetMeth @PutCall
315 UnderlyingPutOrCall end Component end Repeating Group end Component 15 Currency
@Ccy
58 Text 354 EncodedTextLen
@Txt @EncTxtLen
355 EncodedText Component (-) Stipulations Repeating Group 232 NoStipulations
@EncTxt Stip
Page 12
SecurityDefn
233 StipulationType
@Typ
234 StipulationValue end Repeating Group end Component Component (-) InstrmtLegGrp
@Val
Leg
Page 13
SecurityDefn
Repeating Group 555 Component (-) 600 601 602 603 Component (-) Repeating Group 604 605 606 end Repeating Group end Component 607 608 609 764 610 611 1212 248 249 253 257 599 596 597 598 254 612 942 NoLegs InstrumentLeg LegSymbol LegSymbolSfx LegSecurityID LegSecurityIDSource LegSecAltIDGrp NoLegSecurityAltID LegSecurityAltID LegSecurityAltIDSource Leg @Sym @Sfx @ID @Src LegAID @NoLegSecAltID @SecAltID @SecAltIDSrc
LegProduct LegCFICode LegSecurityType LegSecuritySubType LegMaturityMonthYear LegMaturityDate LegMaturityTime LegCouponPaymentDate LegIssueDate LegFactor LegCreditRating LegInstrRegistry LegCountryOfIssue LegStateOrProvinceOfIssue LegLocaleOfIssue LegRedemptionDate LegStrikePrice LegStrikeCurrency
@Prod @CFI @SecTyp @SecSubTyp @MMY @Mat @MatTm @CpnPmt @Issued @Fctr @CrdRtg @Rgstry @Ctry @StOrProvnc @Lcl @Redeem @Strk @StrkCcy
613 LegOptAttribute
@OptA
614 LegContractMultiplier
@Cmult
1436 LegContractMultiplierUnit
@MultTyp
1440 LegFlowScheduleType
@FlowSchedTyp
999 LegUnitOfMeasure 1224 LegUnitOfMeasureQty
@UOM @UOMQty
Page 14
SecurityDefn
1421 LegPriceUnitOfMeasure 1422 LegPriceUnitOfMeasureQty 1001 1420 615 616 617 618 619 620 621 622 623 624 556 740 739 955 956 1358 LegTimeUnit LegExerciseStyle LegCouponRate LegSecurityExchange LegIssuer EncodedLegIssuerLen EncodedLegIssuer LegSecurityDesc EncodedLegSecurityDescLen EncodedLegSecurityDesc LegRatioQty LegSide LegCurrency LegPool LegDatedDate LegContractSettlMonth LegInterestAccrualDate LegPutOrCall
@PxUOM @PxUOMQty @TmUnit @ExerStyle @CpnRt @Exch @Issr @EncLegIssrLen @EncLegIssr @Desc @EncLegSecDescLen @EncLegSecDesc @RatioQty @Side @Ccy @Pool @Dated @CSetMo @IntAcrl @PutCall
1017 LegOptionRatio 566 LegPrice end Component end Repeating Group end Component Component (-)
@LegOptionRatio @Px
SpreadOrBenchmarkCurveData
SprdBnchmkCurve
218 Spread
@Spread
220 BenchmarkCurveCurrency
@Ccy
Page 15
SecurityDefn
221 BenchmarkCurveName
@Name
222 BenchmarkCurvePoint 662 BenchmarkPrice
@Point @Px
663 BenchmarkPriceType
@PxTyp
699 BenchmarkSecurityID
@SecID
761 BenchmarkSecurityIDSource end Component Component (-) YieldData
@SecIDSrc Yield
Page 16
SecurityDefn
235 YieldType 236 Yield
@Typ @Yld
701 YieldCalcDate
@CalcDt
696 YieldRedemptionDate 697 YieldRedemptionPrice 698 YieldRedemptionPriceType end Component
@RedDt @RedPx @RedPxTyp
Component (-)
MarketSegmentGrp
MktSegGrp
Repeating Group 1310 NoMarketSegments
1301 MarketID
@MktID
Component (-) Component (-)
1300 MarketSegmentID SecurityTradingRules BaseTradingRules
@MktSegID SecTrdgRules BaseTrdgRules TickRules @StartTickPxRng
Component (-) TickRules Repeating Group 1205 NoTickRules 1206 StartTickPriceRange
Page 17
SecurityDefn
1207 EndTickPriceRange @EndTickPxRng
1208 TickIncrement 1209 TickRuleType end Repeating Group end Component Component (-) LotTypeRules Repeating Group 1234 NoLotTypeRules 1093 LotType
@TickIncr @TickRuleTyp
LotTypeRules
@LotTyp
1231 MinLotSize end Repeating Group end Component Component (-) PriceLimits 1306 PriceLimitType
@MinLotSz
PxLmts @PxLmtTyp
1148 LowLimitPrice
@LowLmtPx
1149 HighLimitPrice
@HiLmtPx
1150 TradingReferencePrice end Component
@TrdgRefPx
827 ExpirationCycle 562 MinTradeVol 1140 MaxTradeVol 1143 MaxPriceVariation
@ExpirationCycle @MinTrdVol @MaxTrdVol @MxPxVar
Page 18
SecurityDefn
1144 ImpliedMarketIndicator 1245 TradingCurrency 561 RoundLot
@ImpldMktInd @TrdCcy @RndLot
1377 MultilegModel
@MlegModel
1378 MultilegPriceMethod
@MlegPxMeth
423 PriceType end Component Component (-) TradingSessionRulesGrp Repeating Group 1309 NoTradingSessionRules
@PxTyp TrdgSesRulesGrp
336 TradingSessionID
@SesID
Component (-)
625 TradingSessionSubID TradingSessionRules
@SesSub TrdgSesRules
Page 19
SecurityDefn
Component (-) OrdTypeRules Repeating Group 1237 NoOrdTypeRules OrdTypRules
40 OrdType end Repeating Group end Component Component (-) TimeInForceRules Repeating Group 1239 NoTimeInForceRules
@OrdTyp
TmInForceRules
59 TimeInForce end Repeating Group end Component Component (-) ExecInstRules Repeating Group 1232 NoExecInstRules
@TmInForce
ExecInstRules
Page 20
SecurityDefn
1308 ExecInstValue end Repeating Group end Component Component (-) MatchRules Repeating Group 1235 NoMatchRules
@ExecInstValu
MtchRules
1142 MatchAlgorithm
@MtchAlgo
Page 21
SecurityDefn
574 MatchType end Repeating Group end Component Component (-) MarketDataFeedTypes Repeating Group 1141 NoMDFeedTypes
@MtchTyp
MDFeedTyps
1022 MDFeedType 264 MarketDepth
@MDFeedTyp @MktDepth
1021 MDBookType end Repeating Group end Component end Component end Repeating Group end Component Component (-) NestedInstrumentAttribute Repeating Group 1312 NoNestedInstrAttrib
@MDBkTyp
Attrb
Page 22
SecurityDefn
1210 NestedInstrAttribType 1211 NestedInstrAttribValue end Repeating Group end Component end Component Component (-) StrikeRules Repeating Group 1201 NoStrikeRules
@Typ @Val
StrkRules
1223 StrikeRuleID
@StrkRule
1202 StartStrikePxRange
@StartStrkPxRng
1203 EndStrikePxRange 1204 StrikeIncrement 1304 StrikeExerciseStyle Component (-) MaturityRules Repeating Group 1236 NoMaturityRules
@EndStrkPxRng @StrkIncr @StrkExrStyle MatRules
1222 MaturityRuleID 1303 MaturityMonthYearFormat
@MatRuleID @MMYFmt
1302 MaturityMonthYearIncrementUnits 1241 StartMaturityMonthYear 1226 EndMaturityMonthYear
@MMYIncrUnits @StartMMY @EndMMY
Page 23
SecurityDefn
1229 MaturityMonthYearIncrement end Repeating Group end Component end Repeating Group end Component end Repeating Group end Component 60 TransactTime @MMYIncr
@TxnTm
Notes
* Why are instrument related elements associated via instrumentidentifier instead of directly?
Page 24
SecurityDefn
MDDB Table MDDB column
Not required
Not required
Not required
Not required Need to add
securityrequestresponse securityrequestresponse
requestid responseid
securityrequestresponse
securityresponsetype
Page 25
SecurityDefn
instrumentidentifier
code
code
instrumentidentifier instrumentidentifier
code schemeinfo
instrumentidentifier instrumentidentifier
code schemeinfo
instrumenttype
code
instrumenttype
code
instrumenttype
code
instrumenttype
code
instrumenttype
code
Page 26
SecurityDefn
instrumenttype
code
maturity
maturitymthyear
maturity maturity clearingsettlement
maturitydate maturitydate settlementtype
instrumentidentifier*
instrumentstatustype
interestrate
nextdate
restructuringtype
code
seniority
code
creditdefaultswap
notionalpercentageoutstanding
creditdefaultswap creditdefaultswap creditdefaultswap
originalnotionalpercentageoutstanding attachmentpoint detachmentpoint
Page 27
SecurityDefn
issuedata issuedate
factor agencyratings
factor code
depositoryname
depositoryname
location location location redemption exerciseprice exerciseprice
country stateorprovincename regionname lastdate exerciseprice currencytype
exerciseprice
size
exerciseprice
exerciseprice
exerciseprice
pricedeterminationtype
exerciseprice
boundrymethodtype
Page 28
SecurityDefn
exerciseprice
boundryprecision
exerciseprice
underlyingpricevaluetype
option
version
issueamount issueamount
multiplier quantitytype
commodity denomination
flowscheduletype minval
denomination denomination denomination
denomination quantitydescriptiontype quantitytype
denomination
quantitydescriptiontype
denomination clearingsettlement exerciserights exerciseprice
quantitytype settlementtype exerciserightstype calculationtype
exerciseprice
payoutamount
Page 29
SecurityDefn
quotation denomination instrument callable putable option
pricequotationtype valuationtype listmethodtype capprice floorprice putcall
instrumenttype instrumenttype
code flex
maturity interestrate marketidentifier
timeunittype rate code or name
issuer
name
instrument
name
pool settlement commercialpaper
pool datetime program
Page 30
SecurityDefn
commercialpaper regtype
event event event event event
eventtype date time price description
issuedata accrual
dateddate start
entityidentifier entityidentifier
code schemeinfo
Page 31
SecurityDefn
partyrole
partyroletype
entityidentifier
code
entityidentifier
schemeinfo
Page 32
SecurityDefn
derivativecomplexevent
complexeventtype
payoutamount
price
priceboundarytype
priceboundaryprecision
pricetimetype
conditiontype
schedule
periodstart
schedule
periodend
Page 33
SecurityDefn
schedule
periodstart
schedule
periodend
instrument callable
instrumentformtype percentatrisk
restructuringtype code seniority code creditdefaultswapunderlying notionalpercentageoutstanding
Page 34
SecurityDefn
creditdefaultswapunderlying originalnotionalpercentageoutstanding creditdefaultswapunderlying attachmentpoint creditdefaultswapunderlying detachmentpoint
underlying denomination underlying underlying underlying underlying underlying
allocatepercent currency quantity settlementtype cashamount cashtype price
underlying
dirtyprice
underlying underlying
endprice startvalue
Page 35
SecurityDefn
underlying underlying currentvalue endvalue
stipulation stipulation
stipulationtype stipulationvalue
underlying
adjustedquantity
underlying underlying underlying
fxrate fxratecalc capvalue
clearingsettlement option
settlementtype putorcall
denomination
currency
description
instrument
Page 36
SecurityDefn
stipulation
stipulationtype
stipulation
stipulation
Page 37
SecurityDefn
Page 38
SecurityDefn
leg leg denomination pool issuedata leg interestrate option
ratioquantity side currency pool dateddate contractsettlemonth nextdate putorcall
leg leg
optionratio price
nonfixedrate
ratespread
Page 39
SecurityDefn
nonfixedrate
benchmarkname
nonfixedrate nonfixedrate
formula benchmarkprice
interestrate
valuationtype
code
scheme
Page 40
SecurityDefn
yield yield
yieldtype yield
yield
calcdate
yield yield yield
redemptiondate redemptionprice valuationtype
marketidentifier
code
marketsegment securitytradingrule
code
tickrule
startpricerange
Page 41
SecurityDefn
tickrule endpricerange
tickrule tickrule
increment tickruletype
lottyperule
lottype
lottyperule
lotsize
pricelimit
pricelimittype
pricelimit
low
pricelimit
high
pricelimit
tradingreferenceprice
securitytradingrule securitytradingrule securitytradingrule securitytradingrule
expirationcycle mintradevolume maxtradevolume maxpricevariation
Page 42
SecurityDefn
securitytradingrule securitytradingrule securitytradingrule
impliedmarketindicator currency roundlot
securitytradingrule
multilegmodel
securitytradingrule
multilegpricemethod
securitytradingrule tradingsessionrule
pricetype
tradingsessionrule
tradingsessionid
tradingsessionrule
tradingsessionsubid
Page 43
SecurityDefn
ordertyperule
ordertyperule
tradingordertype
timeinforcerule
timeinforcerule
timeinforcetype
execinstructionrule
Page 44
SecurityDefn
execinstructionrule
execinstructiontype
matchrule
matchrule
matchalgorithm
Page 45
SecurityDefn
matchrule
matchtype
marketdatafeedtype
marketdatafeedtype marketdatafeedtype
mdfeedtype marketdepth
marketdatafeedtype
mdbooktype
Page 46
SecurityDefn
strikerule
strikeruleid
strikerule
firstamount
strikerule strikerule strikerule
lastamount increment exerciserightstype
maturity maturity
maturityruleid mthyearformattype
maturity maturity maturity
timeunittype startmonthyear endmonthyear
Page 47
SecurityDefn
maturity increment
trumentidentifier instead of directly?
Page 48
SecurityDefn
MDDB Notes
Looks like associated trade table. Why is Sec Defn mixed up with clearing business date (which is like business day for interest calcs?) ? One to Many
Not part of the core instrument, but part of the propsal. Need to store. Also add CV for securityResponseType
Leave this until ISO20022 CAE messages are signed off and then reconciled with MDDB
Page 49
SecurityDefn
Ticker if there is one, default to ISIN then CUSIP then SEDOL? More likely application level decision for which. Use instrumentidentifier.schemeinfo to select which symbol type Why mix these two unlike values in the same field? 'when issued' and 'EUCP with lump sum interest payment' not covered in MDDB. Seen NYSE AMEX Symbols, can use a rule If Symbol contains ' ' or '.' then split and store as separate codes, suffix with schemeinfo = fix65 and prefix with schemeinfo = 'NYSE AMEX', of course assume 'WI' and 'CD' are unique in that uinverse and need special handling , stored with schemeinfo = 'fix65'
use instrumenttype.scheme = fix460 We only have a the highly granular 'instrumentype' or the low granularity assocition from 'instrumentidentifier' to 'cash', 'commodity' etc. Mapping currently 1-n for instrument to instumenttype, will use n-m using scheme as discriminator. Using scheme=fix1227' Seems the same meaning as 1227 but different source, in this case exchange. Need examples. Use scheme = fix115
where scheme='iso10962'
We can add these with a new FIX specific scheme value
Page 50
SecurityDefn
Will use Use scheme = fix762 build a self referential multi level table. Mapping currently 1-n for instrument to instumenttype, will use n-m using scheme as discriminator
Need to store week yyyyMMW# dependent on asset class, listed derivatives use the week. Think about flag to indicate which representation should be used
We store datetime, so all components can be extracted using a formatted output We store datetime, so all components can be extracted using a formatted output Via issuedata Need example This mapping is a superset, does not include Active and Inactive but has the same semantics, arguably. Which date? Next, First, Previous, Penultimate? interestrate.lastdate, interestrate.firstdate and so on cover all of these.
percentageoutstanding
Page 51
SecurityDefn
Need to get which agent (S&P etc.) details from somewhere
No equivalent, also related to security ownership, not security defn, but we have depositoryname, joined through clearingsettlement to issuedata will use this, but this does not cover 'ZZ', to cover this we add a flag to clearingsettlement to show physical ownership
Where locationtype = 'issue' Where locationtype = 'issue' No equivalent, USA only? Where locationtype = 'issue'
No equivalent. But do we need to store both multiplier and base price separately? MDDL3 had multiplier, I dropped it, time to reinstate as an attribute?
New CV table for these PriceDeterminationType
No equivalent, also add a CV for this FK. Using suffix 'type' to follow MDDL convention.
Page 52
SecurityDefn
No equivalent
No equivalent. Add a CV to hold these values
No equivalent. Using 20022 notation for this element.
No direct mapping, add to commodity and a new CV flowscheduletype
Maps to CV in quantitydescriptiontype table Maps to CV in quantitytype table Maps to CV in quantitydescriptiontype table but what in denomination distinguishes this from 996? not calculationtype, nor indicatorstype, nor valuationtype. Might need another discriminator. Maps to CV in quantitytype table but what in denomination distinguishes this from 1147? not calculationtype, nor indicatorstype, nor valuationtype. Might need another discriminator. Maps to CV settlementtype Add to exerciserightstype, scheme = 'fix1194' Need to add these values to the CV, with a scheme fix1482
Page 53
SecurityDefn
use scheme = 'fix1196' for pricequotationtype. Maps to CV valuationtype No equivalent. Add CV listmethodtype No equivalent, should be added to callable table No equivalent, should be added to putable table Use new option table for this
Add scheme of 'fix1244' No equivalent, add boolean to instrumenttype We store precise dates as opposed to the units of time and the start date. Not certain this relates to timing of exercise or delivery? Add CV
No equivalent. Related to liquidity of the instrument. Equity and Index Options. Derivatives? Does it change on a daily basis? Lisa No equivalent. Is it marketCenter, trade or contract specific? Similar to TransferSize except applying limits. Associated with trade or in process exists prior to trade record. entityidentifier is used for identifiers associated with issuer No equivalent
