xsl.FIX.5.0SP2_EP208_en_phrases.xml Maven / Gradle / Ivy
Account
Accrual
Accrued
Acknowledgement
Action
Adjust
Adjustment
Advertisement
Affected
Algorithm
Allocation
AllowableOneSidedness
Amount
Application
Assignment
Attachment
Attribute
Base
Behalf
Benchmark
Booking
Broker
Brokers
Business
Calculation
Cancel
Capacity
Capture
Cash
Category
Client
Close
Code
Collateral
Commission
Common
Company
Complex
Condition
Confirmation
Confirmation
Context
Contra
Control
Corporate
Country
Coupon
Cross
Cumulative
Currency
Curve
Data
Database
Date
Definition
Delete
Deliver
Derivative
Description
Destination
Detail
Determination
Device
Discount
Discretion
Discretionary
Don't Know
Duplicate
Effective
Encoded
Error
Event
Exchange
ExchangeForPhysical
Execute
Execution
Exercise
Factor
Feed
Foreign Currency
Forward
Force
Future
Good Till Date
Group
Handling
Identifier
Implicit
Increment
Index
Indication of Interest
Indicator
Information
Input
Inquiry
Institution
Instruction
Instrument
Interest
Issue
Issuer
Language
Level
Liquidity
Limit
List
Locate
Location
Lot
Maintenance
Margin
Market
Mass
Match
Maturity
Maximum
Message
Method
Minimum
Miscellaneous
Model
Modification
Money
Month
Multileg
Multiplier
Name
Nested
Network
News
Notification
Notional
Number
Number
Obligation
Offer
Operator
Option
Order
Original
Other
Outstanding
Parameter
Party
Payment
Percent
Percentage
Platform
Point
Position
Possible
Preliminary
Precision
Previous
Price
Priority
Priotization
Product
Publish
Qualifier
Quality
Quantity
Quote
Range
Rate
Rating
Reason
Redemption
Reference
Registration
Registry
Reject
Related
Relationship
Report
Reports
Repurchase
Request
Reset
Response
Restatement
Restrict
Restriction
Restrictions
Restructuring
Result
Risk
Roles
Round
Rules
Scope
Secondary
Security
Segment
Sender
Sending
Seniority
Sequence
Service
Session
Settlement
Short
Size
Source
Standing
Start
State
Status
Stipulation
Strategy
Stream
Strike
Subscription
Subsidiary
Suffix
Symbol
System
Target
Term
Tick
Ticket
Time
Timestamp
Total
Tracking
Trade
Trading
Transaction
Type
Underlying
Update
Value
Valuation
Venue
Volume
Warning
Year
Yield
Remaining
Exposure
Class
Requirement
Covered
Activity
Maker
Classification
Differential
Interval
Parent
Contingent
Simple
Initial
Display
When
Throttle
Count
Collect
Sum
Mnemonic
Negotiation
Custodial
Current
Cost
VersusPurchase
Datatype
Entitlement
Representation
Table
Affect
Auction
Disclosure
Lock
Release
Triggered
Variance
Origination
Originating
Barrier
Department
Offset
Haircut
Competitors
Duration
Movement
Move
Additional
Annex
Asset
Averaging
Backloaded
Block
Bond
Buyer
Center
Centers
Cleared
Collateralization
Constituent
Convention
Compounding
Continuation
Contract
Contractual
Credit
Day
Dates
Dealer
Deliverable
Direction
Discrepancy
Earliest
Eligibility
Entity
Equity
Exception
Expiration
Facility
Fallback
Final
First
Fixing
Float Rate Agreement
Frequency
Interest Rate Swap
Interpolation
Interim
Issued
Lag
Latest
Lien
Length
Loan
Mandatory
Matrix
Mixed
Multiple
Negative
Off
Page
Precedent
Present Value
Principal
Protection
Publication
Receive
Recovery
Regular
Regulatory
Relevant
Relative
Roll
Schedule
Seller
Series
Settled
Spread
Standard
Stub
Style
Subsequent
Supplement
Support
Swap
Terms
Termination
Text
Treatment
Unadjusted
Unit
Unit of Measure
Verification
Version
Voluntary
Weekly
Weight
Keyword
Media
Unencoded
Next
Automatic
Apportionment
Balance
Calendar
Changed
Commodity
Contingency
Contracts
Conversion
Correction
Deadline
Disruption
Distribution
Divisor
Documentation
Electing
End
Entry
Equipment
Exercise
Fixed
Flat
Flow
Heading
Historical
Hour
Importer
Limited
Manual
MasterAgreement
Materiality
Nomination
Notice
Notifying
Observation
Open
Period
Pipeline
Positive
Pricing
Provider
Provision
Reporting
Right
Split
Timezone
Title
Tolerance
Transfer
Underlier
Withdrawal
Written
Approved
Check
Expire
Test
Velocity
Process
Multiplied
Portfolio
Taxonomy
Utilization
Alternate
Execution
Physical
Dividend
Linkage
Aggressor
Statistics
Wire
Package
Ratio
Firm
Affiliated
Region
Calculated
Link
Annual
Clearing
Overnight
EP199
EP200
EP201
EP202
EP203
Basis
Shared
Dummy1
Dummy
Average
Basket
Boundary
Break
Cap
Change
Closing
Composition
Crossed
Default
Delta
Depository
Election
Equivalent
Estimated
Expiring
Extraordinary
Fee
Floating
Floor
Form
Formula
Image
Last
Material
Mode
Name
Pair
Payout
Point
Realized
Receipt
Reinvestment
Return
Rounding
Routing
Side
Skip
Special
Trigger
Vega
-
Account Reporting
The PartiesAction category of messages is a set of messages that are used to take an action on party information as a result of risk management decisions made during the trading day.
Session level messages to establish and control a FIX session
Pre trade messages including reference data, market data, quoting, news and email, indication of interest
Order handling and execution messages
Post trade messages including trade reporting, allocation, collateral, confirmation, position mantemenance, registration instruction, and settlement instructions
Infrastructure messages for application sequencing, business reject, network and user management
Sequence of digits without commas or decimals and optional sign character (ASCII characters "-" and "0" - "9" ). The sign character utilizes one byte (i.e. positive int is "99999" while negative int is "-99999"). Note that int values may contain leading zeros (e.g. "00023" = "23").
Sequence of digits without commas or decimals and optional sign character (ASCII characters "-" and "0" - "9" ). The sign character utilizes one byte (i.e. positive int is "99999" while negative int is "-99999"). Note that int values may contain leading zeros (e.g. "00023" = "23").
int field representing the length in bytes. Value must be positive.
int field representing the length in bytes. Value must be positive.
int field representing a field's tag number when using FIX "Tag=Value" syntax. Value must be positive and may not contain leading zeros.
int field representing a message sequence number. Value must be positive.
int field representing a message sequence number. Value must be positive.
int field representing the number of entries in a repeating group. Value must be positive.
int field representing a day during a particular monthy (values 1 to 31).
Sequence of digits with optional decimal point and sign character (ASCII characters "-", "0" - "9" and "."); the absence of the decimal point within the string will be interpreted as the float representation of an integer value. All float fields must accommodate up to fifteen significant digits. The number of decimal places used should be a factor of business/market needs and mutual agreement between counterparties. Note that float values may contain leading zeros (e.g. "00023.23" = "23.23") and may contain or omit trailing zeros after the decimal point (e.g. "23.0" = "23.0000" = "23" = "23."). Note that fields which are derived from float may contain negative values unless explicitly specified otherwise.
Sequence of digits with optional decimal point and sign character (ASCII characters "-", "0" - "9" and "."); the absence of the decimal point within the string will be interpreted as the float representation of an integer value. All float fields must accommodate up to fifteen significant digits. The number of decimal places used should be a factor of business/market needs and mutual agreement between counterparties. Note that float values may contain leading zeros (e.g. "00023.23" = "23.23") and may contain or omit trailing zeros after the decimal point (e.g. "23.0" = "23.0000" = "23" = "23."). Note that fields which are derived from float may contain negative values unless explicitly specified otherwise.
float field capable of storing either a whole number (no decimal places) of "shares" (securities denominated in whole units) or a decimal value containing decimal places for non-share quantity asset classes (securities denominated in fractional units).
float field capable of storing either a whole number (no decimal places) of "shares" (securities denominated in whole units) or a decimal value containing decimal places for non-share quantity asset classes (securities denominated in fractional units).
float field representing a price. Note the number of decimal places may vary. For certain asset classes prices may be negative values. For example, prices for options strategies can be negative under certain market conditions. Refer to Volume 7: FIX Usage by Product for asset classes that support negative price values.
float field representing a price. Note the number of decimal places may vary. For certain asset classes prices may be negative values. For example, prices for options strategies can be negative under certain market conditions. Refer to Volume 7: FIX Usage by Product for asset classes that support negative price values.
float field representing a price offset, which can be mathematically added to a "Price". Note the number of decimal places may vary and some fields such as LastForwardPoints may be negative.
float field representing a price offset, which can be mathematically added to a "Price". Note the number of decimal places may vary and some fields such as LastForwardPoints may be negative.
float field typically representing a Price times a Qty
float field typically representing a Price times a Qty
float field representing a percentage (e.g. 0.05 represents 5% and 0.9525 represents 95.25%). Note the number of decimal places may vary.
float field representing a percentage (e.g. 0.05 represents 5% and 0.9525 represents 95.25%). Note the number of decimal places may vary.
Single character value, can include any alphanumeric character or punctuation except the delimiter. All char fields are case sensitive (i.e. m != M).
Single character value, can include any alphanumeric character or punctuation except the delimiter. All char fields are case sensitive (i.e. m != M).
char field containing one of two values:
'Y' = True/Yes
'N' = False/No
char field containing one of two values:
'Y' = True/Yes
'N' = False/No
Alpha-numeric free format strings, can include any character or punctuation except the delimiter. All String fields are case sensitive (i.e. morstatt != Morstatt).
Alpha-numeric free format strings, can include any character or punctuation except the delimiter. All String fields are case sensitive (i.e. morstatt != Morstatt).
string field containing one or more space delimited single character values (e.g. |18=2 A F| ).
string field containing one or more space delimited single character values (e.g. |18=2 A F| ).
string field containing one or more space delimited multiple character values (e.g. |277=AV AN A| ).
string field containing one or more space delimited multiple character values (e.g. |277=AV AN A| ).
string field representing a country using ISO 3166 Country code (2 character) values (see Appendix 6-B).
string field representing a country using ISO 3166 Country code (2 character) values (see Appendix 6-B).
string field representing a currency type using ISO 4217 Currency code (3 character) values (see Appendix 6-A).
string field representing a currency type using ISO 4217 Currency code (3 character) values (see Appendix 6-A).
string field representing a market or exchange using ISO 10383 Market Identifier Code (MIC) values (see"Appendix 6-C).
string field representing a market or exchange using ISO 10383 Market Identifier Code (MIC) values (see"Appendix 6-C).
string field representing month of a year. An optional day of the month can be appended or an optional week code.
Valid formats:
YYYYMM
YYYYMMDD
YYYYMMWW
Valid values:
YYYY = 0000-9999; MM = 01-12; DD = 01-31; WW = w1, w2, w3, w4, w5.
string field representing month of a year. An optional day of the month can be appended or an optional week code.
Valid formats:
YYYYMM
YYYYMMDD
YYYYMMWW
Valid values:
YYYY = 0000-9999; MM = 01-12; DD = 01-31; WW = w1, w2, w3, w4, w5.
string field representing time/date combination represented in UTC (Universal Time Coordinated, also known as "GMT") in either YYYYMMDD-HH:MM:SS (whole seconds) or YYYYMMDD-HH:MM:SS.sss* format, colons, dash, and period required.
Valid values:
YYYY = 0000-9999, MM = 01-12, DD = 01-31, HH = 00-23, MM = 00-59, SS = 00-60 (60 only if UTC leap second), sss* fractions of seconds.
The fractions of seconds may be empty when no fractions of seconds are conveyed (in such a case the period is not conveyed), it may include 3 digits to convey milliseconds, 6 digits to convey microseconds, 9 digits to convey nanoseconds, 12 digits to convey picoseconds; Other number of digits may be used with bilateral agreement.
Leap Seconds: Note that UTC includes corrections for leap seconds, which are inserted to account for slowing of the rotation of the earth. Leap second insertion is declared by the International Earth Rotation Service (IERS) and has, since 1972, only occurred on the night of Dec. 31 or Jun 30. The IERS considers March 31 and September 30 as secondary dates for leap second insertion, but has never utilized these dates. During a leap second insertion, a UTCTimestamp field may read "19981231-23:59:59", "19981231-23:59:60", "19990101-00:00:00". (see http://tycho.usno.navy.mil/leapsec.html)
string field representing date and time combination Universal Time Coordinated (UTC), also known as Greenwich Mean Time (GMT).
Its value space is described as the combination of date and time of day in the Chapter 5.4 of ISO 8601.
Valid values are in the format YYYY-MM-DDTHH:MM:SS.s where YYYY = 0000-9999 year, MM = 01-12 month, DD = 01-31 day, HH = 00-23 hour, MM = 00-59 minute, SS = 00-60 second (60 only if UTC leap second), and optionally one or more digits representing a decimal fraction of a second.
The punctuation of "-", ":" and the string value of "T" to separate the date and time are required. The "." is only required when sub-second time precision is specified.
Leap Seconds: Note that UTC includes corrections for leap seconds, which are inserted to account for slowing of the rotation of the earth. Leap second insertion is declared by the International Earth Rotation Service (IERS) and has, since 1972, only occurred on the night of Dec. 31 or Jun 30. The IERS considers March 31 and September 30 as secondary dates for leap second insertion, but has never utilized these dates. During a leap second insertion, a UTCTimestamp field may read "1998-12-31T23:59:59", "1998-12-31T23:59:60", "1999-01-01T00:00:00". (see http://tycho.usno.navy.mil/leapsec.html)
string field representing time-only represented in UTC (Universal Time Coordinated, also known as "GMT") in either HH:MM:SS (whole seconds) or HH:MM:SS.sss* (milliseconds) format, colons, and period required. This special-purpose field is paired with UTCDateOnly to form a proper UTCTimestamp for bandwidth-sensitive messages.
Valid values:
HH = 00-23, MM = 00-59, SS = 00-60 (60 only if UTC leap second), sss* fractions of seconds. The fractions of seconds may be empty when no fractions of seconds are conveyed (in such a case the period is not conveyed), it may include 3 digits to convey milliseconds, 6 digits to convey microseconds, 9 digits to convey nanoseconds, 12 digits to convey picoseconds; Other number of digits may be used with bilateral agreement.
string field representing time-only in Universal Time Coordinated (UTC), also known as Greenwich Mean Time (GMT).
Its value space is described as the time of day in the Chapter 5.4 of ISO 8601.
Valid values are in the format HH:MM:SS.s where HH = 00-23 hours, MM = 00-59 minutes, SS = 00-60 seconds (60 only if UTC leap second), and optionally s (one or more digits representing a decimal fraction of a second).
The punctuation of ":" between hours minutes and seconds are required. The "." is only required when sub-second time precision is specified.
This special-purpose field is paired with UTCDateOnly to form a proper UTCTimestamp for bandwidth-sensitive messages.
string field representing Date represented in UTC (Universal Time Coordinated, also known as "GMT") in YYYYMMDD format. This special-purpose field is paired with UTCTimeOnly to form a proper UTCTimestamp for bandwidth-sensitive messages.
Valid values:
YYYY = 0000-9999, MM = 01-12, DD = 01-31.
string field representing Date represented in UTC (Universal Time Coordinated, also known as "GMT") in YYYY-MM-DD format specifed in ISO 8601. This special-purpose field is paired with UTCTimeOnly to form a proper UTCTimestamp for bandwidth-sensitive messages.
Valid values:
YYYY = 0000-9999, MM = 01-12, DD = 01-31.
string field representing a Date of Local Market (as opposed to UTC) in YYYYMMDD format. This is the "normal" date field used by the FIX Protocol.
Valid values:
YYYY = 0000-9999, MM = 01-12, DD = 01-31
string field representing a Date of Local Market (as opposed to UTC) in YYYY-MM-DD format. This is the "normal" date field used by the FIX Protocol.
Valid values:
YYYY = 0000-9999, MM = 01-12, DD = 01-31.
string field representing the time represented based on ISO 8601. This is the time with a UTC offset to allow identification of local time and timezone of that time.
Format is HH:MM[:SS][Z | [ + | - hh[:mm]]] where HH = 00-23 hours, MM = 00-59 minutes, SS = 00-59 seconds, hh = 01-12 offset hours, mm = 00-59 offset minutes.
string field representing the time based on ISO 8601. This is the time with a Universal Time Coordinated(UTC) offset to allow identification of local time and timezone.
Its value space is described as the combination of date and time of day in the Chapter 5.4 of ISO 8601.
Valid values are in the format HH:MM[:SS][Z | [ + | - hh[:mm]]] where HH = 00-23 hours, MM = 00-59 minutes, SS = 00-59 seconds, hh = 01-12 offset hours, mm = 00-59 offset minutes.
The punctuation of ":" are required. The "Z" or "+" or "-" are optional to denote a time zone offset.
string field representing a time/date combination representing local time with an offset to UTC to allow identification of local time and timezone offset of that time. The representation is based on ISO 8601.
Format is YYYYMMDD-HH:MM:SS.sss*[Z | [ + | - hh[:mm]]] where YYYY = 0000 to 9999, MM = 01-12, DD = 01-31 HH = 00-23 hours, MM = 00-59 minutes, SS = 00-59 seconds, hh = 01-12 offset hours, mm = 00-59 offset minutes, sss* fractions of seconds. The fractions of seconds may be empty when no fractions of seconds are conveyed (in such a case the period is not conveyed), it may include 3 digits to convey milliseconds, 6 digits to convey microseconds, 9 digits to convey nanoseconds, 12 digits to convey picoseconds; Other number of digits may be used with bilateral agreement
string field representing a date and time combination in local time with an optional offset to Univeral Time Coordinated (UTC). Its vaue space is described as the combination of date and time of day in the Chapter 5.4 of based on ISO 8601.
Valid values are in the fFormat is YYYY-MM-DD-THH:MM:SS.s*[Z | [ + | - hh[:mm]]] where YYYY = 0000 to 9999 year, MM = 01-12 month, DD = 01-31 day, HH = 00-23 hours, MM = 00-59 minutes, SS = 00-59 seconds, hh = 01-12 offset hours, mm = 00-59 offset minutes, and optionally sss (one or more digits representing a decimal fraction of a second), hh = 01-12 offset hours, mm = 00-59 offset minutes.
The punctuation of "-", ":" and the string value of "T" to separate the date and time are required. The "." is only required when sub-second time precision is specified. The "Z" or "+" or "-" are optional to denote an optional time zone offset.
string field containing raw data with no format or content restrictions. Data fields are always immediately preceded by a length field. The length field should specify the number of bytes of the value of the data field (up to but not including the terminating SOH).
Caution: the value of one of these fields may contain the delimiter (SOH) character. Note that the value specified for this field should be followed by the delimiter (SOH) character as all fields are terminated with an "SOH".
In FIXML, all data type fields are using base64Binary encoding.
Used to build on and provide some restrictions on what is allowed as valid values in fields that uses a base FIX data type and a pattern data type. The universe of allowable valid values for the field would then be the union of the base set of valid values and what is defined by the pattern data type. The pattern data type used by the field will retain its base FIX data type (e.g. String, int, char).
used to allow the expression of FX standard tenors in addition to the base valid enumerations defined for the field that uses this pattern data type. This pattern data type is defined as follows:
Dx = tenor expression for "days", e.g. "D5", where "x" is any integer > 0
Mx = tenor expression for "months", e.g. "M3", where "x" is any integer > 0
Wx = tenor expression for "weeks", e.g. "W13", where "x" is any integer > 0
Yx = tenor expression for "years", e.g. "Y1", where "x" is any integer > 0
used to allow the expression of FX standard tenors in addition to the base valid enumerations defined for the field that uses this pattern data type. This pattern data type is defined as follows:
Dx = tenor expression for "days", e.g. "D5", where "x" is any integer > 0
Mx = tenor expression for "months", e.g. "M3", where "x" is any integer > 0
Wx = tenor expression for "weeks", e.g. "W13", where "x" is any integer > 0
Yx = tenor expression for "years", e.g. "Y1", where "x" is any integer > 0
Values "100" and above are reserved for bilaterally agreed upon user defined enumerations.
Values "100" and above are reserved for bilaterally agreed upon user defined enumerations.
Values "1000" and above are reserved for bilaterally agreed upon user defined enumerations.
Values "1000" and above are reserved for bilaterally agreed upon user defined enumerations.
Values "4000" and above are reserved for bilaterally agreed upon user defined enumerations.
Values "4000" and above are reserved for bilaterally agreed upon user defined enumerations.
Contains an XML document raw data with no format or content restrictions. XMLData fields are always immediately preceded by a length field. The length field should specify the number of bytes of the value of the data field (up to but not including the terminating SOH).
Identifier for a national language - uses ISO 639-1 standard
string field representing the time local to a particular market center. Used where offset to UTC varies throughout the year and the defining market center is identified in a corresponding field.
Format is HH:MM:SS where HH = 00-23 hours, MM = 00-59 minutes, SS = 00-59 seconds. In general only the hour token is non-zero.
string field representing the time local to a particular market center. Used where offset to UTC varies throughout the year and the defining market center is identified in a corresponding field.
Format is HH:MM:SS where HH = 00-23 hours, MM = 00-59 minutes, SS = 00-59 seconds. In general only the hour token is non-zero.
The purpose of the XID datatype is to define a unique identifier that is global to a FIX message. An identifier defined using this datatype uniquely identifies its containing element, whatever its type and name is. The constraint added by this datatype is that the values of all the fields that have an ID datatype in a FIX message must be unique.
The purpose of the XID datatype is to define a unique identifier that is global to a FIX message. An identifier defined using this datatype uniquely identifies its containing element, whatever its type and name is. The constraint added by this datatype is that the values of all the fields that have an ID datatype in a FIX message must be unique.
The XIDREF datatype defines a reference to an identifier defined by the XID datatype.
The XIDREF datatype defines a reference to an identifier defined by the XID datatype.
Account mnemonic as agreed between buy and sell sides, e.g. broker and institution or investor/intermediary and fund manager.
Unique identifier of advertisement message.
(Prior to FIX 4.1 this field was of type int)
Reference identifier used with CANCEL and REPLACE transaction types.
(Prior to FIX 4.1 this field was of type int)
Broker's side of advertised trade
Buy
Sell
Trade
Cross
Identifies advertisement message transaction type
New
Cancel
Replace
Calculated average price of all fills on this order.
For Fixed Income trades AvgPx is always expressed as percent-of-par, regardless of the PriceType (423) of LastPx (31). I.e., AvgPx will contain an average of percent-of-par values (see LastParPx (669)) for issues traded in Yield, Spread or Discount.
Message sequence number of first message in range to be resent
Identifies beginning of new message and protocol version. ALWAYS FIRST FIELD IN MESSAGE. (Always unencrypted)
Valid values:
FIXT.1.1
Message length, in bytes, forward to the CheckSum field. ALWAYS SECOND FIELD IN MESSAGE. (Always unencrypted)
Three byte, simple checksum (see Volume 2: "Checksum Calculation" for description). ALWAYS LAST FIELD IN MESSAGE; i.e. serves, with the trailing <SOH>, as the end-of-message delimiter. Always defined as three characters. (Always unencrypted)
Unique identifier for Order as assigned by the buy-side (institution, broker, intermediary etc.) (identified by SenderCompID (49) or OnBehalfOfCompID (5) as appropriate). Uniqueness must be guaranteed within a single trading day. Firms, particularly those which electronically submit multi-day orders, trade globally or throughout market close periods, should ensure uniqueness across days, for example by embedding a date within the ClOrdID field.
Commission. Note if CommType (13) is percentage, Commission of 5% should be represented as .05.
Specifies the basis or unit used to calculate the total commission based on the rate.
Amount per unit
Implying shares, par, currency, physical unit etc. Use CommissionUnitOfMeasure(1238) to clarify for commodities.
Percent
Absolute
Total monetary amount.
Percentage waived, cash discount basis
For use with CIV buy orders.
Percentage waived, enhanced units basis
For use with CIV buy orders.
Points per bond or contract
Specify ContractMultiplier(231) in the Instrument component if the security is denominated in a size other than the market convention, e.g. 1000 par for bonds.
Amount per contract
Specify ContractMultiplier(231) in the Instrument component if the security is denominated in a size other than the market convention.
Basis points
The commission is expressed in basis points in reference to the gross price of the reference asset.
Total quantity (e.g. number of shares) filled.
(Prior to FIX 4.2 this field was of type int)
Identifies currency used for price. Absence of this field is interpreted as the default for the security. It is recommended that systems provide the currency value whenever possible. See "Appendix 6-A: Valid Currency Codes" for information on obtaining valid values.
Message sequence number of last message in range to be resent. If request is for a single message BeginSeqNo (7) = EndSeqNo. If request is for all messages subsequent to a particular message, EndSeqNo = "0" (representing infinity).
Unique identifier of execution message as assigned by sell-side (broker, exchange, ECN) (will be 0 (zero) for ExecType (150)=I (Order Status)).
Uniqueness must be guaranteed within a single trading day or the life of a multi-day order. Firms which accept multi-day orders should consider embedding a date within the ExecID field to assure uniqueness across days.
(Prior to FIX 4.1 this field was of type int).
Instructions for order handling on exchange trading floor. If more than one instruction is applicable to an order, this field can contain multiple instructions separated by space. *** SOME VALUES HAVE BEEN REPLACED - See "Replaced Features and Supported Approach" *** (see Volume : "Glossary" for value definitions)
Stay on offer side
Not held
Work
Go along
Over the day
Held
Participate don't initiate
Strict scale
Try to scale
Stay on bid side
No cross
Cross is forbidden.
OK to cross
Call first
Percent of volume
Indicates that the sender does not want to be all of the volume on the floor vs. a specific percentage.
Do not increase - DNI
Do not reduce - DNR
All or none - AON
Reinstate on system failure
Mutually exclusive with Q and l (lower case L).
Institutions only
Reinstate on trading halt
Mutually exclusive with K and m.
Cancel on trading halt
Mutually exclusive with J and m.
Last peg (last sale)
Mid-price peg (midprice of inside quote)
Non-negotiable
Opening peg
Market peg
Cancel on system failure
Mutually exclusive with H and l(lower case L).
Primary peg
Primary market - buy at bid, sell at offer.
Suspend
Fixed peg to local best bid or offer at time of order
Customer display instruction
Used in US Markets for: SEC Rule 11Ac1-1/4.
Netting (for Forex)
Peg to VWAP
Trade along
Try to stop
Cancel if not best
Trailing stop peg
Strict limit
No price improvement.
Ignore price validity checks
Peg to limit price
Work to target strategy
Intermarket sweep
External routing allowed
External routing not allowed
Imbalance only
Single execution requested for block trade
Best execution
Suspend on system failure
Mutually exclusive with H and Q.
Suspend on trading halt
Mutually exclusive with J and K.
Reinstate on connection loss
Mutually exclusive with o and p.
Cancel on connection loss
Mutually exclusive with n and p.
Suspend on connection loss
Mutually exclusive with n and o.
Release
Mutually exclusive with S and w.
Execute as delta neutral using volatility provided
Execute as duration neutral
Execute as FX neutral
Minimum guaranteed fill eligible
Bypass non-displayed liquidity
Lock
Mutually exclusive with q.
Ignore notional value checks
Reference identifier used with Trade, Trade Cancel and Trade Correct execution types.
(Prior to FIX 4.1 this field was of type int)
Instructions for order handling on Broker trading floor
Automated execution order, private, no Broker intervention
Automated execution order, public, Broker intervention OK
Manual order, best execution
Identifies class or source of the SecurityID(48) value.
CUSIP
SEDOL
QUIK
ISIN number
RIC code
ISO Currency Code
ISO Country Code
Exchange symbol
Consolidated Tape Association (CTA) Symbol (SIAC CTS/CQS line format)
Bloomberg Symbol
Wertpapier
Dutch
Valoren
Sicovam
Belgian
"Common" (Clearstream and Euroclear)
Clearing house / Clearing organization
ISDA/FpML product specification (XML in SecurityXML(1185))
Option Price Reporting Authority
ISDA/FpML product URL (URL in SecurityID(48))
Letter of credit
Marketplace-assigned Identifier
Markit RED entity CLIP
Markit RED pair CLIP
CFTC commodity code
ISDA Commodity Reference Price
Financial Instrument Global Identifier
An Object Management Group (OMG) standard. Also referred to as FIGI. Formerly known as "Bloomberg Open Symbology BBGID".
Legal entity identifier
Synthetic
Used to specify that the security identifier is synthetic for linking nested underliers when there is no market identifier for the collection.
Unique identifier of IOI message.
(Prior to FIX 4.1 this field was of type int)
Relative quality of indication
High
Low
Medium
Reference identifier used with CANCEL and REPLACE, transaction types.
(Prior to FIX 4.1 this field was of type int)
Quantity (e.g. number of shares) in numeric form or relative size.
Small
Medium
Large
Undisclosed Quantity
Identifies IOI message transaction type
New
Cancel
Replace
Broker capacity in order execution
Agent
Cross as agent
Cross as principal
Principal
Market of execution for last fill, or an indication of the market where an order was routed
Valid values:
See "Appendix 6-C"
Price of this (last) fill.
Quantity (e.g. shares) bought/sold on this (last) fill.
(Prior to FIX 4.2 this field was of type int)
Identifies number of lines of text body
Integer message sequence number.
Defines message type ALWAYS THIRD FIELD IN MESSAGE. (Always unencrypted)
Note: A "U" as the first character in the MsgType field (i.e. U, U2, etc) indicates that the message format is privately defined between the sender and receiver.
*** Note the use of lower case letters ***
Heartbeat
The Heartbeat monitors the status of the communication link and identifies when the last of a string of messages was not received.
OrderCancelReject
The order cancel reject message is issued by the broker upon receipt of a cancel request or cancel/replace request message which cannot be honored.
TradingSessionList
The Trading Session List message is sent as a response to a Trading Session List Request. The Trading Session List should contain the characteristics of the trading session and the current state of the trading session.
TradingSessionListRequest
The Trading Session List Request is used to request a list of trading sessions available in a market place and the state of those trading sessions. A successful request will result in a response from the counterparty of a Trading Session List (MsgType=BJ) message that contains a list of zero or more trading sessions.
SettlementObligationReport
The Settlement Obligation Report message provides a central counterparty, institution, or individual counterparty with a capacity for reporting the final details of a currency settlement obligation.
DerivativeSecurityListUpdateReport
The Derivative Security List Update Report message is used to send updates to an option family or the strikes that comprise an option family.
TradingSessionListUpdateReport
The Trading Session List Update Report is used by marketplaces to provide intra-day updates of trading sessions when there are changes to one or more trading sessions.
MarketDefinitionRequest
The Market Definition Request message is used to request for market structure information from the Respondent that receives this request.
MarketDefinition
The MarketDefinition(35=BU) message is used to respond to MarketDefinitionRequest(35=BT). In a subscription, it will be used to provide the initial snapshot of the information requested. Subsequent updates are provided by the MarketDefinitionUpdateReport(35=BV).
MarketDefinitionUpdateReport
In a subscription for market structure information, this message is used once the initial snapshot of the information has been sent using the MarketDefinition(35=BU) message.
ApplicationMessageRequest
This message is used to request a retransmission of a set of one or more messages generated by the application specified in RefApplID (1355).
ApplicationMessageRequestAck
This message is used to acknowledge an Application Message Request providing a status on the request (i.e. whether successful or not). This message does not provide the actual content of the messages to be resent.
Logon
The logon message authenticates a user establishing a connection to a remote system. The logon message must be the first message sent by the application requesting to initiate a FIX session.
ApplicationMessageReport
This message is used for three difference purposes: to reset the ApplSeqNum (1181) of a specified ApplID (1180). to indicate that the last message has been sent for a particular ApplID, or as a keep-alive mechanism for ApplIDs with infrequent message traffic.
OrderMassActionReport
The Order Mass Action Report is used to acknowledge an Order Mass Action Request. Note that each affected order that is suspended or released or canceled is acknowledged with a separate Execution Report for each order.
OrderMassActionRequest
The Order Mass Action Request message can be used to request the suspension or release of a group of orders that match the criteria specified within the request. This is equivalent to individual Order Cancel Replace Requests for each order with or without adding "S" to the ExecInst values. It can also be used for mass order cancellation.
UserNotification
The User Notification message is used to notify one or more users of an event or information from the sender of the message. This message is usually sent unsolicited from a marketplace (e.g. Exchange, ECN) to a market participant.
StreamAssignmentRequest
In certain markets where market data aggregators fan out to end clients the pricing streams provided by the price makers, the price maker may assign the clients to certain pricing streams that the price maker publishes via the aggregator. An example of this use is in the FX markets where clients may be assigned to different pricing streams based on volume bands and currency pairs.
StreamAssignmentReport
he StreamAssignmentReport message is in response to the StreamAssignmentRequest message. It provides information back to the aggregator as to which clients to assign to receive which price stream based on requested CCY pair. This message can be sent unsolicited to the Aggregator from the Price Maker.
StreamAssignmentReportACK
This message is used to respond to the Stream Assignment Report, to either accept or reject an unsolicited assingment.
PartyDetailsListRequest
The PartyDetailsListRequest is used to request party detail information.
PartyDetailsListReport
The PartyDetailsListReport message is used to disseminate party details between counterparties. PartyDetailsListReport messages may be sent in response to a PartyDetailsListRequest message or sent unsolicited.
MarginRequirementInquiry
The purpose of this message is to initiate a margin requirement inquiry for a margin account. The inquiry may be submitted at the detail level or the summary level. It can also be used to inquire margin excess/deficit or net position information. Margin excess/deficit will provide information about the surplus or shortfall compared to the previous trading day or a more recent margin calculation. An inquiry for net position information will trigger one or more PositionReport messages instead of one or more MarginRequirementReport messages.
If the inquiry is made at the detail level, an Instrument block must be provided with the desired level of detail. If the inquiry is made at the summary level, the Instrument block is not provided, implying a summary request is being made. For example, if the inquiring firm specifies the Security Type of “FUT” in the Instrument block, then a detail report will be generated containing the margin requirements for all futures positions for the inquiring account. Similarly, if the inquiry is made at the summary level, the report will contain the total margin requirement aggregated to the margin account level.
News
The news message is a general free format message between the broker and institution. The message contains flags to identify the news item's urgency and to allow sorting by subject company (symbol). The News message can be originated at either the broker or institution side, or exchanges and other marketplace venues.
MarginRequirementInquiryAck
Used to respond to a Margin Requirement Inquiry.
MarginRequirementReport
The Margin Requirement Report returns information about margin requirement either as on overview across all margin accounts or on a detailed level due to the inquiry making use of the optional Instrument component block. Application sequencing can be used to re-request a range of reports.
PartyDetailsListUpdateReport
The PartyDetailsListUpdateReport(35=CK) is used to disseminate updates to party detail information.
PartyRiskLimitsRequest
The PartyRiskLimitsRequest message is used to request for risk information for specific parties, specific party roles or specific instruments.
PartyRiskLimitsReport
The PartyRiskLimitsReport message is used to communicate party risk limits. The message can either be sent as a response to the PartyRiskLimitsRequest message or can be published unsolicited.
SecurityMassStatusRequest
SecurityMassStatus
AccountSummaryReport
The AccountSummaryReport is provided by the clearinghouse to its clearing members on a daily basis. It contains margin, settlement, collateral and pay/collect data for each clearing member level account type. Clearing member account types will be described through use of the Parties component and PtysSubGrp sub-component.
In certain usages, the clearing members can send the AccountSummaryReport message to the clearinghouse as needed. For example, clearing members can send this message to the clearinghouse to identify the value of collateral for each customer (to satisfy CFTC Legally Segregated Operationally Commingled (LSOC) regulatory reporting obligations).
Clearing organizations can also send the AccountSummaryReport message to regulators to meet regulatory reporting obligations. For example, clearing organizations can use this message to submit daily reports for each clearing member (“CM”) by house origin and by each customer origin for all futures, options, and swaps positions, and all securities positions held in a segregated account or pursuant to a cross margining agreement, to a regulator (e.g. to the CFTC to meet Part 39, Section 39.19 reporting obligations).
PartyRiskLimitsUpdateReport
The PartyRiskLimitsUpdateReport(35=CR) is used to convey incremental changes to risk limits. It is similar to the regular report but uses the PartyRiskLimitsUpdateGrp component instead of the PartyRiskLimitsGrp component to include an update action.
PartyRiskLimitsDefinitionRequest
PartyRiskLimitDefinitionRequest is used for defining new risk limits.
Email
The email message is similar to the format and purpose of the News message, however, it is intended for private use between two parties.
PartyRiskLimitsDefinitionRequestAck
PartyRiskLimitDefinitionRequestAck is used for accepting (with or without changes) or rejecting the definition of risk limits.
PartyEntitlementsRequest
The PartyEntitlementsRequest message is used to request for entitlement information for one or more party(-ies), specific party role(s), or specific instruments(s).
PartyEntitlementsReport
The PartyEntitlementsReport is used to report entitlements for one or more parties, party role(s), or specific instrument(s).
QuoteAck
The QuoteAck(35=CW) message is used to acknowledge a Quote(35=S) submittal or request to cancel an individual quote using the QuoteCancel(35=Z) message during a Quote/Negotiation dialog.
PartyDetailsDefinitionRequest
The PartyDetailsDefinitionRequest(35=CX) is used for defining new parties and modifying or deleting existing parties information, including the relationships between parties.
The recipient of the message responds with a PartyDetailsDefinitionRequestAck(35=CY) to indicate whether the request was accepted or rejected.
PartyDetailsDefinitionRequestAck
The PartyDetailsDefinitionRequestAck(35=CY) is used as a response to the PartyDetailsDefinitionRequest(35=CX) message. The request can be accepted (with or without changes) or rejected.
PartyEntitlementsUpdateReport
The PartyEntitlementsUpdateReport(35=CZ) is used to convey incremental changes to party entitlements. It is similar to the PartyEntitlementsReport(35=CV). This message uses the PartyEntitlementsUpdateGrp component which includes the ability to specify an update action using ListUpdateAction(1324).
PartyEntitlementsDefinitionRequest
The PartyEntitlementsDefinitionRequest(35=DA) is used for defining new entitlements, and modifying or deleting existing entitlements for the specified party(-ies).
PartyEntitlementsDefinitionRequestAck
The PartyEntitlementsDefinitionRequestAck(35=DB) is used as a response to the PartyEntitlemensDefinitionRequest(35=DA) to accept (with or without changes) or reject the definition of party entitlements.
TradeMatchReport
The TradeMatchReport(35=DC) message is used by exchanges and ECN’s to report matched trades to central counterparties (CCPs) as an atomic event. The message is used to express the one-to-one, one-to-many and many-to-many matches as well as implied matches in which more complex instruments can match with simpler instruments.
NewOrderSingle
The new order message type is used by institutions wishing to electronically submit securities and forex orders to a broker for execution.
The New Order message type may also be used by institutions or retail intermediaries wishing to electronically submit Collective Investment Vehicle (CIV) orders to a broker or fund manager for execution.
TradeMatchReportAck
The TradeMatchReportAck(35=DD) is used to respond to theTradeMatchReport(35=DC) message. It may be used to report on the status of the request (e.g. accepting the request or rejecting the request).
PartyRiskLimitsReportAck
PartyRiskLimitsReportAck is an optional message used as a response to the PartyRiskLimitReport(35=CM) or PartyRiskLimitUpdateReport(35=CR) messages to acknowledge or reject those messages.
PartyRiskLimitCheckRequest
PartyRiskLimitCheckRequest is used to request for approval of credit or risk limit amount intended to be used by a party in a transaction from another party that holds the information.
PartyRiskLimitCheckRequestAck
PartyRiskLimitCheckRequestAck is used to acknowledge a PartyRiskLimitCheckRequest(35=DF) message and to respond whether the limit check request was approved or not. When used to accept the PartyRiskLimitCheckRequest(35=DF) message the Respondent may also include the limit amount that was approved.
PartyActionRequest
The PartyActionRequest message is used suspend or halt the specified party from further trading activities at the Respondent. The Respondent must respond with a PartyActionReport(35=DI) message.
PartyActionReport
Used to respond to the PartyActionRequest(35=DH) message, indicating whether the request has been received, accepted or rejected. Can also be used in an unsolicited manner to report party actions, e.g. reinstatements after a manual intervention out of band.
MassOrder
The MassOrder(35=DJ) message can be used to add, modify or delete multiple unrelated orders with a single message. Apart from clearing related attributes, only the key order attributes for high performance trading are available.
MassOrderAck
The mass order acknowledgement message is used to acknowledge the receipt of and the status for a MassOrder(35=DJ) message.
PositionTransferInstruction
The PositionTransferInstruction(35=DL) is sent by clearing firms to CCPs to initiate position transfers, or to accept or decline position transfers.
PositionTransferInstructionAck
The PositionTransferInstructionAck(35=DM) is sent by CCPs to clearing firms to acknowledge position transfer instructions, and to report errors processing position transfer instructions.
NewOrderList
The NewOrderList Message can be used in one of two ways depending on which market conventions are being followed.
PositionTransferReport
The PositionTransferReport(35=DN) is sent by CCPs to clearing firms indicating of positions that are to be transferred to the clearing firm, or to report on status of the transfer to the clearing firms involved in the transfer process.
MarketDataStatisticsRequest
The MarketDataStatisticsRequest(35=DO) is used to request for statistical data. The simple form is to use an identifier (MDStatisticID(2475)) assigned by the market place which would denote a pre-defined statistical report. Alternatively, or also in addition, the request can define a number of parameters for the desired statistical information.
MarketDataStatisticsReport
The MarketDataStatisticsReport(35=DP) is used to provide unsolicited statistical information or in response to a specific request. Each report contains a set of statistics for a single entity which could be a market, a market segment, a security list or an instrument.
CollateralReportAck
CollateralReportAck(35=DQ) is used as a response to the CollateralReport(35=BA). It can be used to reject a CollateralReport(35=BA) when the content of the report is invalid based on the business rules of the receiver. The message may also be used to acknowledge receipt of a valid CollateralReport(35=BA).
MarketDataReport
The MarketDataReport(35=DR) message is used to provide delimiting references (e.g. start and end markers in a continuous broadcast) and details about the number of market data messages sent in a given distribution cycle.
OrderCancelRequest
The order cancel request message requests the cancellation of all of the remaining quantity of an existing order. Note that the Order Cancel/Replace Request should be used to partially cancel (reduce) an order).
OrderCancelReplaceRequest
The order cancel/replace request is used to change the parameters of an existing order.
Do not use this message to cancel the remaining quantity of an outstanding order, use the Order Cancel Request message for this purpose.
OrderStatusRequest
The order status request message is used by the institution to generate an order status message back from the broker.
AllocationInstruction
The Allocation Instruction message provides the ability to specify how an order or set of orders should be subdivided amongst one or more accounts. In versions of FIX prior to version 4.4, this same message was known as the Allocation message. Note in versions of FIX prior to version 4.4, the allocation message was also used to communicate fee and expense details from the Sellside to the Buyside. This role has now been removed from the Allocation Instruction and is now performed by the new (to version 4.4) Allocation Report and Confirmation messages.,The Allocation Report message should be used for the Sell-side Initiated Allocation role as defined in previous versions of the protocol.
TestRequest
The test request message forces a heartbeat from the opposing application. The test request message checks sequence numbers or verifies communication line status. The opposite application responds to the Test Request with a Heartbeat containing the TestReqID.
ListCancelRequest
The List Cancel Request message type is used by institutions wishing to cancel previously submitted lists either before or during execution.
ListExecute
The List Execute message type is used by institutions to instruct the broker to begin execution of a previously submitted list. This message may or may not be used, as it may be mirroring a phone conversation.
ListStatusRequest
The list status request message type is used by institutions to instruct the broker to generate status messages for a list.
ListStatus
The list status message is issued as the response to a List Status Request message sent in an unsolicited fashion by the sell-side. It indicates the current state of the orders within the list as they exist at the broker's site. This message may also be used to respond to the List Cancel Request.
AllocationInstructionAck
In versions of FIX prior to version 4.4, this message was known as the Allocation ACK message.
The Allocation Instruction Ack message is used to acknowledge the receipt of and provide status for an Allocation Instruction message.
DontKnowTrade
The Don’t Know Trade (DK) message notifies a trading partner that an electronically received execution has been rejected. This message can be thought of as an execution reject message.
QuoteRequest
In some markets it is the practice to request quotes from brokers prior to placement of an order. The quote request message is used for this purpose. This message is commonly referred to as an Request For Quote (RFQ)
Quote
The Quote message is used as the response to a Quote Request or a Quote Response message in both indicative, tradeable, and restricted tradeable quoting markets.
SettlementInstructions
The Settlement Instructions message provides the broker’s, the institution’s, or the intermediary’s instructions for trade settlement. This message has been designed so that it can be sent from the broker to the institution, from the institution to the broker, or from either to an independent "standing instructions" database or matching system or, for CIV, from an intermediary to a fund manager.
MarketDataRequest
Some systems allow the transmission of real-time quote, order, trade, trade volume, open interest, and/or other price information on a subscription basis. A MarketDataRequest(35=V) is a general request for market data on specific securities or forex quotes. The values in the fields provided within the request will serve as further filter criteria for the result set.
ResendRequest
The resend request is sent by the receiving application to initiate the retransmission of messages. This function is utilized if a sequence number gap is detected, if the receiving application lost a message, or as a function of the initialization process.
MarketDataSnapshotFullRefresh
The Market Data messages are used as the response to a Market Data Request message. In all cases, one Market Data message refers only to one Market Data Request. It can be used to transmit a 2-sided book of orders or list of quotes, a list of trades, index values, opening, closing, settlement, high, low, or VWAP prices, the trade volume or open interest for a security, or any combination of these.
MarketDataIncrementalRefresh
The Market Data message for incremental updates may contain any combination of new, changed, or deleted Market Data Entries, for any combination of instruments, with any combination of trades, imbalances, quotes, index values, open, close, settlement, high, low, and VWAP prices, trade volume and open interest so long as the maximum FIX message size is not exceeded. All of these types of Market Data Entries can be changed and deleted.
MarketDataRequestReject
The Market Data Request Reject is used when the broker cannot honor the Market Data Request, due to business or technical reasons. Brokers may choose to limit various parameters, such as the size of requests, whether just the top of book or the entire book may be displayed, and whether Full or Incremental updates must be used.
QuoteCancel
The Quote Cancel message is used by an originator of quotes to cancel quotes.
The Quote Cancel message supports cancellation of:
• All quotes
• Quotes for a specific symbol or security ID
• All quotes for a security type
• All quotes for an underlying
QuoteStatusRequest
The quote status request message is used for the following purposes in markets that employ tradeable or restricted tradeable quotes:
• For the issuer of a quote in a market to query the status of that quote (using the QuoteID to specify the target quote).
• To subscribe and unsubscribe for Quote Status Report messages for one or more securities.
MassQuoteAck
Mass Quote Acknowledgement is used as the application level response to a Mass Quote message.
SecurityDefinitionRequest
The SecurityDefinitionRequest(35=c) message is used for the following:
1. Request a specific security to be traded with the second party. The requested security can be defined as a multileg security made up of one or more instrument legs.
2. Request a set of individual securities for a single market segment.
3. Request all securities, independent of market segment.
SecurityDefinition
The SecurityDefinition(35=d) message is used for the following:
1. Accept the security defined in a SecurityDefinition(35=d) message.
2. Accept the security defined in a SecurityDefinition(35=d) message with changes to the definition and/or identity of the security.
3. Reject the security requested in a SecurityDefinition(35=d) message.
4. Respond to a request for securities within a specified market segment.
5. Convey comprehensive security definition for all market segments that the security participates in.
6. Convey the security's trading rules that differ from default rules for the market segment.
SecurityStatusRequest
The Security Status Request message provides for the ability to request the status of a security. One or more Security Status messages are returned as a result of a Security Status Request message.
SecurityStatus
The Security Status message provides for the ability to report changes in status to a security. The Security Status message contains fields to indicate trading status, corporate actions, financial status of the company. The Security Status message is used by one trading entity (for instance an exchange) to report changes in the state of a security.
Reject
The reject message should be issued when a message is received but cannot be properly processed due to a session-level rule violation. An example of when a reject may be appropriate would be the receipt of a message with invalid basic data which successfully passes de-encryption, CheckSum and BodyLength checks.
TradingSessionStatusRequest
The Trading Session Status Request is used to request information on the status of a market. With the move to multiple sessions occurring for a given trading party (morning and evening sessions for instance) there is a need to be able to provide information on what product is trading on what market.
TradingSessionStatus
The Trading Session Status provides information on the status of a market. For markets multiple trading sessions on multiple-markets occurring (morning and evening sessions for instance), this message is able to provide information on what products are trading on what market during what trading session.
MassQuote
The Mass Quote message can contain quotes for multiple securities to support applications that allow for the mass quoting of an option series. Two levels of repeating groups have been provided to minimize the amount of data required to submit a set of quotes for a class of options (e.g. all option series for IBM).
BusinessMessageReject
The Business Message Reject message can reject an application-level message which fulfills session-level rules and cannot be rejected via any other means. Note if the message fails a session-level rule (e.g. body length is incorrect), a session-level Reject message should be issued.
