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The streamlined SBE messages in this section are sent for Equity Indices. The messages, tags, and tag values sent vary, depending on the type of index being sent.

Tags not listed in the message specification may appear in the template.

News (tag 35-MsgType=B) Message

The News (35=B) message is not sent for Bloomberg Indices.
TagFIX NameFIX TypeValid ValuesDescription

148

Headline

String (50)Index Update

The headline of a News message.

42OrigTimeUTCTimeStamp (21)

Original time of message

Format: YYYYMMDDHHMMSSsss (i.e. 20071215145535148)].

UTC Timestamps are sent in number of nanoseconds since Unix epoch synced to a master clock to microsecond accuracy.

146

NoRelatedSym

NumInGroup (1)


Specifies the number of repeating symbols.

55

Symbol

String (50)

Index Name.

33

NoLinesofText

NumInGroup (1)

Identifies number of lines of text body.

58

Text

String (250)

Free form text string.

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Security Definition Request (tag 35-MsgType=c) Message

TagFIX NameFIX TypeValid ValuesDescription

1180

ApplID

String (50)


The channel ID from the XML Configuration File for which this request is made.

320SecurityReqIDString (32)
Unique ID of a Security Definition Request.

321

SecurityRequestType

String (1)

8=All Securities 

Type of Security Definition Request.

1301

MarketID

Exchange

SPI = Standard Poors Indices
DJI = Dow Jones Indices
BBGI = Bloomberg Indices

Identifies the Market.

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Security Definition (tag 35-MsgType=d) Message

Security Definition messages are initially sent at approximately 11:30 pm on Saturday evenings (Chicago Daylight Savings Time) and approximately 10:30 pm on Saturday evenings (Chicago Standard Time).

TagTag NameFIX TypeValid ValuesDescription

55

Symbol

String (50)


Instrument/Index/Swap Name.

460

Product

Int (2)

7 = Index

Identifies the type of product.

207

SecurityExchange

Exchange (4)

SPI = Standard Poors Indices
DJI = Dow Jones Indices
BBGI = Bloomberg Indices

Market used to help identify a security/Index.

15

Currency

Currency (3)


Identifies currency used for price.

864

NoEvents

NumInGroup (1)


Number of repeating EventType entries.

Repeating Group

→865

EventType

Int (3)

5 = Activation
6 = Inactivation
120 = Modification

Code to represent the type of event.

→866

EventDate

LocalMktDate (8)


Date of event.
Data format (YYYYMMDD)

870

NoInstrAttrib

NumInGroup (2)


Number of repeating group InstrAttribType entries.

Repeating Group

→871

InstrAttribType

Int (3)

See table.

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


→872

InstrAttribValue

String (500)

See table.

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

Attribute value appropriate to the tag 871-InstrAttribType field.

980

SecurityUpdateAction

Char (1)

M = Modify
D = Delete

Included in the message on the incremental feed when a mid-week modification/deletion occurs.

1180

ApplID

String (50)
The channel ID as defined in the XML Configuration File.

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Tag 871-InstAttribType and Tag 872-InstAttribValue Table of Values

Tag 871-InstAttribType and tag 872-InstAttribValue function together where tag 871 indicates the type of value that the following tag 872 will contain. The following Index attributes may be included in the Security Definition Message:

Tag 871-InstrAttribType Valid ValuesDescription/Tag 872 Valid Values
27 = Display Price PrecisionNumber of Decimals in Displayed Price

117 = Index Long Name

Name of the Index

118 = Index Key

Unique ID

119 = Fee Code

When the preceding tag 871=119 (Fee Code), the following values are valid for tag 872:

XL = S&P 100 and S&P 500
XF = All other Fee Liable Indices
XW = All Fee Waived Indices
XD = Dow Jones Fee Liable Indices

XBW = Bloomberg Fee Waived Indices 

122 = Frequency

Publishing frequency (in seconds)

123 = Start Publish Time

Time that the messages will begin to be published. 

UTC Format: HHMMSSsss

UTC Timestamps are sent in number of nanoseconds since Unix epoch synced to a master clock to microsecond accuracy.

124 = End Publish Time

Time that the messages will no longer be published.

UTC Format: HHMMSSsss

UTC Timestamps are sent in number of nanoseconds since Unix epoch synced to a master clock to microsecond accuracy.

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Streamlined Market Data Incremental Refresh (tag 35-MsgType X)

This section describes the streamlined Market Data Incremental Refresh Message (35=X) for Equity Indices products.

The → symbol indicates a repeating group tag.

TagFIX NameFIX TypeValid ValuesDescription

60

TransactTime

UTCTimeStamp


Trade date in number of nanoseconds since Unix epoch.