No equivalent
No equivalent, needed for foreign language
No equivalent No equivalent Used for FpML Used for FpML Used for FpML No equivalent Not certain this is appropriate, as it is date time not a numeric indicating a month. Need to store mth string New column
Page 54
SecurityDefn
New column
Separate corporate action events, 1,2 & 4 from derivative events. Use eventtype table CV with a scheme='fix865' See above See above See above See above
Need to add dateddate A lot more to be captured here, accrualbasis and convention at a minimum
Add schemeinfo using construct, fix+tag, in this case schemeinfo.scheme=fix1050
Page 55
SecurityDefn
Associated to entity and thus to issuer or counterparty etc. Add a new CV partyroletype with scheme = fix452
Add to schemeinfo using construct, fix+tag, in this case schemeinfo.scheme=fix1054
Page 56
SecurityDefn
Add new CV for these, complexeventtype, using 'type' suffix by convention. For Barrier Options, Bermudas etc.
No need for prefix of ComplexEvent
Not familiar with these
New CV table for these PriceBoundaryType
Like the MDDL 'when' element, which was removed in MDDB
schedule would have to be associated n to 1 to whatever captures ComplexEvent*
Page 57
SecurityDefn
We capture datetime so formatting output will give time in isolation
We capture datetime so formatting output will give time in isolation
Danger Will Robinson! At least add metadata structure so you can capture meaning/context for particular name/value pairs Danger Will Robinson!
Same as for Instrument, related to instrument via table called underlying which holds facts specific to that relationship
percentageoutstanding
Page 58
SecurityDefn
Page 59
SecurityDefn
Same as for InstrumentParty
No specific place for this as is so broad. Adding link to general description table. Do we need to timestamp these?
Page 60
SecurityDefn
Difficult as seems to overlap existing parts of MDDB but only in places. E.G. WAC Thus favour new table related to debtissuedata called stipulations. New CV stipulationtype
Same as for Instrument, related to instrument via table called leg which holds facts specific to that relationship
Page 61
SecurityDefn
Page 62
SecurityDefn
New table many to many for instrument to instrument FK to new CV named side FK to currency pool' table relates one to one to instrument
New table many to many for instrument to instrument
Page 63
SecurityDefn
Also add back 'linked' to enable association of benchmark where stored as an instrument
Add back 'linked' to associate to benchmark in instrument and also store price here.
CV is valuationType, use schema='fix423' nonfixedrate.linked relates to instrumentidentifier.id, which I assume is the identifier for the benchmark and thus a price is held for that instrument
Need to add new schemeinfo value, 'fix761', for those not already covered by existing schemeinfo sets. Use a direct link.
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SecurityDefn
Add new scheme, 'fix235' to yieldtype CV. Associate with new table yield
MarketSegment table relates 'n to 1' to existing MarketCenter. Does not have the same semantics as segmentIdentfier in MDDL I believe.
Set a scheme for FIX exchanges if not MIC, as used by the exchanges add new scheme, use scheme = 'fix1301' table relate many to 1 to marketidentifier and relates to marketCenter. Seen this with LSE, but no representation in MDDL or MDDB, use scheme = 'fix1300' Relates to MarketSegmentInstrument Relates to SecurityTradingRule which relates to MarketSegmentInstrument
Page 65
SecurityDefn
new CV table for these TickRuleType
Relates to SecurityTradingRule which relates to MarketSegmentInstrument
new CV table for lottype Is lot size broad enough across asset classes to add at instrument level, or should we add something akin to debtissuedata for equities and options where we can store this?
Relates to SecurityTradingRule which relates to MarketSegmentInstrument New CV table for pricelimittype
Page 66
SecurityDefn
New CV for multi legged instruments.
Relates many to 1 to marketsegmentinstrument
Page 67
SecurityDefn
Relates to tradingsessionrule which relates to marketsegmentinstrument
A new CV with scheme = 'fix40'
Page 68
SecurityDefn
A new CV with scheme = 'fix1308' Table associated with execinstructionrule 1 to n
Shouldn't this be a CV?
Page 69
SecurityDefn
Relates to marketsegmentinstrument
Descriptive field A new CV with scheme = 'fix264'
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SecurityDefn
Associate with instrument of type option Revisit, cannot use exerciseRights for this
Is this a stretch for the semantics intended here?
Is this a stretch for the semantics intended here?
Needs new field as FIX uses a String, also add a FK to point to strikerule parent row New CV for mthyearuntitype Use same CV as for TimeUnit which has a superset of this set of values. Why did they create a new CV for this?
Page 71
SecurityDefn
Add new column
Page 72
SecurityDefn
FIX Comments Identifies the application with which a message is associated. Used only if application sequencing is in effect. Application sequence number assigned to the message by the application generating the message. Used only if application sequencing is in effect. Conditionally required if ApplID has been specified. The previous sequence number in the application sequence stream. Permits an application to publish messages with sequence gaps where it cannot be avoided. Used only if application sequencing is in effect. Conditionally required if ApplID has been specified Used to indicate that a message is being sent in response to an Application Message Request. Used only if application sequencing is in effect. It is possible for both ApplResendFlag and PossDupFlag to be set on the same message if the Sender's cache size is greater than zero and the message is being resent due to a session level resend request. Identifier for Security Definition message The "Clearing Business Date" referred to by this maintenance request. Unique ID of a Security Definition Request. Identifier for the Security Definition message Response to the Security Definition Request
Identifies the type of Corporate Action
Insert here the set of "Instrument" (symbology) fields defined in "Common Components of Application Messages" of the requested Security
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SecurityDefn
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. As defined in the NYSE Stock and bond Symbol Directory and in the AMEX Fitch Directory. 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.
Takes precedence in identifying security to counterparty over SecurityAltID block. Requires SecurityIDSource if specified. Security identifier value of SecurityIDSource (22) type (e.g. CUSIP, SEDOL, ISIN, etc). Requires SecurityIDSource. Required if SecurityID is specified. Number of alternate Security Identifiers
Indicates the type of product the security is associated with (high-level category) Identifies an entire suite of products for a given market. In Futures this may be "interest rates", "agricultural", "equity indexes", etc
An exchange specific name assigned to a group of related securities which may be concurrently affected by market events and actions. 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 nonFixed Income instruments. 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.)
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SecurityDefn
Sub-type qualification/identification of the SecurityType (e.g. for SecurityType="REPO"). Example Values: General = General Collateral (for SecurityType=REPO) For SecurityType="MLEG" markets can provide the name of the option or futures strategy, such as Calendar, Vertical, Butterfly, etc. NOTE: Additional values may be used by mutual agreement of the counterparties Specifies the month and year of maturity. Applicable for standardized derivatives which are typically only referenced by month and year (e.g. S&P futures). Note MaturityDate (a full date) can also be specified. Specifies date of maturity (a full date). Note that standardized derivatives which are typically only referenced by month and year (e.g. S&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. For NDFs this represents the fixing date of the contract. For NDFs this represents the fixing time of the contract. It is optional to specify the fixing time. Indicator to determine if Instrument is Settle on Open. Method under which assignment was conducted Gives the current state of the instrument Date interest is to be paid. Used in identifying Corporate Bond issues. A category of CDS credit even in which the underlying bond experiences a restructuring. Used to define a CDS instrument. Specifies which issue (underlying bond) will receive payment priority in the event of a default. Used to define a CDS instrument Indicates the notional percentage of the deal that is still outstanding based on the remaining components of the index. Used to calculate the true value of a CDS trade or position. Used to reflect the Original value prior to the application of a credit event. See NotionalPercentageOutstanding(1451). Lower bound percentage of the loss that the tranche can endure Upper bound percentage of the loss the tranche can endure.
Page 75
SecurityDefn
Date instrument was issued. For Fixed Income IOIs for new issues, specifies the issue date. For Fixed Income: Amortization Factor for deriving Current face from Original face for ABS or MBS securities, note the fraction may be greater than, equal to or less than 1. In TIPS securities this is the Inflation index. Qty * Factor * Price = Gross Trade Amount For Derivatives: Contract Value Factor by which price must be adjusted to determine the true nominal value of one futures/options contract. (Qty * Price) * Factor = Nominal Value
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. Values may include BIC for the depository or custodian who maintain ownership records, the ISO country code for the location of the record, or the value "ZZ" to specify physical ownership of the security (e.g. stock certificate). 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. A two-character state or province abbreviation. The three-character IATA code for a locale (e.g. airport code for Municipal Bonds). Return of investor's principal in a security. Bond redemption can occur before maturity date. Used for derivatives, such as options and covered warrants Used for derivatives Used for derivatives. Multiplier applied to the strike price for the purpose of calculating the settlement value. Used for derivatives. The number of shares/units for the financial instrument involved in the option trade. Specifies how the strike price is determined at the point of option exercise. The strike may be fixed throughout the life of the option, set at expiration to the value of the underlying, set to the average value of the underlying , or set to the optimal value of the underlying. Conditionally, required if value is other than "fixed".
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SecurityDefn
Used in combination with StrikePriceBoundaryMethod to specify the percentage of the strike price in relation to the underlying price. The percentage is generally 100 or greater for puts and 100 or less for calls. Specifies how the underlying price is determined at the point of option exercise. The underlying price may be set to the current settlement price, set to a special reference, set to the optimal value of the underlying during the defined period (Look-back) or set to the average value of the underlying during the defined period ("Asian option"). 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. For Fixed Income, Convertible Bonds, Derivatives, etc. Note: If used, quantities should be expressed in the "nominal" (e.g. contracts vs. shares) amount. The industry standard flow schedule by which electricity or natural gas is traded. Schedules exist by regions and on-peak and off-peak status, such as "Western Peak". Minimum price increment for the instrument. Could also be used to represent tick value. Minimum price increment amount associated with the MinPriceIncrement [969]. For listed derivatives, the value can be calculated by multiplying MinPriceIncrement by ContractValueFactor [231]
Settlement method for a contract. Can be used as an alternative to CFI Code value Type of exercise of a derivatives security Indicates the type of payout that will result from an in-the-money option. Cash amount indicating the pay out associated with an option. For binary options this is a fixed amount. Conditionally required if OptPayoutType(1482) is set to binary.
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SecurityDefn
Method for price quotation
Indicates type of valuation method used. Indicates whether the instruments are pre-listed only or can also be defined via user request Used to express the ceiling price of a capped call Used to express the floor price of a capped put Used to express option right Used to indicate if a security has been defined as flexible according to "non-standard" means. Analogous to CFICode Standard/Non-standard indicator Used to indicate if a product or group of product supports the creation of flexible securities Used to indicate a time unit for the contract (e.g., days, weeks, months, etc.) For Fixed Income. Can be used to identify the security. Position Limit for the instrument. Related to liquidity of the instrument. Derivatives? Does it change on a daily basis? Near-term Position Limit for the instrument.
Must be set if EncodedIssuer field is specified and must immediately precede it. Encoded (non-ASCII characters) representation of the Issuer field in the encoded format specified via the MessageEncoding field. Must be set if EncodedSecurityDesc field is specified and must immediately precede it. Encoded (non-ASCII characters) representation of the SecurityDesc field in the encoded format specified via the MessageEncoding field. Embedded XML document describing security. Must be set if SecurityXML field is specified and must immediately precede it. XML payload or content describing the Security information. XML Schema used to validate the XML used to describe the Security. Identifies MBS / ABS pool Must be present for MBS/TBA The program under which a commercial paper is issued
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SecurityDefn
The registration type of a commercial paper issuance Number of repeating EventType group entries. Code to represent the type of event
Date of event Specific time of event. To be used in combination with EventDate [866] Predetermined price of issue at event, if applicable Comments related to the event.
The effective date of a new securities issue determined by its underwriters. Often but not always the same as the Issue Date and the Interest Accrual Date If different from IssueDate and DatedDate Used to identify the parties listing a specific instrument Repeating group below should contain unique combinations of InstrumentPartyID, InstrumentPartyIDSource, and InstrumentPartyRole
Page 79
SecurityDefn
PartyRole value within an instrument party repeating group. Same values as PartyRole (452)
PartySubID value within an instrument party repeating group. Same values as PartySubID (523) Type of InstrumentPartySubID (1053) value. Same values as PartySubIDType (803)
Page 80
SecurityDefn
Number of complex events
