This Market Data Security Definition message is sent for EBS FX products. This message maps to the MDInstrumentDefinitionFX template in the SBE MDP Core schema. 

TagFIX NameTypeSemantic TypeValid Values for EBSDescription
5799MatchEventIndicatorMatchEventIndicatorMultipleCharValueexample: 10000000 – Security Definition message is the last message of the event

example:00000000 – Security Definition is not the last message of the even

Bitmap field of eight Boolean type indicators reflecting the end of updates for a given CME Globex Event:

Bit 0: (least significant bit) Last Trade Summary message for a given event

Bit 1: Last electronic volume message for a given event

Bit 2: Last customer order quote message for a given event

Bit 3: Last statistic message for a given event

Bit 4: Last implied quote message for a given event Note: EBS Market does not support implied functionality.

Bit 5: Message resent during recovery

Bit 6: Reserved for future use

Bit 7: (most significant bit) Last message for a given event

911TotNumReportsuInt32NULLint
Total number of instruments in the Replay loop. Used on Replay Feed only
980SecurityUpdateActionSecurityUpdateActionchar

A=Add

D=Delete

M=Modify

Included in the message on the Incremental feed when a mid-week deletion or modification (i.e. extension) occurs.

Add represents Security Definition messages that are:

  • Newly added during the current week
  • Disseminated during the Sunday Startup period
  • Resent by the system during the week

Modify represents modifications to a Security Definition

Delete represents deletions of a Security Definition

779LastUpdateTimeuInt64UTCTimestamp
Timestamp of when the instrument was last added, modified or deleted
1682MDSecurityTradingStatusSecurityTradingStatusint

2=Trading Halt

4=Close            

17=Ready to trade (start of session)

18=Not available for trading

21=Pre Open  

Identifies the current state of the instrument. The data is available in the Instrument Replay feed only
1180ApplIDInt16int
The channel ID as defined in the XML Configuration file
1300MarketSegmentIDuInt8int
Identifies the market segment, populated for all CME Globex instruments
462UnderlyingProductuInt8NULLint
Product complex
207SecurityExchangeSecurityExchangeExchange

EBSC = EBS and eFix Markets

NEXS = EBS Market for ON SEF/ON-MTF NDFs

XEBS = EBS Market for OFF SEF/ON-MTF NDFs

Exchange or market used to identify a security
1151SecurityGroupSecurityGroupString
Security Group Code
6937AssetAssetString
The underlying asset code also known as Product Code
55SymbolSymbolString
Instrument Name or Symbol. Previously used as Group Code
48SecurityIDInt32int
Unique instrument ID
22SecurityIDSourceSecurityIDSourcechar8=Exchange symbolIdentifies class or source of the security ID (Tag 48) value
167SecurityTypeSecurityTypeString
Security Type
461CFICodeCFICodeString
ISO standard instrument categorization code
15CurrencyCurrencyCurrency
Identifies currency used for price e.g. for EUR/USD spot this field will contain EUR
120SettlCurrencyCurrencyCurrency

Currency used for settlement, which may be different from Local currency specified in Tag 1524 PriceQuoteCurrency.

Example - Local currency is different from SettlCurrency for NDF (always settle in USD).

1524PriceQuoteCurrencyCurrencyCurrency

Local (counter) currency.

For EUR/USD spot this field will contain USD.

1142MatchAlgorithmCHARchar

F=First In, First Out (FIFO)

V=Institutional Prioritization

P=Size Priority

Matching algorithm
562MinTradeVoluInt32Qty
The minimum trading volume for a security
1140MaxTradeVoluInt32Qty
The maximum trading volume for a security
969MinPriceIncrementPRICENULL9Price
Minimum constant tick for the instrument, sent only if instrument is non-VTT (Variable Tick table) eligible
9787DisplayFactorDecimal9float
Contains the multiplier to convert the CME Globex display price to the conventional price
2349PricePrecisionuInt8int
Specifies price decimal precision for EBS instrument
996UnitOfMeasureUnitOfMeasureString
Unit of measure for the products' original contract size
1147UnitOfMeasureQtyDecimal9NULLQty
This field contains the contract size for each instrument. Used in combination with tag 996-UnitofMeasure
1149HighLimitPricePRICENULL9Price
Allowable high limit price for the trading day
1148LowLimitPricePRICENULL9Price
Allowable low limit price for the trading day
1143MaxPriceVariationPRICENULL9Price
Differential value for price banding
9779UserDefinedInstrumentUserDefinedInstrumentcharY=User defined instrument
N=Not a user defined instrument
User-defined instruments flag
2714FinancialInstrumentFullNameLongNameString
Long name of the instrument
37725FXCurrencySymbolString7String
Base/Local. Denotes the currency pair in CCY1/CCY2 convention
63SettlTypeString3String
For SPOTs will contain 0. For Fixed date NDFs will contain the value 'B'. For the standard NDFs tenors expressed using Dx, Mx, Wx, and Yx values, where 'x' does not denote business days, but calendar days
37730InterveningDaysuInt16int
For SPOT, number of business days between trade date and value (settlement) date. For NDF, number of business days between NDF valuation (fixing) and settlement
2796FXBenchmarkRateFixString20String
Fixing Rate Description
1446RateSourceString12String
Fixing Rate Source
37726FixRateLocalTimeString8String
Fixing Rate Local Time, denoted in HH:MM:SS format
37727FixRateLocalTimeZoneString20String
Fixing Rate Local Time Zone corresponding to Fixing Local Time.
37731MinQuoteLifeuInt32int
Minimum Quote Life in number of microseconds