BidRequest
The BidRequest Message can be used in one of two ways depending on which market conventions are being followed.
In the "Non disclosed" convention (e.g. US/European model) the BidRequest message can be used to request a bid based on the sector, country, index and liquidity information contained within the message itself. In the "Non disclosed" convention the entry repeating group is used to define liquidity of the program. See " Program/Basket/List Trading" for an example.
In the "Disclosed" convention (e.g. Japanese model) the BidRequest message can be used to request bids based on the ListOrderDetail messages sent in advance of BidRequest message. In the "Disclosed" convention the list repeating group is used to define which ListOrderDetail messages a bid is being sort for and the directions of the required bids.
BidResponse
The Bid Response message can be used in one of two ways depending on which market conventions are being followed.
In the "Non disclosed" convention the Bid Response message can be used to supply a bid based on the sector, country, index and liquidity information contained within the corresponding bid request message. See "Program/Basket/List Trading" for an example.
In the "Disclosed" convention the Bid Response message can be used to supply bids based on the List Order Detail messages sent in advance of the corresponding Bid Request message.
ListStrikePrice
The strike price message is used to exchange strike price information for principal trades. It can also be used to exchange reference prices for agency trades.
XMLnonFIX
RegistrationInstructions
The Registration Instructions message type may be used by institutions or retail intermediaries wishing to electronically submit registration information to a broker or fund manager (for CIV) for an order or for an allocation.
RegistrationInstructionsResponse
The Registration Instructions Response message type may be used by broker or fund manager (for CIV) in response to a Registration Instructions message submitted by an institution or retail intermediary for an order or for an allocation.
SequenceReset
The sequence reset message is used by the sending application to reset the incoming sequence number on the opposing side.
OrderMassCancelRequest
The order mass cancel request message requests the cancellation of all of the remaining quantity of a group of orders matching criteria specified within the request. NOTE: This message can only be used to cancel order messages (reduce the full quantity).
OrderMassCancelReport
The Order Mass Cancel Report is used to acknowledge an Order Mass Cancel Request. Note that each affected order that is canceled is acknowledged with a separate Execution Report or Order Cancel Reject message.
NewOrderCross
Used to submit a cross order into a market. The cross order contains two order sides (a buy and a sell). The cross order is identified by its CrossID.
CrossOrderCancelReplaceRequest
Used to modify a cross order previously submitted using the New Order - Cross message. See Order Cancel Replace Request for details concerning message usage.
CrossOrderCancelRequest
Used to fully cancel the remaining open quantity of a cross order.
SecurityTypeRequest
The Security Type Request message is used to return a list of security types available from a counterparty or market.
SecurityTypes
The Security Type Request message is used to return a list of security types available from a counterparty or market.
SecurityListRequest
The Security List Request message is used to return a list of securities from the counterparty that match criteria provided on the request
SecurityList
The Security List message is used to return a list of securities that matches the criteria specified in a Security List Request.
DerivativeSecurityListRequest
The Derivative Security List Request message is used to return a list of securities from the counterparty that match criteria provided on the request
Logout
The logout message initiates or confirms the termination of a FIX session. Disconnection without the exchange of logout messages should be interpreted as an abnormal condition.
DerivativeSecurityList
The Derivative Security List message is used to return a list of securities that matches the criteria specified in a Derivative Security List Request.
NewOrderMultileg
The New Order - Multileg is provided to submit orders for securities that are made up of multiple securities, known as legs.
MultilegOrderCancelReplace
Used to modify a multileg order previously submitted using the New Order - Multileg message. See Order Cancel Replace Request for details concerning message usage.
TradeCaptureReportRequest
The Trade Capture Report Request can be used to:
• Request one or more trade capture reports based upon selection criteria provided on the trade capture report request
• Subscribe for trade capture reports based upon selection criteria provided on the trade capture report request.
TradeCaptureReport
The Trade Capture Report message can be:
- Used to report trades between counterparties.
- Used to report trades to a trade matching system.
- Sent unsolicited between counterparties.
- Sent as a reply to a Trade Capture Report Request.
- Used to report unmatched and matched trades.
OrderMassStatusRequest
The order mass status request message requests the status for orders matching criteria specified within the request.
QuoteRequestReject
The Quote Request Reject message is used to reject Quote Request messages for all quoting models.
RFQRequest
In tradeable and restricted tradeable quoting markets – Quote Requests are issued by counterparties interested in ascertaining the market for an instrument. Quote Requests are then distributed by the market to liquidity providers who make markets in the instrument. The RFQ Request is used by liquidity providers to indicate to the market for which instruments they are interested in receiving Quote Requests. It can be used to register interest in receiving quote requests for a single instrument or for multiple instruments
QuoteStatusReport
The quote status report message is used:
• as the response to a Quote Status Request message
• as a response to a Quote Cancel message
• as a response to a Quote Response message in a negotiation dialog (see Volume 7 – PRODUCT: FIXED INCOME and USER GROUP: EXCHANGES AND MARKETS)
QuoteResponse
The QuoteResponse(35=AJ) message is used for the following purposes:
1. Respond to an IOI(35=6) message
2. Respond to a Quote(35=S) message
3. Counter a Quote
4. End a negotiation dialog
5. Follow-up or end a QuoteRequest(35=R) dialog that did not receive a response.
IOI
Indication of interest messages are used to market merchandise which the broker is buying or selling in either a proprietary or agency capacity. The indications can be time bound with a specific expiration value. Indications are distributed with the understanding that other firms may react to the message first and that the merchandise may no longer be available due to prior trade.
Indication messages can be transmitted in various transaction types; NEW, CANCEL, and REPLACE. All message types other than NEW modify the state of the message identified in IOIRefID.
Confirmation
The Confirmation messages are used to provide individual trade level confirmations from the sell side to the buy side. In versions of FIX prior to version 4.4, this role was performed by the allocation message. Unlike the allocation message, the confirmation message operates at an allocation account (trade) level rather than block level, allowing for the affirmation or rejection of individual confirmations.
PositionMaintenanceRequest
The Position Maintenance Request message allows the position owner to submit requests to the holder of a position which will result in a specific action being taken which will affect the position. Generally, the holder of the position is a central counter party or clearing organization but can also be a party providing investment services.
PositionMaintenanceReport
The Position Maintenance Report message is sent by the holder of a positon in response to a Position Maintenance Request and is used to confirm that a request has been successfully processed or rejected.
RequestForPositions
The Request For Positions message is used by the owner of a position to request a Position Report from the holder of the position, usually the central counter party or clearing organization. The request can be made at several levels of granularity.
RequestForPositionsAck
The Request for Positions Ack message is returned by the holder of the position in response to a Request for Positions message. The purpose of the message is to acknowledge that a request has been received and is being processed.
PositionReport
The Position Report message is returned by the holder of a position in response to a Request for Position message. The purpose of the message is to report all aspects of a position and may be provided on a standing basis to report end of day positions to an owner.
TradeCaptureReportRequestAck
The Trade Capture Request Ack message is used to:
- Provide an acknowledgement to a Trade Capture Report Request in the case where the Trade Capture Report Request is used to specify a subscription or delivery of reports via an out-of-band ResponseTransmissionMethod.
- Provide an acknowledgement to a Trade Capture Report Request in the case when the return of the Trade Capture Reports matching that request will be delayed or delivered asynchronously. This is useful in distributed trading system environments.
- Indicate that no trades were found that matched the selection criteria specified on the Trade Capture Report Request or the Trade Capture Request was invalid for some business reason, such as request is not authorized, invalid or unknown instrument, party, trading session, etc.
TradeCaptureReportAck
The Trade Capture Report Ack message can be:
- Used to acknowledge trade capture reports received from a counterparty.
- Used to reject a trade capture report received from a counterparty.
AllocationReport
Sent from sell-side to buy-side, sell-side to 3rd-party or 3rd-party to buy-side, the Allocation Report (Claim) provides account breakdown of an order or set of orders plus any additional follow-up front-office information developed post-trade during the trade allocation, matching and calculation phase. In versions of FIX prior to version 4.4, this functionality was provided through the Allocation message. Depending on the needs of the market and the timing of "confirmed" status, the role of Allocation Report can be taken over in whole or in part by the Confirmation message.
AllocationReportAck
The Allocation Report Ack message is used to acknowledge the receipt of and provide status for an Allocation Report message.
Advertisement
Advertisement messages are used to announce completed transactions. The advertisement message can be transmitted in various transaction types; NEW, CANCEL and REPLACE. All message types other than NEW modify the state of a previously transmitted advertisement identified in AdvRefID.
ConfirmationAck
The Confirmation Ack (aka Affirmation) message is used to respond to a Confirmation message.
SettlementInstructionRequest
The Settlement Instruction Request message is used to request standing settlement instructions from another party.
AssignmentReport
Assignment Reports are sent from a clearing house to counterparties, such as a clearing firm as a result of the assignment process.
CollateralRequest
An initiator that requires collateral from a respondent sends a Collateral Request. The initiator can be either counterparty to a trade in a two party model or an intermediary such as an ATS or clearinghouse in a three party model. A Collateral Assignment is expected as a response to a request for collateral.
CollateralAssignment
Used to assign collateral to cover a trading position. This message can be sent unsolicited or in reply to a Collateral Request message.
CollateralResponse
Used to respond to a Collateral Assignment message.
CollateralReport
Used to report collateral status when responding to a Collateral Inquiry message.
CollateralInquiry
Used to inquire for collateral status.
NetworkCounterpartySystemStatusRequest
This message is send either immediately after logging on to inform a network (counterparty system) of the type of updates required or to at any other time in the FIX conversation to change the nature of the types of status updates required. It can also be used with a NetworkRequestType of Snapshot to request a one-off report of the status of a network (or counterparty) system. Finally this message can also be used to cancel a request to receive updates into the status of the counterparties on a network by sending a NetworkRequestStatusMessage with a NetworkRequestType of StopSubscribing.
NetworkCounterpartySystemStatusResponse
This message is sent in response to a Network (Counterparty System) Status Request Message.
ExecutionReport
The execution report message is used to:
1. confirm the receipt of an order
2. confirm changes to an existing order (i.e. accept cancel and replace requests)
3. relay order status information
4. relay fill information on working orders
5. relay fill information on tradeable or restricted tradeable quotes
6. reject orders
7. report post-trade fees calculations associated with a trade
UserRequest
This message is used to initiate a user action, logon, logout or password change. It can also be used to request a report on a user's status.
UserResponse
This message is used to respond to a user request message, it reports the status of the user after the completion of any action requested in the user request message.
CollateralInquiryAck
Used to respond to a Collateral Inquiry in the following situations:
• When the CollateralInquiry will result in an out of band response (such as a file transfer).
• When the inquiry is otherwise valid but no collateral is found to match the criteria specified on the Collateral Inquiry message.
• When the Collateral Inquiry is invalid based upon the business rules of the counterparty.
ConfirmationRequest
The Confirmation Request message is used to request a Confirmation message.
ContraryIntentionReport
The Contrary Intention Report is used for reporting of contrary expiration quantities for Saturday expiring options. This information is required by options exchanges for regulatory purposes.
SecurityDefinitionUpdateReport
This message is used for reporting updates to a product security master file. Updates could be the result of corporate actions or other business events. Updates may include additions, modifications or deletions.
SecurityListUpdateReport
The Security List Update Report is used for reporting updates to a Contract Security Masterfile. Updates could be due to Corporate Actions or other business events. Update may include additions, modifications and deletions.
AdjustedPositionReport
Used to report changes in position, primarily in equity options, due to modifications to the underlying due to corporate actions
AllocationInstructionAlert
This message is used in a 3-party allocation model where notification of group creation and group updates to counterparties is needed. The mssage will also carry trade information that comprised the group to the counterparties.
ExecutionAck
The Execution Report Acknowledgement message is an optional message that provides dual functionality to notify a trading partner that an electronically received execution has either been accepted or rejected (DK'd).
New sequence number
Unique identifier for Order as assigned by sell-side (broker, exchange, ECN). Uniqueness must be guaranteed within a single trading day. Firms which accept multi-day orders should consider embedding a date within the OrderID field to assure uniqueness across days.
Quantity ordered. This represents the number of shares for equities or par, face or nominal value for FI instruments.
(Prior to FIX 4.2 this field was of type int)
Identifies current status of order. *** SOME VALUES HAVE BEEN REPLACED - See "Replaced Features and Supported Approach" *** (see Volume : "Glossary" for value definitions)
New
Partially filled
Filled
Done for day
Canceled
Replaced (No longer used)
Pending Cancel (i.e. result of Order Cancel Request)
Stopped
Rejected
Suspended
Pending New
Calculated
Expired
Accepted for Bidding
Pending Replace (i.e. result of Order Cancel/Replace Request)
Order type. *** SOME VALUES ARE NO LONGER USED - See "Deprecated (Phased-out) Features and Supported Approach" *** (see Volume : "Glossary" for value definitions)
Market
Limit
Stop/Stop Loss.
A stop order that is triggered as a result of a trade in the market at which point the stopped order becomes a market order.
Stop Limit.
A stop limit order that is triggered as a result of a trade in the market at which point the stopped order becomes a limit order.
Market On Close (No longer used)
With Or Without
Limit Or Better
Limit With Or Without
On Basis
On Close (No longer used)
Limit On Close (No longer used)
Forex Market (No longer used)
Previously Quoted
Previously Indicated
Forex Limit (No longer used)
Forex Swap
Forex Previously Quoted (No longer used)
Funari (Limit day order with unexecuted portion handles as Market On Close. E.g. Japan)
Market If Touched (MIT)
Market With Left Over as Limit (market order with unexecuted quantity becoming limit order at last price)
Previous Fund Valuation Point (Historic pricing; for CIV)
Next Fund Valuation Point (Forward pricing; for CIV)
Pegged
Counter-order selection
Stop on Bid or Offer
A stop order that is triggered by a bid or offer price movement (quote) at which point the stopped order becomes a market order, also known as "stop on quote" in some markets (e.g. US markets). In the US equities market it is common to trigger a stop off the National Best Bid or Offer (NBBO).
Stop Limit on Bid or Offer
A stop order that is triggered by a bid or offer price movement (quote) at which point the stopped order becomes a limit order, also known as "stop limit on quote" in some markets (e.g. US markets). In the US equities market it is common to trigger a stop off the National Best Bid or Offer (NBBO).
ClOrdID (11) of the previous order (NOT the initial order of the day) as assigned by the institution, used to identify the previous order in cancel and cancel/replace requests.
Time of message origination (always expressed in UTC (Universal Time Coordinated, also known as "GMT"))
Indicates possible retransmission of message with this sequence number
Original transmission
Possible duplicate
Price per unit of quantity (e.g. per share)
Reference message sequence number
Security identifier value of SecurityIDSource (22) type (e.g. CUSIP, SEDOL, ISIN, etc). Requires SecurityIDSource.
Assigned value used to identify firm sending message.
Assigned value used to identify specific message originator (desk, trader, etc.)
Time of message transmission (always expressed in UTC (Universal Time Coordinated, also known as "GMT")
Overall/total quantity (e.g. number of shares)
(Prior to FIX 4.2 this field was of type int)
Side of order (see Volume : "Glossary" for value definitions)
Buy
Sell
Buy minus
Sell plus
Sell short
Sell short exempt
Undisclosed
Cross (orders where counterparty is an exchange, valid for all messages except IOIs)
Cross short
Cross short exempt
"As Defined" (for use with multileg instruments)
"Opposite" (for use with multileg instruments)
Subscribe (e.g. CIV)
Redeem (e.g. CIV)
Lend (FINANCING - identifies direction of collateral)
Borrow (FINANCING - identifies direction of collateral)
Ticker symbol. Common, "human understood" representation of the security. SecurityID (48) value can be specified if no symbol exists (e.g. non-exchange traded Collective Investment Vehicles)
Use "[N/A]" for products which do not have a symbol.
Assigned value used to identify receiving firm.
Assigned value used to identify specific individual or unit intended to receive message. "ADMIN" reserved for administrative messages not intended for a specific user.
Free format text string
(Note: this field does not have a specified maximum length)
Specifies how long the order remains in effect. Absence of this field is interpreted as DAY. NOTE not applicable to CIV Orders. (see Volume : "Glossary" for value definitions)
Day (or session)
Good Till Cancel (GTC)
At the Opening (OPG)
Immediate Or Cancel (IOC)
Fill Or Kill (FOK)
Good Till Crossing (GTX)
Good Till Date (GTD)
At the Close
Good Through Crossing
At Crossing
Good for Time (GFT)
Good for auction (GFA)
Timestamp when the business transaction represented by the message occurred.
Urgency flag
Normal
Flash
Background
Indicates expiration time of indication message (always expressed in UTC (Universal Time Coordinated, also known as "GMT")
Indicates order settlement period. If present, SettlDate (64) overrides this field. If both SettlType (63) and SettDate (64) are omitted, the default for SettlType (63) is 0 (Regular)
Regular is defined as the default settlement period for the particular security on the exchange of execution.
In Fixed Income the contents of this field may influence the instrument definition if the SecurityID (48) is ambiguous. In the US an active Treasury offering may be re-opened, and for a time one CUSIP will apply to both the current and "when-issued" securities. Supplying a value of "7" clarifies the instrument description; any other value or the absence of this field should cause the respondent to default to the active issue.
Additionally the following patterns may be uses as well as enum values
Dx = FX tenor expression for "days", e.g. "D5", where "x" is any integer > 0
Mx = FX tenor expression for "months", e.g. "M3", where "x" is any integer > 0
Wx = FX tenor expression for "weeks", e.g. "W13", where "x" is any integer > 0
Yx = FX tenor expression for "years", e.g. "Y1", where "x" is any integer > 0
Noted that for FX the tenors expressed using Dx, Mx, Wx, and Yx values do not denote business days, but calendar days.
Regular / FX Spot settlement (T+1 or T+2 depending on currency)
Cash (TOD / T+0)
Next Day (TOM / T+1)
T+2
T+3
T+4
Future
When And If Issued
Sellers Option
T+5
Broken date
Use within FX to specify a non-standard tenor. The use of SettlDate(64) is required to specify the actual settlement date when SettlType(63) = b (Broken Date).
FX Spot Next settlement (Spot+1, aka next day)
Specific date of trade settlement (SettlementDate) in YYYYMMDD format.
If present, this field overrides SettlType (63). This field is required if the value of SettlType (63) is 6 (Future) or 8 (Sellers Option). This field must be omitted if the value of SettlType (63) is 7 (When and If Issued)
(expressed in local time at place of settlement)
Additional information about the security (e.g. preferred, warrants, etc.). Note also see SecurityType (167).
As defined in the NYSE Stock and bond Symbol Directory and in the AMEX Fitch Directory.
EUCP with lump-sum interest rather than discount price
"When Issued" for a security to be reissued under an old CUSIP or ISIN
Unique identifier for list as assigned by institution, used to associate multiple individual orders. Uniqueness must be guaranteed within a single trading day. Firms which generate multi-day orders should consider embedding a date within the ListID field to assure uniqueness across days.
Sequence of individual order within list (i.e. ListSeqNo of TotNoOrders (68), 2 of 25, 3 of 25, . . . )
Total number of list order entries across all messages. Should be the sum of all NoOrders (73) in each message that has repeating list order entries related to the same ListID (66). Used to support fragmentation.
(Prior to FIX 4.2 this field was named "ListNoOrds")
Free format text message containing list handling and execution instructions.
Unique identifier for allocation message.
(Prior to FIX 4.1 this field was of type int)
Identifies allocation transaction type *** SOME VALUES HAVE BEEN REPLACED - See "Replaced Features and Supported Approach" ***
New
Replace
Cancel
Preliminary (without MiscFees and NetMoney) (Removed/Replaced)
Calculated (includes MiscFees and NetMoney) (Removed/Replaced)
Calculated without Preliminary (sent unsolicited by broker, includes MiscFees and NetMoney) (Removed/Replaced)
Reversal
Reference identifier to be used with AllocTransType (71) = Replace or Cancel.
(Prior to FIX 4.1 this field was of type int)
Indicates number of orders to be combined for average pricing and allocation.
Indicates number of decimal places to be used for average pricing. Absence of this field indicates that default precision arranged by the broker/institution is to be used.
Indicates date of trading day. Absence of this field indicates current day (expressed in local time at place of trade).
Indicates whether the resulting position after a trade should be an opening position or closing position. Used for omnibus accounting - where accounts are held on a gross basis instead of being netted together.
Close
FIFO
Open
Rolled
Close but notify on open
Default
Number of repeating AllocAccount (79)/AllocPrice (366) entries.
Sub-account mnemonic
Quantity to be allocated to specific sub-account
(Prior to FIX 4.2 this field was of type int)
Processing code for sub-account. Absence of this field in AllocAccount (79) / AllocPrice (366) /AllocQty (80) / ProcessCode instance indicates regular trade.
Regular
Soft Dollar
Step-In
Step-Out
Soft-dollar Step-In
Soft-dollar Step-Out
Plan Sponsor
Total number of reports within series.
Sequence number of message within report series. Used to carry reporting sequence number of the fill as represented on the Trade Report Side.
Total quantity canceled for this order.
(Prior to FIX 4.2 this field was of type int)
Number of delivery instruction fields in repeating group.
Note this field was removed in FIX 4.1 and reinstated in FIX 4.4.
Identifies status of allocation.
Accepted (successfully processed)
Block level reject
Account level reject
Received (received not yet processed)
Incomplete
Rejected by intermediary
Allocation pending
Reversed
Cancelled by intermediary
Claimed
Refused
Pending give-up approval
Cancelled
Pending take-up approval
Reversal pending
Identifies reason for rejection.
Unknown or missing account(s)
Incorrect or missing block quantity
Incorrect or missing average price
Unknown executing broker mnemonic
Incorrect or missing commission
Unknown OrderID (37)
Unknown ListID (66)
Other (further in Text (58))
Incorrect or missing allocated quantity
Calculation difference
Unknown or stale ExecID
Mismatched data
Unknown ClOrdID
Warehouse request rejected
Other
Use Text(58) for further reject reasons.
Duplicate or missing IndividualAllocId(467)
Trade not recognized
Trade previously allocated
Incorrect or missing instrument
Incorrect or missing settlement date
Incorrect or missing fund ID or fund name
Incorrect or missing settlement instructions
Incorrect or missing fees
Incorrect or missing tax
Unknown or missing party
Incorrect or missing side
Incorrect or missing net-money
Incorrect or missing trade date
Incorrect or missing settlement currency instructions
Incorrrect or missing ProcessCode(81)
Electronic signature
Length of encrypted message
Actual encrypted data stream
Number of bytes in signature field
Email message type.
New
Reply
Admin Reply
Number of bytes in raw data field.
Unformatted raw data, can include bitmaps, word processor documents, etc.
Indicates that message may contain information that has been sent under another sequence number.
Original Transmission
Possible Resend
Method of encryption.
None / Other
PKCS (Proprietary)
DES (ECB Mode)
PKCS / DES (Proprietary)
PGP / DES (Defunct)
PGP / DES-MD5 (See app note on FIX web site)
PEM / DES-MD5 (see app note on FIX web site)
Price per unit of quantity (e.g. per share)
Execution destination as defined by institution when order is entered.
Valid values:
See "Appendix 6-C"
Code to identify reason for cancel rejection.
Too late to cancel
Unknown order
Broker / Exchange Option
Order already in Pending Cancel or Pending Replace status
Unable to process Order Mass Cancel Request
OrigOrdModTime (586) did not match last TransactTime (60) of order
Duplicate ClOrdID (11) received
Price exceeds current price
Price exceeds current price band
Invalid price increment
Other
Code to identify reason for order rejection. Note: Values 3, 4, and 5 will be used when rejecting an order due to pre-allocation information errors.
Broker / Exchange option
Unknown symbol
Exchange closed
Order exceeds limit
Too late to enter
Unknown order
Duplicate Order (e.g. dupe ClOrdID)
Duplicate of a verbally communicated order
Stale order
Trade along required
Invalid Investor ID
Unsupported order characteristic
Surveillance option
Incorrect quantity
Incorrect allocated quantity
Unknown account(s)
Price exceeds current price band
Invalid price increment
Other
Reference price not available
Notional value exceeds threshold
Algorithm risk threshold breached
A sell-side broker algorithm has detected that a risk limit has been breached which requires further communication with the client. Used in conjunction with Text(58) to convey the details of the specific event.
Short sell not permitted
Short sell rejected due to security pre-borrow restriction
Short sell rejected due to account pre-borrow restriction
Insufficient credit limit
Exceeded clip size limit
Exceeded maximum notional order amount
Exceeded DV01/PV01 limit
Exceeded CS01 limit
Code to qualify IOI use. (see Volume : "Glossary" for value definitions)
All or None (AON)
Market On Close (MOC) (held to close)
At the close (around/not held to close)
VWAP (Volume Weighted Average Price)
In touch with
Limit
More Behind
At the Open
Taking a Position
At the Market (previously called Current Quote)
Ready to Trade
Inventory or Portfolio Shown
Through the Day
Versus
Indication - Working Away
Crossing Opportunity
At the Midpoint
Pre-open
Axe
Indicates that a quote is an Axe, without specifying a side preference. Mutually exclusive with F(Axe on bid) and G(Axe on offer).
Axe on bid
Indicates that a quote is an Axe, with a preference to execute on the bid side. Mutually exclusive with E(Axe) and G (Axe on offer)
Axe on offer
Indicates that a quote is an Axe, with a preference to execute on the offer side. Mutually exclusive with E(Axe) and F (Axe on bid)
Name of security issuer (e.g. International Business Machines, GNMA).
see also Volume 7: "PRODUCT: FIXED INCOME - Euro Issuer Values"
Can be used to provide an optional textual description for a financial instrument.
Heartbeat interval (seconds)
Minimum quantity of an order to be executed.
(Prior to FIX 4.2 this field was of type int)
The quantity to be displayed . Required for reserve orders. On orders specifies the qty to be displayed, on execution reports the currently displayed quantity.
Identifier included in Test Request message to be returned in resulting Heartbeat
Identifies party of trade responsible for exchange reporting.
Indicates the party sending message will report trade
Indicates the party receiving message must report trade
Indicates whether the broker is to locate the stock in conjunction with a short sell order.
Indicates the broker is not required to locate
Indicates the broker is responsible for locating the stock
Assigned value used to identify firm originating message if the message was delivered by a third party i.e. the third party firm identifier would be delivered in the SenderCompID field and the firm originating the message in this field.
Assigned value used to identify specific message originator (i.e. trader) if the message was delivered by a third party
Unique identifier for quote
Total amount due as the result of the transaction (e.g. for Buy order - principal + commission + fees) reported in currency of execution.
Total amount due expressed in settlement currency (includes the effect of the forex transaction)
Currency code of settlement denomination.
Indicates request for forex accommodation trade to be executed along with security transaction.
Do Not Execute Forex After Security Trade
Execute Forex After Security Trade
Original time of message transmission (always expressed in UTC (Universal Time Coordinated, also known as "GMT") when transmitting orders as the result of a resend request.
Indicates that the Sequence Reset message is replacing administrative or application messages which will not be resent.
Sequence Reset, Ignore Msg Seq Num (N/A For FIXML - Not Used)
Gap Fill Message, Msg Seq Num Field Valid
Number of executions or trades.
Time/Date of order expiration (always expressed in UTC (Universal Time Coordinated, also known as "GMT")
The meaning of expiration is specific to the context where the field is used.
For orders, this is the expiration time of a Good Til Date TimeInForce.
For Quotes - this is the expiration of the quote.
Expiration time is provided across the quote message dialog to control the length of time of the overall quoting process.
For collateral requests, this is the time by which collateral must be assigned.
For collateral assignments, this is the time by which a response to the assignment is expected.
For credit/risk limit checks, this is the time when the reserved credit limit will expire for the requested transaction.
Reason for execution rejection.
Unknown security
Wrong side
Quantity exceeds order
No matching order
Price exceeds limit
Calculation difference
Other
No matching ExecutionReport(35=8)
Assigned value used to identify the firm targeted to receive the message if the message is delivered by a third party i.e. the third party firm identifier would be delivered in the TargetCompID (56) field and the ultimate receiver firm ID in this field.
Assigned value used to identify specific message recipient (i.e. trader) if the message is delivered by a third party
Indicates that IOI is the result of an existing agency order or a facilitation position resulting from an agency order, not from principal trading or order solicitation activity.
Not Natural
Natural
Unique identifier for a QuoteRequest(35=R).
Bid price/rate
Offer price/rate
Quantity of bid
(Prior to FIX 4.2 this field was of type int)
Quantity of offer
(Prior to FIX 4.2 this field was of type int)
Number of repeating groups of miscellaneous fees
Miscellaneous fee value
Currency of miscellaneous fee
Indicates type of miscellaneous fee.
Regulatory (e.g. SEC)
Tax
Local Commission
DEPRECATE - use <CommissionDataGrp> component instead
Exchange Fees
Stamp
Levy
Other
Markup
Consumption Tax
Per transaction
Conversion
Agent
Transfer Fee
Security Lending
Trade reporting
Trade reporting [Elaboration: The fee charged to recover the cost of trade reporting, e.g. corporate bonds and structured products reported to FINRA TRACE.
Tax on principal amount
Tax on accrued interest amount
New issuance fee
Service fee
Odd lot fee
Auction fee
Value Added tax - VAT
Sales tax
Previous closing price of security.
Indicates that both sides of the FIX session should reset sequence numbers.
No
Yes, reset sequence numbers
Assigned value used to identify specific message originator's location (i.e. geographic location and/or desk, trader)
Assigned value used to identify specific message destination's location (i.e. geographic location and/or desk, trader)
Assigned value used to identify specific message originator's location (i.e. geographic location and/or desk, trader) if the message was delivered by a third party
Assigned value used to identify specific message recipient's location (i.e. geographic location and/or desk, trader) if the message was delivered by a third party
Specifies the number of repeating symbols specified.
The subject of an Email message
The headline of a News message
A URI (Uniform Resource Identifier) or URL (Uniform Resource Locator) link to additional information (i.e. http://www.XYZ.com/research.html)
See "Appendix 6-B FIX Fields Based Upon Other Standards"
Describes the specific ExecutionRpt (e.g. Pending Cancel) while OrdStatus(39) will always identify the current order status (e.g. Partially Filled).
New
Done for day
Canceled
Replaced
Pending Cancel (e.g. result of Order Cancel Request)
Stopped
Rejected
Suspended
Pending New
Calculated
Expired
Restated (Execution Report sent unsolicited by sellside, with ExecRestatementReason (378) set)
Pending Replace (e.g. result of Order Cancel/Replace Request)
Trade (partial fill or fill)
Trade Correct
Trade Cancel
Order Status
Trade in a Clearing Hold
Trade has been released to Clearing
Triggered or Activated by System
Locked
Released
Quantity open for further execution. If the OrdStatus (39) is Canceled, DoneForTheDay, Expired, Calculated, or Rejected (in which case the order is no longer active) then LeavesQty could be 0, otherwise LeavesQty = OrderQty (38) - CumQty (14).
(Prior to FIX 4.2 this field was of type int)
Specifies the approximate order quantity desired in total monetary units vs. as tradeable units (e.g. number of shares). The broker or fund manager (for CIV orders) would be responsible for converting and calculating a tradeable unit (e.g. share) quantity (OrderQty (38)) based upon this amount to be used for the actual order and subsequent messages.
AvgPx (6) for a specific AllocAccount (79)
For Fixed Income this is always expressed as "percent of par" price type.
NetMoney (8) for a specific AllocAccount (79)
Foreign exchange rate used to compute SettlCurrAmt (9) from Currency (5) to SettlCurrency (20)
Specifies whether or not SettlCurrFxRate (155) should be multiplied or divided.
Multiply
Divide
Number of Days of Interest for convertible bonds and fixed income. Note value may be negative.
The amount the buyer compensates the seller for the portion of the next coupon interest payment the seller has earned but will not receive from the issuer because the issuer will send the next coupon payment to the buyer. Accrued Interest Rate is the annualized Accrued Interest amount divided by the purchase price of the bond.
Amount of Accrued Interest for convertible bonds and fixed income
Indicates mode used for Settlement Instructions message. *** SOME VALUES HAVE BEEN REPLACED - See "Replaced Features and Supported Approach" ***
Default (Replaced)
Standing Instructions Provided
Specific Allocation Account Overriding (Replaced)
Specific Allocation Account Standing (Replaced)
Specific Order for a single account (for CIV)
Request reject
Free format text related to a specific AllocAccount (79).
Unique identifier for Settlement Instruction.
Settlement Instructions message transaction type
New
Cancel
Replace
Restate
Unique identifier for an email thread (new and chain of replies)
Indicates source of Settlement Instructions
Broker's Instructions
Institution's Instructions
Investor (e.g. CIV use)
Indicates type of security. Security type enumerations are grouped by Product(460) field value. NOTE: Additional values may be used by mutual agreement of the counterparties.
US Treasury Note (Deprecated Value Use TNOTE)
US Treasury Bill (Deprecated Value Use TBILL)
Euro Supranational Coupons *
Federal Agency Coupon
Federal Agency Discount Note
Private Export Funding *
USD Supranational Coupons *
Corporate Bond
Corporate Private Placement
Convertible Bond
Dual Currency
Euro Corporate Bond
Euro Corporate Floating Rate Notes
US Corporate Floating Rate Notes
Indexed Linked
Structured Notes
Yankee Corporate Bond
Foreign Exchange Contract
Credit Default Swap
Future
Option
Options on Futures
Options on Physical - use not recommended
Interest Rate Swap
Options on Combo
Common Stock
Preferred Stock
Repurchase
Forward
Buy Sellback
Securities Loan
Securities Pledge
Brady Bond
Canadian Treasury Notes
Canadian Treasury Bills
Euro Sovereigns *
Canadian Provincial Bonds
Treasury Bill - non US
US Treasury Bond
Interest Strip From Any Bond Or Note
US Treasury Bill
Treasury Inflation Protected Securities
Principal Strip Of A Callable Bond Or Note
Principal Strip From A Non-Callable Bond Or Note
US Treasury Note
Term Loan
Revolver Loan
Revolver/Term Loan
Bridge Loan
Letter Of Credit
Swing Line Facility
Debtor In Possession
Defaulted
Withdrawn
Replaced
Matured
Amended & Restated
Retired
Bankers Acceptance
Bank Depository Note
Bank Notes
Bill Of Exchanges
Canadian Money Markets
Certificate Of Deposit
Call Loans
Commercial Paper
Deposit Notes
Euro Certificate Of Deposit
Euro Commercial Paper
Liquidity Note
Medium Term Notes
Overnight
Promissory Note
Short Term Loan Note
Plazos Fijos
Secured Liquidity Note
Time Deposit
Term Liquidity Note
Extended Comm Note
Yankee Certificate Of Deposit
Asset-backed Securities
Canadian Mortgage Bonds
Corp. Mortgage-backed Securities
Collateralized Mortgage Obligation
IOETTE Mortgage
Mortgage-backed Securities
Mortgage Interest Only
Mortgage Principal Only
Mortgage Private Placement
Miscellaneous Pass-through
Pfandbriefe *
To Be Announced
Other Anticipation Notes (BAN, GAN, etc.)
Certificate Of Obligation
Certificate Of Participation
General Obligation Bonds
Mandatory Tender
Revenue Anticipation Note
Revenue Bonds
Special Assessment
Special Obligation
Special Tax
Tax Anticipation Note
Tax Allocation
Tax Exempt Commercial Paper
Taxable Municipal CP
Tax Revenue Anticipation Note
Variable Rate Demand Note
Warrant
Mutual Fund
Multileg Instrument
No Security Type
Wildcard entry for use on Security Definition Request
Cash
Non-deliverable forward
FX Spot
FX Forward
FX Swap
Delivery versus pledge
Commodity swap
Swap option
Derivative forward
Total return swap
Cap
In an interest rate cap, the buyer receives payments at the end of each period in which the rate indec exceeds the agreed strike rate.
Collar
In an interest rate collar, this is a combination of a cap and a floor.
Exotic
Floor
In an interest rate floor, the buyer receives payments at the end of each period in which the rate index is below the agreed strike rate.
Forward Rate Agreement
Loan/lease
Spot forward
Transmission
General type for a contract based on an established index
Collateral basket
A collection of securities held as collateral in the customer's collateral fund. The collateral fund is usually managed by a custodian.
Bond basket
Contract for difference
Correlation swap
Dividend swap
Equity basket
Equity forward
Return swap
Variance swap
Time the details within the message should take effect (always expressed in UTC (Universal Time Coordinated, also known as "GMT")
Identifies the Standing Instruction database used
Other
DTC SID
Thomson ALERT
A Global Custodian (StandInstDBName (70) must be provided)
AccountNet
Name of the Standing Instruction database represented with StandInstDbType (169) (i.e. the Global Custodian's name).
Unique identifier used on the Standing Instructions database for the Standing Instructions to be referenced.
Identifies type of settlement
"Versus. Payment": Deliver (if Sell) or Receive (if Buy) vs. (Against) Payment
"Free": Deliver (if Sell) or Receive (if Buy) Free
Tri-Party
Hold In Custody
Bid F/X spot rate.
Bid F/X forward points added to spot rate. May be a negative value.
Offer F/X spot rate.
Offer F/X forward points added to spot rate. May be a negative value.
OrderQty (38) of the future part of a F/X swap order.
SettDate (64) of the future part of a F/X swap order.
F/X spot rate.
F/X forward points added to LastSpotRate (94). May be a negative value. Expressed in decimal form. For example, 61.99 points is expressed and sent as 0.006199
Can be used to link two different Allocation messages (each with unique AllocID (70)) together, i.e. for F/X "Netting" or "Swaps". Should be unique.
Identifies the type of Allocation linkage when AllocLinkID (96) is used.
FX Netting
FX Swap
Assigned by the party which accepts the order. Can be used to provide the OrderID (37) used by an exchange or executing system.
Number of repeating groups of IOIQualifiers (04).
Can be used with standardized derivatives vs. the MaturityDate (54) field. Month and Year of the maturity (used for standardized futures and options).
Format:
YYYYMM (e.g. 199903)
YYYYMMDD (e.g. 20030323)
YYYYMMwN (e.g. 200303w) for week
A specific date or can be appended to the MaturityMonthYear. For instance, if multiple standard products exist that mature in the same Year and Month, but actually mature at a different time, a value can be appended, such as "w" or "w2" to indicate week as opposed to week 2 expiration. Likewise, the date (0-3) can be appended to indicate a specific expiration (maturity date).
Indicates whether an option contract is a put or call
Put
Call
Strike Price for an Option.
Used for derivative products, such as options
Covered
Uncovered
Provided to support versioning of option contracts as a result of corporate actions or events. Use of this field is defined by counterparty agreement or market conventions.
Market used to help identify a security.
Valid values:
See "Appendix 6-C"
Indicates whether or not details should be communicated to BrokerOfCredit (i.e. step-in broker).
Details should not be communicated
Details should be communicated
Indicates how the receiver (i.e. third party) of Allocation message should handle/process the account details.
Match
Forward
Forward and Match
Maximum quantity (e.g. number of shares) within an order to be shown to other customers (i.e. sent via an IOI).
(Prior to FIX 4.2 this field was of type int)
Amount (signed) added to the peg for a pegged order in the context of the PegOffsetType (836)
(Prior to FIX 4.4 this field was of type PriceOffset)
Length of the XmlData data block.
Actual XML data stream (e.g. FIXML). See approriate XML reference (e.g. FIXML). Note: may contain embedded SOH characters.
Reference identifier for the SettlInstID (162) with Cancel and Replace SettlInstTransType (163) transaction types.
Number of repeating groups of RoutingID (217) and RoutingType (216) values.
See Volume 3: "Pre-Trade Message Targeting/Routing"
Indicates the type of RoutingID (217) specified.
Target Firm
Target List
Block Firm
Block List
Target Person
Block Person
Assigned value used to identify a specific routing destination.
For Fixed Income. Either Swap Spread or Spread to Benchmark depending upon the order type.
Spread to Benchmark: Basis points relative to a benchmark. To be expressed as "count of basis points" (vs. an absolute value). E.g. High Grade Corporate Bonds may express price as basis points relative to benchmark (the BenchmarkCurveName (22) field). Note: Basis points can be negative.
Swap Spread: Target spread for a swap.
Identifies currency used for benchmark curve. See "Appendix 6-A: Valid Currency Codes" for information on obtaining valid values.
(Note tag # was reserved in FIX 4.1, added in FIX 4.3)
Name of benchmark curve.
(Note tag # was reserved in FIX 4.1, added in FIX 4.3)
EONIA
EUREPO
EURIBOR (deprecated use enum EURIBOR instead)
Deprecated use of EURIBOR for the enumeration.
FutureSWAP
LIBID
LIBOR (London Inter-Bank Offer)
MuniAAA
OTHER
Pfandbriefe
SONIA
SWAP
Treasury
US Federal Reserve fed funds effective rate
US Federal Reserve fed funds effective rate or the weighted average of the actual negotiated rates banks pay each other to to borrow funds.
US fed funds target rate
Fed funds target rate as determined by the US Federal Reserve Federal Open Market Committee.
Euro interbank offer rate
Point on benchmark curve. Free form values: e.g. "Y", "7Y", "INTERPOLATED".
Sample values:
M = combination of a number between 1-12 and a "M" for month
Y = combination of number between 1-100 and a "Y" for year}
10Y-OLD = see above, then add "-OLD" when appropriate
INTERPOLATED = the point is mathematically derived
2/2031 5 3/8 = the point is stated via a combination of maturity month / year and coupon
See Fixed Income-specific documentation at http://www.fixtradingcommunity.org for additional values.
(Note tag # was reserved in FIX 4.1, added in FIX 4.3)
The rate of interest that, when multiplied by the principal, par value, or face value of a bond, provides the currency amount of the periodic interest payment. The coupon is always cited, along with maturity, in any quotation of a bond's price.
Date interest is to be paid. Used in identifying Corporate Bond issues.
(Note tag # was reserved in FIX 4.1, added in FIX 4.3)
(prior to FIX 4.4 field was of type UTCDate)
The date on which a bond or stock offering is issued. It may or may not be the same as the effective date ("Dated Date") or the date on which interest begins to accrue ("Interest Accrual Date")
(Note tag # was reserved in FIX 4.1, added in FIX 4.3)
(prior to FIX 4.4 field was of type UTCDate)
Number of business days before repurchase of a repo. (Note tag # was reserved in FIX 4.1, added in FIX 4.3)
Percent of par at which a Repo will be repaid. Represented as a percent, e.g. .9525 represents 95-/4 percent of par. (Note tag # was reserved in FIX 4.1, added in FIX 4.3)
For Fixed Income: Amorization Factor for deriving Current face from Original face for ABS or MBS securities, note the fraction may be greater than, equal to or less than . In TIPS securities this is the Inflation index.
Qty * Factor * Price = Gross Trade Amount
For Derivatives: Contract Value Factor by which price must be adjusted to determine the true nominal value of one futures/options contract.
(Qty * Price) * Factor = Nominal Value
(Note tag # was reserved in FIX 4.1, added in FIX 4.3)
Used with Fixed Income for Muncipal New Issue Market. Agreement in principal between counter-parties prior to actual trade date.
(Note tag # was reserved in FIX 4.1, added in FIX 4.3)
(prior to FIX 4.4 field was of type UTCDate)
The date when a distribution of interest is deducted from a securities assets or set aside for payment to bondholders. On the ex-date, the securities price drops by the amount of the distribution (plus or minus any market activity).
(Note tag # was reserved in FIX 4.1, added in FIX 4.3)
(prior to FIX 4.4 field was of type UTCDate)
Specifies the ratio or multiply factor to convert from "nominal" units (e.g. contracts) to total units (e.g. shares) (e.g. 1.0, 100, 1000, etc). Applicable For Fixed Income, Convertible Bonds, Derivatives, etc.
In general quantities for all classes should be expressed in the basic unit of the instrument, e.g. shares for equities, nominal or par amount for bonds, currency for foreign exchange. When quantity is expressed in contracts, e.g. financing transactions and bond trade reporting, ContractMultiplier(231) should contain the number of units in one contract and can be omitted if the multiplier is the default amount for the instrument, i.e. 1,000 par of bonds, 1,000,000 par for financing transactions.
Number of stipulation entries
(Note tag # was reserved in FIX 4.1, added in FIX 4.3).
For Fixed Income.
Type of Stipulation.
Other types may be used by mutual agreement of the counterparties.
(Note tag # was reserved in FIX 4.1, added in FIX 4.3)
Alternative Minimum Tax (Y/N)
Auto Reinvestment at <rate> or better
Bank qualified (Y/N)
Bargain conditions (see StipulationValue (234) for values)
Coupon range
ISO Currency Code
Custom start/end date
Geographics and % range (ex. 234=CA 0-80 [minimum of 80% California assets])
Valuation Discount
Insured (Y/N)
Year Or Year/Month of Issue (ex. 234=2002/09)
Issuer's ticker
issue size range
Lookback Days
Explicit lot identifier
Lot Variance (value in percent maximum over- or under-allocation allowed)
Maturity Year And Month
Maturity range
Maximum substitutions (Repo)
Minimum denomination
Minimum increment
Minimum quantity
Payment frequency, calendar
Number Of Pieces
Pools Maximum
Pools per Lot
Pools per Million
Pools per Trade
Price Range
Pricing frequency
Production Year
Call protection
Purpose
Benchmark price source
Rating source and range
Type Of Redemption - values are: NonCallable, Prefunded, EscrowedToMaturity, Putable, Convertible
Restricted (Y/N)
Market Sector
Security Type included or excluded
Structure
Substitutions frequency (Repo)
Substitutions left (Repo)
Freeform Text
Trade Variance (value in percent maximum over- or under-allocation allowed)
Weighted Average Coupon - value in percent (exact or range) plus "Gross" or "Net" of servicing spread (the default) (ex. 234=6.5-Net [minimum of 6.5% net of servicing fee])
Weighted Average Life Coupon - value in percent (exact or range)
Weighted Average Loan Age - value in months (exact or range)
Weighted Average Maturity - value in months (exact or range)
Whole Pool (Y/N)
Yield Range
Average FICO Score
Average Loan Size
Maximum Loan Balance
Pool Identifier
Type of Roll trade
reference to rolling or closing trade
principal of rolling or closing trade
interest of rolling or closing trade
Available offer quantity to be shown to the street
Broker's sales credit
Offer price to be shown to internal brokers
Offer quantity to be shown to internal brokers
The minimum residual offer quantity
Maximum order size
Order quantity increment
Primary or Secondary market indicator
Broker sales credit override
Trader's credit
Discount Rate (when price is denominated in percent of par)
Yield to Maturity (when YieldType(235) and Yield(236) show a different yield)
Absolute Prepayment Speed
Constant Prepayment Penalty
Constant Prepayment Rate
Constant Prepayment Yield
final CPR of Home Equity Prepayment Curve
Percent of Manufactured Housing Prepayment Curve
Monthly Prepayment Rate
Percent of Prospectus Prepayment Curve
Percent of BMA Prepayment Curve
Single Monthly Mortality
Original amount
The original issued amount of a mortgage backed security or other loan/asset backed security.
Pool effective date
Pool initial factor
For morttgage backed securities, the part of the mortgage that is outstanding on trade inception, i.e. has not been repaid yet as principal. It is expressed as a multiplier factor to the mortgage: where 1 means that the whole mortage amount is outstanding, 0.8 means that80% remains to be repaid and 20% has been repaid.
Tranche identifier
Identifies the tranche of a mortgage backed security, loan, collateralized mortgage obligation or similar securities that can be split into different risk or maturity (for example) classes.
Substitution (Y/N)
Indicates whether substitution is applicable (Y) or (N).
Incurred recovery (Y/N)
Specifies whether incurred recovery is applicable (Y) or not (N). Outstanding Swap Notional Amount is defined at any time on any day, as the greater of: (a) Zero; If Incurred Recovery Amount Applicable: (b) The Original Swap Notional Amount minus the sum of all Incurred Loss Amounts and all Incurred Recovery Amounts (if any) determined under this Confirmation at or prior to such time.Incurred Recovery Amount not populated: (b) The Original Swap Notional Amount minus the sum of all Incurred Loss Amounts determined under this Confirmation at or prior to such time. 2009 CDX Tranche Terms.
Additional term
Used for representing information contained in the Additional Terms field of the 2003 Master Credit Derivatives confirm.
Modified equity delivery
Indicates whether delivery of selected obligationshaving an amountgreater than the reference entity notional amount is allowed (Y) or (N). 2005 iTraxx tranched Transactions Standard Terms Supplement.
No reference obligation (Y/N)
When specified as "Y" this indicates that there is no Reference Obligation associated with this Credit Default Swap and that there will never be one. 2003 ISDA Credit Derivatives Definitions.
Unknown reference obligation (Y/N)
When specified as "Y" this indicates that the Reference obligation associated with the Credit Default Swap is currently not known. This is not valid for Legal Confirmation purposes, but is valid for earlier stages in the trade life cycle (e.g. Broker Confirmation). 2003 FpML-CD-4.0.
All guarantees (Y/N)
Indicates whether an obligation of the Reference Entity, guaranteed by the Reference Entity on behalf of a non-Affiliate, is to be considered an Obligation for the purpose of the transaction (Y) or (N). ISDA 2003 Term: All Guarantees.
Reference price (Y/N)
Specifies the reference price expressed as a percentage between 0 and 1 (e.g. 0.05 is 5%). The reference price is used to determine (a) for physically settled trades, the Physical Settlement Amount, which equals the Floating Rate Payer Calculation Amount times the Reference Price and (b) for cash settled trades, the Cash Settlement Amount, which equals the greater of (i) the difference between the Reference Price and the Final Price and (ii) zero. ISDA 2003 Term: Reference Price.