Cash amount indicating the pay out associated with an event. For binary options this is a fixed amount. Specifies the price at which the complex event takes effect. Impact of the event price is determined by the ComplexEventType(1484). Specifies the boundary condition to be used for the event price relative to the underlying price at the point the complex event outcome takes effect as determined by the ComplexEventPriceTimeType. Used in combination with ComplexEventPriceBoundaryMethod to specify the percentage of the strike price in relation to the underlying price. The percentage is generally 100 or greater for puts and 100 or less for calls. Specifies when the complex event outcome takes effect. The outcome of a complex event is a payout or barrier action as specified by the ComplexEventType. Specifies the condition between complex events when more than one event is specified. Multiple barrier events would use an "or" condition since only one can be effective at a given time. A set of digital range events would use an and condition since both conditions must be in effect for a payout to result.
Specifies the start date of the date range on which a complex event is effective. The start date will be set equal to the end date for single day events such as Bermuda options. ComplexEventStartDate must always be less than or equal to ComplexEventEndDate. Specifies the end date of the date range on which a complex event is effective. The start date will be set equal to the end date for single day events such as Bermuda options. ComplexEventStartDate must always be less than or equal to ComplexEventEndDate.
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SecurityDefn
Specifies the start time of the time range on which a complex event date is effective. ComplexEventStartTime must always be less than or equal to ComplexEventEndTime. Specifies the end time of the time range on which a complex event date is effective. ComplexEventStartTime must always be less than or equal to ComplexEventEndTime.
Insert here the set of "InstrumentExtension" fields defined in "Common Components of Application Messages" Identifies the form of delivery. Percent at risk due to lowest possible call. Number of repeating InstrAttrib group entries.
Number of underlyings Number of underlyings
Page 82
SecurityDefn
Percent of the Strike Price that this underlying represents Underlying security's Currency. Unit amount of the underlying security (par, shares, currency, etc.) Indicates order settlement period for the underlying instrument. Cash amount associated with the underlying component. Used for derivatives that deliver into cash underlying, FIXED, DIFF Underlying price associate with a derivative instrument. Price (percent-of-par or per unit) of the underlying security or basket. "Dirty" means it includes accrued interest Price (percent-of-par or per unit) of the underlying security or basket at the end of the agreement. Currency value attributed to this collateral at the start of the agreement
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SecurityDefn
Currency value currently attributed to this collateral Currency value attributed to this collateral at the end of the agreement
Unit amount of the underlying security (shares) adjusted for pending corporate action not yet allocated. Foreign exchange rate used to compute UnderlyingCurrentValue(885) (or market value) from UnderlyingCurrency(318) to Currency(15). Specifies whether the UnderlyingFxRate(1045) should be multiplied or divided. Maximum notional value for a capped financial instrument
Put or call indicator of the underlying security. See PutOrCall(201).
Currency in which the price is denominated Comment, instructions, or other identifying information. Must be set if EncodedText field is specified and must immediately precede it. Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
Page 84
SecurityDefn
For Fixed Income. Type of Stipulation. Other types may be used by mutual agreement of the counterparties.
For Fixed Income. Value of stipulation. The expression can be an absolute single value or a combination of values and logical operators:, < value, > value, <= value, >= value, value, value value2, value OR value2, value AND value2, YES, NO,
Page 85
SecurityDefn
Number of legs
Multileg instrument's individual security's OptAttribute. See OptAttribute (206) field for description Multileg instrument's individual security's ContractMultiplier. See ContractMultiplier (23) field for description Indicates the type of multiplier being applied to the contract. Can be optionally used to further define what unit LegContractMultiplier(tag 614) is expressed in. The industry standard flow schedule by which electricity or natural gas is traded. Schedules exist by regions and on-peak and off-peak status, such as "Western Peak". Refer to defintion of UnitOfMeasure(996)
Refer to definition of UnitOfMeasureQty(1147)
Page 86
SecurityDefn
Refer to definition for PriceUnitOfMeasure(1191)
Refer to definition of PriceUnitOfMeasureQty(1192) Same as TimeUnit.
Expresses the risk of an option leg Value must be between -1 and 1. A Call Option will require a ratio value between 0 and 1 A Put Option will require a ratio value between -1 and 0
For Fixed Income. Either Swap Spread or Spread to Benchmark depending upon the order type. Spread to Benchmark: Basis points relative to a benchmark. To be expressed as "count of basis points" (vs. an absolute value). E.g. High Grade Corporate Bonds may express price as basis points relative to benchmark (the BenchmarkCurveName (22) field). Note: Basis points can be negative. Swap Spread: Target spread for a swap. Identifies currency used for benchmark curve. See "Appendix 6-A: Valid Currency Codes" for information on obtaining
Page 87
SecurityDefn
Name of benchmark curve.
Point on benchmark curve. Free form values: e.g. "Y", "7Y", "INTERPOLATED". Sample values: M = combination of a number between 1-12 and a "M" for month Y = combination of number between 1100 and a "Y" for year} 10Y-OLD = see above, then add "-OLD" when appropriate INTERPOLATED = the point is mathematically derived 2/2031 5 3/8 = the point is stated via a combination of maturity month / year and coupon See Fixed Income-specific documentation at http://www.fixprotocol.org for additional values. Specifies the price of the benchmark. Must be present if BenchmarkPrice is used.
The identifier of the benchmark security, e.g. Treasury against Corporate bond. Source of BenchmarkSecurityID. If not specified, then ID Source is understood to be the same as that in the Instrument block.
Page 88
SecurityDefn
Type of yield.
Yield percentage. Include as needed to clarify yield irregularities associated with date, e.g. when it falls on a nonbusiness day. Date to which the yield has been calculated (i.e. maturity, par call or current call, pre-refunded date). Price to which the yield has been calculated. The price type of the YieldRedemptionPrice (697). See PriceType (423) for description Contains all the security details related to listing and trading the security Number of Market Segments on which a security may trade. Identifies the Market
Identifies the Market Segment
Starting price range for specified tick increment
Page 89
SecurityDefn
Ending price range for the specified tick increment Tick increment for stated price range. Specifies the valid price increments at which a security can be quoted and traded Specifies the type of tick rule which is being described.
Defines the lot type assigned to the order. Minimum lot size allowed based on lot type specified in LotType(1093)
Describes the how the price limits are expressed. Allowable low limit price for the trading day. A key parameter in validating order price. Used as the lower band for validating order prices. Orders submitted with prices below the lower limit will be rejected Allowable high limit price for the trading day. A key parameter in validating order price. Used as the upper band for validating order prices. Orders submitted with prices above the upper limit will be rejected Reference price for the current trading price range usually representing the mid price between the HighLimitPrice and LowLimitPrice. The value may be the settlement price or closing price of the prior trading day. Part of trading cycle when an instrument expires. Field is applicable for derivatives.
The minimum trading volume for a security The maximum order quantity that can be submitted for a security. The maximum price variation of an execution from one event to the next for a given security.
Page 90
SecurityDefn
Indicates that an implied market should be created for either the legs of a multi-leg instrument (Impliedin) or for the multi-leg instrument based on the existence of the legs (Implied-out). Determination as to whether implied markets should be created is generally done at the level of the multi-leg instrument. Commonly used in listed derivatives. Used when the trading currency can differ from the price currency The trading lot size of a security Specifies the type of multileg order.
Code to represent how the multileg price is to be interpreted when applied to the legs. (See Volume : "Glossary" for further value definitions) Code to represent the price type. (For Financing transactions PriceType implies the "repo type" Fixed or Floating - 9 (Yield) or 6 (Spread) respectively - and Price (44) gives the corresponding "repo rate". See Volume : "Glossary" for further value definitions)
Identifier for Trading Session. A trading session spans an extended period of time that can also be expressed informally in terms of the trading day. Usage is determined by market or counterparties. To specify good for session where session spans more than one calendar day, use TimeInForce = Day in conjunction with TradingSessionID. Bilaterally agreed values of data type "String" that start with a character can be used for backward compatibility Optional market assigned sub identifier for a trading phase within a trading session. Usage is determined by market or counterparties. Used by US based futures markets to identify exchange specific execution time bracket codes as required by US market regulations. Bilaterally agreed values of data type "String" that start with a character can be used for backward compatibility.
Page 91
SecurityDefn
Order type. *** SOME VALUES ARE NO LONGER USED - See "Deprecated (Phased-out) Features and Supported Approach" *** (see Volume : "Glossary" for value definitions)
Specifies how long the order remains in effect. Absence of this field is interpreted as DAY. NOTE not applicable to CIV Orders. (see Volume : "Glossary" for value definitions)
Page 92
SecurityDefn
Indicates execution instructions that are valid for the specified market segment
The types of algorithm used to match orders in a specific security. Possible value types are FIFO, Allocation, Pro-rata, Lead Market Maker, Currency Calender.
Page 93
SecurityDefn
The point in the matching process at which this trade was matched.
Describes a class of service for a given data feed, ie Regular and Market Maker, Bandwidth Intensive or Bandwidth Conservative Depth of market for Book Snapshot / Incremental updates Describes the type of book for which the feed is intended. Used when multiple feeds are provided over the same connection
Page 94
SecurityDefn
Code to represent the type of instrument attribute
Attribute value appropriate to the NestedInstrAttribType field
Allows strike rule to be referenced via an identifier so that rules do not need to be explicitly enumerated Starting price for the range to which the StrikeIncrement applies. Price refers to the price of the underlying Ending price of the range to which the StrikeIncrement applies. Price refers to the price of the underlying Value by which strike price should be incremented within the specified price range. Expiration Style for an option class:
Allows maturity rule to be referenced via an identifier so that rules do not need to be explicitly enumerated Format used to generate the MaturityMonthYear for each option Unit of measure for the Maturity Month Year Increment Starting maturity month year for an option class Ending maturity month year for an option class
Page 95
SecurityDefn
Increment between successive maturities for an option class
Timestamp when the business transaction represented by the message occurred.
Page 96
SecurityDefn
Controlled Vocabularies
1 = Accept security proposal as-is 2 = Accept security proposal with revisions as indicated in the message 3 = List of security types returned per request 4 = List of securities returned per request 5 = Reject security proposal 6 = Cannot match selection criteria A = Ex-Dividend B = Ex-Distribution C = Ex S = New E = Ex-Interest F = Cash Dividend G = Stock Dividend H = Non-Integer Stock Split I = Reverse Stock Split J = Standard-Integer Stock Split K = Position Consolidation L = Liquidation Reorganization M = Merger Reorganization N = Rights Offering O = Shareholder Meeting P = Spinoff Q = Tender Offer R = Warrant S = Special Action T = Symbol Conversion U = CUSIP / Name Change V = Leap Rollover W = Succession Event
Page 97
SecurityDefn
Page 98
SecurityDefn
Page 99
SecurityDefn
1 = Fixed Strike, 2 = Strike set at expiration to underlying or other value (lookback floating), 3 = Strike set to average of underlying settlement price across the life of the option, 4 = Strike set to optimal value
1 = Less than underlying price is in-the-money (ITM), 2 = Less than or equal to the underlying price is in-themoney(ITM), 3 = Equal to the underlying price is in-themoney(ITM), 4 = Greater than or equal to underlying price is in-the-money(ITM), 5 = Greater than underlying is in-themoney(ITM)
Page 100
SecurityDefn
1 = Regular, 2 = Special reference, 3 = Optimal value (Lookback), 4 = Average value (Asian option)
0 = NERC Eastern Off-Peak, 1 = NERC Western OffPeak, 2 = NERC Calendar-All Days in month, 3 = NERC Eastern Peak, 4 = NERC Western Peak
Page 101
SecurityDefn
STD = Standard, money per unit of a physical, INX = Index, INT = Interest rate Index, PCTPAR = Percent of Par
0 = pre-listed only, 1 = user requested
H = Hour, Min = Minute, S = Second, D = Day, Wk = Week, Mo = Month, Yr = Year
Page 102
SecurityDefn
1 = Put, 2 = Call, 3 = Tender, 4 = Sinking Fund Call, 5 = Activation, 6 = Inactiviation, 7 = Last Eligible Trade Date, 8 = Swap Start Date, 9 = Swap End Date, 10 = Swap Roll Date, 11 = Swap Next Start Date, 12 = Swap Next Roll Date, 13 = First Delivery Date, 14 = Last Delivery Date, 15 = Initial Inventory Due Date, 16 = Final Inventory Due Date, 17 = First Intent Date, 18 = Last Intent Date, 19 = Position Removal Date, 99 = Other
Page 103
SecurityDefn
1 = Executing Firm (formerly FIX 4.2 ExecBroker), 2 = Broker of Credit (formerly FIX 4.2 BrokerOfCredit), 3 = Client ID (formerly FIX 4.2 ClientID), 4 = Clearing Firm (formerly FIX 4.2 ClearingFirm), 5 = Investor ID, 6 = Introducing Firm, 7 = Entering Firm, 8 = Locate / Lending Firm (for short-sales), 9 = Fund Manager Client ID (for CIV), 10 = Settlement Location (formerly FIX 4.2 SettlLocation), 11 = Order Origination Trader (associated with Order Origination Firm - i.e. trader who initiates/submits the order), 12 = Executing Trader (associated with Executing Firm - actually executes), 13 = Order Origination Firm (e.g. buy-side firm), 14 = Giveup Clearing Firm (firm to which trade is given up), 15 = Correspondant Clearing Firm, 16 = Executing System, 17 = Contra Firm, 18 = Contra Clearing Firm, 19 = Sponsoring Firm, 20 = Underlying Contra Firm, 21 = Clearing Organization, 22 = Exchange, 24 = Customer Account, 25 = Correspondent Clearing Organization, 26 = Correspondent Broker, 27 = Buyer/Seller (Receiver/Deliverer), 28 = Custodian, 29 = Intermediary, 30 = Agent, 31 = Sub-custodian, 32 = Beneficiary, 33 = Interested party, 34 = Regulatory body, 35 = Liquidity provider, 36 = Entering trader, 37 = Contra trader, 38 = Position account, 39 = Contra Investor ID, 40 = Transfer to Firm, 41 = Contra Position Account, 42 = Contra Exchange, 43 = Internal Carry Account, 44 = Order Entry Operator ID, 45 = Secondary Account Number, 46 = Foreign Firm, 47 = Third Party Allocation Firm, 48 = Claiming Account, 49 = Asset Manager, 50 = Pledgor Account, 51 = Pledgee Account, 52 = Large Trader Reportable Account, 53 = Trader mnemonic, 54 = Sender Location, 55 = Session ID, 56 = Acceptable Counterparty, 57 = Unacceptable Counterparty, 58 = Entering Unit, 59 =
