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The following figure shows the spread/leg message relationships the client system can use to obtain the display name for an options spread instrument.

Info
titleImportant

This process can be applied to all UDS instruments — recognized, unrecognized, recursive, combo, covered, and futures.

Market Data Security Definition Decomposition and Display

The following diagram shows how to map the market data Security Definition for a spread instrument to that of its component legs to identify the characteristics of each outright instrument comprising the spread. 

Gliffy Diagram
nameSecDefinition

The following steps provide an example of how to build a UDS display name using the figure.

  1. Obtain the market data Security Definition (tag 35-MsgType=d) for the UDS instrument and verify the number of legs using tag 555-NoLegs. From this Security Definition (tag 35-MsgType=d) message use tag 602-LegSecurityID to lookup the Security Definition (tag 35-msgType=d) messages for all the legs.
  2. From the market data Security Definition (tag 35-MsgType=d) of the first leg, obtain the product symbol using tag 6937-Asset and determine the display value.


  3.  From the market data Security Definition (tag 35-MsgType=d) message of the UDS instrument, obtain the spread type from tag 762-SecuritySubType (XT=Xmas Tree) and determine the display value.
  4. From the market data Security Definition (tag 35-MsgType=d) messages for each leg, obtain the value from tag 200-MaturityMonthYear (20100901) and determine the display value(s).
  5. From the market data Security Definition (tag 35-MsgType=d) message for each leg, obtain the values from tag 461-CFICode (OCAFPS where the second byte, C indicates a Call in this example) and determine the display value(s).
  6. From the market data Security Definition (tag 35-MsgType=d) message for the UDS instrument, obtain the values for tag 623-LegRatioQty and tag 624-LegSide (Buy=1 and Sell=2) for all the legs and determine the display value(s). In this example the + equals Buy and the - equals Sell.
  7. From the market data Security Definition (tag 35-MsgType=d) messages for each leg, obtain the value for tag 202-StrikePrice and determine the display value(s). 

Extracting these values provides an example display name, GE XT SEP10 CALL +1 9950 -1 9962.5 -1 9975 shown in the previous figure.