Reference policy (Y/N)
Indicates whether the reference obligation is guaranteed (Y), or not (N), under a reference policy. If the Reference Obligation is guaranteed under a Reference Policy, and such Reference Policy by its terms excludes any component of the Expected Principal Amount for purposes of determining the liability of the relevant Insurer, or the Insurer is otherwise not required to pay any such amounts under the terms of the Reference Policy, the relevant component or amount shall also be excluded for purposes of determining the Expected Principal Amount with respect to any determination of Principal Shortfall hereunder. 2006 ISDA CDS on MBS Terms.
Secured list (Y/N)
Specifies whether a list of Syndicated Secured Obligations (also known as the Relevant Secured List) exists (Y), or not (N), for the Reference Entity. With respect to any day, the list of Syndicated Secured Obligations of the Designated Priority of the Reference Entity published by Markit Group Limited or any successor thereto appointed by the Specified Dealers (the "Secured List Publisher") on or most recently before such day, which list is currently available at [http://www.markit.com]. ISDA 2003 Term: Relevant Secured List.
Multiple exchange fallback (Y/N)
For an index option transaction, indicates whether a relevant "Multiple Exchange Index Annex" is applicable (Y) to the transaction or not (N). This annex defines additional provisions which are applicable where an index is comprised of component securities that are traded on multiple exchanges.
Component security fallback (Y/N)
For an index option transaction, indicates whether a relevant "Component Security Index Annex" is applicable (Y) to the transaction or not (N).
Local jurisdiction (Y/N)
"Local Jurisdiction" is used in the AEJ Master Confirmation to determine applicability (Y), or not (N), of local taxes (including taxes, duties, and similar charges) imposed by the taxing authority of the local jurisdiction.
Relevant jurisdiction (Y/N)
"Relevant Jurisdiction" is used in the AEJ Master Confirmation to determine applicability (Y), or not (N), of local taxes (including taxes, duties and similar charges) that would be imposed by the taxing authority of the "country of underlier" on a "hypothetical broker dealer" assuming that the applicable hedge positions are held by its office in the Relevant Jurisdiction.
For Fixed Income. Value of stipulation.
The expression can be an absolute single value or a combination of values and logical operators:
< value
> value
<= value
>= value
value
value - value2
value OR value2
value AND value2
YES
NO
Bargain conditions recognized by the London Stock Exchange - to be used when StipulationType is "BGNCON".
CD = Special cum Dividend
XD = Special ex Dividend
CC = Special cum Coupon
XC = Special ex Coupon
CB = Special cum Bonus
XB = Special ex Bonus
CR = Special cum Rights
XR = Special ex Rights
CP = Special cum Capital Repayments
XP = Special ex Capital Repayments
CS = Cash Settlement
SP = Special Price
TR = Report for European Equity Market Securities in accordance with Chapter 8 of the Rules.
GD = Guaranteed Delivery
Values for StipulationType = "PXSOURCE":
BB GENERIC
BB FAIRVALUE
BROKERTEC
ESPEED
GOVPX
HILLIARD FARBER
ICAP
TRADEWEB
TULLETT LIBERTY
If a particular side of the market is wanted append /BID /OFFER or /MID.
plus appropriate combinations of the above and other expressions by mutual agreement of the counterparties.
Examples: ">=60", ".25", "ORANGE OR CONTRACOSTA", etc.
(Note tag # was reserved in FIX 4.1, added in FIX 4.3)
Type of yield. (Note tag # was reserved in FIX 4.1, added in FIX 4.3)
After Tax Yield (Municipals)
Annual Yield
Yield At Issue (Municipals)
Yield To Avg Maturity
Book Yield
Yield to Next Call
Yield Change Since Close
Closing Yield
Compound Yield
Current Yield
Gvnt Equivalent Yield
True Gross Yield
Yield with Inflation Assumption
Inverse Floater Bond Yield
Most Recent Closing Yield
Closing Yield Most Recent Month
Closing Yield Most Recent Quarter
Closing Yield Most Recent Year
Yield to Longest Average Life
Mark to Market Yield
Yield to Maturity
Yield to Next Refund (Sinking Fund Bonds)
Open Average Yield
Previous Close Yield
Proceeds Yield
Yield to Next Put
Semi-annual Yield
Yield to Shortest Average Life
Simple Yield
Tax Equivalent Yield
Yield to Tender Date
True Yield
Yield Value Of 1/32
Yield To Worst
Yield percentage.
(Note tag # was reserved in FIX 4.1, added in FIX 4.3)
The price at which the securities are distributed to the different members of an underwriting group for the primary market in Municipals, total gross underwriter's spread.
(Note tag # was reserved in FIX 4.1, added in FIX 4.3)
Provides the reduction in price for the secondary market in Muncipals.
(Note tag # was reserved in FIX 4.1, added in FIX 4.3)
Identifies the collateral used in the transaction.
Valid values: see SecurityType (167) field (Note tag # was reserved in FIX 4.1, added in FIX 4.3)
Return of investor's principal in a security. Bond redemption can occur before maturity date.(Note tag # was reserved in FIX 4.1, added in FIX 4.3) (prior to FIX 4.4 field was of type UTCDate)
Underlying security's CouponPaymentDate.
See CouponPaymentDate (224) field for description
(Note tag # was reserved in FIX 4.1, added in FIX 4.3)
(prior to FIX 4.4 field was of type UTCDate)
Underlying security's IssueDate.
See IssueDate (225) field for description
(Note tag # was reserved in FIX 4.1, added in FIX 4.3)
(prior to FIX 4.4 field was of type UTCDate)
Underlying security's RepoCollateralSecurityType. See RepoCollateralSecurityType (239) field for description.(Note tag # was reserved in FIX 4.1, added in FIX 4.3)
Underlying security's RepurchaseTerm. See RepurchaseTerm (226) field for description (Note tag # was reserved in FIX 4.1, added in FIX 4.3)
Underlying security's RepurchaseRate. See RepurchaseRate (227) field for description (Note tag # was reserved in FIX 4.1, added in FIX 4.3)
Underlying security's Factor.
See Factor (228) field for description
(Note tag # was reserved in FIX 4.1, added in FIX 4.3)
Underlying security's RedemptionDate. See RedemptionDate (240) field for description (Note tag # was reserved in FIX 4.1, added in FIX 4.3) (prior to FIX 4.4 field was of type UTCDate)
Multileg instrument's individual leg security's CouponPaymentDate.
See CouponPaymentDate (224) field for description
(Note tag # was reserved in FIX 4.1, added in FIX 4.3)
(prior to FIX 4.4 field was of type UTCDate)
Multileg instrument's individual leg security's IssueDate.
See IssueDate (225) field for description
(Note tag # was reserved in FIX 4.1, added in FIX 4.3)
(prior to FIX 4.4 field was of type UTCDate)
Multileg instrument's individual leg security's RepoCollateralSecurityType. See RepoCollateralSecurityType (239) field for description (Note tag # was reserved in FIX 4.1, added in FIX 4.3)
Multileg instrument's individual leg security's RepurchaseTerm. See RepurchaseTerm (226) field for description (Note tag # was reserved in FIX 4.1, added in FIX 4.3)
Multileg instrument's individual leg security's RepurchaseRate. See RepurchaseRate (227) field for description (Note tag # was reserved in FIX 4.1, added in FIX 4.3)
Multileg instrument's individual leg security's Factor.
See Factor (228) field for description
(Note tag # was reserved in FIX 4.1, added in FIX 4.3)
Multileg instrument's individual leg security's RedemptionDate. See RedemptionDate (240) field for description (Note tag # was reserved in FIX 4.1, added in FIX 4.3) (prior to FIX 4.4 field was of type UTCDate)
An evaluation of a company's ability to repay obligations or its likelihood of not defaulting. These evaluation are provided by Credit Rating Agencies, i.e. S&P, Moody's.
(Note tag # was reserved in FIX 4.1, added in FIX 4.3)
Underlying security's CreditRating.
See CreditRating (255) field for description
(Note tag # was reserved in FIX 4.1, added in FIX 4.3)
Multileg instrument's individual leg security's CreditRating.
See CreditRating (255) field for description
(Note tag # was reserved in FIX 4.1, added in FIX 4.3)
Driver and part of trade in the event that the Security Master file was wrong at the point of entry(Note tag # was reserved in FIX 4.1, added in FIX 4.3)
Not Traded Flat
Traded Flat
BasisFeatureDate allows requesting firms within fixed income the ability to request an alternative yield-to-worst, -maturity, -extended or other call. This flows through the confirm process.
(Note tag # was reserved in FIX 4.1, added in FIX 4.3)
(prior to FIX 4.4 field was of type UTCDate)
Price for BasisFeatureDate.
See BasisFeatureDate (259)
(Note tag # was reserved in FIX 4.1, added in FIX 4.3)
Unique identifier for Market Data Request
Subscription Request Type
Snapshot
Snapshot + Updates (Subscribe)
Disable previous Snapshot + Update Request (Unsubscribe)
Depth of market for Book Snapshot / Incremental updates
0 - full book depth
1 - top of book
2 and above - book depth (number of levels)
Specifies the type of Market Data update.
Full refresh
Incremental refresh
Specifies whether or not book entries should be aggregated. (Not specified) = broker option
book entries to be aggregated
book entries should not be aggregated
Number of MDEntryType (269) fields requested.
Number of entries in Market Data message.
Type of market data entry.
Bid
Offer
Trade
Index value
A reference stock index (e.g. DJIA) or benchmark rate (e.g. LIBOR).
Opening price
Closing price
Settlement price
Trading session high price
Trading session low price
Trading session Volume Weighted Average Price (VWAP)
Imbalance
Trade volume
Open interest
Composite underlying price
Simulated sell price
Simulated buy price
Margin rate
Mid-price
Empty book
Settle high price
Settle low price
Prior settle price
Session high bid
Session low offer
Early prices
Auction clearing price
Swap Value Factor (SVF) for swaps cleared through a central counterparty (CCP)
Daily value adjustment for long positions
Cumulative value adjustment for long positions
Daily value adjustment for short positions
Cumulative value adjustment for short positions
Recovery rate
Recovery rate for long positions
Recovery rate for short positions
Fixing price
Cash rate
Market bid
Market offer
Short sale minimum price
Previous closing price
Price of the Market Data Entry.
Quantity or volume represented by the Market Data Entry.
Date of Market Data Entry.
(prior to FIX 4.4 field was of type UTCDate)
Time of Market Data Entry.
Direction of the "tick".
Plus Tick
Zero-Plus Tick
Minus Tick
Zero-Minus Tick
Market posting quote / trade.
Valid values:
See "Appendix 6-C"
Space-delimited list of conditions describing a quote.
Open/Active
Closed/Inactive
Exchange Best
Consolidated Best
Locked
Crossed
Depth
Fast Trading
Non-Firm
Manual/Slow Quote
Outright Price
Implied Price
Depth on Offer
Depth on Bid
Closing
News Dissemination
Trading Range
Order Influx
Due to Related
News Pending
Additional Info
Additional Info due to related
Resume
View of Common
Volume Alert
Order Imbalance
Equipment Changeover
No Open / No Resume
Regular ETH
Automatic Execution
Automatic Execution ETH
Fast Market ETH
Inactive ETH
Rotation
Rotation ETH
Halt
Halt ETH
Due to News Dissemination
Due to News Pending
Trading Resume
Out of Sequence
Bid Specialist
Offer Specialist
Bid Offer Specialist
End of Day SAM
Forbidden SAM
Frozen SAM
PreOpening SAM
Opening SAM
Open SAM
Surveillance SAM
Suspended SAM
Reserved SAM
No Active SAM
Restricted
Rest of Book VWAP
Better Prices in Conditional Orders
Median Price
Full Curve
Flat Curve
Type of market data entry.
Cash (only) Market
Average Price Trade
Cash Trade (same day clearing)
Next Day (only)Market
Opening/Reopening Trade Detail
Intraday Trade Detail
Rule 127 Trade (NYSE)
Rule 155 Trade (AMEX)
Sold Last (late reporting)
Next Day Trade (next day clearing)
Opened (late report of opened trade)
Seller
Sold (out of sequence)
Stopped Stock (guarantee of price but does not execute the order)
Imbalance More Buyers (cannot be used in combination with Q)
Imbalance More Sellers (cannot be used in combination with P)
Opening Price
Bargain Condition (LSE)
Converted Price Indicator
Exchange Last
Final Price of Session
Ex-pit
Crossed
Trades resulting from manual/slow quote
Trades resulting from intermarket sweep
Volume Only
Direct Plus
Acquisition
Bunched
Distribution
Bunched Sale
Split Trade
Cancel Stopped
Cancel ETH
Cancel Stopped ETH
Out of Sequence ETH
Cancel Last ETH
Sold Last Sale ETH
Cancel Last
Sold Last Sale
Cancel Open
Cancel Open ETH
Opened Sale ETH
Cancel Only
Cancel Only ETH
Late Open ETH
Auto Execution ETH
Reopen
Reopen ETH
Adjusted
Adjusted ETH
Spread
Spread ETH
Straddle
Straddle ETH
Stopped
Stopped ETH
Regular ETH
Combo
Combo ETH
Official Closing Price
Prior Reference Price
Cancel
Stopped Sold Last
Stopped Out of Sequence
Offical Closing Price (duplicate enumeration - use 'AJ' instead)
Crossed (duplicate enumeration - use 'X' instead)
Fast Market
Automatic Execution
Form T
Basket Index
Burst Basket
Quote spread
Implied Trade
Marketplace entered trade
Multi-asset class multileg trade
Multileg-to-Multileg Trade
Short Sale Minimum Price
Benchmark
Market Model Typology (MMT) terminology: The "benchmark" price depends on a benchmark which has no current price but derived from a time series such as a VWAP.
Trade through exempt
Trade ignored prices on away markets.
Last auction price
Trade represents outcome of last auction
High price
Trade establishes new high price for the session
Low price
Trade establishes new low price for the session
Systematic internalizer
Trade conducted by systematic internalizer
Away market
Trade conducted on away market
Mid-point price
Trade represents current midpoint price
Traded before issue date
Trade conducted during subscription phase of new issue
Previous closing price
Trade represents closing price of previous business day
National Best Bid and Offer
Trade price within National Best Bid and Offer (NBBO)
Unique Market Data Entry identifier.
Type of Market Data update action.
New
Change
Delete
Delete Thru
Delete From
Overlay
Refers to a previous MDEntryID (278).
Reason for the rejection of a Market Data request.
Unknown symbol
Duplicate MDReqID
Insufficient Bandwidth
Insufficient Permissions
Unsupported SubscriptionRequestType
Unsupported MarketDepth
Unsupported MDUpdateType
Unsupported AggregatedBook
Unsupported MDEntryType
Unsupported TradingSessionID
Unsupported Scope
Unsupported OpenCloseSettleFlag
Unsupported MDImplicitDelete
Insufficient credit
Originator of a Market Data Entry
Identification of a Market Maker's location
Identification of a Market Maker's desk
Reason for deletion.
Cancellation / Trade Bust
Error
Flag that identifies a market data entry. (Prior to FIX 4.3 this field was of type char)
Daily Open / Close / Settlement entry
Session Open / Close / Settlement entry
Delivery Settlement entry
Expected entry
Entry from previous business day
Theoretical Price value
Specifies the number of days that may elapse before delivery of the security
Buying party in a trade
Selling party in a trade
Display position of a bid or offer, numbered from most competitive to least competitive, per market side, beginning with .
Identifies a firm's or a security's financial status
Bankrupt
Pending delisting
Restricted
Identifies the type of Corporate Action.
Ex-Dividend
Ex-Distribution
Ex-Rights
New
Ex-Interest
Cash Dividend
Stock Dividend
Non-Integer Stock Split
Reverse Stock Split
Standard-Integer Stock Split
Position Consolidation
Liquidation Reorganization
Merger Reorganization
Rights Offering
Shareholder Meeting
Spinoff
Tender Offer
Warrant
Special Action
Symbol Conversion
CUSIP / Name Change
Leap Rollover
Succession Event
Default Bid Size.
Default Offer Size.
The number of quote entries for a QuoteSet.
The number of sets of quotes in the message.
Identifies the status of the quote acknowledgement.
Accepted
Canceled for specific securities
Canceled for specific SecurityTypes(167)
Canceled for underlying
Canceled all
Rejected
Removed from market
Expired
Query
Quote not found
Pending
Pass
Locked market warning
Crossed market warning
Canceled due to locked market
Canceled due to crossed market
Active
Canceled
Unsolicited quote replenishment
Pending end trade
Too late to end
Traded
Traded and removed
Identifies the type of quote cancel.
Cancel for one or more securities
Cancel for Security Type(s)
Cancel for underlying security
Cancel All Quotes
Cancel specified single quote
Cancel single quote specified in QuoteID(117) or SecondaryQuoteID(1751)
Cancel by type of quote
Cancel quotes by type of quote specified in QuoteType(537)
Cancel for Security Issuer
Cancel for Issuer of Underlying Security
Unique identifier for a quote. The QuoteEntryID stays with the quote as a static identifier even if the quote is updated.
Reason Quote was rejected:
Unknown symbol (security)
Exchange (security) closed
Quote Request exceeds limit
Too late to enter
Unknown quote
Duplicate quote
Invalid bid/ask spread
Invalid price
Not authorized to quote security
Price exceeds current price band
Quote locked - unable to update/cancel
Other
Invalid or unknown security issuer
Invalid or unknown issuer of underlying security
Notional value exceeds threshold
Price exceeds current price band
Reference price not available
Insufficient credit limit
Exceeded clip size limit
Exceeded maximum notional order amount
Exceeded DV01/PV01 limit
Exceeded CS01 limit
Level of Response requested from receiver of quote messages. A default value should be bilaterally agreed.
No Acknowledgement
Acknowledge only negative or erroneous quotes
Acknowledge each quote message
Summary Acknowledgement
Unique id for the Quote Set.
Indicates the type of Quote Request being generated
Manual
Automatic
Confirm quote
Total number of quotes for the quote set.
Underlying security's SecurityIDSource.
Valid values: see SecurityIDSource (22) field
Underlying security's Issuer.
See Issuer (06) field for description
Description of the Underlying security.
See SecurityDesc(107).
Underlying security's SecurityExchange. Can be used to identify the underlying security.
Valid values: see SecurityExchange (207)
Underlying security's SecurityID.
See SecurityID (48) field for description
Underlying security's SecurityType.
Valid values: see SecurityType (167) field
(see below for details concerning this fields use in conjunction with SecurityType=REPO)
The following applies when used in conjunction with SecurityType=REPO
Represents the general or specific type of security that underlies a financing agreement
Valid values for SecurityType=REPO:
If bonds of a particular issuer or country are wanted in an Order or are in the basket of an Execution and the SecurityType is not granular enough, include the UnderlyingIssuer (306), UnderlyingCountryOfIssue (592), UnderlyingProgram, UnderlyingRegType and/or < UnderlyingStipulations > block e.g.:
Underlying security's Symbol.
See Symbol (55) field for description
Underlying security's SymbolSfx.
See SymbolSfx (65) field for description
Underlying security's MaturityMonthYear. Can be used with standardized derivatives vs. the UnderlyingMaturityDate (542) field.
See MaturityMonthYear (200) field for description
Put or call indicator of the underlying security.
See PutOrCall(201).
Underlying security's StrikePrice.
See StrikePrice (202) field for description
Underlying security's OptAttribute.
See OptAttribute (206) field for description
Underlying security's Currency.
See Currency (5) field for description and valid values
Unique ID of a Security Definition Request.
Type of Security Definition Request.
Request Security identity and specifications
Request Security identity for the specifications provided (name of the security is not supplied)
Request List Security Types
Request List Securities (can be qualified with Symbol, SecurityType, TradingSessionID, SecurityExchange. If provided then only list Securities for the specific type.)
Symbol
SecurityType and or CFICode
Product
TradingSessionID
All Securities
MarketID or MarketID + MarketSegmentID
Unique ID of a Security Definition message.
Type of Security Definition message response.
Accept security proposal as-is
Accept security proposal with revisions as indicated in the message
List of security types returned per request
List of securities returned per request
Reject security proposal
Cannot match selection criteria
Unique ID of a Security Status Request or a Security Mass Status Request message.
Indicates whether or not message is being sent as a result of a subscription request or not.
Message is being sent as a result of a prior request
Message is being sent unsolicited
Identifies the trading status applicable to the transaction.
Opening delay
Trading halt
Resume
No Open / No Resume
Price indication
Trading Range Indication
Market Imbalance Buy
Market Imbalance Sell
Market on Close Imbalance Buy
Market on Close Imbalance Sell
No Market Imbalance
No Market on Close Imbalance
ITS Pre-opening
New Price Indication
Trade Dissemination Time
Ready to trade (start of session)
Not available for trading (end of session)
Not traded on this market
Unknown or Invalid
Pre-open
Opening Rotation
Fast Market
Pre-Cross - system is in a pre-cross state allowing market to respond to either side of cross
Cross - system has crossed a percentage of the orders and allows market to respond prior to crossing remaining portion
Post-close
No-cancel
Denotes the reason for the Opening Delay or Trading Halt.
News Dissemination
Order Influx
Order Imbalance
Additional Information
News Pending
Equipment Changeover
Indicates whether or not the halt was due to Common Stock trading being halted.
Halt was not related to a halt of the common stock
Halt was due to common stock being halted
Indicates whether or not the halt was due to the Related Security being halted.
Halt was not related to a halt of the related security
Halt was due to related security being halted
Quantity bought.
Quantity sold.
Represents an indication of the high end of the price range for a security prior to the open or reopen
Represents an indication of the low end of the price range for a security prior to the open or reopen
Identifies the type of adjustment.
Cancel
Error
Correction
Unique ID of a Trading Session Status message.
Identifier for a trading session.
A trading session spans an extended period of time that can also be expressed informally in terms of the trading day. Usage is determined by market or counterparties.
To specify good for session where session spans more than one calendar day, use TimeInForce = 0 (Day) in conjunction with TradingSessionID(336).
Bilaterally agreed values of data type "String" that start with a character can be used for backward compatibility.
Day
HalfDay
Morning
Afternoon
Evening
After-hours
Holiday
Identifies the trader (e.g. "badge number") of the ContraBroker.
Method of trading
Electronic
Open Outcry
Two Party
Trading Session Mode
Testing
Simulated
Production
State of the trading session.
Unknown
Halted
Open
Closed
Pre-Open
Pre-Close
Request Rejected
Starting time of the trading session
Time of the opening of the trading session
Time of the pre-closed of the trading session
Closing time of the trading session
End time of the trading session
Number of orders in the market.
Type of message encoding (non-ASCII (non-English) characters) used in a message's "Encoded" fields.
Byte length of encoded (non-ASCII characters) EncodedIssuer (349) field.
Encoded (non-ASCII characters) representation of the Issuer field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the Issuer field.
Byte length of encoded (non-ASCII characters) EncodedSecurityDesc (351) field.
Encoded (non-ASCII characters) representation of the SecurityDesc (107) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the SecurityDesc field.
Byte length of encoded (non-ASCII characters) EncodedListExecInst (353) field.
Encoded (non-ASCII characters) representation of the ListExecInst (69) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the ListExecInst field.
Byte length of encoded (non-ASCII characters) EncodedText (355) field.
Encoded (non-ASCII characters) representation of the Text (58) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the Text(58) field.
Byte length of encoded (non-ASCII characters) EncodedSubject (357) field.
Encoded (non-ASCII characters) representation of the Subject (147) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the Subject field.
Byte length of encoded (non-ASCII characters) EncodedHeadline (359) field.
Encoded (non-ASCII characters) representation of the Headline (148) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the Headline field.
Byte length of encoded (non-ASCII characters) EncodedAllocText (361) field.
Encoded (non-ASCII characters) representation of the AllocText (161) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the AllocText field.
Byte length of encoded (non-ASCII characters) EncodedUnderlyingIssuer (363) field.
Encoded (non-ASCII characters) representation of the UnderlyingIssuer (306) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the UnderlyingIssuer field.
Byte length of encoded (non-ASCII characters) EncodedUnderlyingSecurityDesc (365) field.
Encoded (non-ASCII characters) representation of the UnderlyingSecurityDesc (307) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the UnderlyingSecurityeDesc field.
Executed price for an AllocAccount (79) entry used when using "executed price" vs. "average price" allocations (e.g. Japan).
Indicates expiration time of this particular QuoteSet (always expressed in UTC (Universal Time Coordinated, also known as "GMT")
Reason Quote Entry was rejected:
The last MsgSeqNum (34) value received by the FIX engine and processed by downstream application, such as trading engine or order routing system. Can be specified on every message sent. Useful for detecting a backlog with a counterparty.
The tag number of the FIX field being referenced.
The MsgType (35) of the FIX message being referenced.
Code to identify reason for a session-level Reject message.
Invalid Tag Number
Required Tag Missing
Tag not defined for this message type
Undefined tag
Tag specified without a value
Value is incorrect (out of range) for this tag
Incorrect data format for value
Decryption problem
Signature problem
CompID problem
SendingTime Accuracy Problem
Invalid MsgType
XML Validation Error
Tag appears more than once
Tag specified out of required order
Repeating group fields out of order
Incorrect NumInGroup count for repeating group
Non "Data" value includes field delimiter (<SOH> character)
Invalid/Unsupported Application Version
Other
Identifies the Bid Request message type.
Cancel
New
Identifies contra broker. Standard NASD market-maker mnemonic is preferred.
ID used to represent this transaction for compliance purposes (e.g. OATS reporting).
Indicates whether or not the order was solicited.
Was not solicited
Was solicited
The reason for restatement when an ExecutionReport(35=8) or TradeCaptureReport(35=AE) message is sent with ExecType(150) = D (Restated) or used when communicating an unsolicited cancel.
GT corporate action
GT renewal / restatement (no corporate action)
Verbal change
Repricing of order
Broker option
Partial decline of OrderQty (e.g. exchange initiated partial cancel)
Cancel on Trading Halt
Cancel on System Failure
Market (Exchange) option
Canceled, not best
Warehouse Recap
Peg Refresh
Other
Cancel On Connection Loss
Cancel On Logout
Assign Time Priority
Cancelled, Trade Price Violation
Cancelled, Cross Imbalance
The value of the business-level "ID" field on the message being referenced.
Code to identify reason for a Business Message Reject message.
Other
Unknown ID
Unknown Security
Unsupported Message Type
Application not available
Conditionally required field missing
Not Authorized
DeliverTo firm not available at this time
Invalid price increment
Throttle limit exceeded
Throttle limit exceeded, session will be disconnected
Throttled messages rejected on request
Total amount traded (i.e. quantity * price) expressed in units of currency. For FX Futures this is used to express the notional value of a fill when quantity fields are expressed in terms of contract size (i.e. quantity * price * contract size).
The number of ContraBroker (375) entries.
Maximum number of bytes supported for a single message.
Number of MsgTypes (35) in repeating group.
Specifies the direction of the messsage.
Receive
Send
Number of TradingSessionIDs (336) in repeating group.
Total volume (quantity) traded.
Code to identify the price a DiscretionOffsetValue (389) is related to and should be mathematically added to.
Related to displayed price
Related to market price
Related to primary price
Related to local primary price
Related to midpoint price
Related to last trade price
Related to VWAP
Average Price Guarantee
Amount (signed) added to the "related to" price specified via DiscretionInst (388), in the context of DiscretionOffsetType (842)
(Prior to FIX 4.4 this field was of type PriceOffset)
For bid lists, unique identifier for BidResponse(35=I) as assigned by sell-side (broker, exchange, ECN). Uniqueness must be guaranteed within a single trading day.
For quotes, unique identifier for the bid side of the quote assigned by the quote issuer.
Unique identifier for a Bid Request as assigned by institution. Uniqueness must be guaranteed within a single trading day.
Descriptive name for list order.
Total number of securities.
(Prior to FIX 4.4 this field was named TotalNumSecurities)
Code to identify the type of Bid Request.
"Non Disclosed" style (e.g. US/European)
"Disclosed" sytle (e.g. Japanese)
No bidding process
Total number of tickets.
Amounts in currency
Amounts in currency
Number of BidDescriptor (400) entries.
Code to identify the type of BidDescriptor (400).
Sector
Country
Index
BidDescriptor value. Usage depends upon BidDescriptorTyp (399).
If BidDescriptorType = 1
Industrials etc - Free text
If BidDescriptorType = 2
"FR" etc - ISO Country Codes
If BidDescriptorType = 3
FT00, FT250, STOX - Free text
Code to identify which "SideValue" the value refers to. SideValue1 and SideValue2 are used as opposed to Buy or Sell so that the basket can be quoted either way as Buy or Sell.
Side Value 1
Side Value 2
Liquidity indicator or lower limit if TotalNumSecurities (393) > 1. Represented as a percentage.
Upper liquidity indicator if TotalNumSecurities (393) > 1. Represented as a percentage.
Value between LiquidityPctLow (402) and LiquidityPctHigh (403) in Currency
Eg Used in EFP trades 2% (EFP - Exchange for Physical ). Represented as a percentage.
Used in EFP trades
Used in EFP trades. Represented as a percentage.
Used in EFP trades
Code to identify the type of liquidity indicator.
5-day moving average
20-day moving average
Normal market size
Other
Overall weighted average liquidity expressed as a % of average daily volume. Represented as a percentage.
Indicates whether or not to exchange for phsyical.
False
True
Value of stocks in Currency
Percentage of program that crosses in Currency. Represented as a percentage.
Code to identify the desired frequency of progress reports.
Buy-side explicitly requests status using Statue Request (default), the sell-side firm can, however, send a DONE status List STatus Response in an unsolicited fashion
Sell-side periodically sends status using List Status. Period optionally specified in ProgressPeriod.
Real-time execution reports (to be discourage)
Time in minutes between each ListStatus report sent by SellSide. Zero means don't send status.
Code to represent whether value is net (inclusive of tax) or gross.
Net
Gross
Indicates the total number of bidders on the list
Code to represent the type of trade.
(Prior to FIX 4.4 this field was named "TradeType")
Agency
VWAP Guarantee
Guaranteed Close
Risk Trade
Code to represent the basis price type.
Closing price at morning session
Closing price
Current price
SQ
VWAP through a day
VWAP through a morning session
VWAP through an afternoon session
VWAP through a day except "YORI" (an opening auction)
VWAP through a morning session except "YORI" (an opening auction)
VWAP through an afternoon session except "YORI" (an opening auction)
Strike
Open
Others
Indicates the number of list entries.
ISO Country Code in field
Total number of strike price entries across all messages. Should be the sum of all NoStrikes (428) in each message that has repeating strike price entries related to the same ListID (66). Used to support fragmentation.
Code to represent the price type.
For Financing transactions PriceType(423) implies the "repo type" - Fixed or Floating - 9 (Yield) or 6 (Spread) respectively - and Price(44) gives the corresponding "repo rate".
See Volume 1 "Glossary" for further value definitions.
Percentage (i.e. percent of par) (often called "dollar price" for fixed income)
Per unit (i.e. per share or contract)
Fixed amount (absolute value)
Discount - percentage points below par
Premium - percentage points over par
Spread (basis points spread)
Usually the difference in yield between two switched bonds or a corporate bond traded spread-to-benchmark.
TED Price
TED Yield
Yield
Fixed cabinet trade price (primarily for listed futures and options)
Variable cabinet trade price (primarily for listed futures and options)
Product ticks in halves
Product ticks in fourths
Product ticks in eighths
Product ticks in sixteenths
Product ticks in thirty-seconds
Product ticks in sixty-fourths
Product ticks in one-twenty-eighths
Normal rate representation (e.g. FX rate)
Inverse rate representation (e.g. FX rate)
Basis points
When the price is not spread based.
Up front points
Used specifically for CDS pricing.
Interest rate
When the price is an interest rate. For example, used with benchmark reference rate.
Price spread
Price spread is expressed based on market convention for the asset being priced or traded. For example, the difference between the prices of a multileg switch or strategy expressed in basis points for a CDS or TBA roll; a price value to be added to a reference price, such as a "pay up" for specified pools
Percentage of notional
For GT orders, the OrderQty (38) less all quantity (adjusted for stock splits) that traded on previous days. DayOrderQty (424) = OrderQty - (CumQty (14) - DayCumQty (425))
Quantity on a GT order that has traded today.
The average price for quantity on a GT order that has traded today.
Code to identify whether to book out executions on a part-filled GT order on the day of execution or to accumulate.
Book out all trades on day of execution
Accumulate executions until order is filled or expires
Accumulate until verbally notified otherwise
Number of list strike price entries.
Code to represent the status type.
Ack
Response
Timed
Exec Started
All Done
Alert
Code to represent whether value is net (inclusive of tax) or gross.
Net
Gross
Code to represent the status of a list order.
In bidding process
Received for execution
Executing
Cancelling
Alert
All Done
Reject
Date of order expiration (last day the order can trade), always expressed in terms of the local market date. The time at which the order expires is determined by the local market's business practices
Identifies the type of ListExecInst (69).
Immediate
Wait for Execut Instruction (i.e. a List Execut message or phone call before proceeding with execution of the list)
Exchange/switch CIV order - Sell driven
Exchange/switch CIV order - Buy driven, cash top-up (i.e. additional cash will be provided to fulfill the order)
Exchange/switch CIV order - Buy driven, cash withdraw (i.e. additional cash will not be provided to fulfill the order)
Identifies the type of request that a Cancel Reject is in response to.
Order cancel request
Order cancel/replace request
Underlying security's CouponRate.
See CouponRate (223) field for description
Underlying security's ContractMultiplier.
See ContractMultiplier (231) field for description
Quantity traded with the ContraBroker (375).
Identifes the time of the trade with the ContraBroker (375). (always expressed in UTC (Universal Time Coordinated, also known as "GMT")
Number of Securites between LiquidityPctLow (402) and LiquidityPctHigh (403) in Currency.
Used to indicate how the multi-legged security (e.g. option strategies, spreads, etc.) is being reported.
Single security (default if not specified)
Individual leg of a multi-leg security
Multi-leg security
The time at which current market prices are used to determine the value of a basket.
Free format text string related to List Status.
Byte length of encoded (non-ASCII characters) EncodedListStatusText (446) field.
Encoded (non-ASCII characters) representation of the ListStatusText (444) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the ListStatusText field.
Identifies class or source of the PartyID (448) value. Required if PartyID is specified. Note: applicable values depend upon PartyRole (452) specified.
See "Appendix 6-G - Use of <Parties> Component Block"
UK National Insurance or Pension Number
US Social Security Number
US Employer or Tax ID Number
Australian Business Number
Australian Tax File Number
Korean Investor ID
Taiwanese Qualified Foreign Investor ID QFII/FID
Taiwanese Trading Acct
Malaysian Central Depository (MCD) number
Chinese Investor ID
Directed broker three character acronym as defined in ISITC "ETC Best Practice" guidelines document
BIC (Bank Identification Code - SWIFT managed) code (ISO9362 - See "Appendix 6-B")
Generally accepted market participant identifier (e.g. NASD mnemonic)
Proprietary / Custom code
Custom ID schema used between counterparties, trading platforms and repositories.
ISO Country Code
Settlement Entity Location (note if Local Market Settlement use "E=ISO Country Code") (see "Appendix 6-G" for valid values)
MIC (ISO 10383 - Market Identificer Code) (See "Appendix 6-C")
CSD participant/member code (e.g.. Euroclear, DTC, CREST or Kassenverein number)
Tax ID
Australian Company Number
Australian Registered Body Number
CFTC reporting firm identifier
Legal Entity Identifier (ISO 17442) LEI
Interim identifier
An interim entity identifier assigned by a regulatory agency prior to an LEI (ISO 17442) being assigned.
Party identifier/code. See PartyIDSource (447) and PartyRole (452).
See "Appendix 6-G - Use of <Parties> Component Block"
Net change from previous day's closing price vs. last traded price.
Identifies the type or role of the PartyID (448) specified.
See "Appendix 6-G - Use of <Parties> Component Block"
(see Volume : "Glossary" for value definitions)
Executing Firm (formerly FIX 4.2 ExecBroker)
Broker of Credit (formerly FIX 4.2 BrokerOfCredit)
Client ID (formerly FIX 4.2 ClientID)
Clearing Firm (formerly FIX 4.2 ClearingFirm)
Investor ID
Introducing Firm
Entering Firm
Locate / Lending Firm (for short-sales)
Fund Manager Client ID (for CIV)
Settlement Location (formerly FIX 4.2 SettlLocation)
Order Origination Trader (associated with Order Origination Firm - i.e. trader who initiates/submits the order)
Executing Trader (associated with Executing Firm - actually executes)
Order Origination Firm (e.g. buy-side firm)
Giveup Clearing Firm (firm to which trade is given up)
Correspondant Clearing Firm
Executing System
Contra Firm
Contra Clearing Firm
Sponsoring Firm
Underlying Contra Firm
Clearing Organization
Exchange
Identify using PartyIDSource(tag 447) = G (Market Identifier Code) if the MIC exists.
Customer Account
Correspondent Clearing Organization
Correspondent Broker
Buyer/Seller (Receiver/Deliverer)
Custodian
Intermediary
Agent
Sub-custodian
Beneficiary
Interested party
Regulatory body
In the context of regulatory reporting, this identifies the regulator the trade is being reported to.
Liquidity provider
Entering trader
Contra trader
Position account
The account which positions are maintained. Typically represents the aggregation of one or more customer accounts.
Contra Investor ID
Transfer to Firm
Contra Position Account
Contra Exchange
Internal Carry Account
Order Entry Operator ID
Secondary Account Number
Foreign Firm
Third Party Allocation Firm
Claiming Account
Asset Manager
Pledgor Account
Pledgee Account
Large Trader Reportable Account
Trader mnemonic
Sender Location
Session ID
Acceptable Counterparty
Unacceptable Counterparty
Entering Unit
Executing Unit
Introducing Broker
Quote originator
Report originator
Systematic internaliser (SI)
Multilateral Trading Facility (MTF)
Identify using PartyIDSource(tag 447) = G (Market Identifier Code) if the MIC exists.
Regulated Market (RM)
Identify using PartyIDSource(tag 447) = G (Market Identifier Code) if the MIC exists.
Market Maker
Investment Firm
Host Competent Authority (Host CA)
Home Competent Authority (Home CA)
Competent Authority of the most relevant market in terms of liquidity (CAL)
Competent Authority of the Transaction (Execution) Venue (CATV)
Reporting intermediary (medium/vendor via which report has been published)
Execution Venue
Identify using PartyIDSource(tag 447) = G (Market Identifier Code) if the MIC exists.
Market data entry originator
Location ID
Desk ID
Market data market
Allocation Entity
Prime Broker providing General Trade Services
Step-Out Firm (Prime Broker)
BrokerClearingID
Central Registration Depository (CRD)
Clearing Account
Acceptable Settling Counterparty
Unacceptable Settling Counterparty
CLS Member Bank
In Concert Group
In Concert Controlling Entity
Large Positions Reporting Account
Settlement Firm
Settlement account
The account to which individual payment obligations are aggregated for netting and funds movement. Typically represents the aggregation of many margin (performance bond) accounts.
Reporting Market Center
Related Reporting Market Center
Away Market
Identify using PartyIDSource(tag 447) = G (Market Identifier Code) if the MIC exists.
Give-up (trading) firm
Take-up (trading) firm
Give-up clearing firm
Take-up clearing firm
Originating Market
Identifies the Market using PartyIDSource(tag 447) = G (Market Identifier Code) where an order originated in the event that the order is sent to an alternative market for execution. Serves as an inverse of an away market.
Margin account
Also referred to as "performance bond account". The margin account is the calculated margin requirements. Typically represents the aggregation of one or more position accounts.
Collateral asset account
The account at which individual collateral assets are maintained. Typically, although not always, one-for-one with the settlement account.
Data repository
Multiple instances of this PartyRole may appear for reporting purposes.
Calculation agent
Sender of exercise notice
Receiver of exercise notice
Rate reference bank
The bank providing the reference rate. Multiple instance of this PartyRole may appear.
Correspondent
Beneficiary's bank or depository institution
The institution in which the beneficiary, a person or an entity, has their account with. The institution may be a bank or non-bank institution.
Borrower
Primary obligator
Guarantor
Excluded reference entity
Determining party
Hedging party
Reporting entity
The entity that is reporting the information.
Sales person
The person who is involved in the sales activities for their firm.
Operator
The person who has the capabilities and authorization to take certain actions; for example, setting entitlements, etc.
Central Securities Depository (CSD)
International Central Securities Depository (ICSD)
Number of PartyID (448), PartyIDSource (447), and PartyRole (452) entries
Number of SecurityAltID (455) entries.
Alternate Security identifier value for this security of SecurityAltIDSource (456) type (e.g. CUSIP, SEDOL, ISIN, etc). Requires SecurityAltIDSource.
Identifies class or source of the SecurityAltID (455) value. Required if SecurityAltID is specified.
Valid values:
Same valid values as the SecurityIDSource (22) field
Number of UnderlyingSecurityAltID (458) entries.
Alternate Security identifier value for this underlying security of UnderlyingSecurityAltIDSource (459) type (e.g. CUSIP, SEDOL, ISIN, etc). Requires UnderlyingSecurityAltIDSource.
Identifies class or source of the UnderlyingSecurityAltID (458) value. Required if UnderlyingSecurityAltID is specified.
Valid values:
Same valid values as the SecurityIDSource (22) field
Indicates the type of product the security is associated with. See also the CFICode (461) and SecurityType (167) fields.
AGENCY
COMMODITY
CORPORATE
CURRENCY
EQUITY
GOVERNMENT
INDEX
LOAN
MONEYMARKET
MORTGAGE
MUNICIPAL
OTHER
FINANCING
Indicates the type of security using ISO 10962 standard, Classification of Financial Instruments (CFI code) values. ISO 10962 is maintained by ANNA (Association of National Numbering Agencies) acting as Registration Authority. See "Appendix 6-B FIX Fields Based Upon Other Standards". See also the Product (460) and SecurityType (167) fields. It is recommended that CFICode be used instead of SecurityType (167) for non-Fixed Income instruments.
A subset of possible values applicable to FIX usage are identified in "Appendix 6-D CFICode Usage - ISO 10962 Classification of Financial Instruments (CFI code)"
Underlying security's Product.
Valid values: see Product(460) field
Underlying security's CFICode.
Valid values: see CFICode (461) field
Indicates whether or not this FIX Session is a "test" vs. "production" connection. Useful for preventing "accidents".
False (production)
True (test)
Common reference passed to a post-trade booking process (e.g. industry matching utility).
Unique identifier for a specific NoAllocs (78) repeating group instance (e.g. for an AllocAccount).
Specifies which direction to round For CIV - indicates whether or not the quantity of shares/units is to be rounded and in which direction where CashOrdQty (152) or (for CIV only) OrderPercent (516) are specified on an order.
The default is for rounding to be at the discretion of the executing broker or fund manager.
e.g. for an order specifying CashOrdQty or OrderPercent if the calculated number of shares/units was 325.76 and RoundingModulus (469) was 0 - "round down" would give 320 units, 1 - "round up" would give 330 units and "round to nearest" would give 320 units.
Round to nearest
Round down
Round up
For CIV - a float value indicating the value to which rounding is required.
i.e. 0 means round to a multiple of 0 units/shares; 0.5 means round to a multiple of 0.5 units/shares.
The default, if RoundingDirection (468) is specified without RoundingModulus, is to round to a whole unit/share.
ISO Country code of instrument issue (e.g. the country portion typically used in ISIN). Can be used in conjunction with non-ISIN SecurityID (48) (e.g. CUSIP for Municipal Bonds without ISIN) to provide uniqueness.
A two-character state or province abbreviation.
Identifies the locale or region of issue.
For Municipal Security Issuers other than state or province. Refer to http://www.atmos.albany.edu/cgi/stagrep-cgi. Reference the IATA city codes for values. Note IATA (International Air Transport Association) maintains the codes at www.iata.org. For other securities the value may be a region of the issuer, e.g. North America.
The number of registration details on a Registration Instructions message
Set of Correspondence address details, possibly including phone, fax, etc.
The ISO 366 Country code (2 character) identifying which country the beneficial investor is resident for tax purposes.
"Settlement Payment Reference" - A free format Payment reference to assist with reconciliation, e.g. a Client and/or Order ID number.
A code identifying the payment method for a (fractional) distribution.
13 through 998 are reserved for future use
Values above 1000 are available for use by private agreement among counterparties
CREST
NSCC
Euroclear
Clearstream
Cheque
Telegraphic Transfer
Fed Wire
Direct Credit (BECS, BACS)
ACH Credit
BPAY
High Value Clearing System HVACS
Reinvest In Fund
Specifies currency to be used for Cash Distributions see "Appendix 6-A Valid Currency Codes".
Specifies currency to be use for Commission (12) if the Commission currency is different from the Deal Currency - see "Appendix 6-A; Valid Currency Codes".
For CIV - A one character code identifying whether Cancellation rights/Cooling off period applies.
Yes
No - Execution Only
No - Waiver agreement
No - Institutional
A one character code identifying Money laundering status.
Passed
Not Checked
Exempt - Below the Limit
Exempt - Client Money Type exemption
Exempt - Authorised Credit or financial institution
Free format text to specify mailing instruction requirements, e.g. "no third party mailings".
For CIV A date and time stamp to indicate the time a CIV order was booked by the fund manager.
For derivatives a date and time stamp to indicate when this order was booked with the agent prior to submission to the VMU. Indicates the time at which the order was finalized between the buyer and seller prior to submission.
For CIV - Identifies how the execution price LastPx (31) was calculated from the fund unit/share price(s) calculated at the fund valuation point.
Bid price
Creation price
Creation price plus adjustment percent
Creation price plus adjustment amount
Offer price
Offer price minus adjustment percent
Offer price minus adjustment amount
Single price
For CIV the amount or percentage by which the fund unit/share price was adjusted, as indicated by ExecPriceType (484)
The date of birth applicable to the individual, e.g. required to open some types of tax-exempt account.
Identifies Trade Report message transaction type
(Prior to FIX 4.4 this field was of type char)
New
Cancel
Replace
Release
Reverse
Cancel Due To Back Out of Trade
The name of the payment card holder as specified on the card being used for payment.
The number of the payment card as specified on the card being used for payment.
The expiry date of the payment card as specified on the card being used for payment.
The issue number of the payment card as specified on the card being used for payment. This is only applicable to certain types of card.
A code identifying the Settlement payment method. 16 through 998 are reserved for future use
Values above 1000 are available for use by private agreement among counterparties
CREST
NSCC
Euroclear
Clearstream
Cheque
Telegraphic Transfer
Fed Wire
Debit Card
Direct Debit (BECS)
Direct Credit (BECS)
Credit Card
ACH Debit
ACH Credit
BPAY
High Value Clearing System (HVACS)
CHIPS
S.W.I.F.T.
CHAPS
SIC
euroSIC
For CIV - a fund manager-defined code identifying which of the fund manager's account types is required.
Free format text defining the designation to be associated with a holding on the register. Used to identify assets of a specific underlying investor using a common registration, e.g. a broker's nominee or street name.
For CIV - a code identifying the type of tax exempt account in which purchased shares/units are to be held.
30 - 998 are reserved for future use by recognized taxation authorities
999=Other
values above 1000 are available for use by private agreement among counterparties
None/Not Applicable (default)
Maxi ISA (UK)
TESSA (UK)
Mini Cash ISA (UK)
Mini Stocks And Shares ISA (UK)
Mini Insurance ISA (UK)
Current Year Payment (US)
Prior Year Payment (US)
Asset Transfer (US)
Employee - prior year (US)
Employee - current year (US)
Employer - prior year (US)
Employer - current year (US)
Non-fund prototype IRA (US)
Non-fund qualified plan (US)
Defined contribution plan (US)
Individual Retirement Account (US)
Individual Retirement Account - Rollover (US)
KEOGH (US)
Profit Sharing Plan (US)
401(k) (US)
Self-directed IRA (US)
403(b) (US)
457 (US)
Roth IRA (Fund Prototype) (US)
Roth IRA (Non-prototype) (US)
Roth Conversion IRA (Fund Prototype) (US)
Roth Conversion IRA (Non-prototype) (US)
Education IRA (Fund Prototype) (US)
Education IRA (Non-prototype) (US)
Other
Text indicating reason(s) why a Registration Instruction has been rejected.
A one character code identifying whether the Fund based renewal commission is to be waived.
No
Yes
Name of local agent bank if for cash distributions
BIC (Bank Identification Code--Swift managed) code of agent bank for cash distributions
Account number at agent bank for distributions.
Free format Payment reference to assist with reconciliation of distributions.
Name of account at agent bank for distributions.
The start date of the card as specified on the card being used for payment.
The date written on a cheque or date payment should be submitted to the relevant clearing system.
Identifies sender of a payment, e.g. the payment remitter or a customer reference number.
Registration status as returned by the broker or (for CIV) the fund manager:
Accepted
Rejected
Held
Reminder - i.e. Registration Instructions are still outstanding
Reason(s) why Registration Instructions has been rejected.
The reason may be further amplified in the RegistRejReasonCode field.