1 = Firm, 2 = Person, 3 = System, 4 = Application, 5 = Full legal name of firm, 6 = Postal address, 7 = Phone number, 8 = Email address, 9 = Contact name, 10 = Securities account number (for settlement instructions), 11 = Registration number (for settlement instructions and confirmations), 12 = Registered address (for confirmation purposes), 13 = Regulatory status (for confirmation purposes), 14 = Registration name (for settlement instructions), 15 = Cash account number (for settlement instructions), 16 = BIC, 17 = CSD participant member code, 18 = Registered address, 19 = Fund account name, 20 = Telex number, 21 = Fax number, 22 = Securities account name, 23 = Cash account name, 24 = Department, 25 = Location desk, 26 = Position account type, 27 = Security locate ID, 28 = Market maker, 29 = Eligible counterparty, 30 = Professional client, 31 = Location, 32 = Execution venue, 33 = Currency delivery identifier
Page 104
SecurityDefn
1 = Capped, 2 = Trigger, 3 = Knock-in up, 4 = Knock-in down, 5 = Knock-out up, 6 = Knock-out down, 7 = Underlying, 8 = Reset Barrier, 9 = Rolling Barrier
1 = Less than ComplexEventPrice(1486), 2 = Less than or equal to ComplexEventPrice(1486), 3 = Equal to ComplexEventPrice(1486), 4 = Greater than or equal to ComplexEventPrice(1486), 5 = Greater than ComplexEventPrice(1486)
1 = Expiration, 2 = Immediate (At Any Time), 3 = Specified Date/Time
1 = And 2 = Or
Page 105
SecurityDefn
1 = Book Entry (default), 2 = Bearer
Page 106
SecurityDefn
2 = T+1, 4 = T+3, 5 = T+4
Page 107
SecurityDefn
D = Divide, M = Multiply
Page 108
SecurityDefn
AMT = Alternative Minimum Tax (Y/N), AUTOREINV = Auto Reinvestment at <rate> or better, BANKQUAL = Bank qualified (Y/N), BGNCON = Bargain conditions (see StipulationValue (234) for values), COUPON = Coupon range, CURRENCY = ISO Currency Code, CUSTOMDATE = Custom start/end date, GEOG = Geographics and % range (ex. 234=CA 0-80 [minimum of 80% California assets]), HAIRCUT = Valuation Discount, INSURED = Insured (Y/N), ISSUE = Year Or Year/Month of Issue (ex. 234=2002/09), ISSUER = Issuer's ticker, ISSUESIZE = issue size range, LOOKBACK = Lookback Days, LOT = Explicit lot identifier, LOTVAR = Lot Variance (value in percent maximum over- or under-allocation allowed), MAT = Maturity Year And Month, MATURITY = Maturity range, MAXSUBS = Maximum substitutions (Repo), MINDNOM = Minimum denomination, MININCR = Minimum increment, MINQTY = Minimum quantity, PAYFREQ = Payment frequency, calendar, PIECES = Number Of Pieces, PMAX = Pools Maximum, PPL = Pools per Lot, PPM = Pools per Million, PPT = Pools per Trade, PRICE = Price Range, PRICEFREQ = Pricing frequency, PROD = Production Year, PROTECT = Call protection, PURPOSE = Purpose, PXSOURCE = Benchmark price source, RATING = Rating source and range, REDEMPTION = Type Of Redemption - values are: NonCallable, Prefunded, EscrowedToMaturity, Putable, Convertible, RESTRICTED = Restricted (Y/N), SECTOR = Market Sector, SECTYPE = Security Type included or excluded, STRUCT = Structure, SUBSFREQ = Substitutions frequency (Repo), SUBSLEFT = Substitutions left (Repo), TEXT = Freeform Text, TRDVAR = Trade Variance (value in percent maximum over- or under-allocation allowed), WAC = the London Stock Bargain conditions recognized by Weighted Average Exchange - to be used when StipulationType is "BGNCON"., CD = Special cum Dividend, XD = Special ex Dividend, CC = Special cum Coupon, XC = Special ex Coupon, CB = Special cum Bonus, XB = Special ex Bonus, CR = Special cum Rights, XR = Special ex Rights, CP = Special cum Capital Repayments, XP = Special ex Capital Repayments, CS = Cash Settlement, SP = Special Price, TR = Report for European Equity Market Securities in accordance with Chapter 8 of the Rules., GD = Guaranteed Delivery, Values for StipulationType = "PXSOURCE":, BB GENERIC, BB FAIRVALUE, BROKERTEC, ESPEED, GOVPX, HILLIARD FARBER, ICAP, TRADEWEB, TULLETT LIBERTY, If a particular side of the market is wanted append /BID /OFFER or /MID., plus appropriate combinations of the above and other expressions by mutual agreement of the counterparties., Examples: ">=60", ".25", "ORANGE OR CONTRACOSTA", etc.
Page 109
SecurityDefn
0 = Shares, 1 = Hours, 2 = Days
0 = NERC Eastern Off-Peak, 1 = NERC Western OffPeak, 2 = NERC Calendar-All Days in month, 3 = NERC Eastern Peak, 4 = NERC Western Peak Fixed Magnitude UOM , Bcf = Billion cubic feet, MMbbl = Million Barrels, MMBtu = One Million BTU, MWh = Megawatt hours, Variable Quantity UOM , Bbl = Barrels, Bu = Bushels, lbs = pounds, Gal = Gallons, oz_tr = Troy Ounces, t = Metric Tons (aka Tonne), tn = Tons (US), USD = US Dollars, Alw = Allowances
Page 110
SecurityDefn
Fixed Magnitude UOM , Bcf = Billion cubic feet, MMbbl = Million Barrels, MMBtu = One Million BTU, MWh = Megawatt hours, Variable Quantity UOM , Bbl = Barrels, Bu = Bushels, lbs = pounds, Gal = Gallons, oz_tr = Troy Ounces, t = Metric Tons (aka Tonne), tn = Tons (US), USD = US Dollars, Alw = Allowances
H = Hour, Min = Minute, S = Second, D = Day, Wk = Week, Mo = Month, Yr = Year
Page 111
SecurityDefn
EONIA = EONIA, EUREPO = EUREPO, Euribor = Euribor, FutureSWAP = FutureSWAP, LIBID = LIBID, LIBOR = LIBOR (London Inter-Bank Offer), MuniAAA = MuniAAA, OTHER = OTHER, Pfandbriefe = Pfandbriefe, SONIA = SONIA, SWAP = SWAP, Treasury = Treasury
1 = Percentage (i.e. percent of par) (often called "dollar price" for fixed income), 2 = Per unit (i.e. per share or contract), 3 = Fixed amount (absolute value), 4 = Discount percentage points below par, 5 = Premium - percentage points over par, 6 = Spread (basis points spread), 7 = TED Price, 8 = TED Yield, 9 = Yield, 10 = Fixed cabinet trade price (primarily for listed futures and options), 11 = Variable cabinet trade price (primarily for listed futures and options), 13 = Product ticks in halfs, 14 = Product ticks in fourths, 15 = Product ticks in eights, 16 = Product ticks in sixteenths, 17 = Product ticks in thirty-seconds, 18 = Product ticks in sixty-forths, 19 = Product ticks in onetwenty-eights
1 = CUSIP, 2 = SEDOL, 3 = QUIK, 4 = ISIN number, 5 = RIC code, 6 = ISO Currency Code, 7 = ISO Country Code, 8 = Exchange Symbol, 9 = Consolidated Tape Association (CTA) Symbol (SIAC CTS/CQS line format), A = Bloomberg Symbol, B = Wertpapier, C = Dutch, D = Valoren, E = Sicovam, F = Belgian, G = "Common" (Clearstream and Euroclear), H = Clearing House / Clearing Organization, I = ISDA/FpML Product Specification (XML in EncodedSecurityDesc), J = Option Price Reporting Authority, K = ISDA/FpML Product URL (URL in SecurityID), L = Letter of Credit, M = Marketplaceassigned Identifier
Page 112
SecurityDefn
AFTERTAX = After Tax Yield (Municipals), ANNUAL = Annual Yield, ATISSUE = Yield At Issue (Municipals), AVGMATURITY = Yield To Avg Maturity, BOOK = Book Yield, CALL = Yield to Next Call, CHANGE = Yield Change Since Close, CLOSE = Closing Yield, COMPOUND = Compound Yield, CURRENT = Current Yield, GOVTEQUIV = Gvnt Equivalent Yield, GROSS = True Gross Yield, INFLATION = Yield with Inflation Assumption, INVERSEFLOATER = Inverse Floater Bond Yield, LASTCLOSE = Most Recent Closing Yield, LASTMONTH = Closing Yield Most Recent Month, LASTQUARTER = Closing Yield Most Recent Quarter, LASTYEAR = Closing Yield Most Recent Year, LONGAVGLIFE = Yield to Longest Average Life, MARK = Mark to Market Yield, MATURITY = Yield to Maturity, NEXTREFUND = Yield to Next Refund (Sinking Fund Bonds), OPENAVG = Open Average Yield, PREVCLOSE = Previous Close Yield, PROCEEDS = Proceeds Yield, PUT = Yield to Next Put, SEMIANNUAL = Semi-annual Yield, SHORTAVGLIFE = Yield to Shortest Average Life, SIMPLE = Simple Yield, TAXEQUIV = Tax Equivalent Yield, TENDER = Yield to Tender Date, TRUE = True Yield, VALUE1_32 = Yield Value Of 1/32, WORST = Yield To Worst
Page 113
SecurityDefn
0 = Regular, 1 = Variable, 2 = Fixed, 3 = Traded as a spread leg, 4 = Settled as a spread leg
1 = Odd Lot, 2 = Round Lot, 3 = Block Lot, 4 = Round lot based upon UnitOfMeasure(996)
0 = Price, 1 = Ticks, 2 = Percentage
0 = Expire on trading session close (default), 1 = Expire on trading session open, 2 = Trading eligibility expiration specified in the date and time fields [EventDate(866) and EventTime(1145)] associated with EventType(865)=7(Last Eligible Trade Date)
Page 114
SecurityDefn
0 = Not implied, 1 = Implied-in - The existence of a multileg instrument is implied by the legs of that instrument, 2 = Implied-out - The existence of the underlying legs are implied by the multi-leg instrument, 3 = Both Implied-in and Implied-out
0 = Predefined Multileg Security, 1 = User-defined Multleg Security, 2 = User-defined, Non-Securitized, Multileg 0 = Net Price, 1 = Reversed Net Price, 2 = Yield Difference, 3 = Individual, 4 = Contract Weighted Average Price, 5 = Multiplied Price 1 = Percentage (i.e. percent of par) (often called "dollar price" for fixed income), 2 = Per unit (i.e. per share or contract), 3 = Fixed amount (absolute value), 4 = Discount percentage points below par, 5 = Premium - percentage points over par, 6 = Spread (basis points spread), 7 = TED Price, 8 = TED Yield, 9 = Yield, 10 = Fixed cabinet trade price (primarily for listed futures and options), 11 = Variable cabinet trade price (primarily for listed futures and options), 13 = Product ticks in halfs, 14 = Product ticks in fourths, 15 = Product ticks in eights, 16 = Product ticks in sixteenths, 17 = Product ticks in thirty-seconds, 18 = Product ticks in sixty-forths, 19 = Product ticks in onetwenty-eights
1 = Pre-Trading, 2 = Opening or opening auction, 3 = (Continuous) Trading, 4 = Closing or closing auction, 5 = Post-Trading, 6 = Intraday Auction, 7 = Quiescent
Page 115
SecurityDefn
1 = Market, 2 = Limit, 3 = Stop / Stop Loss, 4 = Stop Limit, 5 = Market On Close (No longer used), 6 = With Or Without, 7 = Limit Or Better, 8 = Limit With Or Without, 9 = On Basis, A = On Close (No longer used), B = Limit On Close (No longer used), C = Forex Market (No longer used), D = Previously Quoted, E = Previously Indicated, F = Forex Limit (No longer used), G = Forex Swap, H = Forex Previously Quoted (No longer used), I = Funari (Limit day order with unexecuted portion handles as Market On Close. E.g. Japan), J = Market If Touched (MIT), K = Market With Left Over as Limit (market order with unexecuted quantity becoming limit order at last price), L = Previous Fund Valuation Point (Historic pricing; for CIV), M = Next Fund Valuation Point (Forward pricing; for CIV), P = Pegged, Q = Counter-order selection
0 = Day (or session), 1 = Good Till Cancel (GTC), 2 = At the Opening (OPG), 3 = Immediate Or Cancel (IOC), 4 = Fill Or Kill (FOK), 5 = Good Till Crossing (GTX), 6 = Good Till Date (GTD), 7 = At the Close, 8 = Good Through Crossing, 9 = At Crossing
Page 116
SecurityDefn
0 = Stay on offer side, 1 = Not held, 2 = Work, 3 = Go along, 4 = Over the day, 5 = Held, 6 = Participant don't initiate, 7 = Strict scale, 8 = Try to scale, 9 = Stay on bid side, A = No cross (cross is forbidden), B = OK to cross, C = Call first, D = Percent of volume (indicates that the sender does not want to be all of the volume on the floor vs. a specific percentage), E = Do not increase - DNI, F = Do not reduce - DNR, G = All or none - AON, H = Reinstate on system failure (mutually exclusive with Q and l), I = Institutions only, J = Reinstate on Trading Halt (mutually exclusive with K and m), K = Cancel on Trading Halt (mutually exclusive with J and m), L = Last peg (last sale), M = Mid-price peg (midprice of inside quote), N = Non-negotiable, O = Opening peg, P = Market peg, Q = Cancel on system failure (mutually exclusive with H and l), R = Primary peg (primary market - buy at bid/sell at offer), S = Suspend, T = Fixed Peg to Local best bid or offer at time of order, U = Customer Display Instruction (Rule 11Ac1-1/4), V = Netting (for Forex), W = Peg to VWAP, X = Trade Along, Y = Try To Stop, Z = Cancel if not best, a = Trailing Stop Peg, b = Strict Limit (No price improvement), c = Ignore Price Validity Checks, d = Peg to Limit Price, e = Work to Target Strategy, f = Intermarket Sweep, g = External Routing Allowed, h = External Routing Not Allowed, i = Imbalance Only, j = Single execution requested for block trade, k = Best Execution, l = Suspend on system failure (mutually exclusive with H and Q), m = Suspend on Trading Halt (mutually exclusive with J and K), n = Reinstate on connection loss (mutually exclusive with o and p), o = Cancel on connection loss (mutually exclusive with n and p), p = Suspend on connection loss (mutually exclusive with n and o), q = Release from suspension (mutually exclusive with S), r = Execute as delta neutral
Page 117
SecurityDefn
General Purpose , 1 = One-Party Trade Report (privately negotiated trade), 2 = Two-Party Trade Report (privately negotiated trade), 3 = Confirmed Trade Report (reporting from recognized markets), 4 = Auto-match, 5 = Cross Auction, 6 = Counter-Order Selection, 7 = Call Auction, 8 = Issuing/Buy Back Auction, NASDAQ , M3 = ACT Accepted Trade, M4 = ACT Default Trade, M5 = ACT Default After M2, M6 = ACT M6 Match, NYSE and AMEX , A1 = Exact match on Trade Date, Stock Symbol, Quantity, Price, Trade Type, and Special Trade Indicator plus four badges and execution time (within two-minute window), A2 = Exact match on Trade Date, Stock Symbol, Quantity, Price, Trade Type, and Special Trade Indicator, plus four badges, A3 = Exact match on Trade Date, Stock Symbol, Quantity, Price, Trade Type, and Special Trade Indicator, plus two badges and execution time (within twominute window), A4 = Exact match on Trade Date, Stock Symbol, Quantity, Price, Trade Type, and Special Trade Indicator, plus two badges, A5 = Exact match on Trade Date, Stock Symbol, Quantity, Price, TradeType, and Special Trade Indicator plus execution time (within twominute window), AQ = Compared records resulting from stamped advisories or specialist accepts/pair-offs, S1 = Summarized match using A1 exact match criteria except quantity is summaried, S2 = Summarized match using A2 exact match criteria except quantity is summarized, S3 = Summarized match using A3 exact match criteria except quantity is summarized, S4 = Summarized match using A4 exact match criteria except quantity is summarized, S5 = Summarized match using A5 exact match criteria except quantity is summarized, NYSE, AMEX and NASDAQ , M1 = Exact match on Trade Date, Stock Symbol, Quantity, Price, Trade Type, and Special Trade Indicator minus
0 - full book depth, 1 - top of book, 2 and above - book depth (number of levels) 1 = Top of Book, 2 = Price Depth, 3 = Order Depth
Page 118
SecurityDefn
1 = Flat (securities pay interest on a current basis but are traded without interest), 2 = Zero coupon, 3 = Interest bearing (for Euro commercial paper when not issued at discount), 4 = No periodic payments, 5 = Variable rate, 6 = Less fee for put, 7 = Stepped coupon, 8 = Coupon period (if not semi-annual). Supply redemption date in the InstrAttribValue (872) field., 9 = When [and if] issued, 10 = Original issue discount, 11 = Callable, puttable, 12 = Escrowed to Maturity, 13 = Escrowed to redemption date callable. Supply redemption date in the InstrAttribValue (872) field, 14 = Pre-refunded, 15 = In default, 16 = Unrated, 17 = Taxable, 18 = Indexed, 19 = Subject To Alternative Minimum Tax, 20 = Original issue discount price. Supply price in the InstrAttribValue (872) field, 21 = Callable below maturity value, 22 = Callable without notice by mail to holder unless registered, 23 = Price tick rules for security., 24 = Trade type eligibility details for security., 25 = Instrument Denominator, 26 = Instrument Numerator, 27 = Instrument Price Precision, 28 = Instrument Strike Price, 29 = Tradeable Indicator, 99 = Text. Supply the text of the attribute or disclaimer in the InstrAttribValue (872) field.
0 = European, 1 = American, 2 = Bermuda
0 = YearMonth Only (default), 1 = YearMonthDay, 2 = YearMonthWeek 0 = Months, 1 = Days, 2 = Weeks, 3 = Years
Page 119
Party Details List Update Repor