UTC Timestamps are sent in number of nanoseconds since Unix epoch synced to a master clock to microsecond accuracy.

5799

MatchEventIndicator

String

ex. 10000001 – end of trade summaries, end of event

Bitmap field of eight Boolean type indicators reflecting the end of updates for a given event:

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

Bit 1: Last electronic volume message

Bit 2: Last customer order quote message

Bit 3: Last statistics message

Bit 4: Last implied quote message

Bit 5: Message is sent during  recovery process

Bit 6: Reserved for future use

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

268

NoMDEntries

NumInGroup (5)


Number of FIX Market Data Incremental Refresh Data Blocks in the Market Data Incremental Refresh message.

1022 MDFeedType String

XL = S&P 100 and S&P 500
XF = All other Fees Liable indexes
XW = All fee Waived
XD = Dow Jones Fee Liable Indices 
XB = Bloomberg Fee Waived Indices 

Market data on fee-liable indices type.

50001

 BatchTotalMessagesInt
Total number of messages contained within batch, which is defined by match event indicator (5799).
Repeating Gruop

→279

MDUpdateAction

Char (1)

0 = New

Indicates the type of Market Data update action

→269

MDEntryType

Char (1)

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
e = Trade Volume

Indicates the type of market data entry.

Opening Price - This value is the
first 'normal' index tick at the start
of the new trading day. A normal
tick is a tick generated during the
regular trading hours of the
underlying constituents.

Closing Price - The index close
value computed using the official
close prices of the underlying
constituents.

Note: The following tags are NOT sent for Bloomberg Indices:

  • 0 = Bid
  • 1 = Offer
  • 6 = Settlement Price

→83

RptSeq

Int (3)


Sequence number per Instrument update or index.

→55

Symbol

String (50)


Instrument Name

→286

OpenCloseSettleFlag

Int (3)

0 = Daily Open / Close /Settlement entry
4 = Entry from previous business day
102 = Settlement Index value
103 = Special Opening Quote

Indicates whether price is a settlement index or if it is a special
opening index quote.

Special Opening Quote – The Index Opening Settlement is based
on the SOQ (Special Opening Quotation) calculation to facilitate
convergence of cash and future markets. Many Index futures are
settled against the Index Opening Settlement. This value is calculated
as per normal index calculation procedures except that open prices
of the underlying constituents are used for this calculation. The Index
Opening Settlement value should not be confused with the first tick of
the index and will likely greatly differ from that value. The final
Index Opening Settlement value is typically published after all the
underlying constituents of the index have opened for trading.

→451

NetChgPrevDay

PriceOffset (20)


Net change from previous day's closing price.

Note: This tag is NOT sent for Bloomberg Indices.

→6119

NetPctChg

Percentage (20)


Index percentage change with respect to previous close.

Note: This tag is NOT sent for Bloomberg Indices.

→7017

PercentTrading

Percentage (20)


Percent trading of the underlying index constituents.

Note: This tag is NOT sent for Bloomberg Indices.

→9988

MDEntryCode

MultipleValueString (2)

1 = Indicative
2 = Pre-Market
3 = Preliminary Close
4 = Session Close
5 = Close

List of conditions describing a market data entry. See the table below for additional description of valid values for this tag.

If tag 9988 is not present, the market data entry occurred during the normal trading condition.

→270

MDEntryPx

Price (20)


Price of the Market Data Entry

271

MDEntrySize

Qty


Traded quantity.

→272

MDEntryDate

UTCDateOnly (8)


Date of the Market Data Entry. Value is the number of days since UNIX epoch.

→273

MDEntryTime

UTCTimeOnly (12)


Timestamp of Market Data Entry. Value is the number of milliseconds since GMT midnight.

1145

EventTime

UTCTimestamp


Date and Time of event expressed in UTC DateTime. UTC Timestamps are sent in number of nanoseconds since Unix epoch synced to a master clock to microsecond accuracy.

9633ReferenceIDString
Reserved for future use.
→235YieldTypeString (20)MATURITY = Yield to Maturity

Type of yield.

Note: This tag is NOT sent for Bloomberg Indices.

→236YieldPrice (20)

Yield of the index's underlying instruments.

Applicable for Fixed Income indices only.

Note: This tag is NOT sent for Bloomberg Indices.

→453

NoPartyIDs

NumInGroup (1)


Number of party block entries

Repeating Group

→→448

PartyID

String (3)


Party Identifier/Code

→→452

PartyRole

Int (2)

21 = Clearing Organization

Identifies the type or role of the PartyID (448) specified

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Streamlined FIX Tag 9988-MDEntryCode Valid Values Description

Value

Description

1=Indicative

Index computed using alternate prices of the underlying constituents to provide an indicative index level.