Possible values of reason code include:
Invalid/unacceptable Account Type
Invalid/unacceptable Tax Exempt Type
Invalid/unacceptable Ownership Type
Invalid/unacceptable No Reg Details
Invalid/unacceptable Reg Seq No
Invalid/unacceptable Reg Details
Invalid/unacceptable Mailing Details
Invalid/unacceptable Mailing Instructions
Invalid/unacceptable Investor ID
Invalid/unaceeptable Investor ID Source
Invalid/unacceptable Date Of Birth
Invalid/unacceptable Investor Country Of Residence
Invalid/unacceptable No Distrib Instns
Invalid/unacceptable Distrib Percentage
Invalid/unacceptable Distrib Payment Method
Invalid/unacceptable Cash Distrib Agent Acct Name
Invalid/unacceptable Cash Distrib Agent Code
Invalid/unacceptable Cash Distrib Agent Acct Num
Other
Reference identifier for the RegistID (53) with Cancel and Replace RegistTransType (54) transaction types.
Set of Registration name and address details, possibly including phone, fax etc.
The number of Distribution Instructions on a Registration Instructions message
Email address relating to Registration name and address details
The amount of each distribution to go to this beneficiary, expressed as a percentage
Unique identifier of the registration details as assigned by institution or intermediary.
Identifies Registration Instructions transaction type
New
Cancel
Replace
For CIV - a date and time stamp to indicate the fund valuation point with respect to which a order was priced by the fund manager.
For CIV specifies the approximate order quantity desired. For a CIV Sale it specifies percentage of investor's total holding to be sold. For a CIV switch/exchange it specifies percentage of investor's cash realised from sales to be re-invested. The executing broker, intermediary or fund manager is responsible for converting and calculating OrderQty (38) in shares/units for subsequent messages.
The relationship between Registration parties.
Joint Investors
Tenants in Common
Joint Trustees
The number of Contract Amount details on an Execution Report message
Type of ContAmtValue (520).
NOTE That Commission Amount / % in Contract Amounts is the commission actually charged, rather than the commission instructions given in Fields 2/3.
Commission amount (actual)
Commission percent (actual)
Initial Charge Amount
Initial Charge Percent
Discount Amount
Discount Percent
Dilution Levy Amount
Dilution Levy Percent
Exit Charge Amount
Exit Charge Percent
Fund-Based Renewal Commission Percent (a.k.a. Trail commission)
Projected Fund Value (i.e. for investments intended to realise or exceed a specific future value)
Fund-Based Renewal Commission Amount (based on Order value)
Fund-Based Renewal Commission Amount (based on Projected Fund value)
Net Settlement Amount
Value of Contract Amount, e.g. a financial amount or percentage as indicated by ContAmtType (519).
Specifies currency for the Contract amount if different from the Deal Currency - see "Appendix 6-A; Valid Currency Codes".
Identifies the type of owner.
Individual investor
Public company
Private company
Individual trustee
Company trustee
Pension plan
Custodian under Gifts to Minors Act
Trusts
Fiduciaries
Networking sub-account
Non-profit organization
Corporate body
Nominee
Institutional customer
Combined
Representing more than one type of beneficial owner account.
Member firm employee or associated person
Market making account
Proprietary account
Non-broker-dealer
Unknown beneficial owner type
Error account of firm
Sub-identifier (e.g. Clearing Account for PartyRole (452)=Clearing Firm, Locate ID # for PartyRole=Locate/Lending Firm, etc). Not required when using PartyID (448), PartyIDSource (447), and PartyRole.
PartyID value within a nested repeating group.
Same values as PartyID (448)
PartyIDSource value within a nested repeating group.
Same values as PartyIDSource (447)
Assigned by the party which originates the order. Can be used to provide the ClOrdID (11) used by an exchange or executing system.
Assigned by the party which accepts the order. Can be used to provide the ExecID (17) used by an exchange or executing system.
Designates the capacity of the firm placing the order.
(as of FIX 4.3, this field replaced Rule80A (tag 47) --used in conjunction with OrderRestrictions (529) field)
(see Volume : "Glossary" for value definitions)
Agency
Proprietary
Individual
Principal
For some markets Principal may include Proprietary.
Riskless Principal
Agent for Other Member
Mixed capacity
Restrictions associated with an order. If more than one restriction is applicable to an order, this field can contain multiple instructions separated by space.
Program Trade
Index Arbitrage
Non-Index Arbitrage
Competing Market Maker
Acting as Market Maker or Specialist in the security
Acting as Market Maker or Specialist in the underlying security of a derivative security
Foreign Entity (of foreign government or regulatory jurisdiction)
External Market Participant
External Inter-connected Market Linkage
Riskless Arbitrage
Issuer Holding
Issue Price Stabilization
Non-algorithmic
Algorithmic
Cross
Insider Account
Significant Shareholder
Normal Course Issuer Bid (NCIB)
Specifies scope of Order Mass Cancel Request.
Cancel orders for a security
Cancel orders for an underlying security
Cancel orders for a Product
Cancel orders for a CFICode
Cancel orders for a SecurityType
Cancel orders for a trading session
Cancel all orders
Cancel orders for a market
Cancel orders for a market segment
Cancel orders for a security group
Cancel for Security Issuer
Cancel for Issuer of Underlying Security
Specifies the action taken by counterparty order handling system as a result of the Order Mass Cancel Request
Cancel Request Rejected - See MassCancelRejectReason (532)
Cancel orders for a security
Cancel orders for an Underlying Security
Cancel orders for a Product
Cancel orders for a CFICode
Cancel orders for a SecurityType
Cancel orders for a trading session
Cancel All Orders
Cancel orders for a market
Cancel orders for a market segment
Cancel orders for a security group
Cancel Orders for a Securities Issuer
Cancel Orders for Issuer of Underlying Security
Reason Order Mass Cancel Request was rejected
Mass Cancel Not Supported
Invalid or Unknown Security
Invalid or Unkown Underlying security
Invalid or Unknown Product
Invalid or Unknown CFICode
Invalid or Unknown SecurityType
Invalid or Unknown Trading Session
Invalid or unknown Market
Invalid or unkown Market Segment
Invalid or unknown Security Group
Other
Invalid or unknown Security Issuer
Invalid or unknown Issuer of Underlying Security
Total number of orders affected by either the OrderMassActionRequest(MsgType=CA) or OrderMassCancelRequest(MsgType=Q).
Number of affected orders in the repeating group of order ids.
OrderID(37) of an order affected by a mass cancel or mass action request.
SecondaryOrderID(198) of an order affected by a mass cancel or mass action request.
Identifies the type of quote.
An indicative quote is used to inform a counterparty of a market. An indicative quote does not result directly in a trade.
A tradeable quote is submitted to a market and will result directly in a trade against other orders and quotes in a market.
A restricted tradeable quote is submitted to a market and within a certain restriction (possibly based upon price or quantity) will automatically trade against orders. Order that do not comply with restrictions are sent to the quote issuer who can choose to accept or decline the order.
A counter quote is used in the negotiation model. See Volume 7 - Product: Fixed Income for example usage.
Indicative
Tradeable
Restricted tradeable
Counter (tradeable)
Initially tradeable
PartyRole value within a nested repeating group.
Same values as PartyRole (452)
Number of NestedPartyID (524), NestedPartyIDSource (525), and NestedPartyRole (538) entries
Total Amount of Accrued Interest for convertible bonds and fixed income
Date of maturity.
Underlying security's maturity date.
See MaturityDate (541) field for description
Values may include BIC for the depository or custodian who maintain ownership records, the ISO country code for the location of the record, or the value "ZZ" to specify physical ownership of the security (e.g. stock certificate).
Identifies whether an order is a margin order or a non-margin order. This is primarily used when sending orders to Japanese exchanges to indicate sell margin or buy to cover. The same tag could be assigned also by buy-side to indicate the intent to sell or buy margin and the sell-side to accept or reject (base on some validation criteria) the margin request.
Cash
Margin Open
Margin Close
PartySubID value within a nested repeating group.
Same values as PartySubID (523)
Specifies the market scope of the market data.
Local Market (Exchange, ECN, ATS)
National
Global
Defines how a server handles distribution of a truncated book. Defaults to broker option.
Server must send an explicit delete for bids or offers falling outside the requested MarketDepth of the request
Client has responsibility for implicitly deleting bids or offers falling outside the MarketDepth of the request
Identifier for a cross order. Must be unique during a given trading day. Recommend that firms use the order date as part of the CrossID for Good Till Cancel (GT) orders.
Type of cross being submitted to a market
All-or-none cross
A cross order which is executed completely or not at all. Both sides of the cross are treated in the same manner.
Immediate-or-cancel cross
A cross order which is immediately executed with any unfilled quantity cancelled. CrossPrioritization(550) may be used to indicate whether one side should have execution priority and any remaining quantity of the partially executed side be cancelled. Using CrossPrioritiation(550)="Y" and CrossType(549)=2(Immediate-or-cancel cross) is equivalent to non-prioritized leg having a TimeInForce(59)=3(IOC) Immediate-or-cancel.
One sided cross
A cross order which is executed on one side with any unfilled quantity remaining active. CrossPrioritization(550) may be used to indicate which side should have execution priority.
Cross executed against book
A cross order which is executed against existing orders in the order book. The quantity on one side of the cross is executed against existing orders and quotes with the same price, and any remaining quantity of the cross is executed against the other side of the cross. The two sides of the cross may have different quantities.
Basis cross
A cross order where a basket of securities or an index participation unit is transacted at prices achieved through the execution of related exchange-traded derivative instruments in an amount that will correspond to an equivalent market exposure.
Contingent cross
A cross order resulting from a paired order placed by a participant to execute an order on a security that is contingent on the execution of a second order for an offsetting volume of a related security.
Volume-weighted-average-price (VWAP) cross
A cross order for the purpose of executing a trade at a volume-weighted-average-price (VWAP) of a security traded for a continuous period on or during a trading day.
Special trading session cross
A closing price cross resulting from an order placed by a participant for execution in a special trading session at the last sale price.
Customer to customer cross
Cross order where both sides of the cross represent agency orders.
Indicates if one side or the other of a cross order should be prioritized.
The definition of prioritization is left to the market. In some markets prioritization means which side of the cross order is applied to the market first. In other markets - prioritization may mean that the prioritized side is fully executed (sometimes referred to as the side being protected).
None
Buy side is prioritized
Sell side is prioritized
CrossID of the previous cross order (NOT the initial cross order of the day) as assigned by the institution, used to identify the previous cross order in Cross Cancel and Cross Cancel/Replace Requests.
Number of Side repeating group instances.
One Side
Both Sides
Userid or username.
Password or passphrase.
Number of InstrumentLeg repeating group instances.
Currency associated with a particular Leg's quantity
Used to support fragmentation. Indicates total number of security types when multiple Security Type messages are used to return results.
Number of Security Type repeating group instances.
Identifies the type/criteria of Security List Request
Symbol
SecurityType and/or CFICode
Product
TradingSessionID
All Securities
MarketID or MarketID + MarketSegmentID
The results returned to a Security Request message
Valid request
Invalid or unsupported request
No instruments found that match selection criteria
Not authorized to retrieve instrument data
Instrument data temporarily unavailable
Request for instrument data not supported
The trading lot size of a security
The minimum order quantity (as expressed by TradeVolType(1786)) that can be submitted for a security.
Indicates the method of execution reporting requested by issuer of the order.
Report by mulitleg security only (do not report legs)
Report by multileg security and by instrument legs belonging to the multileg security
Report by instrument legs belonging to the multileg security only (do not report status of multileg security)
PositionEffect for leg of a multileg
See PositionEffect (77) field for description
CoveredOrUncovered for leg of a multileg
See CoveredOrUncovered (203) field for description
Price for leg of a multileg
See Price (44) field for description
Indicates the reason a Trading Session Status Request was rejected.
Unknown or invalid TradingSessionID
Other
Trade Capture Report Request ID
Type of Trade Capture Report.
All Trades
Matched trades matching criteria provided on request (Parties, ExecID, TradeID, OrderID, Instrument, InputSource, etc.)
Unmatched trades that match criteria
Unreported trades that match criteria
Advisories that match criteria
Indicates if the trade capture report was previously reported to the counterparty.
Not reported to counterparty
Previously reported to counterparty
Unique identifier of trade capture report
Reference identifier used with CANCEL and REPLACE transaction types.
The status of this trade with respect to matching or comparison.
Compared, matched or affirmed
Uncompared, unmatched, or unaffirmed
Advisory or alert
The point in the matching process at which this trade was matched.
One-Party Trade Report (privately negotiated trade)
Two-Party Trade Report (privately negotiated trade)
Confirmed Trade Report (reporting from recognized markets)
Auto-match
Cross Auction
Counter-Order Selection
Call Auction
Issuing/Buy Back Auction
ACT Accepted Trade
ACT Default Trade
ACT Default After M2
ACT M6 Match
Exact match on Trade Date, Stock Symbol, Quantity, Price, Trade Type, and Special Trade Indicator plus four badges and execution time (within two-minute window)
Exact match on Trade Date, Stock Symbol, Quantity, Price, Trade Type, and Special Trade Indicator, plus four badges
Exact match on Trade Date, Stock Symbol, Quantity, Price, Trade Type, and Special Trade Indicator, plus two badges and execution time (within two-minute window)
Exact match on Trade Date, Stock Symbol, Quantity, Price, Trade Type, and Special Trade Indicator, plus two badges
Exact match on Trade Date, Stock Symbol, Quantity, Price, TradeType, and Special Trade Indicator plus execution time (within two-minute window)
Compared records resulting from stamped advisories or specialist accepts/pair-offs
Summarized match using A1 exact match criteria except quantity is summaried
Summarized match using A2 exact match criteria except quantity is summarized
Summarized match using A3 exact match criteria except quantity is summarized
Summarized match using A4 exact match criteria except quantity is summarized
Summarized match using A5 exact match criteria except quantity is summarized
Exact match on Trade Date, Stock Symbol, Quantity, Price, Trade Type, and Special Trade Indicator minus badges And times: ACT M1 match
Summarized match minus badges and times: ACT M2 Match
OCS Locked In: Non-ACT
Systematic Internalizer
Auto-match with last look
Execution that arises from a match against orders or quotes which require a confirmation during continuous trading.
Cross auction with last look
Execution that arises from a match against orders or quotes which require a confirmation during an auction.
This trade is to be treated as an odd lot
If this field is not specified, the default will be "N"
Treat as round lot (default)
Treat as odd lot
Number of clearing instructions
Eligibility of this trade for clearing and central counterparty processing.
Process normally
Exclude from all netting
Bilateral netting only
Ex clearing
Special trade
Multilateral netting
Clear against central counterparty
Exclude from central counterparty
Manual mode (pre-posting and/or pre-giveup)
Automatic posting mode (trade posting to the position account number specified)
Automatic give-up mode (trade give-up to the give-up destination number specified)
Qualified Service Representative QSR
Customer trade
Self clearing
Buy-in
Type of input device or system from which the trade was entered.
Specific device number, terminal number or station where trade was entered
Number of Date fields provided in date range
Type of account associated with an order
Account is carried on customer side of the books
Account is carried on non-customer side of books
House Trader
Floor Trader
Account is carried on non-customer side of books and is cross margined
Account is house trader and is cross margined
Joint back office account (JBO)
Equities specialist
Options market maker
Options firm account
Capacity of customer placing the order.
Used by futures exchanges to indicate the CTICode (customer type indicator) as required by the US CFTC (Commodity Futures Trading Commission). May be used as required by other regulatory commissions for similar purposes.
Member trading for their own account
Clearing firm trading for its proprietary account
Member trading for another member
All other
Retail customer
An order that originated from a retail customer (a natural person). In the context of the US Securities and Exchange Commission, this also means an order originated from a natural person where, prior to submission, no change was made to the terms of the order with respect to price or side of market and the order does not originate from an algorithm or other computerized trading method.
Permits order originators to tie together groups of orders in which trades resulting from orders are associated for a specific purpose, for example the calculation of average execution price for a customer or to associate lists submitted to a broker as waves of a larger program trade.
Value assigned by issuer of Mass Status Request to uniquely identify the request
Mass Status Request Type
Status for orders for a Security
Status for orders for an Underlying Security
Status for orders for a Product
Status for orders for a CFICode
Status for orders for a SecurityType
Status for orders for a trading session
Status for all orders
Status for orders for a PartyID
Status for Security Issuer
Status for Issuer of Underlying Security
The most recent (or current) modification TransactTime (tag 60) reported on an Execution Report for the order. The OrigOrdModTime is provided as an optional field on Order Cancel Request and Order Cancel Replace Requests to identify that the state of the order has not changed since the request was issued. The use of this approach is not recommended.
Indicates order settlement period. If present, LegSettlDate (588) overrides this field. If both LegSettlType (587) and LegSettDate (588) are omitted, the default for LegSettlType (587) is 0 (Regular)
Regular is defined as the default settlement period for the particular security on the exchange of execution.
In Fixed Income the contents of this field may influence the instrument definition if the LegSecurityID (602) is ambiguous. In the US an active Treasury offering may be re-opened, and for a time one CUSIP will apply to both the current and "when-issued" securities. Supplying a value of "7" clarifies the instrument description; any other value or the absence of this field should cause the respondent to default to the active issue.
Additionally the following patterns may be uses as well as enum values
Dx = FX tenor expression for "days", e.g. "D5", where "x" is any integer > 0
Mx = FX tenor expression for "months", e.g. "M3", where "x" is any integer > 0
Wx = FX tenor expression for "weeks", e.g. "W13", where "x" is any integer > 0
Yx = FX tenor expression for "years", e.g. "Y1", where "x" is any integer > 0.
Note that for FX the tenors expressed using Dx, Mx, Wx, and Yx values do not denote business days, but calendar days.
Refer to description for SettlDate[64]
Indicates whether or not automatic booking can occur.
Can trigger booking without reference to the order initiator ("auto")
Speak with order initiator before booking ("speak first")
Accumulate
Indicates what constitutes a bookable unit.
Each partial execution is a bookable unit
Aggregate partial executions on this order, and book one trade per order
Aggregate executions for this symbol, side, and settlement date
Indicates the method of preallocation.
Pro rata
Do not pro-rata - discuss first
Underlying security's CountryOfIssue.
See CountryOfIssue (470) field for description
Underlying security's StateOrProvinceOfIssue.
See StateOrProvinceOfIssue (471) field for description
Underlying security's LocaleOfIssue.
See LocaleOfIssue (472) field for description
Underlying security's InstrRegistry.
See InstrRegistry (543) field for description
Multileg instrument's individual leg security's CountryOfIssue.
See CountryOfIssue (470) field for description
Multileg instrument's individual leg security's StateOrProvinceOfIssue.
See StateOrProvinceOfIssue (471) field for description
Multileg instrument's individual leg security's LocaleOfIssue.
See LocaleOfIssue (472) field for description
Multileg instrument's individual leg security's InstrRegistry.
See InstrRegistry (543) field for description
Multileg instrument's individual security's Symbol.
See Symbol (55) field for description
Multileg instrument's individual security's SymbolSfx.
See SymbolSfx (65) field for description
Multileg instrument's individual security's SecurityID.
See SecurityID (48) field for description
Multileg instrument's individual security's SecurityIDSource.
See SecurityIDSource (22) field for description
Multileg instrument's individual security's NoSecurityAltID.
See NoSecurityAltID (454) field for description
Multileg instrument's individual security's SecurityAltID.
See SecurityAltID (455) field for description
Multileg instrument's individual security's SecurityAltIDSource.
See SecurityAltIDSource (456) field for description
Multileg instrument's individual security's Product.
See Product (460) field for description
Multileg instrument's individual security's CFICode.
See CFICode (461) field for description
Refer to definition of SecurityType(167)
Multileg instrument's individual security's MaturityMonthYear.
See MaturityMonthYear (200) field for description
Multileg instrument's individual security's MaturityDate.
See MaturityDate (54) field for description
Multileg instrument's individual security's StrikePrice.
See StrikePrice (202) field for description
Multileg instrument's individual security's OptAttribute.
See OptAttribute (206) field for description
Multileg instrument's individual security's ContractMultiplier.
See ContractMultiplier (23) field for description
Multileg instrument's individual security's CouponRate.
See CouponRate (223) field for description
Multileg instrument's individual security's SecurityExchange.
See SecurityExchange (207) field for description
Multileg instrument's individual security's Issuer.
See Issuer (106) field for description
Multileg instrument's individual security's EncodedIssuerLen.
See EncodedIssuerLen (348) field for description
Multileg instrument's individual security's EncodedIssuer.
See EncodedIssuer (349) field for description
Description of a leg of a multileg instrument.
See SecurityDesc(107).
Multileg instrument's individual security's EncodedSecurityDescLen.
See EncodedSecurityDescLen (350) field for description
Multileg instrument's individual security's EncodedSecurityDesc.
See EncodedSecurityDesc (35) field for description
The ratio of quantity for this individual leg relative to the entire multileg security.
The side of this individual leg (multileg security).
See Side (54) field for description and values
Optional market assigned sub identifier for a trading phase within a trading session. Usage is determined by market or counterparties. Used by US based futures markets to identify exchange specific execution time bracket codes as required by US market regulations. Bilaterally agreed values of data type "String" that start with a character can be used for backward compatibility
Pre-Trading
Opening or opening auction
(Continuous) Trading
Closing or closing auction
Post-Trading
Scheduled intraday auction
Quiescent
Any auction
Unscheduled intraday auction
An unscheduled intraday auction might be triggered by a circuit breaker.
Out of main session trading
In the context of Market Model Typology "Out of main session trading" refers to both before and after session, neither auction nor continuous trading.
Private auction
An auction phase where only two parties participate.
Public auction
An auction phase where all trading parties participate.
Group auction
An auction phase limited to specific parties (e.g. parties that have resting orders in the order book).
Describes the specific type or purpose of an Allocation message (i.e. "Buyside Calculated")
(see Volume : "Glossary" for value definitions)
*** SOME VALUES HAVE BEEN REPLACED - See "Replaced Features and Supported Approach" ***
Calculated (includes MiscFees and NetMoney)
Preliminary (without MiscFees and NetMoney)
Sellside calculated using preliminary (includes MiscFees and NetMoney) (Replaced)
Sellside calculatedd without preliminary (sent unsolicited by sellside, includes MiscFees and NetMoney) (Replaced)
Ready-To-Book single order
Buyside Ready-To-Book - combined set of orders (replaced)
Warehouse instruction
Request to intermediary
Accept
Reject
Accept Pending
Incomplete group
Complete group
Reversal Pending
Reopen group
Cancel group
Give-up
Take-up
Refuse take-up
Initiate reversal
Reverse
Refuse reversal
Sub-allocation give-up
Approve give-up
Approve take-up
Number of HopCompID entries in repeating group.
Assigned value used to identify the third party firm which delivered a specific message either from the firm which originated the message or from another third party (if multiple "hops" are performed). It is recommended that this value be the SenderCompID (49) of the third party.
Applicable when messages are communicated/re-distributed via third parties which function as service bureaus or "hubs". Only applicable if OnBehalfOfCompID (115) is being used.
Time that HopCompID (628) sent the message. It is recommended that this value be the SendingTime (52) of the message sent by the third party.
Applicable when messages are communicated/re-distributed via third parties which function as service bureaus or "hubs". Only applicable if OnBehalfOfCompID (115) is being used.
Reference identifier assigned by HopCompID (628) associated with the message sent. It is recommended that this value be the MsgSeqNum (34) of the message sent by the third party.
Applicable when messages are communicated/re-distributed via third parties which function as service bureaus or "hubs". Only applicable if OnBehalfOfCompID (115) is being used.
Mid price/rate.
For OTC swaps this is the mid-market mark (for example, as defined by CFTC).
For uncleared OTC swaps, LegMidPx(2346) and the MidPx(631) fields are mutually exclusive.
Bid yield
Mid yield
Offer yield
Indicates type of fee being assessed of the customer for trade executions at an exchange. Applicable for futures markets only at this time.
(Values source CBOT, CME, NYBOT, and NYMEX):
1st year delegate trading for own account
2nd year delegate trading for own account
3rd year delegate trading for own account
4th year delegate trading for own account
5th year delegate trading for own account
6th year delegate trading for own account
CBOE Member
Non-member and Customer
Equity Member and Clearing Member
Full and Associate Member trading for own account and as floor brokers
106.H and 106.J firms
GIM, IDEM and COM Membership Interest Holders
Lessee 106.F Employees
All other ownership types
Indicates if the order is currently being worked. Applicable only for OrdStatus = "New". For open outcry markets this indicates that the order is being worked in the crowd. For electronic markets it indicates that the order has transitioned from a contingent order to a market order.
Order has been accepted but not yet in a working state
Order is currently being worked
Execution price assigned to a leg of a multileg instrument.
See LastPx (31) field for description and values
Indicates if a Cancel/Replace has caused an order to lose book priority.
Priority unchanged
Lost Priority as result of order change
Amount of price improvement.
Price of the future part of a F/X swap order.
See Price (44) for description.
F/X forward points of the future part of a F/X swap order added to LastSpotRate (94). May be a negative value.
Bid F/X forward points of the future portion of a F/X swap quote added to spot rate. May be a negative value.
Offer F/X forward points of the future portion of a F/X swap quote added to spot rate. May be a negative value.
RFQ Request ID - used to identify an RFQ Request.
Used to indicate the best bid in a market
Used to indicate the best offer in a market
Used to indicate a minimum quantity for a bid.
Used to indicate a minimum quantity for an offer. If this field is used the OfferSize (135) field is interpreted as the maximum offer size.
Unique identifier for Quote Status Request.
Indicates that this message is to serve as the final and legal confirmation.
Does not consitute a Legal Confirm
Legal Confirm
The calculated or traded price for the underlying instrument that corresponds to a derivative. Used for transactions that include the cash instrument and the derivative.
The calculated or traded quantity for the underlying instrument that corresponds to a derivative. Used for transactions that include the cash instrument and the derivative.
Unique identifier for a specific leg (uniqueness not defined as part of the FIX specification). LegRefID(654) be used to reference the value from LegID(1788).
Unique indicator for a specific leg for the ContraBroker (375).
Foreign exchange rate used to compute the bid "SettlCurrAmt" (119) from Currency (15) to SettlCurrency (120)
Foreign exchange rate used to compute the offer "SettlCurrAmt" (119) from Currency (15) to SettlCurrency (120)
Reason Quote was rejected:
Unknown Symbol (Security)
Exchange (Security) Closed
Quote Request Exceeds Limit
Too Late to enter
Invalid Price
Not Authorized To Request Quote
No Match For Inquiry
No Market For Instrument
No Inventory
Pass
Insufficient credit
Other
Exceeded clip size limit
Exceeded maximum notional order amount
Exceeded DV01/PV01 limit
Exceeded CS01 limit
ID within repeating group of sides which is used to represent this transaction for compliance purposes (e.g. OATS reporting).
Used to identify the source of the Account (1) code. This is especially useful if the account is a new account that the Respondent may not have setup yet in their system.
BIC
SID Code
TFM (GSPTA)
OMGEO (Alert ID)
DTCC Code
Other (custom or proprietary)
Used to identify the source of the AllocAccount (79) code.
See AcctIDSource (660) for valid values.
Specifies the price of the benchmark.
Identifies type of BenchmarkPrice (662).
See PriceType (423) for valid values.
Message reference for Confirmation
Identifies the status of the Confirmation.
Received
Mismatched Account
Missing Settlement Instructions
Confirmed
Request Rejected
Identifies the Confirmation transaction type.
New
Replace
Cancel
Specifies when the contract (i.e. MBS/TBA) will settle.
Identifies the form of delivery.
Book Entry (default)
Bearer
Last price expressed in percent-of-par. Conditionally required for Fixed Income trades when LastPx (31) is expressed in Yield, Spread, Discount or any other type.
Usage: Execution Report and Allocation Report repeating executions block (from sellside).
Number of Allocations for the leg
Allocation Account for the leg
See AllocAccount (79) for description and valid values.
Reference for the individual allocation ticket
See IndividualAllocID (467) for description and valid values.
Leg allocation quantity.
See AllocQty (80) for description and valid values.
The source of the LegAllocAccount (671)
See AllocAcctIDSource (661) for description and valid values.
Identifies settlement currency for the Leg.
See SettlCurrency (20) for description and valid values
LegBenchmarkPrice (679) currency
See BenchmarkCurveCurrency (220) for description and valid values.
Name of the Leg Benchmark Curve.
See BenchmarkCurveName (22) for description and valid values.
Identifies the point on the Leg Benchmark Curve.
See BenchmarkCurvePoint (222) for description and valid values.
Used to identify the price of the benchmark security.
See BenchmarkPrice (662) for description and valid values.
The price type of the LegBenchmarkPrice(679).
Bid price of this leg.
See BidPx (32) for description and valid values.
Leg-specific IOI quantity.
See IOIQty (27) for description and valid values
Number of leg stipulation entries
Offer price of this leg.
See OfferPx (133) for description and valid values
Quantity ordered of this leg.
See OrderQty (38) for description and valid values
The price type of the LegBidPx (681) and/or LegOfferPx (684).
See PriceType (423) for description and valid values
This field is deprecated and has been replaced by LegOrderQty(865). This field will likely be removed from the FIX standard in a future version.
For Fixed Income, type of Stipulation for this leg.
See StipulationType (233) for description and valid values
For Fixed Income, value of stipulation.
See StipulationValue (234) for description and valid values
For Fixed Income, used instead of LegOrderQty(685) to requests the respondent to calculate the quantity based on the quantity on the opposite side of the swap.
Par For Par
Modified Duration
Risk
Proceeds
For Fixed Income, identifies MBS / ABS pool.
Code to represent price type requested in Quote.
If the Quote Request is for a Swap, values 1-8 apply to all legs.
Percentage (i.e. percent of par) (often called "dollar price" for fixed income)
Per unit (i.e. per share or contract)
Fixed Amount (absolute value)
Discount - percentage points below par
Premium - percentage points over par
Spread (basis points relative to benchmark)
Usually the difference in yield between two switched bonds or a corporate bond traded spread-to-benchmark.
TED Price
TED Yield
Yield Spread (swaps)
Yield
Price spread
Price spread is expressed based on market convention for the asset being priced or traded. For example: the difference between the prices of a multileg switch or strategy expressed in basis points for a CDS or TBA roll; a price value to be added to a reference price, such as a "pay up" for specified pools.
Product ticks in halves
Product ticks in fourths
Product ticks in eighths
Product ticks in sixteenths
Product ticks in thirty-seconds
Product ticks in sixty-fourths
Product ticks in one-twenty-eighths
Normal rate representation (e.g. FX rate)
Inverse rate representation (e.g. FX rate)
Basis points
When the price is not spread based
Up front points
Used specifically for CDS pricing.
Interest rate
When the price is an interest rate. For example, used with benchmark reference rate.
Percentage of notional
Message reference for Quote Response
Identifies the type of Quote Response.
Hit/Lift
Counter
Expired
Cover
Trade was done with another quote provider. Quote provider's original quoted price was the best price not traded (i.e. the cover price).
Done away
Trade was done with another quote provider.
Pass
End trade
Timed out
Tied
Trade was done with another quote provider. Quote provider's original quoted price was the same as the traded price.
Tied cover
Trade was done with another quote provider. Quote provider's original quoted price was the best price not traded. There were other quote provider(s) at the same price.
Code to qualify Quote use
See IOIQualifier (104) for description and valid values.
Date to which the yield has been calculated (i.e. maturity, par call or current call, pre-refunded date).
Price to which the yield has been calculated.
The price type of the YieldRedemptionPrice (697)
See PriceType (423) for description and valid values.
The identifier of the benchmark security, e.g. Treasury against Corporate bond.
See SecurityID (tag 48) for description and valid values.
Indicates a trade that reverses a previous trade.
Include as needed to clarify yield irregularities associated with date, e.g. when it falls on a non-business day.
Number of position entries.
Used to identify the type of quantity that is being returned.
Allocation Trade Qty
Option Assignment
As-of Trade Qty
Delivery Qty
Electronic Trade Qty
Option Exercise Qty
End-of-Day Qty
Intra-spread Qty
Inter-spread Qty
Adjustment Qty
Pit Trade Qty
Start-of-Day Qty
Integral Split
Transaction from Assignment
Total Transaction Qty
Transaction Quantity
Transfer Trade Qty
Transaction from Exercise
Cross Margin Qty
Receive Quantity
Corporate Action Adjustment
Delivery Notice Qty
Exchange for Physical Qty
Privately negotiated Trade Qty (Non-regulated)
Net Delta Qty
Credit Event Adjustment
Succession Event Adjustment
Net Qty
Gross Qty
Intraday Qty
Gross non-delta-adjusted swaption position
Delta-adjusted paired swaption position
Expiring quantity
The position quantity on expiration day after the application of trade and post trade activity, but prior to the application of exercises and assignments.
Quantity not exercised
The exercise quantity requested that was not allowed, e.g., the exercise quantity requested that exceeded the final long position.
Requested exercise quantity
The exercise quantity requested. It may differ from the exercise quantity if it exceeds the final long position.
Cash futures equivalent quantity
Long quantity.
Short quantity.
Status of this position.
Submitted
Accepted
Rejected
Type of Position amount
Cash amount (corporate event)
Cash residual amount
Final mark-to-market amount
Incremental mark-to-market
Premium amount
Start of day mark-to-market
Trade variation amount
Value adjusted amount
Settlement value
Initial trade coupon amount
Accrued coupon amount
Coupon amount
Incremental accrued coupon
Collateralized mark-to-market
Incremental collateralized mark-to-market
Compensation amount
Total banked amount
Total collateralized amount
Long paired swap or swaption notional value
Short paired swap or swaption notional value
Start-of-day accrued coupon
Net present value
Start-of-day net present value
Net cash flow
Present value of all fees
Present value of one basis points
Change in value if yield curve shifts 0.01%.
The five year equivalent notional amount
Undiscounted mark-to-market
Mark-to-model
Mark-to-market variance
Mark-to-model variance
Upfront payment
Position amount
Identifies the type of position transaction.
Exercise
Do not exercise
Position adjustment
Position change submission / margin disposition
Pledge
Large trader submission
Large positions reporting submission
Long holdings
Internal transfer
Changes due to transfer of positions within a firm.
Transfer of firm
Changes due to transfer of all positions of a firm.
External transfer
Changes due to transfer of positions between firms.
Corporate action
Notification
Information about a position that has been chosen for assignment.
Position creation
Changes due to an option exercise causing a new futures position to be created.
Close out
Information about a position that has been closed out.
Reopen
Information about a position that has been reopened, i.e. reversal of a close out.
Unique identifier for the position maintenance request as assigned by the submitter
Number of underlying legs that make up the security.
Maintenance Action to be performed.
New
Used to increment the overall transaction quantity.
Replace
Used to override the overall transaction quantity or specific add messages based on the reference ID.
Cancel
Used to remove the overall transaction quantity or specific add messages based on the reference ID.
Reverse
Used to completelly back-out the transaction such that the transaction never existed.
Reference to the PosReqID (710) of a previous maintenance request that is being replaced or canceled.
Reference to a PosMaintRptID (721) from a previous Position Maintenance Report that is being replaced or canceled.
The business date for which the trade is expected to be cleared.
Identifies a specific settlement session
Intraday
Regular Trading Hours
Electronic Trading Hours
End Of Day
SubID value associated with SettlSessID(716)
Type of adjustment to be applied. Used for Position Change Submission (PCS), Position Adjustment (PAJ), and Customer Gross Margin (CGM).
Process request as margin disposition
Delta plus
Delta minus
Final
Customer specific position
Used to indicate when a contrary instruction for exercise or abandonment is being submitted
Indicates if requesting a rollover of prior day's spread submissions.
Unique identifier for this position report
Status of Position Maintenance Request
Accepted
Accepted With Warnings
Rejected
Completed
Completed With Warnings
Result of Position Maintenance Request.
Successful Completion - no warnings or errors
Rejected
Other
Used to specify the type of position request being made.
Positions
Trades
Exercises
Assignments
Settlement Activity
Backout Message
Delta Positions
Net Position
Large Positions Reporting
Exercise Position Reporting Submission
Position Limit Reporting Submission
Identifies how the response to the request should be transmitted.
Details specified via ResponseDestination (726).
In-band (default)
Transport of the request was sent over in-band.
Out of band
Pre-arranged out-of-band delivery mechanism (e.g. FTP, HTTP, NDM, etc.) between counterparties. Details specified via ResponseDestination(726).
URI (Uniform Resource Identifier) for details) or other pre-arranged value. Used in conjunction with ResponseTransportType (725) value of Out-of-Band to identify the out-of-band destination.
See "Appendix 6-B FIX Fields Based Upon Other Standards"
Total number of Position Reports being returned.
Result of Request for Positions.
Valid request
Invalid or unsupported request
No positions found that match criteria
Not authorized to request positions
Request for position not supported
Other (use Text (58) in conjunction with this code for an explaination)
Status of Request for Positions
Completed
Completed With Warnings
Rejected
Settlement price
Type of settlement price
Final
Theoretical
Underlying security's SettlPrice.
See SettlPrice (730) field for description
Underlying security's SettlPriceType.
See SettlPriceType (731) field for description
Previous settlement price
Number of repeating groups of QuoteQualifiers (695).
Currency code of settlement denomination for a specific AllocAccount (79).
Total amount due expressed in settlement currency (includes the effect of the forex transaction) for a specific AllocAccount (79).
Amount of interest (i.e. lump-sum) at maturity.
The effective date of a new securities issue determined by its underwriters. Often but not always the same as the Issue Date and the Interest Accrual Date
For Fixed Income, identifies MBS / ABS pool for a specific leg of a multi-leg instrument.
See Pool (691) for description and valid values.
Amount of interest (i.e. lump-sum) at maturity at the account-level.
Amount of Accrued Interest for convertible bonds and fixed income at the allocation-level.
Date of delivery.
Method by which short positions are assigned to an exercise notice during exercise and assignment processing
Pro rata
Random
Quantity Increment used in performing assignment.
Open interest that was eligible for assignment.
Exercise Method used to in performing assignment.
Automatic
Manual
Total number of trade reports returned.
Result of Trade Request
Successful (default)
Invalid or unknown instrument
Invalid type of trade requested
Invalid parties
Invalid transport type requested
Invalid destination requested
TradeRequestType not supported
Not authorized
Other
Status of Trade Request.
Accepted
Completed
Rejected
Reason Trade Capture Request was rejected.
100+ Reserved and available for bi-laterally agreed upon user-defined values.
Successful (default)
Invalid party information
Unknown instrument
Unauthorized to report trades
Invalid trade type
Other
Price exceeds current price band
Reference price not available
Notional value exceeds threshold
Used to indicate if the side being reported on Trade Capture Report represents a leg of a multileg instrument or a single security.
Single Security (default if not specified)
Individual leg of a multileg security
Multileg Security
Number of position amount entries.
Identifies whether or not an allocation has been automatically accepted on behalf of the Carry Firm by the Clearing House.
Unique identifier for Allocation Report message.
Number of Nested2PartyID (757), Nested2PartyIDSource (758), and Nested2PartyRole (759) entries
PartyID value within a "second instance" Nested repeating group.
Same values as PartyID (448)
PartyIDSource value within a "second instance" Nested repeating group.
Same values as PartyIDSource (447)
PartyRole value within a "second instance" Nested repeating group.
Same values as PartyRole (452)
PartySubID value within a "second instance" Nested repeating group.
Same values as PartySubID (523)
Identifies class or source of the BenchmarkSecurityID (699) value. Required if BenchmarkSecurityID is specified.
Same values as the SecurityIDSource (22) field
Sub-type qualification/identification of the SecurityType. As an example for SecurityType(167)="REPO", the SecuritySubType="General Collateral" can be used to further specify the type of REPO.
If SecuritySubType is used then SecurityType is required.
For SecurityType="MLEG" a name of the option or futures strategy name can be specified, such as "Calendar", "Vertical", "Butterfly".
For SecurityType(167)="OPT" the subclassification can be specified, such as "Asian".
Underlying security's SecuritySubType.
See SecuritySubType (762) field for description
SecuritySubType of the leg instrument.
See SecuritySubType (762) field for description
The maximum percentage that execution of one side of a program trade can exceed execution of the other.
The maximum amount that execution of one side of a program trade can exceed execution of the other.
The currency that AllowableOneSidednessValue (766) is expressed in if AllowableOneSidednessValue is used.
Number of TrdRegTimestamp (769) entries
Traded / Regulatory timestamp value. Use to store time information required by government regulators or self regulatory organizations (such as an exchange or clearing house).
Trading / Regulatory timestamp type.
Note of Applicability: values are required in US futures markets by the CFTC to support computerized trade reconstruction.
(see Volume : "Glossary" for value definitions)
Execution time
Time in
Time out
Broker receipt
Broker execution
Desk receipt
Submission to clearing
Time priority
Orderbook entry time
Timestamp for an order representing the time it was entered in the orderbook of the execution venue. The orderbook entry tiime cannot change during the lifetime of the order.
Order submission time
Time the order was sent by the submitter.
Publicly reported
Public report updated
Non-publicly reported
Non-public report updated
Submitted for confirmation
Updated for confirmation
Confirmed
Updated for clearing
Cleared
Allocations submitted
Allocations updated
Application completed
Submitted to repository
Post-trade continuation event
Post-trade valuation
Text which identifies the "origin" (i.e. system which was used to generate the time stamp) for the Traded / Regulatory timestamp value.
Reference identifier to be used with ConfirmTransType (666) = Replace or Cancel
Identifies the type of Confirmation message being sent.
Status
Confirmation
Confirmation Request Rejected (reason can be stated in Text (58) field)
Identifies the reason for rejecting a Confirmation.
Incorrect or missing account
Incorrect or missing settlement instructions
Other
Use Text(58) for further reject reasons.
Unknown or missing IndividualAllocId(467)
Transaction not recognized
Duplicate transaction
Incorrect or missing instrument
Incorrect or missing price
Incorrect or missing commission
Incorrect or missing settlement date
Incorrect or missing fund ID or fund name
Incorrect or missing quantity
Incorrect or missing fees
Incorrect or missing tax
Incorrect or missing party
Incorrect or missing side
Incorrect or missing net-money
Incorrect or missing trade date
Incorrect or missing settlement currency instructions
Incorrect or missing capacity
Method for booking out this order. Used when notifying a broker that an order to be settled by that broker is to be booked out as an OTC derivative (e.g. CFD or similar).
Regular booking
CFD (Contract for difference)
Total Return Swap
Identified reason for rejecting an individual AllocAccount (79) detail.
Same values as AllocRejCode (88)
Unique identifier for Settlement Instruction message.
Number of settlement instructions within repeating group.
Timestamp of last update to data item (or creation if no updates made since creation).
Used to indicate whether settlement instructions are provided on an allocation instruction message, and if not, how they are to be derived.
Use default instructions
Derive from parameters provided
Full details provided
SSI DB IDs provided
Phone for instructions
Number of SettlPartyID (782), SettlPartyIDSource (783), and SettlPartyRole (784) entries
PartyID value within a settlement parties component. Nested repeating group.
Same values as PartyID (448)
PartyIDSource value within a settlement parties component.
Same values as PartyIDSource (447)
PartyRole value within a settlement parties component.
Same values as PartyRole (452)
PartySubID value within a settlement parties component.
Same values as PartySubID (523)
Type of SettlPartySubID (785) value.
Same values as PartySubIDType (803)
Used to indicate whether a delivery instruction is used for securities or cash settlement.
Cash
Securities
Type of financing termination.
Overnight
Term
Flexible
Open
Next expected MsgSeqNum value to be received.
Can be used to uniquely identify a specific Order Status Request message.
Unique ID of settlement instruction request message
Identifies reason for rejection (of a settlement instruction request message).
Unable to process request
Unknown account
No matching settlement instructions found
Other
Secondary allocation identifier. Unlike the AllocID (70), this can be shared across a number of allocation instruction or allocation report messages, thereby making it possible to pass an identifier for an original allocation message on multiple messages (e.g. from one party to a second to a third, across cancel and replace messages etc.).
Describes the specific type or purpose of an Allocation Report message
Preliminary request to intermediary
Sellside calculated using preliminary (includes MiscFees and NetMoney)
Sellside calculated without preliminary (sent unsolicited by sellside, includes MiscFees and NetMoney)
Warehouse recap
Request to intermediary
Accept
Reject
Accept Pending
Complete
Reverse Pending
Give-up
Take-up
Reversal
Alleged reversal
Sub-allocation give-up
Reference identifier to be used with AllocTransType (7) = Replace or Cancel
Reason for cancelling or replacing an Allocation Instruction or Allocation Report message
Original details incomplete/incorrect
Change in underlying order details
Other
Cancelled by give-up firm
Indicates whether or not this message is a drop copy of another message.
Type of account associated with a confirmation or other trade-level message
Account is carried pn customer side of books
Account is carried on non-customer side of books
House trader
Floor trader
Account is carried on non-customer side of books and is cross margined
Account is house trader and is cross margined
Joint back office account (JBO)
Average price for a specific order
Quantity of the order that is being booked out as part of an Allocation Instruction or Allocation Report message
Number of SettlPartySubID (785) and SettlPartySubIDType (786) entries
Number of PartySubID (523)and PartySubIDType (803) entries
Type of PartySubID(523) value.
Firm
Person
System
Application
Full legal name of firm
Postal address
Phone number
Email address
Contact name
Securities account number (for settlement instructions)
Registration number (for settlement instructions and confirmations)
Registered address (for confirmation purposes)
Regulatory status (for confirmation purposes)
Registration name (for settlement instructions)
Cash account number (for settlement instructions)
BIC
CSD participant member code
Registered address
Fund account name
Telex number
Fax number
Securities account name
Cash account name
Department
Location desk
Position account type
Security locate ID
Market maker
Eligible counterparty
Professional client
Location
Execution venue
Currency delivery identifier
Address City
Address State/Province
Address Postal Code
Address Street
Address Country (ISO country code)
ISO country code
Market segment
Customer account type
Omnibus account
Funds segregation type
Guarantee fund
Identifies a guarantee fund related to an account. Used when one account has multiple funds of collateral, each guaranteeing different positions. Can be used for PartyRole(452) = Customer Account(24).
Swap dealer
The US regulator's defined term for identifying the trade counterparty as "any person who holds itself out as a dealer in swaps, makes a market in swaps, regularly enters into swaps with counterparties as an ordinary course of business for its own account, or engages in activity causing itself to be commonly known in the trade as a dealer or market maker in swaps".
Major participant
When PartySubID(523)=Y the counterparty is not the swap dealer but is a major swap participant as defined in the regulations.
Financial entity
When PartySubID(523)=Y the counterparty is neither a swap dealer nor a major swap participant but is a financial entity as defined in the regulations.
U.S. person
A legal term referring to any U.S. person or legal entity anywhere in the world that should be taxed under U.S. law.
Reporting entity indicator
Indicates the entity obligated to report to their regulator. Set PartySubID(523)=Y if true.
Elected clearing requirement exception
Business center
Reference text
Short-marking exempt account
Parent firm identifier
Implementation-specific identifier of this party's parent entity.
Parent firm name
Full name of this party's parent entity.
Deal identifier
The internal identifier assigned to the trade by this party, particularly by a Clearing Organization.
System trade identifier
System trade sub-identifier
Futures Commission Merchant (FCM) code
The FCM's code or identifier in relation to the PartyRole(452). For example, if PartyRole(452) is the exchange or clearinghouse, the FCM code/ID specified in PartySubID(523) is the FCM's identifier at the exchange or clearinghouse.
Delivery terminal customer account/code
Usually used for gas delivery to identify whose account the gas is allocated to at the delivery terminal. Often referred to as "HUB" code.
Voluntary reporting entity
The entity voluntarily reporting the trade to the regulator. Set PartySubID(523)=Y if true.
Reporting obligation jurisdiction
For a trade that falls under multiple jurisdictions this may be used to identify, through PartySubID(523), the reporting jurisdiction to which the party is obligated to report.
Voluntary reporting jurisdiction
For a trade that falls under multiple jurisdictions this may be used to identify, through PartySubID(523), the regulatory jurisdiction to which the party is submitting a voluntary report.
Company activities
For regulatory reporting. ID values include:
A = Assurance undertaking authorized in accordance with Directive 2002/83/EC
C=Credit institution authorized in accordance with Directive 2006/48/EC
F=Investment firm in accordance with Directive 2004/39/EC
I=Insurance undertaking authorized in accordance with Directive 73/239/EC
L=Alternative investment fund managed by AIFMs authorized or registered in accordance with Directive 2011/61/EC
O=Institution for occupational retirement provision within the meaning of Article 6(a0 of Directive 2003/41/EC
R=Reinsurance undertaking authorized in accordance with Directive 2005/68/EC
U=UCITS and its management company, authorized in accordance with Directive 2009/65/EC
or blank in case of coverage by LEI or in case of non-financial counterparties.
European Economic Area domiciled
ID values: Y or N
Contract linked to commercial or treasury financing for this counterparty
ID values: Y or N
Contract above clearing threshold for this counterparty
ID values: Y or N
Voluntary reporting party
When PartySubID(523)=Y, identifies that the trading party is reporting voluntarily when VoluntaryRegulatoryReport(1935)=Y.
End user
When PartySubID(523)=Y, the counterparty is neither the swap dealer, major swap participant nor financial entity as defined in the regulations.
Location or jurisdiction
One or more instances may be used in combination with PartySubIDType(803) = 49 (Reporting entity indicator) or 102 (Data repository) to identify the jurisdiction, countries, regions or provinces for which the party is a reporting entity or data repository when that characteristic is ambiguous or where there are multiple locations. The party sub-ID value is either a jurisdiction acronym, a 2-character ISO 3166 country code, or a hyphenated combination of the country code and the standard post-office abbreviation for province, state or region if necessary. E.g. "US" for United States or "CA-QC" for Quebec Canada.
