Application level mesages (Pre-trade)
Security definition request
The server will only process a security definition request with a SecurityRequestType of 3 (Request List of Securities). The server will respond with a Security Definition message. Other types of Security Definition Request are rejected by the server by setting the Security Response Type to 5 on the returned message.
Standard Header
Y
MsgType = c (lowercase)
320
SecurityReqID
Y
Unique identifier for this request
321
SecurityRequestType
Y
Ignored, use 3
55
Symbol
N
Instrument name
48
SecurityID
N
Instrument ID
22
IDSource
N
Not supported
167
InstrumentGroup
N
Instrument group name
Standard Trailer
Y
Most of the fields are unsupported due to the fact that on the TraderEvolution FIX Trading Server, use of this message is limited to requesting a list of all available securities. It is not possible to use this message to request that a particular security be traded on the TraderEvolution servers.
Security definiton
The Security Definition is sent by the server on client logon or in response to a Security Definition Request to list the available securities on the gateway. This does not list all securities defined on the TraderEvolution servers – only the securities that your logon has received permission to access. If a Security Definition Request is being rejected (e.g. not type 3) then the returned message will contain no securities.
Standard Header
Y
MsgType = d (lowercase)
320
SecurityReqID
Y
As supplied in Request.
322
SecurityResponseID
Y
A time-based unique identifier.
323
SecurityResponseType
Y
4 (returning a list), 5 (rejecting a request), 6 (could not match selection)
55
Symbol
Y
Instrument name
48
TradableInstrumentID
Y
Tradable instrument ID
107
SecurityDesc
N
Instrument description
167
InstrumentGroup
N
Instrument group name
200
MaturityMonthYear
N
Not supported.
205
MaturityDay
N
Not supported.
201
PutOrCall
N
Not supported.
202
StrikePrice
N
Not supported.
15
Currency
Y
Instrument primary currency
58
Text
Y
Instrument description
454
NoSecurityAltID
N
Number of repeating groups for available routes, with two parameters: SecurityAltID (455) - letter that defines route (q - info, t - trade q+t - both), SecurityAltIDSource (456) - ruote name.
7020
CrossInstrumentType
N
Cross type for converting instrument currency into system currency: 0-simple (without cross instrument), 1-cross type price, 3 - cross type reverse price.
7021
CrossInstrumentId
N
Cross instrument ID for account
7022
CurrencyMinChange
N
Accuracy of instrument
16461
LotSize
N
Lot size
16470
LotSizeOption
N
Reserved for options
16552
ExchTickSize
N
Tick size
16554
ExchPointValue
N
Point (pips) size
16556
InstrumentId
N
Instrument ID
16557
InstrumentGroupID
N
Instrument group ID
460
InstrumentType
Y
Type (FOREX = 1, EQUITIES = 2, FUTURES = 3, OPTIONS = 4, EQUITIES_CFD =5, FORWARD = 6, FUTURES_CFD = 7, INDICES = 8, CRYPTO CURRENCY = 10, SPREADBET = 11, GENERAL = 0)
336
TradingSessionID
Y
TraderEvolution session ID
Standard Trailer
Y
Market data request
The Market Data Request is submitted by the client application in order to request price data from the server. Both snapshots and incremental refreshes are supported. Market depth is supported to 20 levels although for most exchanges only 10 levels will be provided. Some exchanges limit this to 5 levels.
The server will respond to a Market Data Request with a Market Data Incremental Refresh message as requested, or a Market Data Reject message.