Tag or Component Field Name FIXML name Component (-) ApplicationSequenceControl ApplSeqCtrl ApplID 1180 ApplSeqNum @ApplID Mddb Table
1181 ApplLastSeqNum
@ApplSeqNum
1350 ApplResendFlag
@ApplLastSeqNum
1352 end Component 1510 PartyDetailsListReportID PartyDetailsListRequestID 1505 PartyDetailsRequestResult 1511 TotNoPartyList 1512 LastFragment
@ApplResendFlag @RptID @ReqID @Rslt @TotNoPtyList partydetaillist partydetaillist partydetaillist
893 Component (-) PartyListGrp Repeating Group 1513 NoPartyList PartyDetail Component (-) PartyID 448 447 PartyIDSource 452 PartyRole PartyQualifier 1674 Component (-) PtysSubGrp Repeating Group 802 NoPartySubIDs
@LastFragment PtyLst
partydetaillist
PtyDetl
party
@ID @Src @R
entityidentifier source partyrole
partyqualifier Sub
Page 120

PartySubID 523 PartySubIDType 803 end Repeating Group end Component Component (-) PartyAltIDs Repeating Group 1516 NoPartyAltIDs PartyAltID 1517 PartyAltIDSource 1518 Component (-) AltPtysSubGrp Repeating Group 1519 NoPartyAltSubIDs PartyAltSubID 1520 PartyAltSubIDType 1521 end Repeating Group end Component end Repeating Group end Component Component (-) RelatedPartyDetailGrp NoRelatedPartyDetails Repeating Group 1673 RelatedPartyID @Src Sub source @Typ partysubidtype @ID entityidentifier
AltPty
@ID
entityidentifier
@ID
entityidentifier
@Typ
partysubidtype
1563 RelatedPartyIDSource
entityidentifier
1564 1565 RelatedPartyRole RelatedPartyRoleQualifier
source partyrole
1675 Component (-) RelatedPartyGrp Repeating Group 1562 NoRelatedPartyIDs Component (-) RelatedPartyDetail RelatedPartyID
partyqualifier ReltdPty PtyDetl
1563
@ID
entityidentifier
Page 121