Derivatives dealer
Indicates whether the party is a derivatives dealer or not (Y/N). The Canadian regulator's defined term for identifying the trade counterparty as "a person or company engaging in or holding himself, herself or itself out as engaging in the business of trading in derivatives in Ontario as principal or agent".
Domicile
Country and optionally province, state or region of domicile. The party sub-ID value is either a 2-character ISO 3166 country code or a hyphenated combination of the country code and the standard post-office abbreviation of province, state or region if necessary. E.g. "US" for United States or "CA-QC" for Quebec Canada.
Exempt from recognition
Used with party role 21 "Clearing Organization" to indicate exemption (Y/N). Identifies a clearing agency as exempt from oversight in Ontario, i.e. one that 1) only provides limited services and does not present significant risks or 2) is foreign-based, indends to operate in Ontario but is subject to regulatory oversight in another jurisdiction.
Payer
Identifies the party as the payer of a particular payment stream or bullet payment by quoting the stream's StreamDesc(40051) (or LegStreamDesc(40243) or UnderlyingStreamDesc(40542)) or payment's PaymentDesc(43087) in the associated party sub-identifier field.
Receiver
Identifies the party as the receiver of a particular payment stream or bullet payment by quoting the stream's StreamDesc(40051) (or LegStreamDesc(40243) or UnderlyingStreamDesc(40542)) or payment's PaymentDesc(43087) in the associated party sub-identifier field.
Number of NestedPartySubID (545) and NestedPartySubIDType (805) entries
Type of NestedPartySubID (545) value.
Same values as PartySubIDType (803)
Number of Nested2PartySubID (760) and Nested2PartySubIDType (807) entries. Second instance of <NestedParties>.
Type of Nested2PartySubID (760) value. Second instance of <NestedParties>.
Same values as PartySubIDType (803)
Response to allocation to be communicated to a counterparty through an intermediary, i.e. clearing house. Used in conjunction with AllocType = "Request to Intermediary" and AllocReportType = "Request to Intermediary"
Pending Accept
Pending Release
Pending Reversal
Accept
Block Level Reject
Account Level Reject
Underlying price associate with a derivative instrument.
The rate of change in the price of a derivative with respect to the movement in the price of the underlying instrument(s) upon which the derivative instrument price is based.
This value is normally between -1.0 and 1.0.
Used to specify the maximum number of application messages that can be queued bedore a corrective action needs to take place to resolve the queuing issue.
Current number of application messages that were queued at the time that the message was created by the counterparty.
Resolution taken when ApplQueueDepth (813) exceeds ApplQueueMax (812) or system specified maximum queue size.
No Action Taken
Queue Flushed
Overlay Last
End Session
Action to take to resolve an application message queue (backlog).
No Action Taken
Queue Flushed
Overlay Last
End Session
Number of alternative market data sources
Session layer source for market data
(For the standard FIX session layer, this would be the TargetCompID (56) where market data can be obtained).
Secondary trade report identifier - can be used to associate an additional identifier with a trade.
Average Pricing Indicator
No average pricing
Trade is part of an average price group identified by the AvgPxGroupID(1731)
Last trade is the average price group identified by the AvgPxGroupID(1731)
Used to link a group of trades together.
Specific device number, terminal number or station where order was entered
Trading Session in which the underlying instrument trades
Trading Session sub identifier in which the underlying instrument trades
Reference to the leg of a multileg instrument to which this trade refers
Used to report any exchange rules that apply to this trade.
Primarily intended for US futures markets. Certain trading practices are permitted by the CFTC, such as large lot trading, block trading, all or none trades. If the rules are used, the exchanges are required to indicate these rules on the trade.
Identifies if, and how, the trade is to be allocated or split.
Allocation not required
Allocation required (give-up trade) allocation information not provided (incomplete)
Use allocation provided with the trade
Allocation give-up executor
Allocation from executor
Allocation to claim account
Trade split
Part of trading cycle when an instrument expires. Field is applicable for derivatives.
Expire on trading session close (default)
Expire on trading session open
Trading eligibility expiration specified in the date and time fields [EventDate(866) and EventTime(1145)] associated with EventType(865)=7(Last Eligible Trade Date)
Type of trade.
Note: several enumerations of this field duplicate the enumerations in TradePriceConditions(1839) field. These may be deprecated from TrdType(828) in the future. TradePriceConditions(1839) is preferred in messages that support it.
Regular trade
Block trade
Exchange for physical (EFP)
Transfer
Late trade
T trade
Weighted average price trade
Bunched trade
Late bunched trade
Prior reference price trade
After hours trade
Exchange for risk (EFR)
Exchange for swap (EFS)
Exchange of futures for in market futures (EFM)
For example full sized for mini.
Exchange of options for options (EOO)
Trading at settlement
All or none
Futures large order execution
Exchange of futures for external market futures (EFF)
Option interim trade
Option cabinet trade
Privately negotiated trade
Substitution of futures for forwards
Non-standard settlement
Derivative related transaction
Portfolio trade
Volume weighted average trade
Exchange granted trade
Repurchase agreement
OTC
Trade executed off-market. In the context of CFTC regulatory reporting for swaps, it is a large notional off-facility swap. In the context of MiFID transparency reporting rules this is used to report, into an exchange, deals made outside exchange rules.
Exchange basis facility (EBF)
Error trade
Special cum dividend (CD)
Special ex dividend (XD)
Special cum coupon (CC)
Special ex coupon (XC)
Cash settlement (CS)
Special price (SP)
Usually net or all-in price.
Guaranteed delivery (GD)
Special cum rights (CR)
Special ex rights (XR)
Special cum capital repayments (CP)
Special ex capital repayments (XP)
Special cum bonus (CB)
Special ex bonus (XB)
Block trade
The same as large trade.
Worked principal trade
Block trades
Name change
Portfolio transfer
Prorogation buy
Used by Euronext Paris only. Is used to defer settlement under French SRD (deferred settlement system). Trades must be reported as crosses at zero price.
Prorogation sell
See prorogation buy.
Option exercise
Delta neutral transaction
Financing transaction
Opening trade
Netted trade
Block swap trade
Block trade executed off-market or on a registered market. In the context of CFTC regulatory reporting for swaps, it is a swap executed according to SEF or DCM rules.
Give-up Give-in trade
Dark trade
A Market Model Typology dark trade might also come from a lit/hybrid book, when an aggressive lit order hits a resting dark order.
Technical trade
Benchmark
Credit event trade
Succession event trade
Package trade
Identifies the pseudo-trade of a stream or collection of trades to be cleared and be reported as an atomic unit. The subsequent actual trades reported should not have this value.
Further qualification to the trade type
CMTA
Internal transfer or adjustment
External transfer or transfer of account
Reject for submitting side
Advisory for contra side
Offset due to an allocation
Onset due to an allocation
Differential spread
Implied spread leg executed against an outright
Transaction from exercise
Transaction from assignment
ACATS
Off Hours Trade
On Hours Trade
OTC Quote
Converted SWAP
AI (Automated input facility disabled in response to an exchange request.)
B (Transaction between two member firms where neither member firm is registered as a market maker in the security in question and neither is a designated fund manager. Also used by broker dealers when dealing with another broker which is not a member firm. Non-order book securities only.)
K (Transaction using block trade facility.)
LC (Correction submitted more than three days after publication of the original trade report.)
M (Transaction, other than a transaction resulting from a stock swap or stock switch, between two market makers registered in that security including IDB or a public display system trades. Non-order book securities only.)
N (Non-protected portfolio transaction or a fully disclosed portfolio transaction)
NM ( i) transaction where Exchange has granted permission for non-publication
ii)IDB is reporting as seller
iii) submitting a transaction report to the Exchange, where the transaction report is not also a trade report.)
NR (Non-risk transaction in a SEATS security other than an AIM security)
P (Protected portfolio transaction or a worked principal agreement to effect a portfolio transaction which includes order book securities)
PA (Protected transaction notification)
PC (Contra trade for transaction which took place on a previous day and which was automatically executed on the Exchange trading system)
PN (Worked principal notification for a portfolio transaction which includes order book securities)
R ( (i) riskless principal transaction between non-members where the buying and selling transactions are executed at different prices or on different terms (requires a trade report with trade type indicator R for each transaction)
(ii) market maker is reporting all the legs of a riskless principal transaction where the buying and selling transactions are executed at different prices (requires a trade report with trade type indicator R for each transaction)or
(iii) market maker is reporting the onward leg of a riskless principal transaction where the legs are executed at different prices, and another market maker has submitted a trade report using trade type indicator M for the first leg (this requires a single trade report with trade type indicator R).)
RO (Transaction which resulted from the exercise of a traditional option or a stock-settled covered warrant)
RT (Risk transaction in a SEATS security, (excluding AIM security) reported by a market maker registered in that security)
SW (Transactions resulting from stock swap or a stock switch (one report is required for each line of stock))
T (If reporting a single protected transaction)
WN (Worked principal notification for a single order book security)
WT (Worked principal transaction (other than a portfolio transaction))
Crossed Trade (X)
Interim Protected Trade (I)
Large in Scale (L)
Wash Trade
Trade at Settlement
Identifies a trade that will be priced using the settlement price.
Trade at Marker
Posted at a specific time each day and used to price the consummated trade for the product/month/strip executed (+/- and differentials). Closely related to TAS trades in function and trade practice.
Auction Trade
Default (Credit Event)
Restructuring (credit event)
Merger (succession event)
Spin-off (succession event)
Multilateral compression
A subtype of TrdType(828) = 57 (Netted trade) in order to identify a special case of compression.
Reason trade is being transferred
Total Number of Assignment Reports being returned to a firm
Unique identifier for the Assignment Report
Amount that a position has to be in the money before it is exercised.
Describes whether peg is static or floats
Floating (default)
Fixed
Type of Peg Offset value
Price (default)
Basis Points
Ticks
Price Tier / Level
Type of Peg Limit
Or better (default) - price improvement allowed
Strict - limit is a strict limit
Or worse - for a buy the peg limit is a minimum and for a sell the peg limit is a maximum (for use for orders which have a price range)
If the calculated peg price is not a valid tick price, specifies whether to round the price to be more or less aggressive
More aggressive - on a buy order round the price up to the nearest tick; on a sell order round down to the nearest tick
More passive - on a buy order round down to the nearest tick; on a sell order round up to the nearest tick
The price the order is currently pegged at
The scope of the peg
Local (Exchange, ECN, ATS)
National
Global
National excluding local
Describes whether discretionay price is static or floats
Floating (default)
Fixed
Type of Discretion Offset value
Price (default)
Basis Points
Ticks
Price Tier / Level
Type of Discretion Limit
Or better (default) - price improvement allowed
Strict - limit is a strict limit
Or worse - for a buy the discretion price is a minimum and for a sell the discretion price is a maximum (for use for orders which have a price range)
If the calculated discretionary price is not a valid tick price, specifies whether to round the price to be more or less aggressive
More aggressive - on a buy order round the price up to the nearest tick; on a sell round down to the nearest tick
More passive - on a buy order round down to the nearest tick; on a sell order round up to the nearest tick
The current discretionary price of the order
The scope of the discretion
Local (Exchange, ECN, ATS)
National
Global
National excluding local
The target strategy of the order
1000+ = Reserved and available for bi-laterally agreed upon user defined values
VWAP
Participate (i.e. aim to be x percent of the market volume)
Mininize market impact
Field to allow further specification of the TargetStrategy - usage to be agreed between counterparties
For a TargetStrategy=Participate order specifies the target particpation rate. For other order types this is a volume limit (i.e. do not be more than this percent of the market volume)
For communication of the performance of the order versus the target strategy
Indicator to identify whether this fill was a result of a liquidity provider providing or liquidity taker taking the liquidity. Applicable only for OrdStatus of Partial or Filled.
Added Liquidity
Removed Liquidity
Liquidity Routed Out
Auction
Indicates if a trade should be reported via a market reporting service.
Do Not Report Trade
Report Trade
Reason for short sale.
Dealer Sold Short
Dealer Sold Short Exempt
Selling Customer Sold Short
Selling Customer Sold Short Exempt
Qualified Service Representative (QSR) or Automatic Give-up (AGU) Contra Side Sold Short
QSR or AGU Contra Side Sold Short Exempt
Type of quantity specified in quantity field. ContractMultiplier (tag 231) is required when QtyType = 1 (Contracts). UnitOfMeasure (tag 996) and TimeUnit (tag 997) are required when QtyType = 2 (Units of Measure per Time Unit).
Units (shares, par, currency)
Contracts
Unit of Measure per Time Unit
Additional TrdType(828) assigned to a trade by trade match system.
Type of Trade Report
Submit
Alleged
Accept
Decline
Addendum
No/Was
Trade Report Cancel
(Locked-In) Trade Break
Defaulted
Invalid CMTA
Pended
Alleged New
Alleged Addendum
Alleged No/Was
Alleged Trade Report Cancel
Alleged (Locked-In) Trade Break
Verify
Used in reports from a trading party to the SDR to confirm trade details. Omit RegulatoryReportType(1934).
Dispute
Used in reports from a trading party to the SDR to dispute trade details. Omit RegulatoryReportType(1934).
Indicates how the orders being booked and allocated by an AllocationInstruction or AllocationReport message are identified, e.g. by explicit definition in the OrdAllocGrp or ExecAllocGrp components, or not identified explicitly.
Not specified
Explicit list provided
Commission to be shared with a third party, e.g. as part of a directed brokerage commission sharing arrangement.
Unique identifier for a Confirmation Request message
Used to express average price as percent of par (used where AvgPx field is expressed in some other way)
Reported price (used to differentiate from AvgPx on a confirmation of a marked-up or marked-down principal trade)
Number of repeating OrderCapacity entries.
Quantity executed under a specific OrderCapacity (e.g. quantity executed as agent, quantity executed as principal)
Number of repeating EventType entries.
Code to represent the type of event
Put
Call
Tender
Sinking fund call
Activation
Inactivation
Last eligible trade date
Swap start date
Swap end date
Swap roll date
Swap next start date
Swap next roll date
First delivery date
Last delivery date
Initial inventory due date
Final inventory due date
First intent date
Last intent date
Position removal date
Other
Minimum notice
Deliver start time
Delivery end time
First notice date
The first day that a notice of intent to deliver a commodity can be made by a clearing house to a buyer in fulfillment of a given month's futures contract.
Last notice date
The last day on which a clearing house may inform an investor that a seller intends to make delivery of a commodity that the investor previously bought in a futures contract. The date is governed by the rules of different exchanges and clearing houses, but may also be stated in the futures contract itself.
First exercise date
Redemption date
Trade continuation effective date
Date of event
Predetermined price of issue at event, if applicable
Comments related to the event.
Percent at risk due to lowest possible call.
Number of repeating InstrAttribType entries.
Code to represent the type of instrument attribute
Flat (securities pay interest on a current basis but are traded without interest)
Zero coupon
Interest bearing (for Euro commercial paper when not issued at discount)
No periodic payments
Variable rate
Less fee for put
Stepped coupon
Coupon period (if not semi-annual)
Supply redemption date in the InstrAttribValue(872) field.
When [and if] issued
Original issue discount
Callable, puttable
Escrowed to Maturity
Escrowed to redemption date - callable
Supply redemption date in the InstrAttribValue(872) field.
Pre-refunded
In default
Unrated
Taxable
Indexed
Subject To Alternative Minimum Tax
Original issue discount price
Supply price in the InstrAttribValue(872) field.
Callable below maturity value
Callable without notice by mail to holder unless registered
Price tick rules for security
Trade type eligibility details for security
Instrument denominator
Instrument numerator
Instrument price precision
Instrument strike price
Tradeable indicator
Text
Supply the text value in InstrAttribValue(872).
Instrument is eligible to accept anonymous orders
Minimum guaranteed fill volume
Minimum guaranteed fill status
Trade at settlement (TAS) eligibility
Test instrument
Instrument that is tradable but has no effect on the positions, exchange turnover etc.
Dummy instrument
Instrument that is normally halted and is only activated for trading under very special conditions (e.g. temporarily assigned for newly listed instrument). Use of a dummy instrument generally applies to systems that are unable to add reference data for new instruments intraday.
Negative settlement price eligibility
Negative strike price eligibility
US standard contract indicator
Indicates through InstrAttribValue(872) - values Y or N - whether the underlying asset in the trade references or is economically related to a contract listed in Appendix B of CFTC Part 43 regulation. See http://www.ecfr.gov/cgi-bin/text-idx?SID=4b2d1078ad68f6564a89d7ff6c52ec43&node=17:2.0.1.1.3.0.1.8.2&rgn=div or refer to Appendix B to Part 43 in the final rule at http://www.cftc.gov/ucm/groups/public/@lrfederalregister/documents/file/2013-12133a.pdf
Attribute value appropriate to the InstrAttribType (87) field.
The effective date of a new securities issue determined by its underwriters. Often but not always the same as the Issue Date and the Interest Accrual Date
The start date used for calculating accrued interest on debt instruments which are being sold between interest payment dates. Often but not always the same as the Issue Date and the Dated Date
The program under which a commercial paper offering is exempt from SEC registration identified by the paragraph number(s) within the US Securities Act of 1933 or as identified below.
3(a)(3)
Arising out of a current transaction with a maturity less than 9 months.
4(2)
Issued not involving any public offering.
Other
3(a)(2)
Issued or guaranteed by the US, state or territorial government.
3(a)(3) & 3(c)(7)
Combination of 3(a)(3) and 3(c)(7).
3(a)(4)
Religious, education, benevolent, fraternal, charitable or reformatory purposes.
3(a)(5)
Issued by an institution supervised by state or federal authority or by an exempt farmer's cooperative.
3(a)(7)
Issued by a receiver or trustee in bankruptcy.
3(c)(7)
Qualified hedge-fund under the Investment Company Act of 1940.
The description of commercial paper registration or rule under which exempt commercial paper is offered. For example "144a", "Tax Exempt" or "REG. S".
The program under which the underlying commercial paper is issued
The registration type of the underlying commercial paper issuance
Unit amount of the underlying security (par, shares, currency, etc.)
Identifier assigned to a trade by a matching system.
Used to refer to a previous SecondaryTradeReportRefID when amending the transaction (cancel, replace, release, or reversal).
Price (percent-of-par or per unit) of the underlying security or basket. "Dirty" means it includes accrued interest
Price (percent-of-par or per unit) of the underlying security or basket at the end of the agreement.
Currency value attributed to this collateral at the start of the agreement
Currency value currently attributed to this collateral
Currency value attributed to this collateral at the end of the agreement
Number of underlying stipulation entries
Type of stipulation.
Same values as StipulationType (233)
Value of stipulation.
Same values as StipulationValue (234)
Net Money at maturity if Zero Coupon and maturity value is different from par value
Defines the unit for a miscellaneous fee.
Absolute
Per Unit
Percentage
Total number of NoAlloc entries across all messages. Should be the sum of all NoAllocs in each message that has repeating NoAlloc entries related to the same AllocID or AllocReportID. Used to support fragmentation.
Indicates whether this message is the last in a sequence of messages for those messages that support fragmentation, such as Allocation Instruction, Mass Quote, Security List, Derivative Security List
Not Last Message
Last Message
Collateral Request Identifier
Reason for Collateral Assignment
Initial
Scheduled
Time Warning
Margin Deficiency
In a CollateralRequest(35=AX), this indicates there is a margin deficiency. In a CollateralAssignment(35=AY), this indicates that the assignment is a deposit to meet margin deficiency.
Margin Excess
In a CollateralRequest(35=AX), this indicates there is excess margin. In a CollateralAssignment(35=AY), this indicates that the assignment is a withdrawal of the margin excess.
Forward Collateral Demand
Event of default
Adverse tax event
Transfer deposit
Collateral deposit in which the asset is to be transferred from an undesignated holding into collateral. I.e. there is no intermediate conversion to cash.
Transfer withdrawal
Collateral withdrawal in which the asset is to be transferred from collateral into an undesignated holding. I.e. there is no intermediate conversion to cash.
Pledge
The purpose of the collateral assignment is to pledge or "lock up" a value of a basket of securities, individual security or fund as collateral.
Collateral inquiry qualifiers:
Trade Date
GC Instrument
Collateral Instrument
Substitution Eligible
Not Assigned
Partially Assigned
Fully Assigned
Outstanding Trades (Today < end date)
Number of trades in repeating group.
The fraction of the cash consideration that must be collateralized, expressed as a percent. A MarginRatio of 02% indicates that the value of the collateral (after deducting for "haircut") must exceed the cash consideration by 2%.
Excess margin amount (deficit if value is negative)
TotalNetValue is determined as follows:
At the initial collateral assignment TotalNetValue is the sum of (UnderlyingStartValue * (1-haircut)).
In a collateral substitution TotalNetValue is the sum of (UnderlyingCurrentValue * (1-haircut)).
For listed derivatives clearing margin management, this is the collateral value which equals (Market value * haircut)
Starting consideration less repayments
Collateral Assignment Identifier
Collateral Assignment Transaction Type
New
Replace
Cancel
Release
Reverse
Collateral Response Identifier
Type of collateral assignment response.
Received
Accepted
Declined
Rejected
Transaction pending
The collateral assignment transaction is pending at the recipient.
Transaction completed with warning - see Text(58) for further information.
The collateral assignment transaction was accepted and completed but with warnings.
Collateral Assignment Reject Reason
Unknown deal (order / trade)
Unknown or invalid instrument
Unauthorized transaction
Insufficient collateral
Invalid type of collateral
Excessive substitution
Other
Collateral Assignment Identifier to which a transaction refers
Collateral Report Identifier
Collateral Inquiry Identifier
Collateral Status
Unassigned
Partially Assigned
Assignment Proposed
Assigned (Accepted)
Challenged
Total number of reports returned in response to a request.
Indicates whether this message is the last report message in response to a request message, e.g. OrderMassStatusRequest(35=AF), TradeCaptureReportRequest(35=AD).
Not last message
Last message
The full name of the base standard agreement, annexes and amendments in place between the principals applicable to a financing transaction. See http://www.fpml.org/coding-scheme/master-agreement-type for derivative values.
A common reference to the applicable standing agreement between the counterparties to a financing transaction.
A reference to the date the underlying agreement specified by AgreementID and AgreementDesc was executed.
Start date of a financing deal, i.e. the date the buyer pays the seller cash and takes control of the collateral
End date of a financing deal, i.e. the date the seller reimburses the buyer and takes back control of the collateral
Contractual currency forming the basis of a financing agreement and associated transactions. Usually, but not always, the same as the trade currency.
Identifies type of settlement
"Versus Payment": Deliver (if sell) or Receive (if buy) vs. (against) Payment
"Free": Deliver (if sell) or Receive (if buy) Free
Tri-Party
Hold In Custody
Accrued Interest Amount applicable to a financing transaction on the End Date.
Starting dirty cash consideration of a financing deal, i.e. paid to the seller on the Start Date.
Ending dirty cash consideration of a financing deal. i.e. reimbursed to the buyer on the End Date.
Unique identifier for a User Request.
Indicates the action required by a User Request Message
Log On User
Log Off User
Change Password For User
Request Individual User Status
Request Throttle Limit
New Password or passphrase
Indicates the status of a user
Logged In
Not Logged In
User Not Recognised
Password Incorrect
Password Changed
Other
Forced user logout by Exchange
Session shutdown warning
Throttle parameters changed
A text description associated with a user status.
Indicates the status of a network connection
Connected
Not Connected - down expected up
Not Connected - down expected down
In Process
A text description associated with a network status.
Assigned value used to identify a firm.
Assigned value used to identify specific elements within a firm.
Unique identifier for a network response.
Unique identifier for a network resquest.
Identifier of the previous Network Response message sent to a counterparty, used to allow incremental updates.
Indicates the type and level of details required for a Network Status Request Message
Boolean logic applies EG If you want to subscribe for changes to certain id's then UserRequestType =0 (8+2), Snapshot for certain ID's = 9 (8+1)
Snapshot
Subscribe
Stop Subscribing
Level of Detail, then NoCompID's becomes required
Number of CompID entries in a repeating group.
Indicates the type of Network Response Message.
Full
Incremental Update
Number of CollInquiryQualifier entries in a repeating group.
Trade Report Status
Accepted
Rejected
Accepted with errors
Cancelled
Pending New
Pending Cancel
Pending Replace
Terminated
Pending verification
Used in reports from the SDR to the regulator and to trading parties to indicate that the trade details have not been verified by one or both parties.
Deemed verified
Used in reports from the SDR to the regulator and to trading parties to indicate that the trade details are deemed verified by the SDR by have not been confirmed by the trading parties.
Verified
Used in reports from the SDR to the regulator and to trading parties to indicate that the trade details have been confirmed by the trading parties.
Disputed
Used in reports from the SDR to the regulator and to trading parties to indicate that the trade details have been disputed by a trading party.
Identifies the status of the ConfirmationAck.
Received
Confirm rejected, i.e. not affirmed
Affirmed
Currency in which the strike price of an underlying instrument is denominated
Currency in which the strike price of a instrument leg of a multileg instrument is denominated
A code that represents a time interval in which a fill or trade occurred.
Required for US futures markets.
Action proposed for an Underlying Instrument instance.
Retain
Add
Remove
Status of Collateral Inquiry
Accepted
Accepted With Warnings
Completed
Completed With Warnings
Rejected
Result returned in response to Collateral Inquiry
4000+ Reserved and available for bi-laterally agreed upon user-defined values
Successful (default)
Invalid or unknown instrument
Invalid or unknown collateral type
Invalid Parties
Invalid Transport Type requested
Invalid Destination requested
No collateral found for the trade specified
No collateral found for the order specified
Collateral inquiry type not supported
Unauthorized for collateral inquiry
Other (further information in Text (58) field)
Currency in which the StrikePrice is denominated.
Number of Nested3PartyID (949), Nested3PartyIDSource (950), and Nested3PartyRole (95) entries
PartyID value within a "third instance" Nested repeating group.
Same values as PartyID (448)
PartyIDSource value within a "third instance" Nested repeating group.
Same values as PartyIDSource (447)
PartyRole value within a "third instance" Nested repeating group.
Same values as PartyRole (452)
Number of Nested3PartySubIDs (953) entries
PartySubID value within a "third instance" Nested repeating group.
Same values as PartySubID (523)
PartySubIDType value within a "third instance" Nested repeating group.
Same values as PartySubIDType (803)
Specifies when the contract (i.e. MBS/TBA) will settle.
The start date used for calculating accrued interest on debt instruments which are being sold between interest payment dates. Often but not always the same as the Issue Date and the Dated Date
Indicates number of strategy parameters
Name of parameter
Datatype of the parameter
Int
Length
NumInGroup
SeqNum
TagNum
float
Qty
Price
PriceOffset
Amt
Percentage
Char
Boolean
String
MultipleCharValue
Currency
Exchange
MonthYear
UTCTimestamp
UTCTimeOnly
LocalMktDate
UTCDateOnly
data
MultipleStringValue
Country
Language
TZTimeOnly
TZTimestamp
Tenor
Value of the parameter
Host assigned entity ID that can be used to reference all components of a cross; sides + strategy + legs. Used as the primary key with which to refer to the Cross Order for cancellation and replace. The HostCrossID will also be used to link together components of the Cross Order. For example, each individual Execution Report associated with the order will carry HostCrossID in order to tie back to the original cross order.
Indicates how long the order as specified in the side stays in effect. SideTimeInForce allows a two-sided cross order to specify order behavior separately for each side. Absence of this field indicates that TimeInForce should be referenced. SideTimeInForce will override TimeInForce if both are provided.
Unique identifier for the Market Data Report.
Identifies a Security List message.
Used for derivatives. Denotes the current state of the Instrument.
Active
Instrument is active, i.e. trading is possible.
Inactive
Instrument has previously been active and is now no longer traded but has not expired yet. The instrument may become active again.
Active, closing orders only
Instrument is active but only orders closing positions (reducing risk) are allowed.
Expired
Instrument has expired. E.g. An instrument may expire due to reaching maturity or expired based on contract definitions or exchange rules.
Delisted
Instrument has been removed from securities reference data. Delisting rules varies from exchange to exchange, which may include non-compliance of capitalization, revenue, consecutive minimum closing price. The instrument may become listed again once the instrument is back in compliance. A delisted instrument would not trade on the exchange but it may still be traded over-the-counter (e.g. OTCBB) or on Pink Sheets, or other similar trading service.
Knocked-out
Instrument has breached a pre-defined price threshold.
Knock-out revoked
Instrument reinstated, i.e. threshold has not been breached.
Pending Expiry
Instrument is currently still active but will expire after the current business day. For example, a contract that expires intra-day (e.g. at noon time) and is no longer tradeable but will still show up in the current day's order book with related statistics.
Suspended
Instrument has been temporarily disabled for trading (i.e. halted).
Published
Instrument information is provided prior to its first activation.
Pending Deletion
Instrument is awaiting deletion from security reference data.
Indicator to determine if instrument is settle on open
Used for derivatives. Multiplier applied to the strike price for the purpose of calculating the settlement value.
Used for derivatives. The number of shares/units for the financial instrument involved in the option trade.
Minimum price increase for a given exchange-traded Instrument
Position Limit for a given exchange-traded product.
Position Limit in the near-term contract for a given exchange-traded product.
Percent of the Strike Price that this underlying represents.
Cash amount associated with the underlying component.
Used for derivatives that deliver into cash underlying.
FIXED
DIFF
Indicates order settlement period for the underlying instrument.
T+1
T+3
T+4
Date associated to the quantity that is being reported for the position.
Unique identifier for the Contrary Intention report
Indicates if the contrary intention was received after the exchange imposed cutoff time
Originating source of the request.
Add
Delete
Modify
Number of Expiration Qty entries
Expiration Quantity type
Auto Exercise
Non Auto Exercise
Final Will Be Exercised
Contrary Intention
Difference
Expiration Quantity associated with the Expiration Type
Total number of occurrences of Amount to pay in order to receive the underlying instrument
Amount to pay in order to receive the underlying instrument
Amount to collect in order to deliver the underlying instrument
Date the underlying instrument will settle. Used for derivatives that deliver into more than one underlying instrument. Settlement dates can vary across underlying instruments.
Settlement status of the underlying instrument. Used for derivatives that deliver into more than one underlying instrument. Settlement can be delayed for an underlying instrument.
Will allow the intermediary to specify an allocation ID generated by their system.
Additional attribute to store the Trade ID of the Leg.
Specifies average price rounded to quoted precision.
Identifies whether the allocation is to be sub-allocated or allocated to a third party
Sub Allocate
Third Party Allocation
Capacity of customer in the allocation block.
The Tier the trade was matched by the clearing system.
The unit of measure of the underlying commodity upon which the contract is based. Two groups of units of measure enumerations are supported.
Fixed Magnitude UOMs are primarily used in energy derivatives and specify a magnitude (such as, MM, Kilo, M, etc.) and the dimension (such as, watt hours, BTU's) to produce standard fixed measures (such as MWh - Megawatt-hours, MMBtu - One million BTUs).
The second group, Variable Quantity UOMs, specifies the dimension as a single unit without a magnitude (or more accurately a magnitude of one) and uses the UnitOfMeasureQty(1147) field to define the quantity of units per contract. Variable Quantity UOMs are used for both commodities (such as lbs of lean cattle, bushels of corn, ounces of gold) and financial futures.
Examples:
For lean cattle futures contracts, a UnitOfMeasure of 'lbs' with a UnitOfMeasureQty(1147) of 40,000, means each lean cattle futures contract represents 40,000 lbs of lean cattle.
For Eurodollars futures contracts, a UnitOfMeasure of Ccy with a UnitOfMeasureCurrency(1716) of USD and a UnitOfMeasureQty(1147) of 1,000,000, means a Eurodollar futures contract represents 1,000,000 USD.
For gold futures contracts, a UnitOfMeasure is oz_tr (Troy ounce) with a UnitOfMeasureQty(1147) of 1,000, means each gold futures contract represents 1,000 troy ounces of gold.
Billion cubic feet
Million Barrels
One Million BTU
Megawatt hours
Barrels
Equal to 42 US gallons
Bushels
pounds
Gallons
Troy ounces
Metric tons
Also known as Tonnes, equal to 1000 kg
Tons (US)
Equal to 2000 lbs
US Dollars
Allowances
Cubic Meters
Certified emissions reduction
Principal with relation to debt instrument
Climate reserve tonnes
Amount of currency
Board feet
Equal to 144 cubic inches
Index point
Days
Hundredweight(US)
Equal to 100 lbs
Grams
Dry metric tons
Kilowatt hours
Environmental Offset
Environmental credit
Kilowatt-Minute (electrical capacity)
Megawatt-Minute
Kilowatt-Hour
Megawatt-Hour
Kilowatt-Day
Megawatt-Day
Kilowatt-Month
Megawatt-Month
Kilowatt-Year
Megawatt-Year
therms
Equal to 100,000 BTU
gigajoules
liters
kiloliters
Kilograms
Gross tons
Also known as long tons or imperial tons, equal to 2240 lbs
Cooling degree day
Critical precipitation day
Environmental allowance certificates
Heating degree day
Unit of time associated with the contract.
NOTE: Additional values may be used by mutual agreement of the counterparties
Hour
Minute
Second
Day
Week
Month
Year
Quarter
Refer to defintion of UnitOfMeasure(996)
Refer to defintion of UnitOfMeasure(996)
Same as TimeUnit.
Same as TimeUnit.
Specifies the method under which a trade quantity was allocated.
Automatic
Guarantor
Manual
Broker assigned
The unique ID assigned to the trade entity once it is received or matched by the exchange or central counterparty.
Used on a multi-sided trade to designate the ReportID
Used on a multi-sided trade to convey order routing information
Used on a multi-sided trade to convey reason for execution
Used on a multi-sided trade to specify the type of trade for a given side. Same values as TrdSubType (829).
Used to indicate the quantity on one side of a multi-sided trade.
Used to identify the event or source which gave rise to a message.
Valid values will be based on an exchange's implementation.
Example values are:
"MQM" (originated at Firm Back Office)
"Clear" (originated in Clearing System)
"Reg" (static data generated via Register request)
Will be used in a multi-sided message.
Traded Regulatory timestamp value Use to store time information required by government regulators or self regulatory organizations such as an exchange or clearing house
Same as TrdRegTimeStampType
Same as TrdRegTimestampOrigin
Text which identifies the origin i.e. system which was used to generate the time stamp for the Traded Regulatory timestamp value
A trade that is being submitted for a trade date prior to the current trade or clearing date, e.g. in an open outcry market an out trade being submitted for the previous trading session or trading day.
false - trade is not an AsOf trade
true - trade is an AsOf trade
Indicates number of SideTimestamps contained in group
Expresses the risk of an option leg
Value must be between -1 and 1.
A Call Option will require a ratio value between 0 and 1
A Put Option will require a ratio value between -1 and 0
Identifies the number of parties identified with an instrument
PartyID value within an instrument party repeating group. Same values as PartyID (448)
Used to report volume with a trade
Describes the type of book for which the feed is intended. Used when multiple feeds are provided over the same connection
Top of Book
Price Depth
Order Depth
Describes a class of service for a given data feed, ie Regular and Market Maker, Bandwidth Intensive or Bandwidth Conservative
Integer to convey the level of a bid or offer at a given price level. This is in contrast to MDEntryPositionNo which is used to convey the position of an order within a Price level
Used to describe the origin of an entry in the book
Book
Off-Book
Cross
Quote driven market
Examples for quote driven markets are market maker or specialist market models.
Dark order book
Indicates the first trade price of the day/session
The spot rate for an FX entry
Used for an F/X entry. The forward points to be added to or subtracted from the spot rate to get the "all-in" rate in MDEntryPx. Expressed in decimal form. For example, 61.99 points is expressed and sent as 0.006199
Indicates if the order was initially received manually (as opposed to electronically) or if it was entered manually (as opposed to entered by automated trading software).
Indicates if the customer directed this order to a specific execution venue "Y" or not "N".
A default of "N" customer did not direct this order should be used in the case where the information is both missing and essential.
Identifies the broker-dealer department that first took the order.
Codes that apply special information that the Broker / Dealer needs to report, as specified by the customer.
NOTE: This field and its values have no bearing on the ExecInst and TimeInForce fields. These values should not be used instead of ExecInst or TimeInForce. This field and its values are intended for compliance reporting and/or billing purposes only.
For OrderHandlingInstSrc(1032) = 1 (FINRA OATS), valid values are (as of OATS Phase 3 as provided by FINRA. See also http://www.finra.org/Industry/Compliance/MarketTransparency/OATS/PhaseIII/index.htm for a complete list.
For OrderHandlingInstSrc(1032) = 2 (FIA Execution Source Code), only one enumeration value may be specified.
Add-on order
All or none
Cash not held
Directed order
Exchange for physical transaction
Fill or kill
Imbalance only
Immediate or cancel
Limit on open
Limit on Close
Market at Open
Market at close
Market on open
Market on close
Minimum quantity
Not held
Over the day
Pegged
Reserve size order
Stop stock transaction
Scale
Time order
Trailing stop
Work
Phone simple
Phone complex
FCM provided screen
Other provided screen
Client provided platform controlled by FCM
Client provided platform direct to exchange
G Order(FINRA OATS), FCM API or FIX(FIA Execution Source)
Algo engine
Price at execution (price added at initial order entry, trading, middle office or time of give-up)
Desk - electronic
Desk - pit
Client - electronic
Client - pit
Conditional order
Delivery instructions - cash
Discretionary limit order
Intraday cross
Intermarket sweep order
Merger related transfer position
Market to limit
Delivery instructions - next day
Options related transaction
Delivery instructions - sellers option
Stay on offerside
Go along
Participate do not initiate
Strict scale
Try to scale
Stay on bidside
No cross
OK to cross
Call first
Percent of volume
Reinstate on system failure
Institution only
Reinstate on trading halt
Cancel on trading half
Last peg
Mid-price peg
Non-negotiable
Opening peg
Market peg
Cancel on system failure
Primary peg
Suspend
Fixed peg to local best bid or offer at time of order
Peg to VWAP
Trade along
Try to stop
Cancel if not best
Strict limit
Ignore price validity checks
Peg to Limit Price
Work to target strategy
Identifies the class or source of the order handling instruction values. Scope of this will apply to both CustOrderHandlingInst(1031) and DeskOrderHandlingInst(1035).
Conditionally required when CustOrderHandlingInst(1031) or DeskOrderHandlingInst(1035) is specified.
FINRA OATS
FIA Execution Source Code
Identifies the type of Trading Desk.
Conditionally required when InformationBarrierID(1727) is specified for OATS.
Agency
Arbitrage
Derivatives
International
Institutional
Other
Preferred trading
Proprietary
Program trading
Sales
Trading desk or system non-market maker
Block trading
Convertible desk
Central risk books
Equity capital markets
Swaps
Treasury
Identifies the class or source of DeskType(1033) values. Conditionally required when DeskType(1033) is specified.
FINRA OATS
Codes that apply special information that the broker-dealer needs to report.
Add-on Order
All or None
Cash Not Held
Directed Order
Exchange for Physical Transaction
Fill or Kill
Imbalance Only
Immediate or Cancel
Limit On Open
Limit on Close
Market at Open
Market at Close
Market on Open
Market On Close
Minimum Quantity
Not Held
Over the Day
Pegged
Reserve Size Order
Stop Stock Transaction
Scale
Time Order
Trailing Stop
Work
The status of this execution acknowledgement message.
Received, not yet processed
Accepted
Don't know / Rejected
Indicates the underlying position amount to be delivered
Maximum notional value for a capped financial instrument
Settlement method for a contract or instrument. Additional values may be used with bilateral agreement.
Used to carry an internal trade entity ID which may or may not be reported to the firm
The ID assigned to a trade by the Firm to track a trade within the Firm system. This ID can be assigned either before or after submission to the exchange or central counterpary
Used to carry an internal firm assigned ID which may or may not be reported to the exchange or central counterpary
conveys how the collateral should be/has been applied
Specific Deposit
General
Unit amount of the underlying security (shares) adjusted for pending corporate action not yet allocated.
Foreign exchange rate used to compute UnderlyingCurrentValue(885) (or market value) from UnderlyingCurrency(318) to Currency(15).
Specifies whether the UnderlyingFxRate(1045) should be multiplied or divided.
Divide
Multiply
Indicates whether the resulting position after a trade should be an opening position or closing position. Used for omnibus accounting - where accounts are held on a gross basis instead of being netted together.
Open
Close
Rolled
FIFO
Identifies role of dealer; Agent, Principal, RisklessPrincipal
Agent
Principal
Riskless Principal
Method under which assignment was conducted
Pro rata
Random
PartyIDSource value within an instrument partyrepeating group.
Same values as PartyIDSource (447)
PartyRole value within an instrument partyepeating group.
Same values as PartyRole (452)
Number of InstrumentPartySubID (1053) and InstrumentPartySubIDType (1054) entries
PartySubID value within an instrument party repeating group.
Same values as PartySubID (523)
Type of InstrumentPartySubID (1053) value.
Same values as PartySubIDType (803)
The Currency in which the position Amount is denominated
Used for the calculated quantity of the other side of the currency trade. Can be derived from LastQty and LastPx.
Used to identify whether the order initiator is an aggressor or not in the trade.
Order initiator is aggressor
Order initiator is passive
Identifies the number of parties identified with an underlying instrument
PartyID value within an underlying instrument party repeating group.
Same values as PartyID (448)
PartyIDSource value within an underlying instrument partyrepeating group.
Same values as PartyIDSource (447)
PartyRole value within an underlying instrument partyepeating group.
Same values as PartyRole (452)
Number of Underlying InstrumentPartySubID (1053) and InstrumentPartySubIDType (1054) entries
PartySubID value within an underlying instrument party repeating group.
Same values as PartySubID (523)
Type of underlying InstrumentPartySubID (1053) value.
Same values as PartySubIDType (803)
The bid FX Swap points for an FX Swap. It is the "far bid forward points - near offer forward point". Value can be negative. Expressed in decimal form. For example, 61.99 points is expressed and sent as 0.006199
The offer FX Swap points for an FX Swap. It is the "far offer forward points - near bid forward points". Value can be negative. Expressed in decimal form. For example, 61.99 points is expressed and sent as 0.006199
The bid FX forward points for the leg of an FX Swap. Value can be negative. Expressed in decimal form. For example, 61.99 points is expressed and sent as 0.006199
The offer FX forward points for the leg of an FX Swap. Value can be negative. Expressed in decimal form. For example, 61.99 points is expressed and sent as 0.006199
For FX Swap, this is used to express the differential between the far leg's bid/offer and the near leg's bid/offer. Value can be negative. Expressed in decimal form. For example, 61.99 points is expressed and sent as 0.006199
Identifies market data quote type.
Indicative
Tradeable
Restricted Tradeable
Counter
Indicative and Tradeable
For FX Swap, this is used to express the last market event for the differential between the far leg's bid/offer and the near leg's bid/offer in a fill or partial fill. Value can be negative. Expressed in decimal form. For example, 61.99 points is expressed and sent as 0.006199
The gross trade amount for this side of the trade. See also GrossTradeAmt (381) for additional definition.
The forward points for this leg's fill event. Value can be negative. Expressed in decimal form. For example, 61.99 points is expressed and sent as 0.006199
Used for the calculated quantity of the other side of the currency for this leg. Can be derived from LegQty and LegLastPx.
The gross trade amount of the leg. For FX Futures this is used to express the notional value of a fill when LegLastQty and other quantity fields are express in terms of contract size.
Time of security's maturity expressed in local time with offset to UTC specified
The ID reference to the order being hit or taken.
For pre-trade credit/risk limit check process, this is the reference to the placed order, quote request or quote for the credit/risk limit check.
Used to specify what identifier, provided in order depth market data, to use when hitting (taking) a specific order or to identify what type of order or quote reference is being provided when seeking credit limit check.
SecondaryOrderID(198)
OrderID(37)
MDEntryID(278)
QuoteEntryID(299)
Original order ID
QuoteID(117)
QuoteReqID(131)
Used for reserve orders when DisplayQty applies to the primary execution market (e.g.an ECN) and another quantity is to be shown at other markets (e.g. the exchange). On orders specifies the qty to be displayed, on execution reports the currently displayed quantity.
Instructs when to refresh DisplayQty (1138).
Immediate (after each fill)
Exhaust (when DisplayQty = 0)
Defines what value to use in DisplayQty (1138). If not specified the default DisplayMethod is "1"
Initial (use original DisplayQty)
New (use RefreshQty)
Random (randomize value)
Undisclosed (invisible order)
Defines the lower quantity limit to a randomized refresh of DisplayQty.
Defines the upper quantity limit to a randomized refresh of DisplayQty.
Defines the minimum increment to be used when calculating a random refresh of DisplayQty. A user specifies this when he wants a larger increment than the standard provided by the market (e.g. the round lot size).
Defines the quantity used to refresh DisplayQty.
Allows orders to specify a minimum quantity that applies to every execution (one execution could be for multiple counter-orders). The order may still fill against smaller orders, but the cumulative quantity of the execution must be in multiples of the MatchIncrement.
Allows an order to specify a maximum number of price levels to trade through. Only valid for aggressive orders and during continuous (autoexecution) trading sessions. Property lost when order is put on book. A partially filled order is assigned last trade price as limit price. Non-filled order behaves as ordinary Market or Limit.
Allows trader to explicitly request anonymity or disclosure in pre-trade market data feeds. Anonymity is relevant in markets where counterparties are regularly disclosed in order depth feeds. Disclosure is relevant when counterparties are not normally visible.
Defines the type of price protection the customer requires on their order.
None
Local (Exchange, ECN, ATS)
National (Across all national markets)
Global (Across all markets)
Defines the lot type assigned to the order.
Odd Lot
Round Lot
Block Lot
Round lot based upon UnitOfMeasure(996)
Defines the type of peg.
Last peg (last sale)
Mid-price peg (midprice of inside quote)
Opening peg
Market peg
Primary peg (primary market - buy at bid or sell at offer)
Peg to VWAP
Trailing Stop Peg
Peg to Limit Price
Short sale minimum price Peg
Short sale minimum price Peg (published price that a short sell order must meet in order to comply with regulatory requirements, e.g. SEC uptick rules).
The value of the reference price that the order is pegged to. PeggedRefPrice + PegOffsetValue (211) = PeggedPrice (839) unless the limit price (44, Price) is breached. The values may not be exact due to rounding.
Defines the identity of the security off whose prices the order will peg. Same values as SecurityIDSource (22)
Defines the identity of the security off whose prices the order will peg.
Defines the common, 'human understood' representation of the security off whose prices the order will Peg.
Security description of the security off whose prices the order will Peg.
Defines when the trigger will hit, i.e. the action specified by the trigger instructions will come into effect.
Partial Execution
Specified Trading Session
Next Auction
Price Movement
On Order Entry or order modification entry
Defines the type of action to take when the trigger hits.
Activate
Modify
Cancel
The price at which the trigger should hit.
Defines the common, 'human understood' representation of the security whose prices will be tracked by the trigger logic.
Defines the identity of the security whose prices will be tracked by the trigger logic.
Defines the identity of the security whose prices will be tracked by the trigger logic. Same values as SecurityIDSource (22).
Defines the security description of the security whose prices will be tracked by the trigger logic.
The type of price that the trigger is compared to.
Best Offer
Last Trade
Best Bid
Best Bid or Last Trade
Best Offer or Last Trade
Best Mid
Defines the type of price protection the customer requires on their order.
None
Local (Exchange, ECN, ATS)
National (Across all national markets)
Global (Across all markets)
The side from which the trigger price is reached.
Trigger if the price of the specified type goes UP to or through the specified Trigger Price.
Trigger if the price of the specified type goes DOWN to or through the specified Trigger Price.
The Price that the order should have after the trigger has hit. Could be applicable for any trigger type, but must be specified for Trigger Type 1.
The OrdType the order should have after the trigger has hit. Required to express orders that change from Limit to Market. Other values from OrdType (40) may be used if appropriate and bilaterally agreed upon.
Market
Limit
The Quantity the order should have after the trigger has hit.
Defines the trading session at which the order will be activated.
Defines the subordinate trading session at which the order will be activated.
Defines the type of interest behind a trade (fill or partial fill).
Order
Quote
Privately Negotiated Trade
Multileg order
Linked order
Quote Request
Implied Order
Cross Order
Streaming price (quote)
Internal Cross Order
Number of RootPartyID (1117), RootPartyIDSource (1118), and RootPartyRole (1119) entries
PartyID value within a root parties component. Same values as PartyID (448)
PartyIDSource value within a root parties component. Same values as PartyIDSource (447)
PartyRole value within a root parties component. Same values as PartyRole (452)
Number of RootPartySubID (1121) and RootPartySubIDType (1122) entries
PartySubID value within a root parties component. Same values as PartySubID (523)
Type of RootPartySubID (1121) value. Same values as PartySubIDType (803)
Specified how the TradeCaptureReport(35=AE) should be handled by the respondent.
Trade confirmation
Two-party report
One-party report for matching
One-party report for pass through
Automated floor order routing
Two-party report for claim
One-party report
Optionally used with TradeHandlingInstr = 0 to relay the trade handling instruction used when reporting the trade to the marketplace. Same values as TradeHandlingInstr (1123)
Used to preserve original trade date when original trade is being referenced in a subsequent trade transaction such as a transfer
Used to preserve original trade id when original trade is being referenced in a subsequent trade transaction such as a transfer
Used to preserve original secondary trade id when original trade is being referenced in a subsequent trade transaction such as a transfer
Specifies the service pack release being applied at message level. Enumerated field with values assigned at time of service pack release
FIX27
FIX30
FIX40
FIX41
FIX42
FIX43
FIX44
FIX50
FIX50SP1
FIX50SP2
Specifies a custom extension to a message being applied at the message level. Enumerated field
Specifies the service pack release being applied to a message at the session level. Enumerated field with values assigned at time of service pack release. Uses same values as ApplVerID
Specifies a custom extension to a message being applied at the session level.
