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The Security Definition Request (tag 35-MsgType=c) message creates a User Defined Spread (UDS) instrument.

The → symbol indicates a repeating tag.

If a repeating group in this message is not structured correctly, a Business Level Reject (tag 35=j) message will be sent with tag 58=Malformed Message <First Tag description (tag number) > Not First Tag of Repeating Group.

Tag

Name

FIX Type

Enumeration

Req

Description

Standard Header - Client System to CME Globex




35MsgTypeString(2)c=Security Definition RequestYHeader tag identifying message type.

1028

ManualOrderIndicator

Boolean(1)

Y=manual
N=automated

Y*

'N' indicates the message was generated by automated trading logic.

Note: iLink messages containing a value other than 'Y' or 'N' in this tag will be rejected.

This tag is subject to Rule 536.B.2 Electronic Audit Trail Requirements for Electronic Order Routing/Front-End Systems.

5149MemoString(75)
N

Allows users to submit a free-form Note tag with a customer order and persists from order entry through clearing

Note: if tag 5149-Memo value on inbound messages exceeds the max length of 75 bytes, iLink will return a truncated 75 bytes from the right on the response.

320SecurityReqIDString(32)
Y

Unique identifier for this Security Definition Request message. Uniqueness of this value is incumbent upon the client system.

321

SecurityReqType

String(10)

1=Request security
identity for the
specifications provided

Y

Value must = 1.

762

SecuritySubType

String(8)

COMBO
COVERED

C

This tag is case sensitive; values must be entered in upper case.

If this tag is not present, 'COVERED' is assumed.

Value must be sent as 'COMBO' for UDS for futures.

555

NoLegs

Int(2)


Y*

Up to 40 legs (i.e., repeating groups) supported for UDS for futures and options. Up to 40 legs, with a maximum of 39 futures, for UDS Covereds.

Options Repeating Group






→600

LegSymbol

String(6)


Y*

This tag contains the Group Code of the requested Security Definition.

  • Must be present when tag 555-NoLegs is present.
  • Must be the first tag in the repeating group.
  • Must correspond to instrument defined in tag 620-LegSecurityDesc.

→602

LegSecurityID

String(12)


N

Unique identifier of the instrument defined in tag 620-LegSecurityDesc.
If invalid or not present, this tag will be corrected in the Security Definition (tag 35-MsgType=d) response.

→603

LegSecurityIDSource

Char(1)

8=Exchange symbol

N

Identifies class or source of the tag 48-SecurityID value.

→608

LegCFICode

String(6)


N

See iLink - CFICode Table of Values in the iLink Security Definition message.
If invalid or not present, this tag will be corrected in the Security Definition.

→620

LegSecurityDesc

String(20)


Y*

Symbol (i.e. GEZ0). This is the primary tag used to identify the contract.

This tag must be populated with the corresponding tag 55-Symbol value from the market data Security Definition (tag 35-MsgType=d) message

Message will be rejected if instrument is:

  • Invalid
  • Not active
  • Expired
  • Closed or paused
  • Nonexistent

→623

LegRatioQty

Int(2)


C

Specifies ratio for the instrument defined in this repeating group.

Required for any UDS combo.
Optional for COVERED Future leg. 

Note: The maximum value for this tag is 20 for UDS legs.

→624

LegSide

Char(1)

1=Buy

2=Sell

Y*

For Covereds, must be present for option repeating group and must = 1 (buy).

For Combos, the first instrument in the repeating group must = 1 (buy)*.

*All UDS contracts are defined from the buy side perspective (i.e. buying the spread) with the exceptions of the exchange-recognized options spread types:

Jelly Roll (JR)

Iron Butterfly (IB)

Iron Condor (IC)

in which the first instrument in the repeating group=2 (sell).

Future Repeating Group for Covereds Only






→600

LegSymbol

String(6)


Y

Group Code of the Futures contract.

  • Must be present when tag 555-NoLegs is present.
  • Must be first tag in repeating group.
  • Must correspond to instrument defined in tag 620-LegSecurityDesc.*


*For a CBOT Treasury Covered UDS, any combination of the following futures may be used:

  • 5-Year T-Note futures (tag 6937-Asset=ZF)
  • 10-Year T-Note futures (6937=ZN)
  • Ultra 10-Year U.S. Treasury Note futures (6937=TN)
  • U.S. Treasury Bond futures (6937=ZB)
  • Ultra U.S. Treasury Bond futures (6937=UB)

→602

LegSecurityID

String(12)


N

Unique identifier of the instrument defined in tag 620-LegSecurityDesc.
If invalid or not present, this tag will be corrected in the Security Definition response.

→603

LegSecurityIDSource

Char(1)

8=Exchange symbol

N

Identifies class or source of the tag 48-SecurityID value.

→608

LegCFICode

String(6)


N

See iLink - CFICode Table of Values in the Security Definition message.
If invalid or not present, this tag will be corrected in the Security Definition.

→620

LegSecurityDesc

String(20)


Y*

Symbol of the future contract. This is the primary tag used to identify the contract. 

This tag must be populated with the corresponding tag 55-Symbol value from the market data Security Definition message.

Message will be rejected if instrument is:

  • Invalid
  • Not active
  • Expired
  • Closed or paused
  • Nonexistent

→624

LegSide

Char(1)

1=Buy
2=Sell

Y*

Indicates side for future leg.

→566

LegPrice

Price(15)


Y*

Price of covering futures contract. Send only for a Covered options UDS.

  • If this tag contains more than 15 characters (including decimal and/or sign), the Security Definition Request message will be rejected.
  • If this tag is present for an options repeating group, the message will be rejected. See explanation for tag 44-Price.

Note: Must not be sent for UDS for futures.

→1017

LegOptionDelta

Float(6.2)

Covered outright:
+0.01 = +1.00

Covered
spread:
+0.01 = +40.00

Y*

Delta used to calculate the quantity of futures used to cover the option or options spread.

See UDS - Covered Options Instruments  for additional information.

Six-byte field that can accommodate two decimal places.

  • For covered option outright instrument, must be between +0.01 and +1.00.
  • For a covered options spread, must be between +0.01 and +40.00.
    If this tag is present for an options repeating group, the message will be rejected.
Standard Message Trailer





End of message.

Y: Required by FIX protocol, Y*: Required by CME Globex (not by FIX protocol), N: Not Required, C: Conditionally