RelatedPartyIDSource
1564 RelatedPartyRole
@Src
source
1565 Component (-) RelatedPtysSubGrp Repeating Group 1566 NoRelatedPartySubIDs RelatedPartySubID
@R Sub
partyroletype
1567 RelatedPartySubIDType
@ID
entityidentifier
1568 end Repeating Group end Component Component (-) RelatedPartyAltIDs Repeating Group 1569 NoRelatedPartyAltIDs RelatedPartyAltID
@Typ
partysubidtype
AltPty
1570 RelatedPartyAltIDSource
@ID
entityidentifier
1571 Component (-) RelatedAltPtysSubGrp Repeating Group 1572 NoRelatedPartyAltSubIDs RelatedPartyAltSubID
@Src Sub
source
1573 RelatedPartyAltSubIDType 1574
@ID
entityidentifier
@Typ
partysubidtype
Page 122

end Repeating Group end Component end Repeating Group end Component Component (-) PartyRelationships Repeating Group 1514 NoPartyRelationships PartyRelationship
Rltnshp
1515 end Repeating Group end Component end Repeating Group end Component end Repeating Group end Component 60 58 354 355 1328 Component (-)
@Rltnshp
partyrelationshiptype
TransactTime Text EncodedTextLen EncodedText RejectText StandardTrailer SignatureLength
@Txt @EncTxtLen @EncTxt
93 Signature 89 CheckSum 10 end Component
Page 123