Transact time in the local date-time stamp with a TZ offset to UTC identified
The ID source of ExDestination
BIC (Bank Identification Code) (ISO 9362)
Generally accepted market participant identifier (e.g. NASD mnemonic)
Proprietary / Custom code
ISO Country Code
MIC (ISO 10383 - Market Identifier Code)
Indicates that the reported price that is different from the market price. The price difference should be stated by using field 828 TrdType and, if required, field 829 TrdSubType
Indicates the system or medium on which the report has been published
ClearingFeeIndicator(635) for Allocation, see ClearingFeeIndicator(635) for permitted values.
Specifies the service pack release being applied, by default, to message at the session level. Enumerated field with values assigned at time of service pack release. Uses same values as ApplVerID
The quantity to be displayed . Required for reserve orders. On orders specifies the qty to be displayed, on execution reports the currently displayed quantity.
Free format text string related to exchange.
Time of security's maturity expressed in local time with offset to UTC specified
Time of security's maturity expressed in local time with offset to UTC specified
The maximum order quantity (as expressed by TradeVolType(1786)) that can be submitted for a security.
The number of feed types and corresponding book depths associated with a security
The types of algorithm used to match orders in a specific security. Possilbe value types are FIFO, Allocation, Pro-rata, Lead Market Maker, Currency Calender.
The maximum price variation of an execution from one event to the next for a given security. Expressed in absolute price terms.
Indicates that an implied market should be created for either the legs of a multi-leg instrument (Implied-in) or for the multi-leg instrument based on the existence of the legs (Implied-out). Determination as to whether implied markets should be created is generally done at the level of the multi-leg instrument. Commonly used in listed derivatives.
Not implied
Implied-in - The existence of a multi-leg instrument is implied by the legs of that instrument
Implied-out - The existence of the underlying legs are implied by the multi-leg instrument
Both Implied-in and Implied-out
Specific time of event. To be used in combination with EventDate [866]
Minimum price increment amount associated with the MinPriceIncrement ( tag 969). For listed derivatives, the value can be calculated by multiplying MinPriceIncrement by ContractValueFactor(231).
Used to indicate the quantity of the underlying commodity unit of measure on which the contract is based, such as, 2500 lbs of lean cattle, 1000 barrels of crude oil, 1000 bushels of corn, etc. UnitOfMeasureQty is required for UnitOfMeasure(996) Variable Quantity UOMs enumerations. Refer to the definition of UnitOfMeasure(996) for more information on the use of UnitOfMeasureQty.
Allowable low limit price for the trading day. A key parameter in validating order price. Used as the lower band for validating order prices. Orders submitted with prices below the lower limit will be rejected
Allowable high limit price for the trading day. A key parameter in validating order price. Used as the upper band for validating order prices. Orders submitted with prices above the upper limit will be rejected
Reference price for the current trading price range usually representing the mid price between the HighLimitPrice and LowLimitPrice. The value may be the settlement price or closing price of the prior trading day.
An exchange specific name assigned to a group of related securities which may be concurrently affected by market events and actions.
Allow sequencing of Legs for a Strategy to be captured
Settlement cycle in which the settlement obligation was generated
Used to identify the trading currency on the Trade Capture Report Side
Used to identify the settlement currency on the Trade Capture Report Side
Net flow of Currency 1
Used to group Each Settlement Party
Used to identify the reporting mode of the settlement obligation which is either preliminary or final
Preliminary
Final
Message identifier for Settlement Obligation Report
Unique ID for this settlement instruction.
Transaction Type - required except where SettlInstMode is 5=Reject SSI request
Cancel
New
Replace
Restate
Required where SettlInstTransType is Cancel or Replace
Used to identify whether these delivery instructions are for the buyside or the sellside.
Instructions of Broker
Instructions for Institution
Investor
Buyer's settlement instructions
Seller's settlement instructions
Number of settlement obligations
Unique identifier for a quote message.
Identifies the status of an individual quote. See also QuoteStatus(297) which is used for single Quotes.
Accepted
Rejected
Removed from Market
Expired
Locked Market Warning
Cross Market Warning
Canceled due to Lock Market
Canceled due to Cross Market
Active
Specifies the number of canceled quotes
Specifies the number of accepted quotes
Specifies the number of rejected quotes
Specifies whether a quote is public, i.e. available to the market, or private, i.e. available to a specified counterparty only.
Private Quote
Public Quote
Specifies the type of respondents requested.
All market participants
Specified market participants
All Market Makers
Primary Market Maker(s)
Describes a class of sub book, e.g. for the separation of various lot types. The Sub Book Type indicates that the following Market Data Entries belong to a non-integrated Sub Book. Whenever provided the Sub Book must be used together with MDPriceLevel and MDEntryPositionNo in order to sort the order properly.
Values are bilaterally agreed.
Identifies an event related to a SecurityTradingStatus(326). An event occurs and is gone, it is not a state that applies for a period of time.
Order imbalance, auction is extended
Trading resumes (after Halt)
Price Volatility Interruption
Change of Trading Session
Change of Trading Subsession
Change of Security Trading Status
Change of Book Type
Change of Market Depth
Corporate action
Number of statistics indicator repeating group entries
Type of statistics
Exchange Last
High / Low Price
Average Price (VWAP, TWAP ... )
Turnover (Price * Qty)
The number of secondary sizes specifies in this entry
Specifies the type of secondary size.
Customer
Quantity of retail investors.
Customer professional
Quantity of high-volume investors acting similar to broker-dealers.
Do not trade through
Quantity that cannot trade through the away markets.
A part of the MDEntrySize(271) that represents secondary interest as specified by MDSecSizeType(1178).
Identifies the application with which a message is associated. Used only if application sequencing is in effect.
Data sequence number to be used when FIX session is not in effect
Beginning range of application sequence numbers
Ending range of application sequence numbers
The length of the SecurityXML(1185) data block.
XML definition for the security.
The schema used to validate the contents of SecurityXML(1185).
Set by the sender to tell the receiver to perform an immediate refresh of the book due to disruptions in the accompanying real-time feed
'Y' - Mandatory refresh by all participants
'N' - Process as required
Annualized volatility for option model calculations
Time to expiration in years calculated as the number of days remaining to expiration divided by 365 days per year.
Interest rate. Usually some form of short term rate.
Used to express the UOM of the price if different from the contract. In futures, this can be different for cross-rate products in which the price is quoted in units differently from the contract
Used to express the UOM Quantity of the price if different from the contract. In futures, this can be different for physically delivered products in which price is quoted in a unit size different from the contract, i.e. a Cattle Future contract has a UOMQty of 40,000 and a PriceUOMQty of 100.
Settlement method for a contract or instrument. Additional values may be used with bilateral agreement.
Cash settlement required
Physical settlement required
Election at exercise
The settlement method will be elected at the time of contract exercise.
Type of exercise of a derivatives security
European
American
Bermuda
Other
Type of exercise of a derivatives security
Type of exercise of a derivatives security
Cash amount indicating the pay out associated with an option. For binary options this is a fixed amount.
Method for price quotation
Standard, money per unit of a physical
Index
Interest rate Index
Percent of Par
Specifies the type of valuation method applied.
premium style
futures style mark-to-market
futures style with an attached cash adjustment
CDS style collateralization of market to market and coupon
CDS in delivery - use recovery rate to calculate obligation
Indicates whether instruments are pre-listed only or can also be defined via user request
pre-listed only
user requested
Used to express the ceiling price of a capped call
Used to express the floor price of a capped put
Number of strike rule entries. This block specifies the rules for determining how new strikes should be listed within the stated price range of the underlying instrument
Starting price for the range to which the StrikeIncrement applies. Price refers to the price of the underlying
Ending price of the range to which the StrikeIncrement applies. Price refers to the price of the underlying
Value by which strike price should be incremented within the specified price range.
Number of tick rules. This block specifies the rules for determining how a security ticks, i.e. the price increments at which it can be quoted and traded, depending on the current price of the security
Starting price range for specified tick increment
Ending price range for the specified tick increment
Tick increment for stated price range. Specifies the valid price increments at which a security can be quoted and traded
Specifies the type of tick rule which is being described
Regular trading
Variable cabinet
Fixed cabinet
Traded as a spread leg
Settled as a spread leg
Traded as spread
Basis points spread
Code to represent the type of instrument attribute
Attribute value appropriate to the NestedInstrAttribType field
Refer to definition for Symbol(55)
Refer to definition for SymbolSfx(65)
Refer to definition for SecurityID(48)
Refer to definition for SecurityIDSoruce(22)
Refer to definition for NoSecurityAltID(454)
Refer to definition for SecurityAltID(455)
Refer to definition for SecurityAltIDSource(456)
Refer to definition of LowLimitPrice(1148)
Refer to definition of HighLimitPrice(1149)
Allows maturity rule to be referenced via an identifier so that rules do not need to be explicitly enumerated
Allows strike rule to be referenced via an identifier so that rules do not need to be explicitly enumerated
Cash amount indicating the pay out associated with an option. For binary options this is a fixed amount
Ending maturity month year for an option class
Identifies an entire suite of products for a given market. In Futures this may be "interest rates", "agricultural", "equity indexes", etc.
Refer to ProductComplex(1227)
Increment between successive maturities for an option class
Minimum lot size allowed based on lot type specified in LotType(1093)
Number of execution instructions
Number of Lot Type Rules
Number of Match Rules
Number of maturity rules in MarurityRules component block
Number of order types
Number of time in force techniques
Refer to definition for TradingReferencePrice(1150)
Starting maturity month year for an option class
Used to indicate if a product or group of product supports the creation of flexible securities
Refer to FlexProductEligibilityIndicator(1242)
Used to indicate a derivatives security that can be defined using flexible terms. The terms commonly permitted to be defined by market participants are expiration date and strike price. FlexibleIndicator is an alternative CFICode(461) Standard/Non-standard attribute.
Used when the trading currency can differ from the price currency
Refer to definition SecurityXMLLen(1184)
Refer to definition of SecurityXML(1185)
Refer to definition of SecurityXMLSchema(1186)
Refer to definition of NoParties(453)
Refer to definition of PartyID(448)
Refer to definition of PartyIDSource(447)
REfer to definition of PartyRole(452)
Refer to definition for NoPartySubIDs(802)
Refer to definition for PartySubID(523)
Refer to definition for PartySubIDType(803)
Type of exercise of a derivatives security
Identifies the market segment
Identifies the market
Unit of measure for the Maturity Month Year Increment
Months
Days
Weeks
Years
Format used to generate the MaturityMonthYear for each option
YearMonth Only (default)
YearMonthDay
YearMonthWeek
Expiration Style for an option class:
Describes the how the price limits are expressed
Describes the how the price limits are expressed.
Price (default)
Ticks
Percentage
Indicates execution instructions that are valid for the specified market segment
Allows trading rules to be expressed by trading session
Number of Market Segments on which a security may trade.
Refer to definition of InstrAttribType(871)
Refer to definition of InstrAttribValue(872)
Refer to definition for PriceUnitOfMeasure(1191)
Refer to definition of PriceUnitOfMeasureQty(1192)
Settlement method for a contract or instrument. Additional values may be used with bilateral agreement.
Refer to definition of PriceQuoteMethod(1196)
Refer to definition of ValuationMethod(1197).
Indicates whether instruments are pre-listed only or can also be defined via user request
Refer to definition of CapPrice(1199)
Refer to definition of FloorPrice(1200)
Indicates whether an Option is for a put or call
If provided, then Instrument occurrence has explicitly changed
Add
Delete
Modify
Snapshot
Put or call indicator of the leg security.
See PutOrCall(201).
Refer to definition of UnitOfMeasureQty(1147)
Refer to definition for PriceUnitOfMeasure(1191)
Refer to definition of PriceUnitOfMeasureQty(1192)
Refer to definition of UnitOfMeasureQty(1147)
Refer to definition for PriceUnitOfMeasure(1191)
Refer to definition of PriceUnitOfMeasureQty(1192)
Unique ID of a Market Definition Request message.
Market Definition message identifier.
Specifies the action taken for the specified MarketID(1301) + MarketSegmentID(1300).
Add
Delete
Modify
Description or name of Market Segment
Byte length of encoded (non-ASCII characters) EncodedMktSegmDesc(1324) field.
Encoded (non-ASCII characters) representation of the MarketSegmDesc(1396) field in the encoded format specified via the MessageEncoding(347) field. If used, the ASCII (English) representation should also be specified in the MarketSegmDesc field.
Reference to a parent Market Segment. See MarketSegmentID(1300)
Trading Session description
Specifies the action taken for the specified trading sessions.
Identifies the reason for rejection.
This is a multiplier that Clearing (Fee system) will use to calculate fees and will be sent to the firms on their confirms.
Refer to definition for Symbol(55)
Refer to definition for SymbolSfx(65)
Refer to definition for SecurityID(48)
Refer to definition for SecurityIDSource(22)
Refer to definition for NoSecurityAltID(454)
Refer to definition for SecurityAltID(455)
Refer to definition for SecurityAltIDSource(456)
Refer to definition for SecurityType(167)
Refer to definition for SecuritySubType(762)
Refer to definition for MaturityMonthYear(200)
Refer to definition for PutOrCall(201)
Refer to definition for StrikePrice(202)
Refer to definition for SecurityExchange(207)
Number of Underlyings, Identifies the Underlying of the Leg
Refer to definition for CFICode(461)
Date of maturity.
Time of security's maturity expressed in local time with offset to UTC specified
Refer to definition of OptAttribute(206)
Refer to definition of SecurityDesc(107)
Enumeration defining the encryption method used to encrypt password fields.
At this time there are no encryption methods defined by FPL.
Length of the EncryptedPassword(1402) field
Encrypted password - encrypted via the method specified in the field EncryptedPasswordMethod(1400)
Length of the EncryptedNewPassword(1404) field
Encrypted new password - encrypted via the method specified in the field EncryptedPasswordMethod(1400)
The extension pack number associated with an application message.
The extension pack number associated with an application message.
The extension pack number that is the default for a FIX session.
The default custom application version ID that is the default for a session.
Status of a FIX session
Session active
Session password changed
Session password due to expire
New session password does not comply with policy
Session logout complete
Invalid username or password
Account locked
Logons are not allowed at this time
Password expired
Received MsgSeqNum(34) is too low.
Received NextExpectedMsgSeqNum(789) is too high.
Number of Usernames to which this this response is directed
Identifies settlement currency for the leg level allocation.
Total number of fill entries across all messages. Should be the sum of all NoFills(1362) in each message that has repeating list of fill entries related to the same ExecID(17). Used to support fragmentation.
Refer to ExecID(17). Used when multiple partial fills are reported in single Execution Report. ExecID and FillExecID should not overlap,
Price of Fill. Refer to LastPx(31).
Quantity of Fill. Refer to LastQty(32).
The AllocID(70) of an individual leg of a multileg order.
Identifies an event related to a TradSesStatus(340). An event occurs and is gone, it is not a state that applies for a period of time.
Trading resumes (after Halt)
Change of Trading Session
Change of Trading Subsession
Change of Trading Status
Unique identifier of Order Mass Cancel Report or Order Mass Action Report message as assigned by sell-side (broker, exchange, ECN)
Number of not affected orders in the repeating group of order ids.
OrderID(37) of an order not affected by a mass cancel or mass action request.
ClOrdID(11) of an order not affected by a mass cancel or mass action request.
Specifies the type of action requested
Suspend orders
Release orders from suspension
Cancel orders
Specifies scope of Order Mass Action Request.
All orders for a security
All orders for an underlying security
All orders for a Product
All orders for a CFICode
All orders for a SecurityType
All orders for a trading session
All orders
All orders for a Market
All orders for a market segment (or multiple segments)
All orders for a Security Group
Cancel for Security Issuer
Cancel for Issuer of Underlying Security
Specifies the action taken by counterparty order handling system as a result of the action type indicated in MassActionType of the Order Mass Action Request.
Rejected - See MassActionRejectReason(1376)
Accepted
Completed
Reason Order Mass Action Request was rejected
Mass Action Not Supported
Invalid or unknown security
Invalid or unknown underlying security
Invalid or unknown Product
Invalid or unknown CFICode
Invalid or unknown SecurityType
Invalid or unknown trading session
Invalid or unknown Market
Invalid or unknown Market Segment
Invalid or unknown Security Group
Other
Invalid or unknown Security Issuer
Invalid or unknown Issuer of Underlying Security
Specifies the type of multileg order. Defines whether the security is pre-defined or user-defined. Note that MultilegModel(1377)=2(User-defined, Non-Securitized, Multileg) does not apply for Securities.
Predefined Multileg Security
User-defined Multileg Security
User-defined, Non-Securitized, Multileg
Code to represent how the multileg price is to be interpreted when applied to the legs.
(See Volume : "Glossary" for further value definitions)
Net Price
Reversed Net Price
Yield Difference
Individual
Contract Weighted Average Price
Multiplied Price
Specifies the volatility of an instrument leg.
The continuously-compounded annualized dividend yield of the underlying(s) of an option. Used as a parameter to theoretical option pricing models.
Refer to definition for DividendYield(1380).
Specifies the currency ratio between the currency used for a multileg price and the currency used by the outright book defined by the leg. Example: Multileg quoted in EUR, outright leg in USD and 1 EUR = 0,7 USD then CurrencyRatio = 0.7
Specifies the currency ratio between the currency used for a multileg price and the currency used by the outright book defined by the leg. Example: Multileg quoted in EUR, outright leg in USD and 1 EUR = 0,7 USD then LegCurrencyRatio = 0.7
Refer to ExecInst(18)
Same values as ExecInst(18)
Defines the type of contingency.
One Cancels the Other (OCO)
One Triggers the Other (OTO)
One Updates the Other (OUO) - Absolute Quantity Reduction
One Updates the Other (OUO) - Proportional Quantity Reduction
Bid and Offer
Bid and Offer OCO
Identifies the reason for rejection of a New Order List message. Note that OrdRejReason(103) is used if the rejection is based on properties of an individual order part of the List.
Broker / Exchange option
Exchange closed
Too late to enter
Unknown order
Duplicate Order (e.g. dupe ClOrdID)
Unsupported order characteristic
Other
Number of trade reporting indicators
Identifies the type of party for trade reporting. Same values as PartyRole(452).
Specifies whether the trade should be reported (or not) to parties of the provided TrdRepPartyRole(1388). Used to override standard reporting behavior by the receiver of the trade report and thereby complements the PublTrdIndicator( tag1390).
Indicates if a trade should be reported via a market reporting service. The indicator governs all reporting services of the recipient. Replaces PublishTrdIndicator(852).
Do Not Publish Trade
Publish Trade
Deferred Publication
Unique identifier for request
Type of Application Message Request being made.
Retransmission of application messages for the specified Applications
Subscription to the specified Applications
Request for the last ApplLastSeqNum published for the specified Applications
Request valid set of Applications
Unsubscribe to the specified Applications
Cancel retransmission
Cancel retransmission and unsubscribe to the specified applications
Used to indicate the type of acknowledgement being sent.
Request successfully processed
Application does not exist
Messages not available
Total number of messages included in transmission.
Application sequence number of last message in transmission
Specifies number of application id occurrences
Used to indicate that a message is being sent in response to an Application Message Request. It is possible for both ApplResendFlag and PossDupFlag to be set on the same message if the Sender's cache size is greater than zero and the message is being resent due to a session level resend request
Identifier for the Applicaton Message Request Ack
Used to return an error code or text associated with a response to an Application Request.
Application does not exist
Messages requested are not available
User not authorized for application
Reference to the unique application identifier which corresponds to ApplID(1180) from the Application Sequence Group component
Identifier for the Application Sequence Reset
Application sequence number of last message in transmission.
Used to specify a new application sequence number.
Type of report
Reset ApplSeqNum to new value specified in ApplNewSeqNum(1399)
Reports that the last message has been sent for the ApplIDs Refer to RefApplLastSeqNum(1357) for the application sequence number of the last message.
Heartbeat message indicating that Application identified by RefApplID(1355) is still alive. Refer to RefApplLastSeqNum(1357) for the application sequence number of the previous message.
Application message re-send completed.
Refer to definition of PartySubIDType(803)
Refer to definition of PartySubID(523)
Refer to definition of NoPartySubIDs(802)
Refer to definition of NoPartyIDs(453)
Refer to definition of PartyID(448)
Refer to definition of PartyIDSource(447)
Refer to definition of PartyRole(452)
Fill quantity for the leg instrument
When reporting trades, used to reference the identifier of the execution (ExecID) being reported if different ExecIDs were assigned to each side of the trade.
Time lapsed from order entry until match, based on the unit of time specified in OrderDelayUnit. Default is seconds if OrderDelayUnit is not specified. Value = 0, indicates the aggressor (the initiating side of the trade).
Time unit in which the OrderDelay(1428) is expressed
Seconds (default if not specified)
Tenths of a second
Hundredths of a second
milliseconds
microseconds
nanoseconds
minutes
hours
days
weeks
months
years
Identifies the type of venue where a trade was executed
Electronic exchange
Pit
Ex-pit
Clearinghouse
Registered market
Markets registered with regulators such as exchange, multilateral trading facility (MTF), swap execution facility (SEF). In the context of regulatory reporting (e.g. CFTC reporting), this is used for regulated markets, e.g. swap markets.
Off-market
Off-book, off-facility. In the context of regulatory reporting (e.g. CFTC reporting) this identifies trades conducted away from a regulated market.
Central limit order book
Quote driven market
Dark order book
The reason for updating the RefOrdID
GTC from previous day
Partial Fill Remaining
Order Changed
The customer capacity for this trade at the time of the order/execution.
Primarily used by futures exchanges to indicate the CTICode (customer type indicator) as required by the US CFTC (Commodity Futures Trading Commission).
Member trading for their own account
Clearing Firm trading for its proprietary account
Member trading for another member
All other
Used to reference a previously submitted ApplReqID (1346) from within a subsequent ApplicationMessageRequest(MsgType=BW)
Type of pricing model used
Utility provided standard model
Proprietary (user supplied) model
Indicates the type of multiplier being applied to the contract. Can be optionally used to further define what unit ContractMultiplier(tag 231) is expressed in.
Shares
Hours
Days
"Indicates the type of multiplier being applied to the contract. Can be optionally used to further define what unit LegContractMultiplier(tag 614) is expressed in.
Indicates the type of multiplier being applied to the contract.
Can be optionally used to further define what unit UnderlyingContractMultiplier(436) is expressed in.
Indicates the type of multiplier being applied to the contract. Can be optionally used to further define what unit DerivativeContractMultiplier(tag 1266)is expressed in.
The industry standard flow schedule by which electricity or natural gas is traded. Schedules exist by regions and on-peak and off-peak status, such as "Western Peak".
NERC Eastern Off-Peak
NERC Western Off-Peak
NERC Calendar-All Days in month
NERC Eastern Peak
NERC Western Peak
The industry standard flow schedule by which electricity or natural gas is traded. Schedules exist by regions and on-peak and off-peak status, such as "Western Peak".
The industry standard flow schedule by which electricity or natural gas is traded. Schedules exist by regions and on-peak and off-peak status, such as "Western Peak".
The industry standard flow schedule by which electricity or natural gas is traded. Schedules exist by regions and on-peak and off-peak status, such as "Western Peak".
Indicator to identify whether this fill was a result of a liquidity provider providing or liquidity taker taking the liquidity. Applicable only for OrdStatus of Partial or Filled
Indicator to identify whether this fill was a result of a liquidity provider providing or liquidity taker taking the liquidity. Applicable only for OrdStatus of Partial or Filled.
Number of rate sources being specified.
Identifies the source of rate information.
For FX, the reference source to be used for the FX spot rate.
Bloomberg
Reuters
Telerate
Other
ISDA Settlement Rate Option
The source of the currency conversion as specified by the ISDA terms in Annex A to the 1998 FX and Currency Option Definitions. See http://www.fpml.org/coding-scheme/settlement-rate-option
Indicates whether the rate source specified is a primary or secondary source.
Primary
Secondary
Identifies the reference "page" from the rate source.
For FX, the reference page to the spot rate to be used for the reference FX spot rate.
When RateSource(1446) = 3 (ISDA Settlement Rate Option) this contains the value from the scheme that reflects the terms of the Annex A to the ISDA 1998 FX and Currency Option Definitions. See: http://www.fpml.org/coding-scheme/settlement-rate-option
A category of CDS credit event in which the underlying bond experiences a restructuring.
Used to define a CDS instrument.
Full Restructuring
Modified Restructuring
Modified Mod Restructuring
No Restructuring specified
Specifies which issue (underlying bond) will receive payment priority in the event of a default.
Used to define a CDS instrument.
Senior Secured
Senior
Subordinated
Indicates the notional percentage of the deal that is still outstanding based on the remaining components of the index.
Used to calculate the true value of a CDS trade or position.
Used to reflect the Original value prior to the application of a credit event. See NotionalPercentageOutstanding(1451).
See RestructuringType(1449)
See Seniority(1450)
See NotionalPercentageOutstanding(1451)
See OriginalNotionalPercentageOutstanding(1452)
Lower bound percentage of the loss that the tranche can endure.
Upper bound percentage of the loss the tranche can endure.
See AttachmentPoint(1457).
See DetachmentPoint(1458).
Identifies the number of target parties identified in a mass action.
PartyID value within an target party repeating group.
PartyIDSource value within an target party repeating group.
Same values as PartyIDSource (447)
PartyRole value within an target party repeating group.
Same values as PartyRole (452)
Specifies an identifier for a Security List
Specifies a reference from one Security List to another. Used to support a hierarchy of Security Lists.
Specifies a description or name of a Security List.
Byte length of encoded (non-ASCII characters) EncodedSecurityListDesc (tbd) field.
Encoded (non-ASCII characters) representation of the SecurityListDesc (1467) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the SecurityListDesc field.
Specifies a type of Security List.
Industry Classification
Trading List
Market / Market Segment List
Newspaper List
Specifies a specific source for a SecurityListType. Relevant when a certain type can be provided from various sources.
ICB (Industry Classification Benchmark) published by Dow Jones and FTSE - www.icbenchmark.com
NAICS (North American Industry Classification System). Replaced SIC (Standard Industry Classification) www.census.gov/naics or www.naics.com.
GICS (Global Industry Classification Standard) published by Standards & Poor
Unique identifier for a News message
Category of news mesage.
Company News
Marketplace News
Financial Market News
Technical News
Other News
The national language in which the news item is provided.
Number of News reference items
Reference to another News message identified by NewsID(1474).
Type of reference to another News(35=B) message item.
Replacement
Other language
Complimentary
Withdrawal
Withdrawal of the referenced news item, e.g. to correct an error.
Specifies how the strike price is determined at the point of option exercise. The strike may be fixed throughout the life of the option, set at expiration to the value of the underlying, set to the average value of the underlying , or set to the optimal value of the underlying.
Fixed strike (default if not specified)
Strike set at expiration to underlying or other value (lookback floating)
Strike set to average of underlying settlement price across the life of the option
Strike set to optimal value
Specifies the boundary condition to be used for the strike price relative to the underlying price at the point of option exercise.
Less than underlying price is in-the-money (ITM)
Less than or equal to the underlying price is in-the-money(ITM)
Equal to the underlying price is in-the-money(ITM)
Greater than or equal to underlying price is in-the-money(ITM)
Greater than underlying is in-the-money(ITM)
Used in combination with StrikePriceBoundaryMethod to specify the percentage of the strike price in relation to the underlying price. The percentage is generally 100 or greater for puts and 100 or less for calls.
Specifies how the underlying price is determined at the point of option exercise. The underlying price may be set to the current settlement price, set to a special reference, set to the optimal value of the underlying during the defined period ("Look-back") or set to the average value of the underlying during the defined period ("Asian option").
Regular
Special reference
Optimal value (Lookback)
Average value (Asian option)
Indicates the type of payout that will result from an in-the-money option.
Vanilla
Capped
Binary
Number of complex event occurrences.
Identifies the type of complex event.
Capped
Trigger
Knock-in up
Knock-in down
Knock-out up
Knock-out down
Underlying
Reset Barrier
Rolling Barrier
One-touch
No-touch
Double one-touch
Double no-touch
Foreign exchange composite
Foreign exchange Quanto
Foreign exchange cross currency
Strike spread
Calendar spread
Price observation (Asian or Lookback)
Pass-through
Strike schedule
Equity valuation
Dividend valuation
Cash amount indicating the pay out associated with an event. For binary options this is a fixed amount.
Specifies the price at which the complex event takes effect. Impact of the event price is determined by the ComplexEventType(1484).
Specifies the boundary condition to be used for the event price relative to the underlying price at the point the complex event outcome takes effect as determined by the ComplexEventPriceTimeType.
Less than ComplexEventPrice(1486)
Less than or equal to ComplexEventPrice(1486)
Equal to ComplexEventPrice(1486)
Greater than or equal to ComplexEventPrice(1486)
Greater than ComplexEventPrice(1486)
Used in combination with ComplexEventPriceBoundaryMethod to specify the percentage of the strike price in relation to the underlying price. The percentage is generally 100 or greater for puts and 100 or less for calls.
Specifies when the complex event outcome takes effect. The outcome of a complex event is a payout or barrier action as specified by the ComplexEventType(1484).
Expiration
Immediate (At Any Time)
Specified Date/Time
Close
Official closing time of the exchange on valuation date.
Open
Official opening time of the exchange on valuation date.
Official settlement price
Official settlement price determination time.
Derivatives close
Official closing time of the derivatives exchange.
As specified in Master Confirmation
Specifies the condition between complex events when more than one event is specified.
Multiple barrier events would use an "or" condition since only one can be effective at a given time. A set of digital range events would use an "and" condition since both conditions must be in effect for a payout to result.
And
Or
Number of complex event date occurrences for a given complex event.
Specifies the start date of the date range on which a complex event is effective. The start date will be set equal to the end date for single day events such as Bermuda options
ComplexEventStartDate must always be less than or equal to ComplexEventEndDate.
Specifies the end date of the date range on which a complex event is effective. The start date will be set equal to the end date for single day events such as Bermuda options
ComplexEventEndDate must always be greater than or equal to ComplexEventStartDate.
Number of complex event time occurrences for a given complex event date
The default in case of an absence of time fields is 00:00:00-23:59:59.
Specifies the start time of the time range on which a complex event date is effective.
ComplexEventStartTime must always be less than or equal to ComplexEventEndTime.
Specifies the end time of the time range on which a complex event date is effective.
ComplexEventEndTime must always be greater than or equal to ComplexEventStartTime.
Unique identifier for the stream assignment request provided by the requester.
Type of stream assignment request.
Stream assignment for new customer(s)
Stream assignment for existing customer(s)
Number of assignment requests.
The identifier or name of the price stream.
Unique identifier of the stream assignment report provided by the respondent.
Reason code for stream assignment request reject.
Unknown client
Exceeds maximum size
Unknown or Invalid currency pair
No available stream
Other
Type of acknowledgement.
Assignment Accepted
Assignment Rejected
The type of assignment being affected in the Stream Assignment Report.
Assignment
Rejected
Terminate/Unassign
See TransactTime(60)
Yield Type, using same values as YieldType (235)
Yield Percentage, using same values as Yield (236)
Number of Instructions in the <MatchingInstructions> repeating group.
Matching Instruction for the order.
Match
Do Not Match
Existing FIX field to be applied as a matching criteria to the instruction, bilaterally agreed between parties.
Value of MatchAttribTagID(1626) on which to apply the matching instruction.
Identifies the market to which the matching instruction applies.
Defines the scope of TriggerAction(1101) when it is set to "cancel" (3).
This order (default)
Other order (use RefID)
All other orders for the given security
All other orders for the given security and price
All other orders for the given security and side
All other orders for the given security, price and side
This is the time in seconds of a "Good for Time" (GFT) TimeInForce.
Positive integer value which represents the time is seconds in which the new order remains active in the market before it is automatically cancelled (e.g. expired).
Bi-lateral agreements will dictate the maximum value of this field. It is assumed that most systems will impose a max limit of 86,400 seconds (i.e. 24 hours).
For Quotes: The period of time a quoted price is tradable(i.e. on-the-wire) before it becomes indicative (i.e. off-the-wire).
The number of limit amount entries.
Identifies the type of limit amount expressed in LastLimitAmt(1632) and LimitAmtRemaining(1633).
Credit limit
Gross position limit
Net position limit
Risk exposure limit
Long position limit
Short position limit
The amount that has been drawn down against the counterparty for a given trade. The type of limit is specified in LimitAmtType(1631).
Bilateral agreements dictate the units and maximum value of this field.
The remaining limit amount available between the counterparties. The type of limit is specified in LimitAmtType(1631).
Bilateral agreements dictate the units and maximum value of this field.
Indicates the currency that the limit amount is specified in. See Currency(15) for additional description and valid values.
Unique identifier of the MarginRequirementInquiry.
Number of margin requirement inquiry qualifiers.
Qualifier for MarginRequirementInquiry to identify a specific report.
Summary
Detail
Excess/Deficit
Net Position
Type of MarginRequirementReport.
Summary
Detail
Excess/Deficit
Identifier for group of instruments with similar risk profile.
Status of MarginRequirementInquiry.
Result returned in response to MarginRequirementInquiry.
Successful (default)
Invalid or unknown instrument
Invalid or unknown margin class
Invalid Parties
Invalid Transport Type requested
Invalid Destination requested
No margin requirement found
Margin requirement inquiry qualifier not supported
Unauthorized for margin requirement inquiry
Other (further information in Text (58) field)
Identifier for the MarginRequirementReport message.
Number of margin requirement amounts.
Type of margin requirement amount being specified.
Additional Margin
Component of the total margin calculation which allows the CCP to include amounts generated outside of the Margin Deficit. Additional risk charges collected when a firm is placed on higher than normal surveillance.
Additional margin serves to cover the additional liquidation costs that potentially could be incurred. Such possible close-out costs could arise if, based on the current market value of a portfolio, the worst case loss were to occur within a 24-hour period. It is used for options (also options on futures) and non-spread futures positions, bonds and equity trades. For bonds and equity trades, the additional margin is calculated for security positions but not for the corresponding cash positions.
Adjusted Margin
Unadjusted Margin can be modified to become an Adjusted Margin by assigning a specific collateral to it or by applying an exchange rate.
Unadjusted Margin
Calculated by adding up the options Premium Margin, the current Liquidating Margin, the Futures Spread Margin and the Additional Margin on account and currency level.
Binary Add-On Amount
Requirement generated from positions in Binary Options which are considered fully margined. Margin for an individual contract in this category represents the total amount that would be paid upon delivery of a contract should it expire in-the-money. This amount is included as a component of Additional Margin in the Total Margin calculation.
Cash Balance Amount
Information about cash balance posted to the clearing house to cover the current margin requirement.
Concentration Margin
Reflects a riskier portfolio concentration when a set of closely related products is held.
Core Margin
Specific basic requirement of a position. Core margin is equal to Initial Margin plus a percentage of the Variation Margin.
Delivery Margin
Margin amount calculated between the Last Trade Date or Options Exercise Date and the Delivery or Settlement Date. Can also represent a commodities or energy delivery.
Discretionary Margin
Unspecific margin amount added by the risk manager, also called Increase Coverage Amount.
Futures Spread Margin
Long and short positions of futures with different expiration dates can be offset against each other and are called “spreads”. The remaining risk stems from the difference in expiration dates which does not provide a perfect price correlation. The purpose of Futures Spread Margin is to cover this risk until the next trading day.
This kind of margin is levied in order to cover those risks associated with a futures spread which could arise between today and tomorrow.
Initial Margin
The initial amount required to cover the position.
Liquidating Margin
Calculated for cash, bond and equity positions and is equal to the profits and losses in such positions at the time of calculation. This margin protects the CCP if it is required to close out the position at the current/EOD price.
The liquidating margin (also called Current Liquidating Margin or Net Liquidating Margin) is paid by the buyer or the seller of the bonds. This margin covers losses that would occur if a position were to be liquidated today. The liquidating margin is adjusted daily similar to premium margin.
Margin Call Amount
If the collateral that has been deposited is no longer sufficient, meaning a lack of coverage exists, then the market participant will be called upon to provide additional cash as collateral.
Margin Deficit Amount (Shortfall)
Base margin risk charge. This amount represents anticipated losses should the value of a portfolio (all positions in the account) fall below predefined level of Historical Value-at-Risk confidence. Also called Expected Shortfall Amount.
Margin Excess Amount (Surplus)
Excess long premium value which is generated when long premium value exceeds the sum of any short premium debit requirement and the account's risk charges. Also called Expected Surplus Amount or Margin Credit Amount.
Option Premium Amount
Premium registered on the given trading date.
The amount of money that the options buyer must pay the options seller.
Premium Margin
Premium margin must be deposited by the seller of a traditional options position. It remains effective until the exercise or expiration of the option, and covers the potential costs of a close-out (liquidation) of the position of the seller at the settlement price.
Reserve Margin
Reserve margin provides a way to reflect the inflated risk of a position. Reserve margin is equal to a percentage of the variation margin.
Security Collateral Amount
Information about the security collateral posted to the clearing house to cover the current margin requirement.
Stress Test Add-On Amount
Amount in addition to Margin Deficit in the Risk component of the margin calculation. This charge is based on tests which incorporate changes to distributional and confidence level assumptions to evaluate exposure to security concentration and changes in dependence structure; a predetermined percentage of the calculated exposure is collateralized as this charge.
Super Margin
Additional risk charge applied to predetermined Cross-Margin accounts. The charge is based on the account's level of Margin Deficit. This amount is included as a component of Additional Margin in the Total Margin calculation.
Total Margin
Sum of all margin amounts at value date.
Variation Margin
Variation margin (also called Contingent Variation Margin or Maintenance Margin) is the daily Profit and Loss (P&L) on Open Positions for the given trading date. The current price is compared to the previous day's price.
Variation margin (a daily offsetting of profits and losses) occurs as a result of the mark-to-market procedure used for futures and options on futures.
Secondary Variation Margin
Variation margin on Option Positions that is calculated based on the market movement. This will be used by CCPs wanting to report the variation for Options and Futures separately.
Rolled up margin deficit
Spread response margin
Risk factor component associated with spread moves, curve shape changes and recovery rates.
Systemic risk margin
Risk factor component to capture parallel shift of credit spreads.
Curve risk margin
Risk factor captures curve shifts based on portfolio.
Index spread risk margin
Risk factor component associated with risks due to widening/tightening spreads of CDS indices relative to each other.
Sector risk margin
Risk factor component to capture sector risk.
Jump-to-default risk margin
Risk factor component to capture extreme widening of credit spreads of a reference entity. Also known as Idiosyncratic Risk.
Basis risk margin
Risk factor component to capture basis risk between index and index constituent reference entities.
Interest rate risk margin
Risk factor component associated with parallel shift movements in interest rates.
Jump-to-health risk margin
Risk factor component to capture extreme narrowing of credit spreads of a reference entity. Also known as Idiosyncratic Risk.
Other risk margin
Any other risk factors include in the Margin Model.
Amount of margin requirement.
Currency of the MarginAmt(1645).
Number of related instruments
The type of instrument relationship
"hedges for" instrument
Underlier
Equity equivalent
Nearest exchange traded contract
Retail equivalent of wholesale instrument
Leg
Used to associate or link InstrumentLeg to Instrument in messages where there can be multiple instruments, such as in Email(35=C) and News(35=B) messages.
Ticker symbol of the related security. Common "human understood" representation of the security.
Related security identifier value of RelatedSecurityIDSource(1651) type.
Identifies class or source of the RelatedSecurityID (1650) value.
Security type of the related instrument.
Expiration date for the related instrument contract.
Used to specify the portion of the short contract quantity that is considered covered (e.g. used for short option position).
Indicates market maker participation in security.
No participation
Buy participation
Sell participation
Both buy and sell participation
Unique identifier for PartyDetailsListRequest.
Number of requested party roles.
Identifies the type or role of party that has been requested.
Identifier for the PartyDetailsListReport and the PartyDetailsListUpdateReport.
Result of a request as identified by the appropriate request ID field
Valid request
Invalid or unsupported request
No data found that match selection criteria
Not authorized to retrieve data
Data temporarily unavailable
Request for data not supported
Other (further information in RejectText (1328) field)
Total number of PartyListGrp returned.
Number of party relationships.
Used to specify the type of the party relationship.
Is also
Clears for
Clears through
Trades for
Trades through
Sponsors
Sponsored through
Provides guarantee for
Is guaranteed by
Member of
Has members
Provides marketplace for
Participant of marketplace
Carries positions for
Posts trades to
Enters trades for
Enters trades through
Provides quotes to
Requests quotes from
Invests for
Invests through
Brokers trades for
Brokers trades through
Provides trading services for
Uses trading services of
Approves of
Approved by
Parent firm for
Subsidiary of
Regulatory owner of
Owned by (regulatory)
Controls
Is controlled by
Legal / titled owner of
Owned by (legal / title)
Beneficial owner of
Owned by (beneficial)
Settles for
Settles through
Number of party alternative identifiers.
An alternate party identifier for the party specified in PartyDetailID(1691)
Identifies the source of the PartyDetailAltID(1517) value.
Number of party detail alternate sub-identifiers.
Sub-identifier for the party specified in PartyDetailAltID(1517).
Type of PartyDetailAltSubID(1520) value.
Number of risk limits with associated warning levels.
Used to specify the type of risk limit amount or position limit quantity or margin requirement amounts.
Gross limit
Net limit
Exposure
Long limit
Short limit
Cash margin
Additional margin
Total margin
Credit limit
The credit limit provided by one party to another for trading.
Limit consumed
The limit used in the recent transaction.
Clip size
The total amount allowed to be traded within a defined period of time, or velocity. The defined period of time is specified by the RiskLimitVelocityPeriod(2336) and RiskLimitVelocityUnit(2337).
Maximum notional order size
DV01/PV01 limit
The maximum dollar value change resulting from a move of 1 basis point in the yield curve. This limits the interest rate risk exposure. Also known as "basis point value" or BPV.
CS01 limit
Credit spread sensitivity. Represents the change in market value of a CDS for a one basis point change in the credit spread. This limits the credit risk exposure of a CDS. Also known as "risky-DV01".
Specifies the risk limit amount.
Used to specify the currency of the risk limit amount.
The area to which risk limit is applicable. This can be a trading platform or an offering.
Number of risk instrument scopes.
Operator to perform on the instrument(s) specified
Include
Exclude
Used to limit instrument scope to specified symbol.
See Symbol(55) field for description.
Used to limit instrument scope to specified symbol suffix.
See SymbolSfx(65) field for description.
Used to limit instrument scope to specified security identifier.
See SecurityID(48) field for description.
Used to limit instrument scope to specified security identifier source.
See SecurityIDSource(22) field for description.
Number of alternate security identifier for the specified InstrumentScopeSecurityID(1538).
Used to limit instrument scope to specified security alternate identifier.
See SecurityAltID(455) field for description.
Used to limit instrument scope to specified security alternate identifier source.
See SecurityAltIDSource(456) field for description.
Used to limit instrument scope to specified instrument product category.
See Product (460) field for description.
Used to limit instrument scope to specified product complex.
See ProductComplex(1227) field for description.
Used to limit instrument scope to specified security group.
See SecurityGroup(1151) field for description.
Used to limit instrument scope to specified CFICode.
See CFICode(461) field for description.
Used to limit instrument scope to specified security type.
See SecurityType(167) field for description).
Used to limit instrument scope to specified security sub-type.
See SecuritySubType(762) field for description.
Used to limit instrument scope to specified maturity month and year.
See MaturityMonthYear(200) field for description.
Used to limit instrument scope to specified maturity time.
See MaturityTime(1079) field for description.
Used to limit instrument scope to specified restructuring type.
See RestructuringType(1449) field for description.
Used to limit instrument scope to specified seniority type.
See Seniority(1450) field for description.
Used to limit instrument scope to puts or calls.
See PutOrCall(201) field for description.
Used to limit instrument scope to securities that can be defined using flexible terms or not.
See FlexibleIndicator(1244) field for description.
Used to limit instrument scope to specified coupon rate.
See CouponRate(223) field for description.
Used to limit instrument scope to specified security description.
See SecurityDesc(107) field for description.
Used to limit instrument scope to specified settlement type.
See SettlType(63) field for description.
Multiplier applied to the transaction amount for comparison with risk limits. Default if not specified is 1.0.
Number of risk warning levels.
Percent of risk limit at which a warning is issued.
Name or error message associated with the risk warning level.
Number of related party detail identifiers.
Party identifier for the party related to the party specified in PartyDetailID(1691).
Identifies the source of the RelatedPartyDetailID(1563).
Identifies the type or role of the RelatedPartyDetailID(1563) specified.
Number of related party detail sub-identifiers.
Sub-identifier for the party specified in RelatedPartyID(1563).
Type of RelatedPartyDetailSubID(1567) value.
Number of related party detail alternate identifiers.
An alternate party identifier for the party specified in RelatedPartyID(1563).
Identifies the source of the RelatedPartyDetailAltID(1570) value.
Number of related party detail alternate sub-identifiers.
Sub-identifier for the party specified in RelatedPartyDetailAltID(1570).
Type of RelatedPartyDetailAltSubID(1573) value.
Used to limit instrument scope to specified security exchange.
See SecurityExchange(207) field for description.
Byte length of encoded (non-ASCII characters) InstrumentScopeEncodedSecurityDesc (1621) field
Encoded (non-ASCII characters) representation of the InstrumentScopeSecurityDesc (1556) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the InstrumentScopeSecurityDesc field.
Number of instrument scopes.
Number of requesting party identifiers.
Party identifier for the requesting party.
Identifies the source of the RequestingPartyID(1658) value.
Identifies the type or role of the RequestingPartyID(1658) specified.
Number of requesting party sub-identifiers.
Sub-identifier for the party specified in RequestingPartyID(1658).
Type of RequestingPartySubID(1662) value.
Byte length of encoded (non-ASCII characters) EncodedRejectText(1665) field.
Encoded (non-ASCII characters) representation of the RejectText(1328) field in the encoded format specified via the MessageEncoding(347) field. If used, the ASCII (English) representation should also be specified in the RejectText(1328) field.
Unique identifier for the PartyRiskLimitsRequest
Identifier for the PartyRiskLimitsReport
Number of risk limit types requested.
Number of risk limits for different instrument scopes.
Unique reference identifier for a specific risk limit defined for the specified party.
Number of party details.
Indicates the status of the party identified with PartyDetailID(1691).
Active (default if not specified)
Suspended
Halted
Qualifies the value of PartyRole(452)
Agency
Principal
Riskless principal
General clearing member
Individual clearing member
Preferred market maker
Directed market maker
Bank
Hub
Indicates that the Intermediary party is a hub system or service provider.
Primary trade repository
Used to differentiate the principal trade repository from the Original or Additional trade repositories when there are multiple trade repositories being reported.
Original trade repository
Used to identify the trade repository to which the trade was originally reported if different from the current repository to which the trade is being reported.
Additional international trade repository
Used with InternationalSwapIndicator(2526) to identify the trade repository that is in addition to the local swaps data repository as required by U.S. law.
Additional domestic trade repository
Used with MixedSwapIndicator(1929) to identify the trade repository that is in addition to the current trade repository when the assets in the swap are subject to two different domestic regulators.
Related exchange
Options exchange
Specified exchange
Constituent exchange
Qualifies the value of RelatedPartyRole(1565)
Number of party updates.
Number of party risk limits.
Party identifier within Parties Reference Data messages.
Source of the identifier of the PartyDetailID(1691) specified.
Identifies the type or role of PartyDetailID(1691) specified.
Number of party detail sub-identifiers.
Sub-identifier for the party specified in PartyDetailID(1691).
Type of PartyDetailSubID(1695) value.
Identifies the trading status applicable to a group of instruments.
Identifies an event related to the mass trading status.
Denotes the reason for the Opening Delay or Trading halt of a group of securities.
Identifies the trading status applicable to the instrument in the market data message.
Describes a sub-class for a given class of service defined by MDFeedType (1022)
Denotes the reason for the Opening Delay or Trading Halt.
Used to represent the trade ID for each side of the trade assigned by an intermediary.
Used to capture the original trade id for each side of a trade undergoing novation to a standardized model.
Used to specify the differential price when reporting the individual leg of a spread trade. Both leg price and differential price may be provided on such a report. Note that MultiLegReportingType (tag 442) will be set to 2 (Individual leg of a multi-leg security) in this case.
Used to indicate the status of the trade submission (not the trade report)
Accepted
Rejected
Received
Default currency in which the price is quoted. Defined at the instrument level. Used in place of Currency (tag 15) to express the currency of a product when the former is implemented as the FX dealt currency.
Default currency in which the price is quoted. Defined at the instrument level. Used in place of Currency (tag 15) to express the currency of a product when the former is implemented as the FX dealt currency.
Default currency in which the price is quoted. Defined at the instrument level. Used in place of Currency (tag 15) to express the currency of a product when the former is implemented as the FX dealt currency.
Default currency in which the price is quoted. Defined at the instrument level. Used in place of Currency (tag 15) to express the currency of a product when the former is implemented as the FX dealt currency.
Number of Security Classifications.
Allows classification of instruments according to a set of high level reasons. Classification reasons describe the classes in which the instrument participates.
Fee
Credit Controls
Margin
Entitlement / Eligibility
Market Data
Account Selection
Delivery Process
Sector
Specifies the product classification value which further details the manner in which the instrument participates in the class.