Standard Header
Y
MsgType = V
262
MDReqID
Y
Unique ID, or ID of disable request
263
SubscriptionRequestType
Y
1 – subscribe, 2 – unsubscribe
264
Market Depth
Y
1 – Level I, 0 – Full order book. For full market depth, server does not send MDEntryPositionNo, but only MDEntryID
265
MDUpdateType
N
Not supported. Snapshot/Full and Market Data Incremental Refresh
266
AggregatedBook
N
Ignored
267
NoMDEntryTypes
Y
Number of MDEntryType fields requested
269
MDEntryType
Y
If not set, then will be subscribed to bids, offers, and trades. Supported values: 0-BID, 1-OFFER, 2-TRADE
146
NoRelatedSym
Y
Number of securities requested
48
SecurityID
N
Tradable instrument ID. If set, instrument search will be performed by SecurityID instead of Symbol (55) field
55
Symbol
Y
Instrument name
167
InstrumentGroup
N
Instrument group name
200
MaturityMonthYear
N
Format YYYYMM, for Derivatives only
205
MaturityDay
N
Used for Options
201
PutOrCall
N
Used for Options
202
StrikePrice
N
Used for Options
207
SecurityExchange
Y
Route name
100
ExDestination
N
Defines how the instrument will be identified on the server side: <empty> or 100 – instrument from message; 101 – identified by SecurityID(48) + ExDestination(100)
Standard Trailer
Y
Market data incremental refresh
A Market Data Incremental Refresh is returned by the server when the Market Data Request has requested an incremental refresh. Multiple market data entries can be notified in the same message.
Standard Header
Y
MsgType = X
100
ExDestination
N
Route ID in the system. Will be transmitted if request contains SecurityIDSource(22) = 101
262
MDReqID
Y
Request this is responding to
268
NoMDEntries
Y
Number of entries following.
279
MDUpdateAction
Y
0 – (new), 1 – (change), 2 – (delete)
269
MDEntryType
Y
Type of new entries. Valid values: 0 – Bid, 1 – Offer, 2 – Trade, 3 – Index value, 4 – Opening price, 5 – Closing price, 6 – Settlement price, 7 – High price, 8 – Low price, 9 – VWAP price, A – Imbalance, B – Trade volume, C – Open interest. Based on the entry type, its price will be taken from the 270 field (MDEntryPx).
278
MDEntryID
Y
Identifies the market depth entry (MMID). Unique ID in market depth cap.
280
MDEntryRefID
N
Not supported.
55
Symbol
Y
Instrument name
48
TradableInstrumentID
Y
Tradable instrument ID
460
Product
N
Type
200
MaturityMonthYear
N
Format YYYYMM – only for derivatives.
205
MaturityDay
N
Used for Options
201
PutOrCall
N
Used for Options
202
StrikePrice
N
Used for Options
207
SecurityExchange
Y
Route name
270
MDEntryPx
N
Price for this entry
271
MDEntrySize
N
Volume for this price
272
MDEntryDate
N
Date price received
273
MDEntryTime
N
Time price received
275
MDMkt
Y
Source of quote
290
MDEntryPositionNo
N
Not supported. Position for this entry in depth
Standard Trailer
Y
Market data snapshot/Full refresh
A Market Data Snapshot/Full Refresh is returned by the server when the Market Data Request has requested a Snapshot/Full refresh.
Standard Header
Y
MsgType = W
100
ExDestination
N
Route ID in the system. Will be transmitted if request contains SecurityIDSource(22) = 101
262
MDReqID
Y
Request for which the respond is made
201
PutOrCall
N
Indicates whether an Option is for put or call. Valid values: 0 – Put, 1 – Call
200
MaturityMonthYear
N
Format YYYYMM – only for derivatives
205
MaturityDay
N
Use only for derivatives. Values: 1-31
55
Symbol
Y
Instrument name
48
SecurityID
Y
Tradable instrument ID
207
SecurityExchange
Y
Route name
460
Product
Y
Product type
268
NoMDEntries
Y
Number of entries following
269
MDEntryType
Y
Type of new entries. Valid values: 0 – Bid, 1 – Offer, 2 – Trade, 3 – Index value, 4 – Opening price, 5 – Closing price, 6 – Settlement price, 7 – Trading session high price, 8 – Trading session low price, 9 – Trading session VWAP price, A – Imbalance, B – Trade volume, C – Open interest. Based on the entry type, its price will be taken from the 270 field (MDEntryPx).
278
MDEntryID
N
Identifies the market depth entry (MMID). Unique ID in market depth cap.
275
MDMkt
N
Source of quote (route name)
270
MDEntryPx
Y
Price for this entry
271
MDEntrySize
Y
Volume for this price
299
QuoteEntryID
Y
Entry level ID
290
MDEntryPositionNo
Y
Position for this entry in depth
Standard Trailer
Y
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