Mddb Column Mddb Notes Comments Identifies the application with which a message is associated. Used only if application sequencing is in effect. Application sequence number assigned to the message by the application generating the message. Used only if application sequencing is in effect. Conditionally required if ApplID has been specified. The previous sequence number in the application sequence stream. Permits an application to publish messages with sequence gaps where it cannot be avoided. Used only if application sequencing is in effect. Conditionally required if ApplID has been specified Used to indicate that a message is being sent in response to an Application Message Request. Used only if application sequencing is in effect. It is possible for both ApplResendFlag and PossDupFlag to be set on the same message if the Sender's cache size is greater than zero and the message is being resent due to a session level resend request.
reportid requestid requestresult Do a count on the rows returned for PartyList below Indicates whether this message is the last in a sequence of messages for those messages that support fragmentation, such as Allocation Instruction, Mass Quote, Security List, Derivative Security List Required when responding to the Party Details List Request. Required when responding to the Party Details List Request.
lastfragment
code code short
Extend Entity to have an additonal subtype of party for FIX specific data. I assume that uniqueness across multiple parties in the market is not guaranteed entityidentifier.source
short
For use with PartyRole = Executing Firm - 0,1,2 For use with PartyRole = Clearing Firm- 3,4
Page 124

Joined thru entityidentifier.entity >entity.id - party.id relates thru entityidentifier.partysubidtype
code
short
code
Joined thru entityidentifier.entity >entity.id - party.id relates thru entityidentifier.partysubidtype
code
code
Joined thru entityidentifier >entity.id - party.id relates thru entityidentifier.partysubidtype
short
code
code short
count for the following repeating group Joined thru entityidentifier.entity >entity.id - party.id -< partyrelationship.subpartid partyrelationship.primarypartyi d >- party.id As for 1563 with additional join from entityidentifier.source to source.id As for 1565 with additional join from entityidentifier.source to source.id
short
code
Joined thru partyroletype.id > partyrole.partyroletype partyrole.party - party.id -< partyrelationship.subpartidpartyrelationship.primarypartyi d >- party.id
Page 125

As for 1563 with additional join from entityidentifier.source to source.id Joined thru partyroletype.id > partyrole.partyroletype partyrole.party - party.id -< partyrelationship.subpartidpartyrelationship.primarypartyi PartyRole value within a RelatedPartyGrp d >- party.id repeating group.
code
code
code
Joined thru entityidentifier.entity >entity.id party.entity, party.id < partyrelationship.subpartid partyrelationship.primarypartyi PartySubID value within a RelatedPartyGrp d >- party.id repeating group.
short
relates thru PartySubIDType value within a RelatedPartyGrp entityidentifier.partysubidtype repeating group.
code
code
Joined thru entityidentifier.entity >entity.id party.entity, party.id < partyrelationship.subpartid partyrelationship.primarypartyi d >- party.id As for 1570 with additional join from entityidentifier.source to source.id
code
Joined thru entityidentifier.entity >entity.id-party.id -< partyrelationship.subpartid partyrelationship.primarypartyi d >- party.id relates thru entityidentifier.partysubidtype
short
Page 126
short
Joined thru partyrelationship.subpartid partyrelationship.primarypartyi Used to specify the type of the party d >- party.id relationship.
Required when trailer contains signature. Note: Not to be included within SecureData field Note: Not to be included within SecureData field (Always unencrypted, always last field in message)
Page 127