Specifies the reason for an amount type when reported on a position. Useful when multiple instances of the same amount type are reported.
Options settlement
Pending erosion adjustment
Final erosion adjustment
Tear-up coupon amount
Price alignment interest
To minimize the impact of daily cash variation margin payments on the pricing of interest rate swaps, the Clearing House will charge interest on cumulative variation margin received and pay interest on cumulative variation margin paid in respect of these instruments. This interest element is known as price alignment interest.
Delivery invoice charges
Delivery storage charges
Number of TrdInstrmtLegPosAmt values.
Leg position amount.
Type of leg position amount.
Leg position currency.
Specifies the reason for an amount type when reported on a position. Useful when multiple instances of the same amount type are reported.
Type of quantity specified in LegQty field. LegContractMultiplier (614) is required when LegQtyType = 1 (Contracts). LegUnitOfMeasure (tag 999) and LegTimeUnit (tag 1001) are required when LegQtyType = 2 (Units of Measure per Time Unit). LegQtyType can be different for each leg.
Used to calculate the present value of an amount to be paid in the future.
Contains the IndividualAllocId (tag 467) value of the allocation that is being offset as a result of a new allocation. This would be an optional field that would only be populated in the case of an allocation of an allocation (as well as any subsequent allocations). This wouldn’t be populated for an initial allocation since an allocation id is not supplied on default (initial) allocations.
Represents the product group of a leg.This is useful in conveying multi-leg instruments where the legs may participate in separate security groups.
Risk adjusted price used to calculate variation margin on a position.
Alternate clearing price
Alternate clearing price for the side being reported.
Indicates to recipient whether trade is clearing at execution prices LastPx(tag 31) or alternate clearing prices SideClearingTradePrice(tag 1597).
Trade Clearing at Execution Price
Trade Clearing at Alternate Clearing Price
Price Differential between the front and back leg of a spread or complex instrument.
Provides the name of the infrastructure component being used for session level communication. Normally this would be the FIX Engine or FIX Gateway product name.
Provides the version of the infrastructure component.
Provides the name of the vendor providing the infrastructure component.
Provides the name of the application system being used to generate FIX application messages. This will normally be a trading system, OMS, or EMS.
Provides the version of the application system being used to initiate FIX application messages.
Provides the vendor of the application system.
Represents the total number of simple instruments that make up a multi-legged security. Complex spread instruments may be constructed of legs which themselves are multi-leg instruments.
Identifies the reason a security definition request is being rejected.
Invalid instrument requested
Instrument already exists
Request type not supported
System unavailable for instrument creation
Ineligible instrument group
Instrument ID unavailable
Invalid or missing data on option leg
Invalid or missing data on future leg
Invalid or missing data on FX leg
Invalid leg price specified
Invalid instrument structure specified
Used to convey the initially requested display quantity specified in DisplayQty(1138) on order entry and modification messages in ExecutionReport message. Applicable only in ExecutionReport message where DisplayQty(1138) is the currently displayed quantity and the requested display quantity of the order also needs to be conveyed. The values of the two fields are different as soon as the order is partially filled and also after a refresh of the order whenever DisplayMethod(1084) is not 1=Initial.
Indicates whether a message was queued as a result of throttling.
Throttle limit not exceeded, not queued
Queued due to throttle limit exceeded
Indicates number of repeating groups to follow.
Action to take should throttle limit be exceeded.
Queue inbound
Queue outbound
Reject
Disconnect
Warning
Type of throttle.
Inbound Rate
Outstanding Requests
Maximum number of messages allowed by the throttle. May be a rate limit or a limit on the number of outstanding requests.
Value of the time interval in which the rate throttle is applied.
Units in which ThrottleTimeInterval is expressed. Uses same enumerations as OrderDelayUnit(1429).
Number of ThrottleMsgType fields.
The MsgType (35) of the FIX message being referenced.
Describes action recipient should take if a throttle limit were exceeded.
Reject if throttle limit exceeded
Queue if throttle limit exceeded
Indicates whether a message decrements the number of outstanding requests, e.g. one where ThrottleType = Outstanding Requests.
Outstanding requests unchanged
Outstanding requests decreased
Unique identifier for the AccountSummaryReport(35=CQ).
Number of settlement amount entries.
The amount of settlement.
The currency of the reported settlement amount.
Number of collateral amount entries.
Currency denomination of value in CurrentCollateralAmount (1704). If not specified, default to currency specified in SettlementAmountCurrency(1702).
Currency of the collateral; optional, defaults to the Settlement Currency if not specified.
Type of collateral on deposit being reported.
Number of pay collect entries.
Amount to be paid by the clearinghouse to the clearing firm.
Amount to be collected by the clearinghouse from the clearing firm.
Category describing the reason for funds paid to, or the funds collected from the clearing firm.
Currency denomination of value in PayAmount(1710) and CollectAmount(1711). If not specified, default to currency specified in SettlementAmountCurrency(1702).
Market segment associated with the pay collect amount.
Market associated with the pay collect amount.
Market segment associated with the margin amount.
Market associated with the margin amount
Firm assigned group allocation entity identifier.
Allocation identifier assigned by the Firm submitting the allocation for an individual allocation instruction (as opposed to the overall message level identifier).
Intended to be used by a central counterparty to assign an identifier to allocations of trades for the same instrument traded at the same price.
Used by submitting firm to group trades being allocated into an average price group. The trades in average price group will be used to calculate an average price for the group.
Firm reference information, usually internal information, that is part of the initial message. The information would not be carried forward (e.g to Take-up Firm) and preserved with the transaction.
Byte length of encoded (non-ASCII characters) EncodedFirmAllocText(1734) field.
Encoded (non-ASCII characters) representation of the FirmAllocText(1732) field in the encoded format specified via the MessageEncoding(347) field. If used, the ASCII (English) represention should also be specified in FirmAllocText(1732) field.
An indicator to override the normal procedure to roll up allocations for the same take-up firm.
Roll up
Do not roll up
Indicates the total quantity of an allocation group. Includes any allocated quantity.
Indicates the remaining quantity of an allocation group that has not yet been allocated.
Identifies the status of a reversal transaction.
Completed
Refused
Cancelled
Type of reference obligation for credit derivatives contracts.
Bond
Convertible bond
Mortgage
Loan
Method used for negotiation of contract price.
Percent of par
Deal spread
Upfront points
Upfront amount
Percent of par and upfront amount
Deal spread and upfront amount
Upfront points and upfront amount
Type of price used to determine upfront payment for swaps contracts.
Percentage (i.e. percent of par) (often called "dollar price" for fixed income)
Fixed amount (absolute value)
Price used to determine upfront payment for swaps contracts.
Price used to determine upfront payment for swaps contracts reported for a deal (trade).
Indicates whether a restriction applies to short selling a security.
No restrictions
Security is not shortable
Security not shortable at or below the best bid
Security is not shortable without pre-borrow
Indicates the reason a short sale order is exempted from applicable regulation (e.g. Reg SHO addendum (b)(1) in the U.S.).
Exemption reason unknown
An exemption reason not provided or received.
Income sell short exempt
Agency broker has the customer's exemption reason, which is not explicitly provided to executing broker.
Above national best bid (broker/dealer provision)
Broker / dealer responsible for enforcing exemption rule has determined that the order is priced one or more ticks above the nation best bid of the security to be traded.
Delayed delivery
The broker-dealer has a reasonable basis to believe the seller owns the covered security (pursuant to Rule 200 in the U.S.), but is subject to restrictions on delivery, provided that the seller intends to deliver the security as soon as all restrictions on delivery have been removed.
Odd lot
The broker-dealer has a reasonable basis to believe the sale is by a market maker to offset customer odd-lot orders or to liquidate an odd-lot position that changes such broker’s or dealer’s position by no more than a unit of trading.
Domestic arbitrage
The sale is connected to a bona-fide domestic arbitrage transaction.
International arbitrage
The sale is connected to an international arbitrage transaction.
Underwriter or syndicate distribution
The short sale is (i) by an underwriter or member of a syndicate or group participating in the distribution of a security in connection with an over-allotment of securities; or (ii) is for purposes of a lay-off sale by an underwriter or member of a syndicate or group in connection with a distribution of securities through a rights or standby underwriting commitment.
Riskless principal
The short sale is by a broker or dealer effecting the execution of a customer purchase or the execution of a customer “long” sale on a riskless principal basis.
VWAP
The short sale order is for the sale of a covered security at the volume weighted average price (VWAP) meeting certain criteria.
Indicates the reason a short sale is exempted from applicable regulation (e.g. Reg SHO addendum (b)(1) in the U.S.)
Indicates the reason a short sale is exempted from applicable regulation (e.g. Reg SHO addendum (b)(1) in the U.S.)
Indicates the currency of the unit of measure. Conditionally required when UnitOfMeasure(996) = Ccy
Indicates the currency of the price unit of measure. Conditionally required when PriceUnitOfMeasure(1191) = Ccy
Indicates the currency of the underlying unit of measure. Conditionally required when UnderlyingUnitOfMeasure(998) = Ccy
Indicates the currency of the underlying price unit of measure. Conditionally required when UnderlyingPriceUnitOfMeasure(1424) = Ccy
Indicates the currency of the unit of measure. Conditionally required when LegUnitOfMeasure(999) = Ccy
Indicates the currency of the price unit of measure. Conditionally required when LegPriceUnitOfMeasure(1421) = Ccy
Indicates the currency of the unit of measure. Conditionally required when DerivativeUnitOfMeasure(1269) = Ccy
Indicates the currency of the price unit of measure. Conditionally required when DerivativePriceUnitOfMeasure(1315) = Ccy
Indicates whether application level recovery is needed.
Application level recovery is not needed (default)
Application level recovery is needed
The market data entry identifier of the bid side of a quote
The market data entry identifier of the offer side of a quote.
Marketplace assigned quote identifier for the bid side. Can be used to indicate priority.
Marketplace assigned quote identifier for the offer side. Can be used to indicate priority.
Specifies the total bid size.
Specifies the total offer size.
Assigned by the party which accepts the quote. Can be used to provide the quote identifier assigned by an exchange, marketplace or executing system.
An opaque identifier used to communicate the custodian’s identifier for the lot. It is expected that this information would be provided by the custodian as part of a reconciliation process that occurs before trading.
The effective acquisition date of the lot that would be used for gain-loss trade lot reporting. The versus purchase date used to identify the lot in situations where a custodial lot identifier is not available.
The versus purchase price used to identify the lot in situations where a custodial lot identifier is not available. The value should be calculated based on current cost basis / quantity held.
The amount that the current shares are worth. If this lot was liquidated, the total gain/loss for a trade is equal to the trade amount minus the current cost basis.
An opaque identifier used to communicate the custodian’s identifier for the lot. It is expected that this information would be provided by the custodian as part of a reconciliation process that occurs before trading.
The effective acquisition date of the lot that would be used for gain-loss trade lot reporting. The versus purchase date used to identify the lot in situations where a custodial lot identifier is not available.
The versus purchase price used to identify the lot in situations where a custodial lot identifier is not available.The value should be calculated based on current cost basis / quantity held.
The amount that the current shares are worth. If this lot was liquidated, the total gain/loss for a trade is equal to the trade amount minus the current cost basis.
Type of risk limit information.
Definitions(Default)
Utilization
Definitions and utilization
Result of risk limit definition request.
Successful (default)
Invalid party(-ies)
Invalid related party(-ies)
Invalid risk limit type(s)
Invalid risk limit ID(s)
Invalid risk limit amount(s)
Invalid risk/warning level action(s)
Invalid risk instrument scope(s)
Risk limit actions not supported
Warning levels not supported
Warning level actions not supported
Risk instrument scope not supported
Risk limit not approved for party(-ies)
Risk limit already defined for party(-ies)
Instrument not approved for party(-ies)
Not authorized
Other
Status of risk limit definition request.
Accepted
Accepted with changes
Rejected
Acceptence pending
Status of risk limit definition for one party.
Accepted
Accepted with changes
Rejected
Result of risk limit definition for one party.
Percentage of utilization of a party's set risk limit.
Absolute amount of utilization of a party's set risk limit.
Identifies the action to take or risk model to assume should risk limit be exceeded or breached for the specified party.
Queue inbound
Queue outbound
Reject
Disconnect
Warning
Ping credit check model with revalidation
Each subsequent order, quote request or quote submission by the Credit
User must obtain pre-approval. Any open orders, quote requests or quotes are to be cancelled.
Ping credit check model without revalidation
Each subsequent order, quote request or quote submission by the Credit
User must obtain pre-approval. Any open orders, quote requests or quotes will remain active.
Push credit check model with revalidation
Each subsequent order, quote request or quote subnmission by the Credit
User must be checked against the limit amounts pushed to the trading platform. Any open orders, quote requests or quotes are
to be cancelled.
Push credit check model without revalidation
Each subsequent order, quote request or quote subnmission by the Credit
User must be checked against the limit amounts pushed to the trading platform. Any open orders, quote requests or quotes will
remain active.
Suspend
Suspend the Credit User from trading once limit(s) is breached. This is
considered a "soft" stop.
Halt trading
Halt or stop the Credit User from trading once limit(s) is breached.
This is considered a "hard" stop and may require more involved actions to reinstate the Credit User's ability
to trade.
Amount at which a warning is issued.
Action to take should warning level be exceeded.
Unique identifier for PartyEntitlementsRequest(35=CU).
Identifier for the PartyEntitlementsReport(35=CV).
Number of party entitlement values.
Number of entitlement values.
Used to indicate if a party is entitled to an entitlement type specified in the EntitlementType(1775) field.
Type of entitlement.
Trade
Make markets
Hold positions
Perform give-ups
Submit Indications of Interest (IOIs)
Subscribe to market data
Short with pre-borrow
Short sell order is allowed with pre-borrowing.
Submit quote requests
Entitled to submit quote requests into the market in order to receive quotes from the market.
Respond to quote requests
Entitled to respond to quote requests from the market.
Unique identifier for a specific NoEntitlements(1773) repeating group instance.
Number of entitlement attributes.
Name of the entitlement attribute type. A code list of allowed values will be maintained on the FIX Protocol website.
Values "4000" and above are reserved for bilaterally agreed upon user defined enumerations.
Datatype of the entitlement attribute.
int
Length
NumInGroup
SeqNum
TagNum
float
Qty
Price
PriceOffset
Amt
Percentage
char
Boolean
String
MultipleCharValue
Currency
Exchange
MonthYear
UTCTimestamp
UTCTimeOnly
LocalMktDate
UTCDateOnly
data
MultipleStringValue
Country
Language
TZTimeOnly
TZTimestamp
Tenor
DayOfMonth
XMLData
Pattern
Reserved100Plus
Reserved1000Plus
Reserved4000Plus
Value of the entitlement attribute.
Currency for EntitlementAttribValue(1780). Can be used if these fields represent a price, price offset, or amount.
Indicates the starting date of the entitlement.
Indicates the ending date of the entitlement.
The area to which the entitlement is applicable. This can be a trading platform or an offering.
Indicates how control of trading session and subsession transitions are performed.
Automatic (Default)
Manual
Define the type of trade volume applicable for the MinTradeVol(562) and MaxTradeVol(1140)
Number of units (e.g. share, par, currency, contracts) (default)
Number of round lots
Spread table code referred by the security or symbol.
Unique identifier for the leg within the context of a message (the scope of uniqueness to be defined by counterparty agreement). The LegID(1788) can be referenced using LegRefID(654).
Number of market segments upon which a mass action is to be taken.
Market segment within a target market segment repeating group.
Number of market segments affected by a mass action.
Market segment within an affected market repeating segment group.
Number of market segments left unaffected by a mass action.
Market segment within an unaffected market repeating segment group.
Number of order events.
The type of event affecting an order. The last event type within the OrderEventGrp component indicates the ExecType(150) value resulting from the series of events (ExecType(150) values are shown in brackets).
Added (0=New)
Modified (5=Replaced)
Deleted (4=Canceled)
Partially Filled (F=Trade)
Filled (F=Trade)
Suspended (9=Suspended)
Released (N=Released)
Restated (D=Restated)
Locked (M=Locked)
Triggered (L=Triggered or Activated by System)
Activated (L=Triggered or Activated by System)
Refer to ExecID(17). Used when multiple different events are reported in single Execution Report. ExecID(17) and OrderEventExecID(1797) values should not overlap.
Action that caused the event to occur.
Add order request
Modify order request
Delete order request
Order entered out-of-band
Order modified out-of-band
Order deleted out-of-band
Order activated or triggered
Order expired
Reserve order refreshed
Away market better
Corporate action
Start of day
End of day
Price associated with the event.
Quantity associated with the event.
Indicator to identify whether this fill was a result of a liquidity provider providing or liquidity taker taking the liquidity. Applicable only for OrderEventType(1796) values of 4(Partially Filled) or 5(Filled).
Additional information about the event.
Type of auction order.
Block order auction
Directed order auction
Exposure order auction
Flash order auction
Facilitation order auction
Solicitation order auction
Price improvement mechanism (PIM)
Directed Order price improvement mechanism (PIM)
Percentage of matched quantity to be allocated to the submitter of the response to an auction order.
Instruction related to system generated auctions, e.g. flash order auctions.
Automatic auction permitted (default)
Automatic auction not permitted
Used to reference an order via ClOrdID(11).
Indicates whether an order is locked and for what reason.
Not locked
Away market better
Three tick locked
Locked by market maker
Directed order lock
Multileg lock
Lock in the context of multileg orders where legs are executed independently and the entire order is locked until matching information is available for all legs. A multileg order or quote must be matched in its entirety or not at all. For example, one of the legs may be a stock leg sent to a different execution venue that may or may not be able to fill it.
Market order lock
Pre-assignment lock
Locked order quantity.
Locked order quantity in addition to LockedQty (1808), e.g. to distinguish total locked quantity from currently locked quantity.
Instruction to define conditions under which to release a locked order or parts of it.
Intermarket Sweep Order (ISO)
No Away Market Better check
Quantity to be made available, i.e. released from a lock.
Number of disclosure instructions.
Information subject to disclosure.
Volume
Price
Side
AON
General
General is used for bilateral agreed disclosure information type(s).
Clearing account
CMTA account
Instruction to disclose information or to use default value of the receiver.
No
Yes
Use default setting
Designates the capacity in which the order is submitted for trading by the market participant.
Customer
Customer professional
Broker-dealer
Customer broker-dealer
Principal
Market maker
Away market maker
Designates the account type to be used for the order when submitted to clearing.
Customer
Firm
Market maker
Designates the capacity in which the order will be submitted to clearing.
Qualifies the value of TargetPartyRole (1464).
Upper boundary for the price of a related entity, e.g. price of the underlying instrument in an Underlying Price Contingency (UPC) order.
Lower boundary for the price of a related entity, e.g. price of the underlying instrument in an Underlying Price Contingency (UPC) order.
Source for the price of a related entity, e.g. price of the underlying instrument in an Underlying Price Contingency (UPC) order. Can be used together with RelatedHighPrice (1819) and/or RelatedLowPrice (1820).
NBB (National Best Bid)
NBO (National Best Offer)
Indicates how the minimum quantity should be applied when executing the order.
Once (applies only to first execution)
Multiple (applies to every execution)
Indicates whether order has been triggered during its lifetime. Applies to cases where original information, e.g. OrdType(40), is modified when the order is triggered.
Not triggered (default)
Triggered
Stop order triggered
One Cancels the Other (OCO) order triggered
One Triggers the Other (OTO) order triggered
One Updates the Other (OUO) order triggered
OrigClOrdID(41) of an order affected by a mass cancel or mass action request.
SecondaryOrderID (198) of an order not affected by a mass cancel or mass action request.
Number of legs in the side of a cross order.
Time unit multiplier for the event.
Time unit associated with the event.
Hour
Minute
Second
Day
Week
Month
Year
When LastQty is an estimated value, e.g. for a Repo “circled” trade, LastQtyVariance specifies the absolute amount that the size may vary up or down when finalized. Omitted when LastQty(32) is already final.
Identifies whether the order was received from a customer of the firm, originated by the firm, or whether the order was received from another broker-dealer.
Order received from a customer
Order received from within the firm
Order received from another broker-dealer
Order received from a customer or orginated with the firm
An identifier representing the department or desk within the firm that originated the order.
An identifier representing the department or desk within the firm that received the order.
The identifier of the information barrier in place for a trading unit that will meet the criteria of the "no-knowledge" exception in FINRA Rule 5320.02.
Settlement price increment for stated price range.
Secondary settlement price increment for stated price range. The meaning of secondary is left to bilateral agreement, e.g. it may refer to final settlement for a contract.
Indicates whether the trade or position being reported was cleared through a clearing organization.
Not cleared
Trade or position has not yet been submitted for clearing.
Cleared
Trade or position has been successfully cleared.
Submitted
Trade or position has been submitted for clearing.
Rejected
Trade or position was rejected by clearing.
Additional information related to the pricing of a commodity swaps position, specifically an indicator referring to the position type.
Two component intercommodity spread
Index or basket
Two component locational basis
Other
Used to describe the ownership of the position.
Principal
Agent
Customer
Counterparty
Indicates the currency of the unit of measure if position quantity is expressed in valuation rather than contracts. Conditionally required when PosQtyUnitOfMeasure(1836)=Ccy.
Indicates the unit of measure of the position quantity when not expressed in contracts.
Reference month if there is no applicable UnderlyingMaturityMonth(313) value for the contract or security.
Number of trade price conditions.
Price conditions in effect at the time of the trade. Multiple price conditions can be in effect at the same time. Price conditions are usually required to be reported in markets that have regulations on price execution at a market or national best bid or offer, and the trade price differs from the best bid or offer.
Special cum dividend (CD)
Special cum rights (CR)
Special ex dividend (XD)
Special ex rights (XR)
Special cum coupon (CC)
Special cum capital repayments (CP)
Special ex coupon (XC)
Special ex capital repayments (XP)
Cash settlement (CS)
Special cum bonus (CB)
Special price (SP)
Usually net or all-in price.
Special ex bonus (XB)
Guaranteed delivery (GD)
Identifies the status of an allocation when using a pre-clear workflow.
Note: This is different from the give-up process where a trade is cleared and then given up and goes through the allocation flow.
Pending clear
Claimed
Cleared
Rejected
Number of trade quantities.
Indicates the type of trade quantity in TradeQty(1843).
Cleared quantity
Long side claimed quantity
Short side claimed quantity
Long side rejected quantity
Short side rejected quantity
Pending quantity
Transaction quantity
Remaining trade quantity
Used to indicate the remaining quantity of a trade after a give-up or posting action.
Previous remaining trade quantity
Used to indicate the remaining quantity of a trade prior to a give-up or posting action.
Trade quantity.
Number of trade allocation amount entries.
Type of the amount associated with a trade allocation.
The amount associated with a trade allocation.
Currency denomination of the trade allocation amount.
Instruction on how to add a trade to an allocation group when it is being given-up.
Add to an existing allocation group if one exists.
Do not add the trade to an allocation group.
Indicates the trade is a result of an offset or onset.
Offset
A type of transaction where an executing firm gives up a trade as a result of an allocation. Or, in the case of a reversal of an allocation, the take-up (claiming) firm's transaction.
Onset
A type of transaction where a take-up (claiming) firm takes up a trade as a result of an allocation. Or, in the case of a reversal of an allocation, the executing firm's transaction.
Specifies the reason for an amount type when reported on an allocation. Useful when multiple instances of the same amount type are reported.
Identifies the multileg strategy (e.g. spread) to which the trade belongs. This links together trade legs executed as part of a strategy during a single match event.
Calculated average price for this side of the trade.
Used to indicate whether a trade or a sub-allocation should be allocated at the trade price (e.g. no average pricing), or whether it should be grouped with other trades/sub-allocations and allocated at the average price of the group.
No average pricing
Trade is part of the average price group identified by the SideAvgPxGroupID(1854)
Last trade is the average price group identified by the SideAvgPxGroupID(1854)
The identifier for the average price group for the trade side. See also AvgPxGroupID(1731).
Number of related trades.
Identifier of a related trade.
Describes the source of the identifier that RelatedTradeID(1856) represents.
Non-FIX source
Trade ID
Secondary trade ID
Trade report ID
Firm trade ID
Secondary firm Trade ID
Regulatory trade ID
Date of a related trade.
Market of execution of related trade.
Quantity of the related trade which can be less than or equal to the actual quantity of the related trade. For example, when one trade offsets another across asset classes.
Number of related positions.
Identifier of a related position.
Describes the source of the identifier that RelatedPositionID(1862) represents.
Position maintenance report ID - PosMaintRptID(721)
Position transfer ID - TransferID(2437)
Position entity ID - PositionID(2618)
Used to help identify the position when RelatedPositionID(1862) is not unique across multiple days. This date is generally the creation date of the identifier.
Acknowledgement status of a Quote(35=S) or QuoteCancel(35=Z) message submission.
Received, not yet processed
Accepted
Rejected
Unique identifier for the ask side of the quote assigned by the quote issuer.
Number of value check entries.
Type of value to be checked.
Price check
Notional value check
Action to be taken for the ValueCheckType(1869).
Do not check
Checks will not be done for the specified ValueCheckType(1869).
Check
Checks will be done for the specificed ValueCheckType(1869)
Best effort
The market may or may not check the specified ValueCheckType(1869) depending on availability of reference data.
The length of the LegSecurityXML(1872) data block.
XML definition for the leg security.
The schema used to validate the contents of LegSecurityXML(1872).
The length of the UnderlyingSecurityXML(1875) data block.
XML definition for the underlying security.
The schema used to validate the contents of UnderlyingSecurityXML(1875).
Result party detail definition request.
Successful (default)
Invalid party(-ies)
Invalid related party(-ies)
Invalid party status(es)
Not authorized
Other
Status of party details definition request.
Accepted
Accepted with changes
Rejected
Acceptance pending
Status of party detail definition for one party.
Accepted
Accepted with changes
Rejected
Result of party detail definition for one party.
Result of risk limit definition request.
Successful (default)
Invalid party(-ies)
Invalid related party(-ies)
Invalid entitlement type(s)
Invalid entitlement ID(s) / ref ID(s)
Invalid entitlement attribute(s)
Invalid instrument scope(s)
Invalid market segment scope(s)
Invalid start date
Invalid end date
Instrument scope not supported
Market segment scope not supported
Entitlement not approved for party(-ies)
Entitlement already defined for party(-ies)
Instrument not approved for party(-ies)
Not authorized
Other
Status of party entitlements definition request.
Status of entitlement definition for one party.
Accepted
Accepted with changes
Rejected
Pending
Entitlement definition request submitted that still requires an action to be taken (e.g. approval or setting up).
Requested
Entitlement definition has been requested.
Deferred
Entitlement definition request is being postponed or delayed.
Result of entitlement definition for one party.
Reference to an EntitlementID(1776). Used for modification or deletion of an entitlement.
Used to express the unit of measure of the settlement price if different from the contract.
Indicates the currency of the settlement price unit of measure if expressed in another currency than the base currency.
Conditionally required when SettlPriceUnitOfMeasure(1886)=Ccy.
Timestamp of the match event. For off-exchange trades the time at which the deal was matched by the exchange.
This timestamp will be the same on all the trades and will not change when a trade is modified.
Number of instrument match sides.
Number of trade match sides.
Used to identify each price levels within a match event, e.g. each match steps or clips.
Number of instrument leg executions.
The ExecID(17) value corresponding to a trade leg.
The TradeID(1003) value corresponding to a trade leg.
The TradeReportID(571) value corresponding to a trade leg.
Used to indicate the status of the trade match report submission.
Received, not yet processed
Accepted
Rejected
Reason the trade match report submission was rejected.
Successful
Invalid party information
Unknown instrument
Not authorized to report trades
Invalid trade type
Other
Identifies the market segment of the side.
Identifies the type of venue where the trade was executed for the side.
Used to reference the value from SideExecID(1427).
Used to reference the value from LegExecID(1893).
Indicates, if "Y", that a stated valuation includes a haircut, e.g. that the stated value reflects the subtraction of the haircut. Note that a value of "N" does not imply a haircut is not applicable, only that the haircut (if any) is not reflected in the stated valuation.
The number of competing Respondents (e.g. dealers) to receive a quote request (either via the QuoteRequest(35=R) or via other means).
The time by which a meaningful response should arrive back (always expressed in UTC (Universal Time Coordinated, also known as "GMT").
The meaning of the response time is specific to the context where the field is used.
For a QuoteRequest(35=R) message, this is the time by which the Quote(35=S) message should arrive to the initiator of the QuoteRequest(35=R) message.
Time by which the quote will be displayed.
For example, the time the execution venue will display dealer(s) submitted quotes to market participant(s).
Time unit in which the ExposureDuration(1629) is expressed.
The best quoted price received among those not traded.
Number of clearing account type entries.
Number of price movement entries.
Number of price movement value entries.
Value at specific price movement point.
Price movement point up (positive integer) or down (negative integer) relative to the underlying price of the instrument.
Describes the format of the PriceMovementValue(1921).
Amount
Percentage
Byte length of encoded (non-ASCII characters) EncodedEventText(868) fied.
Encoded (non-ASCII characters) representation of the EventText(868) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the EventText(868) field.
Trade identifier required by government regulators or other regulatory organizations for regulatory reporting purposes. For example, unique swap identifer (USI) as required by the U.S. Commodity Futures Trading Commission.
Identifies the event which caused origination of the identifier in RegulatoryTradeID(1903). When more than one event is the cause, use the higher enumeration value. For example, if the identifier is originated due to an allocated trade which was cleared and reported, use the enumeration value 2 (Clearing).
Initial block trade
Allocation
Determination that the block trade will not be further allocated.
Clearing
Compression
Novation
Termination
Post-trade valuation
Identifies the reporting entity that originated the value in RegulatoryTradeID(1903). The reporting entitiy identifier may be assigned by a regulator.
Specifies the type of trade identifier provided in RegulatoryTradeID(1903), within the context of the hierarchy of trade events.
Current
The default if not specified.
Previous
The previous trade's identifier when reporting a cleared trade or novation of a previous trade.
Block
The block trade's identifier when reporting an allocated subtrade.
Related
The related trade identifier when reporting a mixed swap.
Cleared block trade
Assigned by the CCP to a bunched order/trade when it needs to be cleared with the standby clearing firm prior to post-trade allocation.
Number of regulatory IDs in the repeating group.
Number of regulatory IDs in the repeating group.
Trade identifier required by government regulators or other regulatory organizations for regulatory reporting purposes. For example, unique swap identifer (USI) as required by the U.S. Commodity Futures Trading Commission.
Identifies the reporting entity that originated the value in AllocRegulatoryTradeID(1909). The reporting entity identifier may be assigned by a regulator.
Identifies the event which caused the origination of the identifier in AllocRegulatoryTradeID(1909). When more than one event is the cause, use the higher enumeration value. For example, if the identifier is originated due to an allocated trade which was cleared and reported, use the enumeration value 2(Clearing).
Specifies the type of trade identifier provided in AllocRegulatoryTradeID(1909), within the context of the hierarchy of trade events.
Specifies the party's or parties' intention to clear the trade.
Do not intend to clear
Intend to clear
Specifies the eligibility of this trade for clearing and central counterparty processing.
Indicates that the trade being reported occurred in the past and is still in effect or active.
Specifies how a trade was confirmed.
Non-electronic
Electronic
Unconfirmed
An indication that the trade is flagged for mandatory clearing.
An indication that the trade is a mixed swap.
In the context of CFTC , a "Mixed swap" is defined in the Commodity Exchange Act (CEA) section 1a(47)(D) as an instrument that is in part a swap subject to the jurisdiction of the CFTC, and in part a security-based swap subject to the jurisdiction of the SEC. When reporting the additional Swap Data Repositories must be identified in the appropriate Parties component with PartyRole(452) = 102 (Data repository), PartyRoleQualifier(2376) = 12 (Additional domestic trade repository) and PartySub-IDType(803) = 70 (Location or jurisdiction).
An indication that the price is off-market.
Indication of how a trade was verified.
Non-electronic
Electronic
Specifies whether a party to a swap is using an exception to a clearing requirement. In the US, one such clearing requirement is CFTC's rule pursuant to CEA Section 2(h)(1).
No exception
Exception
Used to indicate an exception to a clearing requirement without elaborating on the type of exception.
End-user exception
In the US, see CFTC Final Rule on End-User Exception to Clearing Requirements for Swaps Fact Sheet http://www.cftc.gov/ucm/groups/public/@newsroom/documents/file/eue_factsheet_final.pdf
Inter-affiliate exception
In the US, see CFTC Final Rule - Clearing Exemption for Swaps Between Certain Affiliated Entities http://www.cftc.gov//ucm/groups/public/@lrfederalregister/documents/file/2013-07970a.pdf
Treasury affiliate exception
In the US, see CFTC No Action Letter 13-22 No Action Relief from the Clearing Requirement for Swaps Entered into by Eligible Treasury Affiliates http://www.cftc.gov/ucm/groups/public/@lrlettergeneral/documents/letter/13-22.pdf
Cooperative exception
Clearing exception for certain swaps entered into by cooperatives. In the US, see Regulation 50.51(a) Definition of Exempt Cooperative: https://www.federalregister.gov/articles/2013/08/22/2013-19945/clearing-exemption-for-certain-swaps-entered-into-by-cooperatives
Used to specify whether the principal is paying or receiving the fixed rate in an interest rate swap.
Principal is paying fixed rate
Principal is receiving fixed rate
Swap is float/float or fixed/fixed
Type of regulatory report.
Real-time (RT)
Report of data relating to a regulated transaction including price and volume that is to be disseminated publically. If dissemination is to be suppressed due to an end user exception or to local regulatory rules that allow suppression of certain types of transactions use TradePublishIndicator(1390)=0.
Primary economic terms (PET)
Report to regulators of the full terms of a regulated transaction included in the legal confirmation.
Snapshot
Periodic report of full primary economic terms data throughout the life cycle of a regulated transaction.
Confirmation
Report from a clearing organization of a cleared regulated transaction.
Combination of RT and PET
A single report combining the requirements of both real-time and full primary economy terms of a regulated transaction.
Combination of PET and confirmation
A single report combining the requirements of both full primary economic terms of a regulated transaction report and confirmation.
Combination of RT, PET and confirmation
A single report combining the requirements of real-time and full primary economic terms of a regulated transaction report, and confirmation.
Post-trade valuation
Periodic report of the ongoing mark-to-market value of a regulated transaction.
Verification
Used by the trading counterparty to report its full primary economic terms of a regulated transaction separately to the repository.
Post-trade event
Report of a regulated transaction continuation event that does not fall within the requirements for real-time reporting.
Post trade event RT reportable
Report of a regulated transaction continuation event that falls within the requirements for real-time reporting and public dissemination. If dissemination is to be suppressed due to an end user exception or to local regulatory rules that allow suppression of certain types of transactions, use TradePublishIndicator(1390) = 0 (Do not publish trade).
Used in conjunction with RegulatoryReportType(1934) to indicate whether the trade report is a voluntary regulatory report. If not specified, the default for a regulatory report is "N".
When VoluntaryRegulatoryReport(1935)=Y it is recommended that one of the parties to the trade be identified as the voluntary reporting party through PartySubIDType(803) = 63 (Voluntary reporting entity).
Specifies how the trade is collateralized.
Uncollateralized
Partially collateralized
One-way collaterallization
Fully collateralized
Specifies the post-execution trade continuation or lifecycle event. Additional values may be used by mutual agreement of the counterparties.
Novation
Partial novation
Trade unwind
"Trade" includes "Swaps".
Partial trade unwind
"Trade" includes "Swaps".
Exercise
Compression/Netting
Compression (used for OTC derivative trades) and Netting (used for Futures trades) are essentially the same business process, i.e. rolling up closely related contracts into a single trade or position.
Full netting
Partial netting
Amendment
Based on mutual agreement between the counterparties, used to change the original or previously amended contract terms reported to a trade repository.
Increase
Credit event
Strategic restructuring
Succession event reorganization
Succession event renaming
Porting
Withdrawal
One party withdrew from the trade prior to confirmation or clearing. Can be used with TradeReportTransType(487)=1 (Cancel).
Void
Trade is to be ended after clearing. Can be used with TradeReportTransType(487)=1 (Cancel).
Other price-forming continuation data
Other price-forming continuation data or lifecycle event. Include description of type in TradeContinuationText(2374).
Account transfer
Give up
TakeUp
Average pricing
Reversal
Allocation/Trade posting
Cascade
The breakdown of a contract position to a more granular level, e.g. from a yearly position to monthly positions.
Delivery
Option assignment
Expiration
Maturity
Equal position adjustment
Unequal position adjustment
An adjustment to either the long or short position quantity but not both.
Correction
Used to correct an error in the contract terms of a previously submitted report to a trade repository.
The broad asset category for assessing risk exposure.
Interest rate
Currency
Credit
Equity
Commodity
Other
Cash
Debt
Fund
Such as mutual fund, collective investment vehicle, investment program, specialized account program.
Loan facility
The subcategory description of the asset class.
Single currency
Cross currency
Basket [for multi-currency]
Single name
Credit index
Index tranche
Credit basket
Common
Preferred
Equity index
Equity basket
Metals
Bullion
Energy
Commodity index
Agricultural
Environmental
Freight
Exotic
Government
Agency
Corporate
Financing
Money market
Mortgage
Municipal
Mutual fund
Collective investment vehicle
Investment program
A generalized fund for major investors.
Specialized account program
A specialized fund setup for a particular account or group of accounts.
Term loan
Bridge loan
Letter of credit
Within the asset subclass this can be used to provide more specific description of the asset.
Recommended values include:
Interest Rate:
LIBOR or other floating rate index if appropriate
For multi-currency IRS there are two currencies - specify the riskier ISO 4217 Currency Code in primary fields and the less risky Currency Code or home Currency Code in secondary fields.
Currency:
ISO 4217 Currency Code
G7, G20, etc. for standard "grouping" of currencies
For cross-currency swaps there are two currencies, so specify the riskier Currency Code in primary fields and the less risky Currency Code or home Currency Code in secondary fields. If settlement is to be in "any G7" currency, specify "G7" in secondary field.
Credit:
Corporate, Sovereign, CDX, CDX Structured, iTraxx, iTraxx Structured
Equity:
S&P500 or other index
Commodity:
Non-precious, Precious, Oil, Natural Gas, Coal, Electricity, Inter-Energy, Grains, Oils Seeds, Dairy, Livestock, Forestry, Softs, Weather, Emissions, Warehouse receipts
Debt:
Bill, Bond, Note, Floating rate, Strip, Index linked, Discount note, Mortgage backed, Benchmark note.
Other values may be used by mutual agreement of the counterparties.
The classification or type of swap. Additional values may be used by mutual agreement of the counterparties.
Basis swap
Index swap
Broad-based security swap
Basket swap
The Nth reference obligation to default in a CDS reference basket. If specified without MthToDefault(1943) the default will trigger a CDS payout. If MthToDefault(1943) is also present then payout occurs between the Nth and Mth obligations to default.
The Mth reference obligation to default in a CDS reference basket. When NthToDefault(1942) and MthToDefault(1943) are represented then the CDS payout occurs between the Nth and Mth obligations to default.
Relevant settled entity matrix source.
The publication date of the applicable version of the matrix. If not specified, the Standard Terms Supplement defines rules for which version of the matrix is applicable.
Coupon type of the bond.
Zero
Fixed rate
Floating rate
Structured
Specifies the total amount of the issue. Corresponds to the par value multiplied by the number of issued securities.
Time unit multiplier for the frequency of the bond's coupon payment.
Time unit associated with the frequency of the bond's coupon payment.
Day
Week
Month
Year
Hour
Minute
Second
Term
The day count convention used in interest calculations for a bond or an interest bearing security. Absence of this field for a bond or an interest bearing security transaction implies a "flat" trade, i.e. no accrued interest determined at time of the transaction.
1/1
If parties specify the Day Count Fraction to be 1/1 then in calculating the applicable amount, 1 is simply input into the calculation as the relevant Day Count Fraction. See also 2006 ISDA Definitions, Section 4.16. Day Count Fraction, paragraph (a).
30/360 (30U/360 or Bond Basis)
Mainly used in the US with the following date adjustment rules: (1) If the investment is End-Of-Month and Date1 is the last day of February and Date2 is the last day of February, then change Date2 to 30; (2) If the investment is End-Of-Month and Date1 is the last day of February, then change Date1 to 30; (3) If Date2 is 31 and Date1 is 30 or 31, then change Date2 to 30; (4) If Date1 is 31, then change Date1 to 30. See also 2006 ISDA Definitions, Section 4.16. Day Count Fraction, paragraph (f).
30/360 (SIA)
A variant of "30/360" - when Date1 and Date2 are both Feb. 28th or 29th convert them to 30th using the same logic in the conversion of 31st to 30th.
30/360M
Commonly used day count convention for US mortgage backed securities. Feb 28th (or 29th in a leap year) is always considered as a 30th for a start date. As a comparison, in the regular 30/360 day count as used by most US agency and corporate bonds, a start date of Feb 28th (or 29th in a leap year) is still considered as the 28th (or 29th) day of a month of 30 days.
30E/360 (Eurobond Basis)
Also known as 30/360.ISMA, 30S/360, or Special German. Date adjustment rules are: (1) If Date1 falls on the 31st, then change it to the 30th; (2) If Date2 falls on the 31st, then change it to the 30th. See also 2006 ISDA Definitions, Section 4.16. Day Count Fraction, paragraph (g).
30E/360 (ISDA)
Date adjustment rules are: (1) if Date1 is the last day of the month, then change Date1 to 30; (2) if D2 is the last day of the month (unless Date2 is the maturity date and Date2 is in February), then change Date2 to 30. See also 2006 ISDA Definitions, Section 4.16. Day Count Fraction, paragraph (h).
Act/360
The actual number of days between Date1 and Date2, divided by 360. See also 2006 ISDA Definitions, Section 4.16. Day Count Fraction, paragraph (e).
Act/365 (FIXED)
The actual number of days between Date1 and Date2, divided by 365. See also 2006 ISDA Definitions, Section 4.16. Day Count Fraction, paragraph (d).
Act/Act (AFB)
The actual number of days between Date1 and Date2, the denominator is either 365 (if the calculation period does not contain the 29th February) or 366 (if the calculation period includes 29th February). See also AFB Master Agreement for Financial Transactions - Interest Rate Transactions (2004) in Section 4. Calculation of Fixed Amounts and Floating Amounts, paragraph 7 Day Count Fraction, subparagraph (i).
Act/Act (ICMA)
The denominator is the actual number of days in the coupon period multiplied by the number of coupon periods in the year. Assumes that regular coupons always fall on the same day of the month where possible. See also 2006 ISDA Definitions, Section 4.16. Day Count Fraction, paragraph (c).
Act/Act (ICSMA Ultimo)
The Act/Act (ICMA Ultimo) differs from Act/Act (ICMA) method only that it assumes that regular coupons always fall on the last day of the month.
Act/Act (ISDA)
The denominator varies depending on whether a portion of the relevant calculation period falls within a leap year. For the portion of the calculation period falling in a leap year, the denominator is 366 and for the portion falling outside a leap year, the denominator is 365. See also 2006 ISDA Definitions, Section 4.16. Day Count Fraction, paragraph (b).
BUS/252
Used for Brazilian Real swaps, which is based on business days instead of calendar days. The number of business days divided by 252.
30E+/360
Variation on 30E/360. Date adjustment rules: (1) If Date1 falls on the 31st, then change it to the 30th; (2) If Date2 falls on the 31st, then change it to 1 and increase Month2 by one, i.e. next month.
Act/365L
The number of days in a period equal to the actual number of days .The number of days in a year is 365, or if the period ends in a leap year 366. Used for Sterling floating rate notes. May also be referred to as ISMA-Year. See also 2006 ISDA Definitions, Section 4.16. Day Count Fraction, paragraph (i).
NL365
The number of days in a period equal to the actual number of days, with the exception of leap days (29th February) which are ignored. The number of days in a year is 365, even in a leap year.
NL360
This is the same as Act/360, with the exception of leap days (29th February) which are ignored.
Act/364
The actual number of days between Date1 and Date2, divided by 364.
Identifies the equity in which a convertible bond can be converted to.
Identifies class or source of the ConvertibleBondEquityID(1951) value.
100+ are reserved for private security.
Reference month if there is no applicable MaturityMonthYear(200) value for the contract or security.
Indicates the seniority level of the lien in a loan.
Unknown
First lien
Second lien
Third lien
Specifies the type of loan when the credit default swap's reference obligation is a loan.
Bridge loan
Letter of credit
Revolving loan
Swingline funding
Term loan
Trade claim
Specifies the type of reference entity for first-to-default CDS basket contracts.
Asian
Australian and New Zealand
European emerging markets
Japanese
North American high yield
North American insurance
North American investment grade
Singaporean
Western European
Western European insurance
The series identifier of a credit default swap index.
The version of a credit default swap index annex.
The date of a credit default swap index series annex.
The source of a credit default swap series annex.
The version of the master agreement
The type of master confirmation executed between the parties.
See http://www.fpml.org/coding-scheme/master-confirmation-type for values.
Alternative to broker confirmation. The date of the confirmation executed between the parties and intended to govern all relevant transactions between those parties.
The type of master confirmation annex executed between the parties.
See http://www.fpml.org/coding-scheme/master-confirmation-annex-type for values.
The date that an annex to the master confirmation was executed between the parties.
Describes the type of broker confirmation executed between the parites. Can be used as an alterative to MasterConfirmationDesc(1962). See http://www.fpml.org/coding-scheme/broker-confirmation-type for values.
The type of ISDA Credit Support Agreement. See http://www.fpml.org/coding-scheme/credit-support-agreement-type for values.
The date of the ISDA Credit Support Agreement executed between the parties and intended to govern collateral arrangements for all OTC derivatives transactions between those parties.
A common reference or unique identifier to identify the ISDA Credit Support Agreement executed between the parties.
Identification of the law governing the transaction. See http://www.fpml.org/coding-scheme/governing-law for values.
Number of regulatory IDs in the repeating group.
Trade identifier required by government regulators or other regulatory organziations for regulatory reporting purposes. For example, unique swap identifier (USI) as required by the U.S. Commodity Futures Trading Commission.
Identifies the reporting entity that originated the value in SideRegulatoryTradeID(1972). The reporting entity identifier may be assigned by a regulator.
Identifies the event which caused origination of the identifier in SideRegulatoryTradeID(1972). When more than one event is the cause, use the higher enumeration value. For example, if the identifier is originated due to an allocated trade which was cleared and reported, use the enumeration value 2 (Clearing).
Initial block trade
Allocation
or determination that the block trade will not be further allocated.
Clearing
Compression
Novation
Termination
Specifies the type of trade identifier provided in SideRegulatoryTradeID(1972), within the context of the hierarchy of trade events.
Current
The default
Previous
e.g. when reporting a cleared trade or novation of a previous trade.
Block
e.g. when reporting an allocated subtrade.
Related
e.g. when reporting a mixed swap
Number of secondary asset classes in the repeating group.
The broad asset category for assessing risk exposure for a multi-asset trade.
An indication of the general description of the asset class.
Within the asset subclass this can be used to provide more specific description of the asset.
Recommended values include:
Interest Rate:
LIBOR or other floating rate index if appropriate
For multi-currency IRS there are two currencies - specify the riskier ISO 4217 Currency Code in primary fields and the less risky Currency Code or home Currency Code in secondary fields.
Currency:
ISO 4217 Currency Code
G7, G20, etc. for standard "grouping" of currencies
For cross-currency swaps there are two currencies, so specify the riskier Currency Code in primary fields and the less risky Currency Code or home Currency Code in secondary fields. If settlement is to be in "any G7" currency, specify "G7" in secondary field.
Credit:
Corporate, Sovereign, CDX, CDX Structured, iTraxx, iTraxx Structured
Equity:
S&P500 or other index
Commodity:
Non-precious, Precious, Oil, Natural Gas, Coal, Electricity, Inter-Energy, Grains, Oils Seeds, Dairy, Livestock, Forestry, Softs, Weather, Emissions, Warehouse receipts
Debt:
Bill, Bond, Note, Floating rate, Strip, Index linked, Discount note, Mortgage backed, Benchmark note.
Other values may be used by mutual agreement of the counterparties.
Indication that a block trade will be allocated.
Block to be allocated
Block not to be allocated
Allocated trade
A sub-trade of a block trade.
Number of events in the repeating group.
Code to represent the type of event.
The date of the event.
The time of the event. To be used in combination with UnderlyingEventDate(1983).
Time unit associated with the event.
Time unit multiplier for the event.
Predetermined price of issue at event, if applicable.
For a basket, or pool, describes the weight of each of the constituents within the basket. If not provided, it is assumed to be equal weighted.
Specifies the coupon type of the underlying bond.
Specifies the total amount of the issue. Corresponds to the par value multiplied by the number of issued security.
Time unit multiplier for the frequency of the bond's coupon payment.
Time unit associated with the frequency of the bond's coupon payment.
The day count convention used in interest calculations for a bond or an interest bearing security.
For a CDS basket or pool identifies the reference obligation.
UnderlyingObligationID(1994) is reserved for the reference entity for baskets or pools. In a CDS single name the reference entity is identified in insrument ID and the obligations are identified in UnderlyingObligationID(1994).
Identifies the source scheme of the UnderlyingObligationID(1994).
Specifies the equity in which a convertible bond can be converted.
Identifies the source of the UnderlyingEquityID(1996).
Indicates the seniority level of the lien in a loan.