37728

MaxPriceDiscretionOffsetPRICE9Price
Max allowed discretionary offset from Limit order price. When the value in this field = 0, discretionary price cannot be submitted for the instrument
37513InstrumentGUIDuInt64NULLint
External unique instrument ID
200MaturityMonthYearMaturityMonthYearMonthYear
Fixed Date NDF Maturity
37734SettlementLocaleString8String
Settlement Locale. Optionally used to differentiate settlement location
37739AltMinPriceIncrementPRICENULL9Price
New sub-tick, which is only available for order entry when certain conditions are met, tick value that corresponds to the Alt Min Quote Life" offset="309" sinceVersion="13
37738AltMinQuoteLifeuInt32NULLint
MQL duration in number of microseconds applied to orders at AltMinPriceIncrement
37742AltPriceIncrementConstraintPRICENULL9Price
Minimum price offset better than the best Standard Tick order for an order to be allowed into the market
37743MaxBidAskConstraintPRICENULL9Price
Maximum bid/ask spread for which sub-tick orders will be accepted (Sub tick orders will be rejected if bid/ask spread is greater than this value)
Repeating Group 1
864NoEventsNuminGroup

Number of repeating entries.

865EventTypeEventTypeint5=Activation
7=Last eligible trade date
Code to represent the type of event
1145EventTimeuInt64UTCTimestamp
Date and time of instrument Activation or Last Trade Datetime event sent as number of nanoseconds since Unix epoch
Repeating Group 2
1141NoMDFeedTypesNuminGroup

Number of repeating entries.
1022MDFeedTypeMDFeedTypeString
Describes a class of service for a given data feed. GBX=Real Book.
264MarketDepthInt8int
Identifies the depth of book
Repeating Group 3
870NoInstAttribNuminGroup

Number of repeating entries.
871InstAttribTypeInstAttribTypeint24=EligibilityInstrument Eligibility Attributes
872InstAttribValueInstAttribValueMultipleCharValue

Tag 871-InstAttribType and tag 872-InstAttribValue function together where tag 871 indicates the type of value that the following tag 872 will contain.

Bitmap field of 32 Boolean type indicators:

0 (least significant bit): Electronic Match Eligible

1: Order Cross Eligible

2: Block Trade Eligible

3: EFP Eligible

4: EBF Eligible

5: EFS Eligible

6: EFR Eligible

7: OTC Eligible

8: iLink Mass Quoting Eligible

9: Negative Strike Eligible

10: Negative Price Eligible

11: Is Fractional (indicates product has fractional display price)

13: RFQ Cross Eligible

14: Zero Price Eligible

15: Decaying Product Eligibility

16: Variable Quantity Product Eligibility

17: DailyProduct Eligibility

18: GT Orders Eligibility (Previously Tag 827)

19: Implied Matching Eligibility (Previously tag 1144) Note: EBS Market does not support implied functionality.

21: Variable Cabinet Eligible

22: Inverted Book

23: All or None Instrument

24: SEFRegulated (1=ON-SEF, 0=OFF-SEF)

25: MTFRegulated (1=ON-MTF, 0=OFF-MTF)

26: eFixInstrument (1=eFix Instrument)

28-31 – Reserved for future use

Repeating Group 4
1234NoLotTypeRulesNuminGroup

Number of repeating entries.
1093LotTypeInt8int

2=minimum order entry quantity for an instrument
5=order quantity increment

6=minimum order size quantity that improves order priority for execution

This tag is required to interpret the value in tag 1231-MinLotSize
1231MinLotSizeuInt64Qty

If tag 1093-LotType=2, this value is minimum quantity accepted for order entry.

For FX contracts, if tag 1093-LotType=2, this value is a Regular Amount used as default order quantity on the Workstation screen.

If tag 1093-LotType=5, the 1231-MinLotSize is order quantity increment.  For example, if 1093-LotType=2 & 1231-MinLotSize orders may be entered in increments of 2.  Therefore, order sizes of 1, 3, 5, etc can be entered.

If tag 1093-LotType=6, the 1231-MinLotSize is the minimum order size quantity that improves order priority for execution

Repeating Group 5
386NoTradingSessionsNuminGroup

Number of scheduled Trading Dates
75TradeDateLocalMktDate

Trade Date
64SettlDateLocalMktDate

Settle (Value) Date corresponding to Trade Date
541MaturityDateLocalMktDate

For Spot instruments will not contain the value. For NDFs, the valuation (fixing) date of the NDF. For Fixed Date NDFs Value Date and Maturity Date remain constant for all Trade Dates
455SecurityAltIDString12

ISIN value as provided by ANNA, Association of National Numbering Agencies. This field is populated for MTF-Regulated NDFs and is unique for each Settle Date
456SecurityAltIDSourceSecurityAltIDSourceISIN

Identifies class or source of the SecurityAltID (455) value