CV
0 = Agency, 1 = Principal, 2 = Riskless Principal, 3 = General Clearing Member, 4 = Individual Clearing Member
Page 128
Page 129
1 = Executing Firm (formerly FIX 4.2 ExecBroker), 2 = Broker of Credit (formerly FIX 4.2 BrokerOfCredit) 3 = Client ID (formerly FIX 4.2 ClientID), 4 = Clearing Firm (formerly FIX 4.2 ClearingFirm)
1 = Firm, 2 = Person, 3 = System, 4 = Application, 5 = Full legal name of firm, 6 = Postal address, 7 = Phone number, 8 = Email address, 9 = Contact name, 10 = Securities account number (for settlement instructions), 11 = Registration number (for settlement instructions and confirmations), 12 = Registered address (for confirmation purposes), 13 = Regulatory status (for confirmation purposes), 14 = Registration name (for settlement instructions), 15 = Cash
Page 130
0 = Is also, 1 = Clears for, 2 = Clears through, 3 Trades for
FIXT.1.1 FIXT.1.1
Page 131
1301 MarketID
@MktID
marketidentifier
1300 MarketSegmentID 1396 MarketSegmentDesc 1325 ParentMktSegmID
@MktSegID @MarketSegmentDesc @ParentMktSegmID
marketsegment marketsegment marketsegment
15 Currency TickRules Repeating Group 1205 NoTickRules 1206 StartTickPriceRange
@Ccy TickRules
marketsegment
@StartTickPxRng
tickrule
1207 EndTickPriceRange 1208 TickIncrement 1209 TickRuleType end Repeating Group end Component Component (-) LotTypeRules Repeating Group 1234 NoLotTypeRules
@EndTickPxRng @TickIncr @TickRuleTyp
tickrule tickrule tickruletype
LotTypeRules
1093 LotType 1231 MinLotSize end Repeating Group end Component Component (-) PriceLimits
@LotTyp @MinLotSz
lottyperule lottyperule
PxLmts @PxLmtTyp pricelimit
1306 PriceLimitType
1148 LowLimitPrice
@LowLmtPx
pricelimit
1149 HighLimitPrice
@HiLmtPx
pricelimit
1150 TradingReferencePrice end Component
@TrdgRefPx
pricelimit
827 ExpirationCycle 562 MinTradeVol 1140 MaxTradeVol
@ExpirationCycle @MinTrdVol @MaxTrdVol
marketsegment marketsegment marketsegment
1143 MaxPriceVariation
@MxPxVar
marketsegment
1144 ImpliedMarketIndicator 1245 TradingCurrency 561 RoundLot 1377 MultilegModel
@ImpldMktInd @TrdCcy @RndLot @MlegModel
marketsegment marketsegment marketsegment marketsegment
1378 MultilegPriceMethod
@MlegPxMeth
marketsegment
423 PriceType end Component Component (-) OrdTypeRules Repeating Group 1237 NoOrdTypeRules
@PxTyp OrdTypRules
marketsegment
40 OrdType end Repeating Group end Component Component (-) TimeInForceRules Repeating Group 1239 NoTimeInForceRules
@OrdTyp
ordertyperule
TmInForceRules
59 TimeInForce end Repeating Group end Component Component (-) ExecInstRules Repeating Group 1232 NoExecInstRules
@TmInForce
timeinforcerule
ExecInstRules
1308 ExecInstValue end Repeating Group end Component
@ExecInstValu
execinstructionrule
code
code description parent
currency
startpricerange
Set a scheme for FIX exchanges if Identifies the Market not MIC, as used by the exchanges add new scheme, use scheme = 'fix1301' table relate many to 1 to Identifies the Market Segment marketidentifier and relates many to 1 to marketcenter. No representation in MDDL or MDDB, use scheme = 'fix1300' Relates to MarketCenter Self referential Identifies currency used for price. Absence of this field is interpreted as the default for the security. It is recommended that systems provide the currency value whenever possible. See "Appendix 6-A: Valid Currency Codes" for information on Relates to CV for currency obtaining Relates to MarketSegment Starting price range for specified tick Related many to 1 to marketsegment increment Ending price range for the specified tick increment Tick increment for stated price range. Specifies the valid price increments at which a security can be quoted and traded
endpricerange increment short new CV table for these TickRuleTypejoin to tickrule Specifies the type of tick rule which is being described. Scheme=='fix1209'
Related many to 1 to marketsegment Defines the lot type assigned to the order. new CV table for lottype Minimum lot size allowed based on lot type Is lot size broad enough across asset specified in LotType(1093) classes to add at instrument level, or should we add something akin to debtissuedata for equities and options where we can store this?
lottype lotsize
Related many to 1 to marketsegment pricelimittype New CV table for pricelimittype Describes the how the price limits are expressed. Allowable low limit price for the trading day. A key parameter in validating order price. Used as the lower band for validating order prices. Orders submitted with prices below the lower limit will be rejected
low
high
tradingreferenceprice
Allowable high limit price for the trading day. A key parameter in validating order price. Used as the upper band for validating order prices. Orders submitted with prices above the upper limit will be rejected Reference price for the current trading price range usually representing the mid price between the HighLimitPrice and LowLimitPrice. The value may be the settlement price or closing price of the prior trading day. Part of trading cycle when an instrument expires. In this case set at marketsegement level. Field is applicable for derivatives. The minimum trading volume for a security The maximum order quantity that can be submitted for a security. The maximum price variation of an execution from one event to the next for a given security. Indicates that an implied market should be created for either the legs of a multi-leg instrument (Implied-in) or for the multi-leg instrument based on the existence of the legs (Implied-out). Determination as to whether implied markets should be created is generally done at the level of the multileg instrument. Commonly used in listed derivatives. Used when the trading currency can differ from the price currency The trading lot size of a security Specifies the type of multileg order. Code to represent how the multileg price is to be interpreted when applied to the legs. (See Volume : "Glossary" for further value definitions) Code to represent the price type. (For Financing transactions PriceType implies the "repo type" - Fixed or Floating - 9 (Yield) or 6 (Spread) respectively - and Price (44) gives the corresponding "repo rate". See Volume : "Glossary" for further value definitions)
expirationcycle mintradevolume maxtradevolume
maxpricevariation
impliedmarketindicator New CV for multi legged instruments. currency roundlot multilegmodel
multilegpricemethod
pricetype Relates to marketsegment
Order type. *** SOME VALUES ARE NO LONGER USED - See "Deprecated (Phased-out) Features and Supported Approach" *** (see Volume : "Glossary" for value definitions)
tradingordertype
Relates to marketsegment Specifies how long the order remains in effect. Absence of this field is interpreted as DAY. NOTE not applicable to CIV Orders. (see Volume : "Glossary" for value definitions)
timeinforcetype
Relates to marketsegment Indicates execution instructions that are valid for the specified market segment
execinstructiontype
A new CV with scheme = 'fix1308' Table associated with execinstructionrule 1 to n
0 = Regular, 1 = Variable, 2 = Fixed, 3 = Traded as a spread leg, 4 = Settled as a spread leg
1 = Odd Lot, 2 = Round Lot, 3 = Block Lot, 4 = Round lot based upon UnitOfMeasure(996)
0 = Price, 1 = Ticks, 2 = Percentage
0 = Expire on trading session close (default), 1 = Expire on trading session open, 2 = Trading eligibility expiration specified in the date and time fields [EventDate(866) and EventTime(1145)] associated with EventType(865)=7(Last Eligible Trade Date)
0 = Not implied, 1 = Implied-in - The existence of a multi-leg instrument is implied by the legs of that instrument, 2 = Implied-out - The existence of the underlying legs are implied by the multi-leg instrument, 3 = Both Implied-in and Implied-out
0 = Predefined Multileg Security, 1 = User-defined Multleg Security, 2 = User-defined, Non-Securitized, Multileg 0 = Net Price, 1 = Reversed Net Price, 2 = Yield Difference, 3 = Individual, 4 = Contract Weighted Average Price, 5 = Multiplied Price
1 = Percentage (i.e. percent of par) (often called "dollar price" for fixed income), 2 = Per unit (i.e. per share or contract), 3 = Fixed amount (absolute value), 4 = Discount percentage points below par, 5 = Premium - percentage points over par, 6 = Spread (basis points spread), 7 = TED Price, 8 = TED Yield, 9 = Yield, 10 = Fixed cabinet trade price (primarily for listed futures and options), 11 = Variable cabinet trade price (primarily for listed futures and options), 13 = Product ticks in halfs, 14 = Product ticks in fourths, 15 = Product ticks in eights, 16 = Product ticks in sixteenths, 17 = Product ticks in thirty-seconds, 18 = Product ticks in sixty-forths, 19 = Product ticks in onetwenty-eights
1 = Market, 2 = Limit, 3 = Stop / Stop Loss, 4 = Stop Limit, 5 = Market On Close (No longer used), 6 = With Or Without, 7 = Limit Or Better, 8 = Limit With Or Without, 9 = On Basis, A = On Close (No longer used), B = Limit On Close (No longer used), C = Forex Market (No longer used), D = Previously Quoted, E = Previously Indicated, F = Forex Limit (No longer used), G = Forex Swap, H = Forex Previously Quoted (No longer used), I = Funari (Limit day order with unexecuted portion handles as Market On Close. E.g. Japan), J = Market If Touched (MIT), K = Market With Left Over as Limit (market order with unexecuted quantity becoming limit order at last price), L = Previous Fund Valuation Point (Historic pricing; for CIV), M = Next Fund Valuation Point (Forward pricing; for CIV), P = Pegged, Q = Counter-order selection
0 = Day (or session), 1 = Good Till Cancel (GTC), 2 = At the Opening (OPG), 3 = Immediate Or Cancel (IOC), 4 = Fill Or Kill (FOK), 5 = Good Till Crossing (GTX), 6 = Good Till Date (GTD), 7 = At the Close, 8 = Good Through Crossing, 9 = At Crossing
0 = Stay on offer side, 1 = Not held, 2 = Work, 3 = Go along, 4 = Over the day, 5 = Held, 6 = Participant don't initiate, 7 = Strict scale, 8 = Try to scale, 9 = Stay on bid side, A = No cross (cross is forbidden), B = OK to cross, C = Call first, D = Percent of volume (indicates that the sender does not want to be all of the volume on the floor vs. a specific percentage), E = Do not increase - DNI, F = Do not reduce - DNR, G = All or none - AON, H = Reinstate on system failure (mutually exclusive with Q and l), I = Institutions only, J = Reinstate on Trading Halt (mutually exclusive with K and m), K = Cancel on Trading Halt (mutually exclusive with J and m), L = Last peg (last sale), M = Mid-price peg (midprice of inside quote), N = Non-negotiable, O = Opening peg, P = Market peg, Q = Cancel on system failure (mutually exclusive with H and l), R = Primary peg (primary market - buy at bid/sell at offer), S = Suspend, T = Fixed Peg to Local best bid or offer at time of order, U = Customer Display Instruction (Rule 11Ac11/4), V = Netting (for Forex), W = Peg to VWAP, X = Trade Along, Y = Try To Stop, Z = Cancel if not best, a = Trailing Stop Peg, b = Strict Limit (No price improvement), c = Ignore Price Validity Checks, d = Peg to Limit Price, e = Work to Target Strategy, f = Intermarket Sweep, g = External Routing Allowed, h = External Routing Not Allowed, i = Imbalance Only, j = Single execution requested for block trade, k = Best Execution, l = Suspend on system failure (mutually exclusive with H and Q), m = Suspend on Trading Halt (mutually exclusive with J and K), n = Reinstate on connection loss (mutually exclusive with o and p), o = Cancel on connection loss (mutually exclusive with n and p), p = Suspend on connection loss (mutually exclusive with n and o), q = Release from suspension (mutually exclusive with S), r = Execute as delta neutral using volatility provided, s = Execute as duration neutral, t = Execute as FX neutral

Fix5.0 To MDDB - 3

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Fix5.0 To MDDB - 3

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SecurityDefn

1352 ApplResendFlag end Component 964 SecurityReportID

715 ClearingBusinessDate 320 SecurityReqID 322 SecurityResponseID

@BizDt @ReqID @RspID

@ID @Src AID @AltID @AltIDSrc

@MatDt @MatTm @SettlOnOpenFlag @AsgnMeth @Status

1452 OriginalNotionalPercentageOutstanding 1457 AttachmentPoint 1458 DetachmentPoint

@OrigNotlPctOut @AttchPnt @DetchPnt

228 Factor 255 CreditRating

@IssuCtry @StPrv @Lcl @Redeem @StrkPx @StrkCcy

231 ContractMultiplier 1435 ContractMultiplierUnit

1439 FlowScheduleType 969 MinPriceIncrement

1146 MinPriceIncrementAmount 996 UnitOfMeasure 1147 UnitOfMeasureQty

@MinPxIncrAmt @UOM @UOMQty

1192 PriceUnitOfMeasureQty 1193 SettlMethod 1194 ExerciseStyle 1482 OptPayoutType

@PxUOMQty @SettlMeth @ExerStyle @OptPayoutTyp

@PxQteMeth @ValMeth @ListMeth @CapPx @FlrPx @PutCall

1244 FlexibleIndicator 1242 FlexProductEligibilityIndicator

997 TimeUnit 223 CouponRate 207 SecurityExchange

@TmUnit @CpnRt @Exch

971 NTPositionLimit 106 Issuer 348 EncodedIssuerLen

@NTPosLmt @Issr @EncIssrLen

349 EncodedIssuer 107 SecurityDesc 350 EncodedSecurityDescLen

@EncIssr @Desc @EncSecDescLen

351 EncodedSecurityDesc SecurityXML 1184 SecurityXMLLen 1185 SecurityXML 1186 SecurityXMLSchema

@Schema @Pool @CSetMo @CPPgm

end Component 691 Pool 667 ContractSettlMonth 875 CPProgram

@EventTyp @Dt @Tm @Px @Txt

873 DatedDate 874 InterestAccrualDate Component (-) InstrumentParties

@Dated @IntAcrl Pty

Repeating Group 1018 NoInstrumentParties 1019 InstrumentPartyID 1050 InstrumentPartyIDSource

1051 InstrumentPartyRole Component (-) InstrumentPtysSubGrp Repeating Group 1052 NoInstrumentPartySubIDs

1490 ComplexEventCondition Component (-) ComplexEventDates Repeating Group 1491 NoComplexEventDates

1493 ComplexEventEndDate Component (-) ComplexEventTimes Repeating Group 1494 NoComplexEventTimes

InstrmtExt @DlvryForm @PctAtRisk Attrb

Undly @Sym @Sfx @ID @Src UndAID @AltID @AltIDSrc

883 UnderlyingEndPrice 884 UnderlyingStartValue

@FxRate @FxRateCalc @CapValu Pty @ID @Src @R Sub @ID @Typ

58 Text 354 EncodedTextLen

355 EncodedText Component (-) Stipulations Repeating Group 232 NoStipulations

999 LegUnitOfMeasure 1224 LegUnitOfMeasureQty

222 BenchmarkCurvePoint 662 BenchmarkPrice

761 BenchmarkSecurityIDSource end Component Component (-) YieldData

235 YieldType 236 Yield

696 YieldRedemptionDate 697 YieldRedemptionPrice 698 YieldRedemptionPriceType end Component

@RedDt @RedPx @RedPxTyp

Repeating Group 1310 NoMarketSegments

Component (-) Component (-)

1300 MarketSegmentID SecurityTradingRules BaseTradingRules

@MktSegID SecTrdgRules BaseTrdgRules TickRules @StartTickPxRng

Component (-) TickRules Repeating Group 1205 NoTickRules 1206 StartTickPriceRange

1150 TradingReferencePrice end Component

827 ExpirationCycle 562 MinTradeVol 1140 MaxTradeVol 1143 MaxPriceVariation

@ExpirationCycle @MinTrdVol @MaxTrdVol @MxPxVar

1144 ImpliedMarketIndicator 1245 TradingCurrency 561 RoundLot

@ImpldMktInd @TrdCcy @RndLot

625 TradingSessionSubID TradingSessionRules

1022 MDFeedType 264 MarketDepth

@EndStrkPxRng @StrkIncr @StrkExrStyle MatRules

1222 MaturityRuleID 1303 MaturityMonthYearFormat

1302 MaturityMonthYearIncrementUnits 1241 StartMaturityMonthYear 1226 EndMaturityMonthYear

@MMYIncrUnits @StartMMY @EndMMY

Not required Need to add