2=Pre-Market

Pre-market index data for certain key headline indices will be generated typically one hour prior to the actual start of trading day.
 
The pre-market index data will contain:

  • Index values flat-lined with previous day's index close levels.
  • Index Bid & Ask values computed using real-time pre-market quotes of the underlying constituents.The pre-market index ticks should be considered as an initialization phase for the index before the start of the trading day. The pre-market index ticks serve the purpose of a system health check prior to the actual open of the index. All market data vendors are encouraged to distribute the pre-market index ticks with an appropriate pre-market indicator. The index values produced during pre-market do not contribute to the Daily Open, High and Low. Additionally, the Index Bid and Ask values computed using pre-market quotes provides an early indication of the index spread before the start of trading day.

3=Preliminary Close

The index tick computed using real-time prices just before the official index close is published.

4=Session Close

The index level computed using the mid-day close prices of the underlying constituents.

5=Close

The index close value computed using the official close prices of the underlying constituents

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Sample (35=X) Message and Data Blocks

This section provides FIX syntax for each type of Equity Index statistic transmitted over streamlined SBE.

Index Prices

FIX Syntax for Index Price - Market Data Incremental Refresh (tag 35-MsgType = X)

  • Tag 279-MDEntryAction=0 (New)
  • Tag 269-MDEntryType=3 (index value)
  • Tag 83-RptSeq
  • Tag 55-Symbol
  • Tag 270-MDEntryPx
  • Tag 272-MDEntryDate
  • Tag 273-MDEntryTime
  • Tag 1020-TradeVolume
  • Tag 9988-MDEntryCode
  • Tag 6119-NetPctChg
  • Tag 451-NetChgPrevDay

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Bid & Ask Prices

FIX Syntax for Bid or Ask Price - Market Data Incremental Refresh (tag 35-MsgType = X)

  • Tag 279-MDEntryAction=0 (New)
  • Tag 269-MDEntryType=0 (Bid) or 1 (Ask)
  • Tag 83-RptSeq
  • Tag 55-Symbol
  • Tag 270-MDEntryPx
  • Tag 272-MDEntryDate
  • Tag 273-MDEntryTime

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High & Low Prices

FIX Syntax for High or Low Price - Market Data Incremental Refresh (tag 35-MsgType = X)

  • Tag 279-MDEntryAction=0 (New)
  • Tag 269-MDEntryType=7(High) or 8(Low)
  • Tag 83-RptSeq
  • Tag 55-Symbol
  • Tag 270-MDEntryPx
  • Tag 272-MDEntryDate
  • Tag 273-MDEntryTime

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Opening Price

FIX Syntax for Opening Price - Market Data Incremental Refresh (tag 35-MsgType = X)

  • Tag 279-MDEntryAction=0 (New)
  • Tag 269-MDEntryType=4 (Opening)
  • Tag 83-RptSeq
  • Tag 55-Symbol
  • Tag 270-MDEntryPx
  • Tag 272-MDEntryDate
  • Tag 273-MDEntryTime

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Closing Price

FIX syntax for Closing Price - Market Data Incremental Refresh (tag 35-MsgType = X)

  • Tag 279-MDEntryAction=0 (New)
  • Tag 269-MDEntryType=5 (Closing)
  • Tag 83-RptSeq
  • Tag 55-Symbol
  • Tag 270-MDEntryPx
  • Tag 272-MDEntryDate
  • Tag 286-OpenCloseSettleFlag=0 (Daily Open/Close/Settlement entry) or 4 (Entry from previous business day)

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Settlement Index Prices

FIX Syntax for Settlement Index Price - Market Data Incremental Refresh (tag 35-MsgType = X).

  • Tag 279-MDEntryAction=0 (New)
  • Tag 269-MDEntryType=6 (Settlement price)
  • Tag 83-RptSeq
  • Tag 55-Symbol
  • Tag 270-MDEntryPx
  • Tag 272-MDEntryDate
  • Tag 273-MDEntryTime
  • Tag 286-OpenCloseSettle=102 (Settlement index value)

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Special Opening Quotes

FIX Syntax for Special Opening Quotes - Market Data Incremental Refresh (tag 35-MsgType = X).

  • Tag 279-MDEntryAction=0 (New)
  • Tag 269-MDEntryType=6 (Settlement Price)
  • Tag 83-RptSeq
  • Tag 55-Symbol
  • Tag 270-MDEntryPx
  • Tag 272-MDEntryDate
  • Tag 273-MDEntryTime
  • Tag 286-OpenCloseSettlFlag=103 (Special opening quote)
  • Tag 7017-PercentTrading

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