The Security Definition Request message creates a User Defined Spread (UDS) instrument.
The → symbol indicates a repeating tag.
Bolded red text indicates support for EBS Market.
35=c
Tag | Name | Binary Type | Binary Length | Req | Enumeration | Description |
|---|---|---|---|---|---|---|
| 1505 | PartyDetailsListReqID | uInt64 | 8 | Y | The unique identifier of the Party Details Definition Request Acknowledgment associated with this message; this is the value submitted on the inbound message. For pre-registered messages:
For on-demand messages:
| |
| 320 | SecurityReqID | uInt64 | 8 | Y | Unique ID of a Security Definition Request. | |
| 1028 | ManualOrderIndicator | ManualOrdIndReq | 1 | Y |
| Indicates if the message was initially received manually. '0' indicates the message was generated by automated trading logic. iLink messages containing a value other than '0' or '1' 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. https://www.cmegroup.com/rulebook/files/cme-group-Rule-536-B-Tag1028.pdf |
| 9726 | SeqNum | uInt32 | 4 | Y | Sequence number assigned to this message. The max value is 999999999 which is 1 short of 1 billion. | |
| 5392 | SenderID | String20Req | 20 | Y | For futures and options markets: represents Operator ID. For EBS and fixed income markets: represents the Entering Trader. For EBS this value must be 3 characters. This value represents the individual or team submitting the message and is subject to registration requirements and character limits as required by Rule 576 and the Advisory below: https://www.cmegroup.com/rulebook/files/cme-group-Rule-576.pdf In FirmSoft and Global Command Center queries for order status and cancellations, this value must be exact. | |
| 321 | SecurityReqType | SecurityReqType | 0 | Y |
| Type of Security Definition Request. Constant value. |
| 5297 | SendingTimeEpoch | uInt64 | 8 | Y | Time when the message is sent. 64-bit integer expressing the number of nanoseconds since midnight January 1, 1970. | |
| 762 | SecuritySubType | String8Req | 8 | Y |
| Identifies specific type of UDS; valid values are COMBO, COVERED, and REPO. |
| 9537 | Location | String5Req | 5 | Y | ISO identifier of the physical location of the individual or team head trader identified by the tag 5392 (SenderID) in the message. The first two bytes as per ISO 3166-1, identify the country (e.g., JP = Japan, CN = China). The next three bytes indicate a comma-delimited state or province code (e.g., CA = California, QC = Quebec). For valid values, refer to ftp.cmegroup.com/fix/coo. Market Regulation requires only the submission of the two first characters of tag 9537-Location for all countries with the exception of Canada. For Canada, the 5 bytes including the province code must be submitted. Note: this field is optional for EBS Market and eFIX Matching Service instruments. | |
| 916 | StartDate | LocalMktDate | 2 | N | Start date of a financing deal, i.e. the date the buyer pays the seller cash and takes control of the collateral. | |
| 917 | EndDate | LocalMktDate | 2 | N | End date of a financing deal, i.e. the date the seller reimburses the buyer and takes back control of the collateral. | |
| 37715 | MaxNoOfSubstitutions | uInt8NULL | 1 | N | Max number of substitutions allowed. The value of 0 indicates that substitutions are not allowed. Applicable for US Repos. | |
| 5677 | SourceRepoID | Int32NULL | 4 | N | Represents the source Repo instrument on which the new Repo should be modeled. | |
| 6651 | BrokenDateTermType | uInt8NULL | 1 | N | Currently not supported. Defines how user defined tailor made repo contract is to be broken down into different broken dates. | |
| 555 | NoLegs | groupSize | 3 | Y |
| UDS cannot exceed supported max number of legs.
Will be set to 0 for REPO
|
| →603 | LegSecurityIDSource | LegSecIDSource | 0 | Y |
| Identifies class or source of the tag 602-LegSecurityID. Constant value. |
| →566 | LegPrice | PRICENULL9 | 8 | N | Price of the futures contract as part of UDS Covered | |
| →602 | LegSecurityID | Int32 | 4 | Y | ISIN code, this is the primary tag used to identify the contract and it must be populated with the corresponding tag 48-SecurityID value from the market data 35=d Security Definition message. | |
| →1017 | LegOptionDelta | Decimal32NULL | 4 | N | Delta used to calculate the quantity of futures used to cover the option or option strategy.
The exponent cannot be greater than 0 and it can either be null or between -5 and 0. | |
| →624 | LegSide | SideReq | 1 | Y |
| For Covereds, must be present for option repeating group and must = 1 (buy). For Covereds, must be present for future repeating group as well. 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). |
| →623 | LegRatioQty | uInt8NULL | 1 | N |
| Specifies ratio for the instrument defined in this repeating group. Required for any UDS options leg. |
| 39026 | NoBrokenDates | groupSize | 3 | Y | Currently not supported. Used to indicate the number of custom bespoke broken dates for user defined tailor made repo | |
| →6748 | BrokenDateStart | LocalMktDate | 2 | Y | Start date of a financing deal, i.e. the date the buyer pays the seller cash and takes control of the collateral | |
| →6741 | BrokenDateEnd | LocalMktDate | 2 | Y | End date of a financing deal, i.e. the date the seller reimburses the buyer and takes back control of the collateral |