Specifies the type of loan when the credit default swap's reference obligation is a loan.
Specifies the type of reference entity for first-to-default CDS basket contracts.
Reference to the protection terms applicable to this entity or obligation. Contains the same XID named string value of the instance in the ProtectionTerms repeating group that applies to this Underlying.
Reference to the cash or physical settlement terms applicable to this entity or obligation. Contains the same XID named string value of the instance in the appropriate repeating group that applies to this Underlying.
The series identifier of a credit default swap index.
The version identifier of a credit default swap index annex.
The date of a credit default swap index series annex.
The source of a credit default swap index series annex.
Identifies an entire suite of products for a given market. In Futures this may be "interest rates", "agricultural", "equity indexes", etc
An exchange specific name assigned to a group of related securities which may be concurrently affected by market events and actions.
Indicator to determine if Instrument is Settle on Open.
Method under which assignment was conducted
Gives the current state of the instrument
Type of reference obligation for credit derivatives contracts.
Bond
Convertible bond
Mortgage
Loan
The broad asset category for assessing risk exposure.
An indication of the general description of the asset class.
Within the asset subclass this can be used to provide more specific description of the asset.
Recommended values include:
Interest Rate:
LIBOR or other floating rate index if appropriate
For multi-currency IRS there are two currencies - specify the riskier ISO 4217 Currency Code in primary fields and the less risky Currency Code or home Currency Code in secondary fields.
Currency:
ISO 4217 Currency Code
G7, G20, etc. for standard "grouping" of currencies
For cross-currency swaps there are two currencies, so specify the riskier Currency Code in primary fields and the less risky Currency Code or home Currency Code in secondary fields. If settlement is to be in "any G7" currency, specify "G7" in secondary field.
Credit:
Corporate, Sovereign, CDX, CDX Structured, iTraxx, iTraxx Structured
Equity:
S&P500 or other index
Commodity:
Non-precious, Precious, Oil, Natural Gas, Coal, Electricity, Inter-Energy, Grains, Oils Seeds, Dairy, Livestock, Forestry, Softs, Weather, Emissions, Warehouse receipts
Debt:
Bill, Bond, Note, Floating rate, Strip, Index linked, Discount note, Mortgage backed, Benchmark note.
Other values may be used by mutual agreement of the counterparties.
The type or classification of swap. Additional values may be used by mutual agreement of the counterparties.
The Nth reference obligation to default in a CDS reference basket. If specified without UnderlyingMthToDefault(2018) the default will trigger a CDS payout. If UnderlyingMthToDefault(2018) is also present then payout occurs between the Nth and Mth obligations to default.
The Mth reference obligation to default in a CDS reference basket. When UnderlyingNthToDefault(2017) and UnderlyingMthToDefault(2018) are represented then the CDS payout occurs between the Nth and Mth obligations to default.
Relevant settled entity matrix source.
Specifies the publication date of the applicable version of the matrix. If not specified, the Standard Terms Supplement defines rules for which version of the matrix is applicable.
Used for derivatives. Multiplier applied to the strike price for the purpose of calculating the settlement value.
Used for derivatives. The number of shares/units for the financial instrument involved in the option trade.
Specifies how the strike price is determined at the point of option exercise. The strike may be fixed throughout the life of the option, set at expiration to the value of the underlying, set to the average value of the underlying , or set to the optimal value of the underlying.
Specifies the boundary condition to be used for the strike price relative to the underlying price at the point of option exercise.
Used in combination with StrikePriceBoundaryMethod(1479) to specify the percentage of the strike price in relation to the underlying price. The percentage is generally 100 or greater for puts and 100 or less for calls.
Minimum price increment for the instrument. Could also be used to represent tick value.
Minimum price increment amount associated with the UnderlyingMinPriceIncrement(2026). For listed derivatives, the value can be calculated by multiplying UnderlyingMinPriceIncrement(2026) by UnderlyingContractMultiplier(436).
Indicates the type of payout that will result from an in-the-money option.
Cash amount indicating the pay out associated with an option. For binary options this is a fixed amount.
Method for price quotation.
Indicates type of valuation method used.
Indicates whether the instruments are pre-listed only or can also be defined via user request.
Used to express the ceiling price of a capped call.
Used to express the floor price of a capped put.
Used to indicate if a security has been defined as flexible according to "non-standard" means. Analog to CFICode Standard/Non-standard indicator.
Used to indicate if a product or group of product supports the creation of flexible securities.
Position limit for the instrument.
Position Limit in the near-term contract for a given exchange-traded product.
Identifies the mortgage backed security (MBS) / asset backed security (ABS) pool.
Specifies when the contract (i.e. MBS/TBA) will settle. Must be present for MBS/TBA.
If different from IssueDate()
If different from IssueDate and DatedDate
Indicates whether a restriction applies to short selling a security.
Spread table code referred by the security or symbol.
Number of complex events in the repeating group.
Identifies the type of complex event.
Cash amount indicating the pay out associated with an event. For binary options this is a fixed amount.
Specifies the price at which the complex event takes effect. Impact of the event price is determined by the UnderlyingComplexEventType(2046).
Specifies the boundary condition to be used for the event price relative to the UnderlyingComplexEventPrice(2048) at the point the complex event outcome takes effect as determined by the UnderlyingComplexEventPriceTimeType(2051).
Used in combination with UnderlyingComplexEventPriceBoundaryMethod(2049) to specify the percentage of the strike price in relation to the underlying price. The percentage is generally 100 or greater for puts and 100 or less for calls.
Specifies when the complex event outcome takes effect. The outcome of a complex event is a payout or barrier action as specified by the UnderlyingComplexEventType(2046).
Specifies the condition between complex events when more than one event is specified.
Multiple barrier events would use an "or" condition since only one can be effective at a given time. A set of digital range events would use an "and" condition since both conditions must be in effect for a payout to result.
Number of underlying complex event dates in the repeating group.
The start date of the date range on which a complex event is effective. The start date will be set equal to the end date for single day events such as Bermuda options.
The start date must always be less than or equal to end date.
The end date of the date range on which a complex event is effective. The start date will be set equal to the end date for single day events such as Bermuda options.
UnderlyingComplexEventEndDate(2056) must always be greater than or equal to UnderlyingComplexEventStartDate(2055).
Number of complex event times in the repeating group.
The start time of the time range on which a complex event date is effective.
UnderlyingComplexEventStartTime(2057) must always be less than or equal to UndelryingComplexEventEndTime(2058).
The end time of the time range on which a complex event date is effective.
UnderlyingComplexEventEndTime(2058) must always be greater than or equal to UnderlyingComplexEventStartTime(2057).
Number of events in the repeating group
Code to represent the type of event.
The date of the event.
Specific time of event. To be used in combination with LegEventDate(2061).
Time unit associated with the event.
Time unit multiplier for the event.
Predetermined price of issue at event, if applicable.
Free form text to specify additional information or enumeration description when a standard value does not apply.
The broad asset category for assessing risk exposure.
The general subcategory description of the asset class.
Within the asset subclass this can be used to provide more specific description of the asset.
Recommended values include:
Interest Rate:
LIBOR or other floating rate index if appropriate
For multi-currency IRS there are two currencies - specify the riskier ISO 4217 Currency Code in primary fields and the less risky Currency Code or home Currency Code in secondary fields.
Currency:
ISO 4217 Currency Code
G7, G20, etc. for standard "grouping" of currencies
For cross-currency swaps there are two currencies, so specify the riskier Currency Code in primary fields and the less risky Currency Code or home Currency Code in secondary fields. If settlement is to be in "any G7" currency, specify "G7" in secondary field.
Credit:
Corporate, Sovereign, CDX, CDX Structured, iTraxx, iTraxx Structured
Equity:
S&P500 or other index
Commodity:
Non-precious, Precious, Oil, Natural Gas, Coal, Electricity, Inter-Energy, Grains, Oils Seeds, Dairy, Livestock, Forestry, Softs, Weather, Emissions, Warehouse receipts
Debt:
Bill, Bond, Note, Floating rate, Strip, Index linked, Discount note, Mortgage backed, Benchmark note.
Other values may be used by mutual agreement of the counterparties.
Swap type.
Free form text to specify comments related to the event.
Byte length of encoded (non-ASCII characters) EncodedUnderlyingEventText(2073) field.
Encoded (non-ASCII characters) representation of the UnderlyingEventText(2071) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the UnderlyingEventText(2071) field.
Byte length of encoded (non-ASCII characters) EncodedLegEventText(2075) field.
Encoded (non-ASCII characters) representation of the LegEventText(2066) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the LegEventText(2066) field.
Number of secondary asset classes in the repeating group.
The broad asset category for assessing risk exposure for a multi-asset trade.
An indication of the general description of the asset class.
Within the asset subclass this can be used to provide more specific description of the asset.
Recommended values include:
Interest Rate:
LIBOR or other floating rate index if appropriate
For multi-currency IRS there are two currencies - specify the riskier ISO 4217 Currency Code in primary fields and the less risky Currency Code or home Currency Code in secondary fields.
Currency:
ISO 4217 Currency Code
G7, G20, etc. for standard "grouping" of currencies
For cross-currency swaps there are two currencies, so specify the riskier Currency Code in primary fields and the less risky Currency Code or home Currency Code in secondary fields. If settlement is to be in "any G7" currency, specify "G7" in secondary field.
Credit:
Corporate, Sovereign, CDX, CDX Structured, iTraxx, iTraxx Structured
Equity:
S&P500 or other index
Commodity:
Non-precious, Precious, Oil, Natural Gas, Coal, Electricity, Inter-Energy, Grains, Oils Seeds, Dairy, Livestock, Forestry, Softs, Weather, Emissions, Warehouse receipts
Debt:
Bill, Bond, Note, Floating rate, Strip, Index linked, Discount note, Mortgage backed, Benchmark note.
Other values may be used by mutual agreement of the counterparties.
Number of secondary asset classes in the repeating group.
The broad asset category for assessing risk exposure for a multi-asset trade.
An indication of the general description of the asset class.
Within the asset subclass this can be used to provide more specific description of the asset.
Recommended values include:
Interest Rate:
LIBOR or other floating rate index if appropriate
For multi-currency IRS there are two currencies - specify the riskier ISO 4217 Currency Code in primary fields and the less risky Currency Code or home Currency Code in secondary fields.
Currency:
ISO 4217 Currency Code
G7, G20, etc. for standard "grouping" of currencies
For cross-currency swaps there are two currencies, so specify the riskier Currency Code in primary fields and the less risky Currency Code or home Currency Code in secondary fields. If settlement is to be in "any G7" currency, specify "G7" in secondary field.
Credit:
Corporate, Sovereign, CDX, CDX Structured, iTraxx, iTraxx Structured
Equity:
S&P500 or other index
Commodity:
Non-precious, Precious, Oil, Natural Gas, Coal, Electricity, Inter-Energy, Grains, Oils Seeds, Dairy, Livestock, Forestry, Softs, Weather, Emissions, Warehouse receipts
Debt:
Bill, Bond, Note, Floating rate, Strip, Index linked, Discount note, Mortgage backed, Benchmark note.
Other values may be used by mutual agreement of the counterparties.
Number of bonds in the repeating group.
Security identifier of the bond.
Identifies the source scheme of the AdditionalTermBondSecurityID(40001) value.
Description of the bond.
Byte length of encoded (non-ASCII characters) EncodedAdditionalTermBondDesc(40005) field.
Encoded (non-ASCII characters) representation of the AdditionalTermBondDesc(40003) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the AdditionalTermBondDesc(40003) field.
Specifies the currency the bond value is denominated in. Uses ISO 4217 currency codes.
Issuer of the bond.
Byte length of encoded (non-ASCII characters) EncodedAdditionalTermBondIssuer(40009) field.
Encoded (non-ASCII characters) representation of the AdditionalTermBondIssuer(40007) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the AdditionalTermBondIssuer(40007) field.
Specifies the bond's payment priority in the event of a default.
Coupon type of the bond.
Coupon rate of the bond. See also CouponRate(223).
The maturity date of the bond.
The par value of the bond.
Total issued amount of the bond.
Time unit multiplier for the frequency of the bond's coupon payment.
Time unit associated with the frequency of the bond's coupon payment.
The day count convention used in interest calculations for a bond or an interest bearing security.
Number of additional terms in the repeating group.
Indicates whether the condition precedent bond is applicable. The swap contract is only valid if the bond is issued and if there is any dispute over the terms of fixed stream then the bond terms would be used.
Indicates whether the discrepancy clause is applicable.
Number of elements in the repeating group.
Specifies the currency the CashSettlAmount(40034) is denominated in. Uses ISO 4217 currency codes.
The number of business days after settlement conditions have been satisfied, when the calculation agent is to obtain a price quotation on the reference obligation for the purpose of cash settlement.
Associated with ISDA 2003 Term: Valuation Date.
The number of business days between successive valuation dates when multiple valuation dates are applicable for cash settlement.
Associated with ISDA 2003 Term: Valuation Date
Where multiple valuation dates are specified as being applicable for cash settlement, this specifies the number of applicable valuation dates.
Associated with ISDA 2003 Term: Valuation Date
The time of valuation.
Identifies the business center calendar used at valuation time for cash settlement purposes e.g. "GBLO". See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
The type of quote used to determine the cash settlement price.
Bid
Mid
Offer
When determining the cash settlement amount, if weighted average price quotes are to be obtained for the reference obligation, this is the upper limit to the outstanding principal balance of the reference obligation for which the quote should be obtained. If not specifed, the ISDA definitions provide for a fallback amount equal to floating rate payer calculation amount.
ISDA 2003 Term: Quotation Amount.
Specifies the currency the CashSettlQuoteAmount(40028) is denominated in. Uses ISO 4217 Currency Code.
When determining the cash settlement amount, if weighted average price quotes are to be obtained for the reference obligation, this is the minimum intended threshold amount of outstanding principal balance of the reference obligation for which the quote should be obtained. If not specified, the ISDA definitions provide for a fallback amount of the lower of either USD1,000,000 (or its equivalent in the relevent obligation currency) or the (minimum) quoted amount.
ISDA 2003 Term: Minimum Quotation Amount.
Specifies the currency the CashSettlMinimumQuoteAmount(40030) is denominated in. Uses ISO 4217 Currency Code.
Identifies the dealer from whom price quotations for the reference obligation are obtained for the purpose of cash settlement valuation calculation.
ISDA 2003 Term: Dealer.
The number of business days used in the determination of the cash settlement payment date.
If a cash settlement amount is specified, the cash settlement payment date will be this number of business days following the calculation of the final price. If a cash settlement amount is not specified, the cash settlement payment date will be this number of business days after all conditions to settlement are satisfied.
ISDA 2003 Term: Cash Settlement Date.
The amount paid between the trade parties, seller to the buyer, for cash settlement on the cash settlement date.
If not specified this is not to be included in the message and the parties to the trade are expected to calculate the value. The value is the greater of (a) floating rate payer calculation amount x (reference price - final price) or (b) zero. Price values are all expressed as a percentage. ISDA 2003 Term: Cash Settlement Amount
Used for fixed recovery, this specifies the recovery level as determined at contract inception, to be applied in the event of a default. The factor is used to calculate the amount paid by the seller to the buyer for cash settlement on the cash settlement date. The amount calculated is (1 - CashSettlRecoveryFactor(40035)) x floating rate payer calculation amount. The currency is derived from the floating rate payer calculation amount.
Indicates whether fixed settlement is applicable or not applicable in a recovery lock.
Indicates whether accrued interest is included or not in the value provided in CashSettlAmount(40034). For cash settlement this specifies whether quotations should be obtained inclusive or not of accrued interest.
For physical settlement this specifies whether the buyer should deliver the obligation with an outstanding principal balance that includes or excludes accrued interest.
ISDA 2003 Term: Include/Exclude Accrued Interest.
The ISDA defined methodology for determining the final price of the reference obligation for purposes of cash settlement.
ISDA 2003 Term: Valuation Method
Market
Highest
Average market
Average highest
Blended market
Blended highest
Average blended market
Average blended highest
A named string value referenced by UnderlyingSettlTermXIDRef(41315).
Number of financing definitions in the repeating group.
Specifies which contract definition, such as those published by ISDA, will apply for the terms of the trade. See http://www.fpml.org/coding-scheme/contractual-definitions for values.
Number of contractual matrices in the repeating group.
Identifies the applicable contract matrix. See http://www.fpml.org/coding-scheme/matrix-type-1-0.xml for values.
The publication date of the applicable version of the contract matrix. If not specified, the ISDA Standard Terms Supplement defines rules for which version of the matrix is applicable.
Specifies the applicable key into the relevent contract matrix. In the case of 2000 ISDA Definitions Settlement Matrix for Early Termination and Swaptions, the ContractualMatrixTerm(40045) is not applicable and is to be omitted. See http://www.fpml.org/coding-scheme/credit-matrix-transaction-type for values.
Number of financing terms supplements in the repeating group.
Identifies the applicable contractual supplement. See http://www.fpml.org/coding-scheme/contractual-supplement for values.
The publication date of the applicable version of the contractual supplement.
Number of swap streams in the repeating group.
Type of swap stream.
Payment / cash settlement
Physical delivery
A short descriptive name given to the payment stream. Eg. CDS, Fixed, Float, Float2, GBP. The description has no intrinsic meaning but should be arbitrarily chosen by the remitter as reference.
The side of the party paying the stream.
The side of the party receiving the stream.
Notional, or initial notional value for the payment stream. Use the PaymentScheduleGrp component to specify the rate steps.
Specifies the currency the StreamNotional(40054) is denominated in. Uses ISO 4217 currency codes.
Free form text to specify additional information or enumeration description when a standard value does not apply.
The unadjusted effective date.
The business day convention used to adjust the underlying instrument's stream's effective, or relative effective, date. Used only to override the business day convention specified in the UnderlyingDateAdjustment component within the UnderlyingInstrument component.
The business center calendar used to adjust the underlying instrument's stream's effective, or relative effective, date, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Specifies the anchor date when the effective date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative effective date offset.
Time unit associated with the relative effective date offset.
Specifies the day type of the relative effective date offset.
The adjusted effective date.
The unadjusted termination date.
The business day convention used to adjust the instrument's stream's termination, or relative termination, date. Used only to override the business day convention specified in the DateAdjustment component within the Instrument component.
The business center calendar used to adjust the instrument's stream's termination, or relative termination, date, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Specifies the anchor date when the termination date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative termination date offset.
Time unit associated with the relative termination date offset.
Specifies the day type of the relative termination date offset.
The adjusted termination date.
The business day convention used to adjust calculation periods. Used only to override the business day convention specified in the DateAdjustment component within the Instrument component.
The business center calendar used to adjust calculation periods, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
The unadjusted first calculation period start date if before the effective date.
The business day convention used to adjust the instrument's stream's first calculation period start date. Used only to override the business day convention specified in the DateAdjustment component within the Instrument component.
The business center calendar used to adjust the instrument's stream's first calculation period start date, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
The adjusted first calculation period start date, if it is before the effective date.
The unadjusted first start date of the regular calculation period, if there is an initial stub period.
The unadjusted end date of the initial compounding period.
The unadjusted last regular period end date if there is a final stub period.
Time unit multiplier for the frequency at which calculation period end dates occur.
Time unit associated with the frequency at which calculation period end dates occur.
The convention for determining the sequence of end dates. It is used in conjunction with a specified frequency. Used only to override the roll convention specified in the DateAdjustment component within the Instrument component.
Number of settlement rate fallbacks in the repeating group
The maximum number of days to wait for a quote from the disrupted settlement rate option before proceding to this method.
Identifies the source of the rate information.
Indicates whether to request a settlement rate quote from the market.
Used to identify the settlement rate postponement calculation agent.
Number of provisions in the repeating group.
Type of provisions.
Mandatory early termination
Optional early termination
Cancelable
Extendible
Mutual early termination
The unadjusted date of the provision.
The business day convention used to adjust the instrument's provision's dates. Used only to override the business day convention specified in the DateAdjustment component within the Instrument component.
The business center calendar used to adjust the instrument's provision's dates, e.g. "GBLO". See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
The adjusted date of the provision.
Time unit multiplier for the provision's tenor period.
Time unit associated with the provision's tenor period.
Day
Week
Month
Year
Used to identify the calculation agent. The calculation agent may be identified in ProvisionCalculationAgent(40098) or in the ProvisionParties component.
Exercising party
Non-exercising party
As specified in the master agreement
As specified in the standard terms supplement
If optional early termination is not available to both parties then this component identifies the buyer of the option through its side of the trade.
Buy
Sell
If optional early termination is not available to both parties then this component identifies the seller of the option through its side of the trade.
The instrument provision option’s exercise style.
A notional amount which restricts the amount of notional that can be exercised when partial exercise or multiple exercise is applicable. The integral multiple amount defines a lower limit of notional that can be exercised and also defines a unit multiple of notional that can be exercised, i.e. only integer multiples of this amount can be exercised.
The minimum notional amount that can be exercised on a given exercise date.
The maximum notional amount that can be exercised on a given exercise date.
The minimum number of options that can be exercised on a given exercise date.
The maximum number of options that can be exercised on a given exercise date. If the number is not specified, it means that the maximum number of options corresponds to the remaining unexercised options.
Used to indicate whether follow-up confirmation of exercise (written or electronic) is required following telephonic notice by the buyer to the seller or seller's agent.
An ISDA defined cash settlement method used for the determination of the applicable cash settlement amount. The method is defined in the 2006 ISDA Definitions, Section 18.3. Cash Settlement Methods, paragraph (e).
Cash price
Cash price alternate
Par yield curve adjusted
Zero coupon yield curve adjusted
Par yield curve unadjusted
Cross currency
Collateralized price
Specifies the currency of settlement. Uses ISO 4217 currency codes.
Specifies the currency of settlement for a cross-currency provision. Uses ISO 4217 currency codes.
Identifies the type of quote to be used.
Bid
Mid
Offer
Exercising party pays
See 2000 ISDA Definitions, Section 17.2, Certain Definitions Relating to Cash Settlement, paragraph (j) for definition of "exercising party pays".
Identifies the source of quote information.
Free form text to specify additional information or enumeration description when a standard value does not apply.
A time specified in 24-hour format, e.g. 11am would be represented as 11:00:00. The time of the cash settlement valuation date when the cash settlement amount will be determined according to the cash settlement method if the parties have not otherwise been able to agree to the cash settlement amount.
Identifies the business center calendar used with the provision's cash settlement valuation time. See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
The cash settlement valuation date adjustment business day convention. Used only to override the business day convention specified in the DateAdjustment component within the Instrument component.
The business center calendar used to adjust the provision's cash settlement valuation date, e.g. "GBLO". See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Specifies the anchor date when the cash settlement value date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values
Time unit multiplier for the relative cash settlement value date offset.
Time unit associated with the relative cash settlement value date offset.
Specifies the day type of the provision's relative cash settlement value date offset.
The adjusted cash settlement value date.
The business day convention used to adjust the instrument's provision's option exercise date. Used only to override the business day convention specified in the DateAdjustment component within the Instrument component.
The business center calendar used to adjust the instrument's provision's option exercise date, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Time unit multiplier for the interval to the first (and possibly only) exercise date in the exercise period.
Time unit associated with the interval to the first (and possibly only) exercise date in the exercise period.
Day
Week
Month
Year
Time unit multiplier for the frequency of subsequent exercise dates in the exercise period following the earliest exercise date. An interval of 1 day should be used to indicate an American style exercise period.
Time unit associated with the frequency of subsequent exercise dates in the exercise period following the earliest exercise date.
The unadjusted first day of the exercise period for an American style option.
Specifies the anchor date when the option exercise start date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative option exercise start date offset.
Time unit associated with the relative option exercise start date offset.
Specifies the day type of the provision's relative option exercise start date offset.
The adjusted first day of the exercise period for an American style option.
The number of periods in the referenced date schedule that are between each date in the relative date schedule. Thus a skip of 2 would mean that dates are relative to every second date in the referenced schedule. If present this should have a value greater than 1.
The unadjusted first date of a schedule. This can be used to restrict the range of exercise dates when they are relative.
The unadjusted last date of a schedule. This can be used to restrict the range of exercise dates when they are relative.
The earliest time at which notice of exercise can be given by the buyer to the seller (or seller's agent) i) on the expriation date, in the case of a European style option, (ii) on each bermuda option exercise date and the expiration date, in the case of a Bermuda style option the commencement date to, and including, the expiration date, in the case of an American option.
Identifies the business center calendar used with the provision's earliest time for notice of exercise.
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
For a Bermuda or American style option, the latest time on an exercise business day (excluding the expiration date) within the exercise period that notice can be given by the buyer to the seller or seller's agent. Notice of exercise given after this time will be deemed to have been given on the next exercise business day.
Identifies the business center calendar used with the provision's latest time for notice of exercise.
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Number of provision option exercise fixed dates in the repeating group.
A predetermined option exercise date, unadjusted or adjusted depending on ProvisionOptionExerciseFixedDateType(40144).
Specifies the type of date (e.g. adjusted for holidays).
Unadjusted
Adjusted
The unadjusted last day within an exercise period for an American style option. For a European style option it is the only day within the exercise period.
The business day convention used to adjust the instrument's provision's option expiration date. Used only to override the business day convention specified in the DateAdjustment component within the Instrument component.
The business center calendar used to adjust the instrument's provision's option expiration date, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Specifies the anchor date when the option expiration date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative option expiration date offset.
Time unit associated with the relative option expiration date offset.
Specifies the day type of the provision's relative option expiration date offset.
The adjusted last date within an exercise period for an American style option. For a European style option it is the only date within the exercise period.
The latest time for exercise on the expiration date.
Identifies the business center calendar used with the provision's latest exercise time on expiration date.
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
The unadjusted date on the underlying set by the exercise of an option. What this date is depends on the option (e.g. in a swaption it is the swap effective date, in an extendible/cancelable provision it is the swap termination date).
The business day convention used to adjust the instrument's provision's option underlying date. Used only to override the business day convention specified in the DateAdjustment component within the Instrument component.
The business center calendar used to adjust the instrument's provision's option underlying date, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Specifies the anchor date when the date relevant to the underlying trade on exercise is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative option relevant underlying date offset.
Time unit associated with the relative option relevant underlying date offset.
Specifies the day type of the provision's relative option relevant underlying date offset.
The adjusted date on the underlying set by the exercise of an option. What this date is depends on the option (e.g. in a swaption it is the swap effective date, in an extendible/cancelable provision it is the swap termination date).
The business day convention used to adjust the provisional cash settlement payment's termination or relative termination date. Used only to override the business day convention specified in the DateAdjustment component within the Instrument component.
The business center calendar used to adjust the provisional cash settlement payment's termination or relative termination date, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Specifies the anchor date when the cash settlement payment date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative cash settlement payment date offset.
Time unit associated with the relative cash settlement payment date offset.
Specifies the day type of the provision's relative cash settlement payment date offset.
First date in range when a settlement date range is provided.
The last date in range when a settlement date range is provided.
Number of provision cash settlement payment dates in the repeating group.
The cash settlement payment date, unadjusted or adjusted depending on ProvisionCashSettlPaymentDateType(40173).
Specifies the type of date (e.g. adjusted for holidays).
Unadjusted
Adjusted
Number of parties identified in the contract provision.
The party identifier/code for the payment settlement party.
Identifies class or source of the ProvisionPartyID(40175) value.
Identifies the type or role of ProvisionPartyID(40175) specified.
Number of sub-party IDs to be reported for the party.
Party sub-identifier, if applicable, for ProvisionPartyID(40175).
The type of ProvisionPartySubID(40179).
Number of protection terms in the repeating group.
The notional amount of protection coverage.
ISDA 2003 Term: Floating Rate Payer Calculation Amount.
The currency of ProtectionTermNotional(40182). Uses ISO 4217 currency codes.
The notifying party is the party that notifies the other party when a credit event has occurred by means of a credit event notice. If more than one party is referenced as being the notifying party then either party may notify the other of a credit event occurring.
ProtectionTermSellerNotifies(40184)=Y indicates that the seller notifies.
ISDA 2003 Term: Notifying Party.
The notifying party is the party that notifies the other party when a credit event has occurred by means of a credit event notice. If more than one party is referenced as being the notifying party then either party may notify the other of a credit event occurring.
ProtectionTermBuyerNotifies(40185)=Y indicates that the buyer notifies.
ISDA 2003 Term: Notifying Party.
When used, the business center indicates the local time of the business center that replaces the Greenwich Mean Time in Section 3.3 of the 2003 ISDA Credit Derivatives Definitions. See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Indicates whether ISDA defined Standard Public Sources are applicable (ProtectionTermStandardSources(40187)=Y) or not.
The minimum number of the specified public information sources that must publish information that reasonably confirms that a credit event has occurred. The market convention is two.
ISDA 2003 Term: Specified Number.
Newspaper or electronic news service or source that may publish relevant information used in the determination of whether or not a credit event has occurred.
A named string value referenced by UnderlyingProtectionTermXIDRef(41314).
Number of protection term events in the repeating group.
Specifies the type of credit event applicable to the protection terms.
See http://www.fixtradingcommunity.org/codelists#Protection_Term_Event_Types for code list of applicable event types.
Protection term event value appropriate to ProtectionTermEvenType(40192).
See http://www.fixtradingcommunity.org/codelists#Protection_Term_Event_Types for applicable event type values.
Applicable currency if ProtectionTermEventValue(40193) is an amount. Uses ISO 4217 currency codes.
Time unit multiplier for protection term events.
Time unit associated with protection term events.
Day
Week
Month
Year
Day type for events that specify a period and unit.
Business
Calendar
Commodity business
Currency business
Exchange business
Scheduled trading day
Rate source for events that specify a rate source, e.g. Floating rate interest shortfall.
Number of qualifiers in the repeating group.
Protection term event qualifier. Used to further qualify ProtectionTermEventType(40192).
Retructuring - multiple holding obligations
In relation to a restructuring credit event, unless multiple holder obligation is not specified restructurings are limited to multiple holder obligations. A multiple holder obligation means an obligation that is held by more than three holders that are not affiliates of each other and where at least two thirds of the holders must agree to the event that constitutes the restructuring credit event. ISDA 2003 Term: Multiple Holder Obligation.
Restructuring - multiple credit event notices
Presence of this element and value set to 'true' indicates that Section 3.9 of the 2003 Credit Derivatives Definitions shall apply. Absence of this element indicates that Section 3.9 shall not apply. NOTE: Not allowed under ISDA Credit 1999.
Floating rate interest shortfall
Indicates compounding.
Number of obligations in the repeating group.
Specifies the type of obligation applicable to the protection terms.
See http://www.fixtradingcommunity.org/codelists#Protection_Term_Obligation_Types for code list of applicable obligation types.
Protection term obligation value appropriate to ProtectionTermObligationType(40202).
See http://www.fixtradingcommunity.org/codelists#Protection_Term_Obligation_Types for applicable obligation type values.
Number of entries in the repeating group.
Specifies the currency of physical settlement. Uses ISO 4217 currency codes.
The number of business days used in the determination of physical settlement. Its precise meaning is dependant on the context in which this element is used.
ISDA 2003 Term: Business Day.
A maximum number of business days. Its precise meaning is dependant on the context in which this element is used. Intended to be used to limit a particular ISDA fallback provision.
A named string value referenced by UnderlyingSettlTermXIDRef(41315).
Number of entries in the repeating group.
Specifies the type of deliverable obligation applicable for physical settlement. See http://www.fixtradingcommunity.org/codelists#Deliverable_Obligation_Types for code list for applicable deliverable obligation types.
Physical settlement deliverable obligation value appropriate to PhysicalSettlDeliverableObligationType(40210). See http://www.fixtradingcommunity.org/codelists#Deliverable_Obligation_Types for applicable obligation type values.
Number of additional settlement or bullet payments.
Type of payment.
Brokerage
Upfront fee
Independent amount / collateral
Principal exchange
Novation / termination
Early termination provision
Cancelable provision
Extendible provision
Cap rate provision
Floor rate provision
Option premium
Other
Settlement payment
Cash settlement
The side of the party paying the payment.
Buy
Sell
The side of the party receiving the payment.
Specifies the currency in which PaymentAmount(40217) is denominated. Uses ISO 4271 currency codes.
The total payment amount.
The price determining the payment amount expressed in terms specified in PaymentPriceType(40919) and expressed in market format.
The unadjusted payment date.
The business day convention used to adjust the payment date. Used only to override the business day convention specified in the DateAdjustment component within the Instrument component.
The business center calendar used to adjust the payment date, e.g. "GBLO". See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
The adjusted payment date.
The value representing the discount factor used to calculate the present value of the cash flow.
The amount representing the present value of the forecast payment.
Specifies the currency the PaymentPresentValueAmount(40225) is denominated in. Uses ISO 4217 currency codes.
Payment settlement style.
Standard
Net
Standard and net
Identifies the reference "page" from the rate source.
When LegPaymentStreamNonDeliverableSettlRateSource(40087) = 3 (ISDA Settlement Rate Option) this contains a value from the scheme that reflects the terms of the Annex A to the ISDA 1998 FX and Currency Option Definitions. See: http://www.fpml.org/coding-scheme/settlement-rate-option
Free form text to specify additional information or enumeration description when a sdtandard value does not apply. Identifies the payment type when PaymentType(40213) = 99 (Other).
Number of additional settlements or bullet payments.
The payment settlement amount.
Specifies the currency the PaymentSettlAmount(40231) is denominated in. Uses ISO 4217 currency codes.
Number of parties identified in the additional settlement or bullet payment.
The payment settlement party identifier.
Identifies the class or source of PaymentSettlPartyID(40234) value (e.g. BIC).
Identifies the role of PaymentSettlPartyID(40234) (e.g. the beneficiary's bank or depository institution).
Qualifies the value of PaymentSettlPartyRole(40236).
Number of sub-party IDs to be reported for the party.
Party sub-identifier, if applicable, for PaymentSettlPartyRole(40236).
The type of PaymentSettlPartySubID(40239) value.
Number of swap streams in the repeating group.
Type of swap stream.
A short descriptive name given to the payment stream, e.g. CDS, Fixed, Float, Float2, GBP. The description has no intrinsic meaning but should be arbitrarily chosen by the remitter as a reference.
The side of the party paying the stream.
The side of the party receiving the stream.
Notional, or initial notional value for the payment stream. The LegPaymentSchedule component should be used for specifying the steps.
Specifies the currency the LegStreamNotional(40246) is denominated in. Uses ISO 4217 currency codes.
Free form text to specify additional information or enumeration description when a standard value does not apply.
The unadjusted effective date.
The business day convention used to adjust the instrument leg's stream's effective date or relative effective date. Used only to override the business day convention specified in the LegDateAdjustment component within the InstrumentLeg component.
The business center calendar used to adjust the instrument leg's stream's effective date or relative effective date, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Specifies the anchor date when the effective date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values
Time unit multiplier for the relative effective date offset.
Time unit associated with the relative effective date offset.
Specifies the day type of the relative effective date offset.
The adjusted effective date.
The unadjusted termination date.
The business day convention used to adjust the instrument leg's stream's termination, or relative termination, date. Used only to override the business day convention specified in the LegDateAdjustment component within the InstrumentLeg component.
The business center calendar used to adjust the instrument leg's stream's termination, or relative termination, date, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Specifies the anchor date when the termination date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative termination date offset.
Time unit associated with the relative termination date offset.
Specifies the day type of the relative termination date offset.
The adjusted termination date.
The business day convention used to adjust calculation periods. Used only to override the business day convention specified in the LegDateAdjustment component within the InstrumentLeg component.
The business center calendar used to adjust calculation periods, e.g. "GLBO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
The unadjusted first calculation period start date if before the effective date.
The business day convention used to adjust the instrument leg's stream's first calculation period start date. Used only to override the business day convention specified in the LegDateAdjustment component within the InstrumentLeg component.
The business center calendar used to adjust the instrument leg's stream's first calculation period start date, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
The adjusted first calculation period start date, if it is before the effective date.
The unadjusted first start date of the regular calculation period, if there is an initial stub period.
The unadjusted end date of the initial compounding period.
The unadjusted last regular period end date if there is a final stub period.
Time unit multiplier for the frequency at which calculation period end dates occur.
Time unit associated with the frequency at which calculation period end dates occur.
The convention for determining the sequence of end dates. It is used in conjunction with a specified frequency. Used only to override the roll convention specified in the LegDateAdjustment component within the InstrumentLeg component.
Number of dealers in the repeating group.
Number of business centers in the repeating group.
Identifies the type of payment stream applicable to the swap stream associated with the instrument leg.
Used only for credit index trade. This contains the credit spread ("fair value") at which the trade was executed. The market rate varies over the life of the index depending on market conditions. This is the price of the index as quoted by trading desks.
Applicable to credit default swaps on mortgage backed securities to specify whether payment delays are applicable to the fixed amount.
Residential mortgage backed securities typically have a payment delay of 5 days between the coupon date of the reference obligation and the payment date of the synthetic swap.
Commercial mortage backed securities do not typically have a payment delay, with both payment dates (the coupon date of the reference obligation and the payment date of the synthetic swap) being on the 25th of each month.
Specifies the currency that the stream settles in (to support swaps that settle in a currency different from the notional currency). Uses ISO 4217 currency codes.
The day count convention used in the payment stream calculations.
The number of days from the adjusted calculation period start date to the adjusted value date, calculated in accordance with the applicable day count fraction.
The method of calculating discounted payment amounts.
Discount rate. The rate is expressed in decimal, e.g. 5% is expressed as 0.05.
The day count convention applied to the LegPaymentStreamDiscountRate(40286).
Compounding method.
Indicates whether there is an initial exchange of principal on the effective date.
Indicates whether there are intermediate or interim exchanges of principal during the term of the swap.
Indicates whether there is a final exchange of principal on the termination date.
The business day convention used to adjust the payment stream's payment date. Used only to override the business day convention specified in the LegDateAdjustment component within the InstrumentLeg component.
The business center calendar used to adjust the payment stream's payment date, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Time unit multiplier for the frequency of payments.
Time unit associated with the frequency of payments.
The convention for determining the sequence of end dates. It is used in conjunction with a specified frequency. Used only to override the roll convention specified in the LegDateAdjustment component within the InstrumentLeg component.
The unadjusted first payment date.
The unadjusted last regular payment date.
Specifies the anchor date when payment dates are relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative payment date offset.
Time unit associated with the relative payment date offset.
Specifies the day type of the relative payment date offset.
Specifies the anchor date when the reset dates are relative to an anchor date.
If the reset frequency is specified as daily this element must not be included.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
The business day convention used to adjust the payment stream's reset date. Used only to override the business day convention specified in the LegDateAdjustment component within the InstrumentLeg component.
The business center calendar used to adjust the payment stream's reset date, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Time unit multiplier for frequency of resets.
Time unit associated with frequency of resets.
Used to specify the day of the week in which the reset occurs for payments that reset on a weekly basis.
Specifies the anchor date when the initial fixing date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
The business day convention used to adjust the payment stream's initial fixing date. Used only to override the business day convention specified in the LegDateAdjustment component within the InstrumentLeg component.
The business center calendar used to adjust the payment stream's initial fixing date, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Time unit multiplier for the relative initial fixing date offset.
Time unit associated with the relative initial fixing date offset.
Specifies the day type of the relative initial fixing date offset.
The adjusted initial fixing date.
Specifies the anchor date when the fixing date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
The business day convention used to adjust the payment stream's fixing date. Used only to override the business day convention specified in the LegDateAdjustment component within the InstrumentLeg component.
The business center calendar used to adjust the payment stream's fixing date, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Time unit multiplier for the relative fixing date offset.
Time unit associated with the relative fixing date offset.
Specifies the day type of the relative fixing date offset.
The adjusted fixing date.
Time unit multiplier for the relative rate cut-off date offset.
This is generally the number of days preceeding the period end date or termination date, as appropriate, for the specified floating rate index.
Time unit associated with the relative rate cut-off date offset.
Specifies the day type of the relative rate cut-off date offset.
The rate applicable to the fixed rate payment stream.
The leg instrument payment stream's fixed payment amount. In a CDS, this can be an alternative to LegPaymentStreamRate(40326).
Specifies the currency in which LegPaymentStreamFixedAmount(40327) or LegPaymentStreamRate(40326) is denominated. Uses ISO 4217 currency codes.
The future value notional is normally only required for certain non-deliverable interest rate swaps (e.g. Brazillian Real (BRL) vs. CETIP Interbank Deposit Rate (CDI)). The value is calculated as follows: Future Value Notional = Notional Amount * (1 + Fixed Rate) ^ (Fixed Rate Day Count Fraction). The currency is the same as the stream notional.
The adjusted value date of the future value amount.
The payment stream floating rate index.
The source of the payment stream floating rate index.
Time unit associated with the payment stream's floating rate index curve period.
Time unit multiplier for the payment stream's floating rate index curve period.
A rate multiplier to apply to the floating rate. The multiplier can be less than or greater than 1 (one). This element should only be included if the multiplier is not equal to 1 (one) for the term of the stream.
The basis points spread from the index specified in LegPaymentStreamRateIndex(40331).
Identifies whether the rate spread is applied to a long or short position.
Specifies the yield calculation treatment for the index.
The cap rate, if any, which applies to the floating rate. It is only required where the floating rate on a swap stream is capped at a certain level The cap rate is assumed to be exclusive of any spread and is a per annum rate, expressed as a decimal. A cap rate of 5% would be represented as 0.05.
Reference to the buyer of the cap rate option through its trade side.
Reference to the seller of the cap rate option through its trade side.
The floor rate, if any, which applies to the floating rate. The floor rate (strike) is only required where the floating rate on a swap stream is floored at a certain strike level The floor rate is assumed to be exclusive of any spread and is a per annum rate. The rate is expressed as a decimal, e.g. 5% is represented as 0.05.
Reference to the buyer of the floor rate option through its trade side.
Reference to the seller of the floor rate option through its trade side.
The initial floating rate reset agreed between the principal parties involved in the trade. This is assumed to be the first required reset rate for the first regular calculation period. It should only be included when the rate is not equal to the rate published on the source implied by the floating rate index. The initial rate is expressed in decimal form, e.g. 5% is represented as 0.05.
Specifies the rounding direction.
Specifies the rounding precision in terms of a number of decimal places. Note how a percentage rate rounding of 5 decimal places is expressed as a rounding precision of 7.
When averaging is applicable, used to specify whether a weighted or unweighted average method of calculation is to be used.
The specification of any provisions for calculating payment obligations when a floating rate is negative (either due to a quoted negative floating rate or by operation of a spread that is subtracted from the floating rate).
Time unit multiplier for the inflation lag period. The lag period is the offsetting period from the payment date which determineds the reference period for which the inflation index is observed.
Time unit associated with the inflation lag period.
The inflation lag period day type.
The method used when calculating the inflation index level from multiple points. The most common is linear method.
The inflation index reference source.
The publication source, such as relevant web site, news publication or a government body, where inflation information is obtained.
Initial known index level for the first calculation period.
Indicates whether a fallback bond as defined in the 2006 ISDA Inflation Derivatives Definitions, sections 1.3 and 1.8, is applicable or not. If not specified, the default value is "Y" (True/Yes).
The method of Forward Rate Agreement (FRA) discounting, if any, that will apply.
Non-deliverable settlement reference currency. Uses ISO 4217 currency codes.
The business day convention used to adjust the payment stream's fixing date for the non-deliverable settlement terms. Used only to override the business day convention specified in the LegDateAdjustment component within the InstrumentLeg component.
The business center calendar used to adjust the payment stream's fixing date for the non-deliverable terms, e.g. "GBLO". See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Specifies the anchor date when the non-deliverable fixing dates are relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative non-deliverable fixing date offset.
Time unit associated with the relative non-deliverable fixing date offset.
Specifies the day type of the relative non-deliverable fixing date offset.
Identifies the source of rate information.
Number of fixing dates in the repeating group.
The non-deliverable fixing date. Type of date is specified in LegNonDeliverableFixingDateType(40369).
Specifies the type of date (e.g. adjusted for holidays).
Identifies the reference "page" from the rate source.
When LegSettlRateFallbackRateSource(40366) = 3(ISDA Settlement Rate Option) this contains the value from the scheme that reflects the terms of the Annex A to the ISDA 1998 FX and Currency Option Definitions. See: http://www.fpml.org/coding-scheme/settlement-rate-option
Identifies the source of rate information.
Identifies the reference "page" from the rate source.
When PaymentStreamNonDeliverableSettlRateSource(40371) = 3(ISDA Settlement Rate Option) this contains the value from the scheme that reflects the terms of the Annex A to the ISDA 1998 FX and Currency Option Definitions. See: http://www.fpml.org/coding-scheme/settlement-rate-option
Identifies the source of rate information.
Number of swap schedules in the repeating group
Specifies the type of schedule.
Indicates to which stub this schedule applies.
The unadjusted date on which the value is adjusted, or calculated if a future value notional for certain non-deliverable interest rate swaps (e.g. Brazillian Real (BRL) vs. CETIP Interbank Deposit Rate (CDI)), or the start date of a cashflow payment.
The unadjusted end date of a cashflow payment.
The side of the party paying the step schedule.
The side of the party receiving the step schedule.
The notional value for this step schedule, or amount of a cashflow payment.
The currency for this step schedule. Uses ISO 4217 currency codes.
The rate value for this step schedule.
A rate multiplier to apply to the floating rate. The multiplier can be less than or greater than 1 (one). This element should only be included if the multiplier is not equal to 1 (one) for the term of the stream.
The spread value for this step schedule.
Identifies whether the rate spread is applied to a long or a short position.
Specifies the yield calculation treatment for the step schedule.
The explicit payment amount for this step schedule.
The currency of the fixed amount. Uses ISO 4217 currency codes.
Time unit multiplier for the step frequency.
Time unit associated with the step frequency.
The explicit amount that the notional changes on each step date. This can be a positive or negative amount.
The percentage by which the notional changes on each step date. The percentage is either a percentage applied to the initial notional amount or the previous outstanding notional, depending on the value specified in LegPaymentScheduleStepRelativeTo(40395). The percentage can be either positive or negative.
The explicit amount that the rate changes on each step date. This can be a positive or negative value.
Specifies whether the LegPaymentScheduleStepRate(40393) or LegPaymentScheduleStepOffsetValue(40392) should be applied to the initial notional or the previous notional in order to calculate the notional step change amount.
The unadjusted fixing date.
Floating rate observation weight for cashflow payment.
Specifies the anchor date when the fixing date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
The business day convention used to adjust the payment schedule's fixing date. Used only to override the business day convention specified in the LegDateAdjustment component within the InstrumentLeg component.
The business center calendar used to adjust the payment schedule's fixing date, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Time unit multiplier for the relative fixing date offset.
Time unit associated with the relative fixing date offset.
Specifies the day type of the relative fixing date offset.
The adjusted fixing date.
The fxing time associated with the step schedule.
Business center for determining fixing time.
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Specifies the anchor date when the interim exchange payment date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
The business day convention used to adjust the payment schedule's interim exchange date. Used only to override the business day convention specified in the LegDateAdjustment component within the InstrumentLeg component.
The business center calendar used to adjust the payment schedule's interim exchange date, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Time unit multiplier for the relative interim exchange date offset.
Time unit associated with the relative interim exchange date offset.
Specifies the day type of the relative interim exchange date offset.
The adjusted interim exchange date.
Number of rate sources in the repeating group
Identifies the source of rate information.
Rate source type.
Identifies the reference "page" from the rate source.
For FX, the reference page to the spot rate to be used for the reference FX spot rate.
When RateSource(1446) = 3 (ISDA Settlement Rate Option) this contains the value from the scheme that reflects the terms of the Annex A to the ISDA 1998 FX and Currency Option Definitions. See: http://www.fpml.org/coding-scheme/settlement-rate-option
Number of stubs in the repeating group
Stub type.
Optional indication whether stub is shorter or longer than the regular swap period.
The agreed upon fixed rate for this stub.
A fixed payment amount for the stub.
The currency of the fixed payment amount. Uses ISO 4217 currency codes.
The stub floating rate index.
The source for the stub floating rate index.
Time unit multiplier for the floating rate index.
Time unit associated with the floating rate index.
A rate multiplier to apply to the floating rate. The multiplier can be less than or greater than 1 (one). This element should only be included if the multiplier is not equal to 1 (one) for the term of the stream.
Spread from floating rate index.
Identifies whether the rate spread is applied to a long or a short position.
Specifies the yield calculation treatment for the stub index.
The cap rate, if any, which applies to the floating rate. The cap rate (strike) is only required where the floating rate on a swap stream is capped at a certain level. The cap rate is assumed to be exclusive of any spread and is a per annum rate, expressed as a decimal. A cap rate of 5% would be represented as 0.05.
Reference to the buyer of the cap rate option through its trade side.
Reference to the seller of the cap rate option through its trade side.
The floor rate, if any, which applies to the floating rate. The floor rate (strike) is only required where the floating rate on a swap stream is floored at a certain strike level. The floor rate is assumed to be exclusive of any spread and is a per annum rate, expressed as a decimal. A floor rate of 5% would be represented as 0.05.
Reference to the buyer of the floor rate option through its trade side.
Reference to the seller of the floor rate option through its trade side.
The second stub floating rate index.
The source for the second stub floating rate index.
Secondary time unit multiplier for the stub floating rate index curve.
Secondary time unit associated with the stub floating rate index curve.
A rate multiplier to apply to the second floating rate. The multiplier can be less than or greater than 1 (one). This element should only be included if the multiplier is not equal to 1 (one) for the term of the stream.
Spread from the second floating rate index.
Identifies whether the rate spread is applied to a long or a short position.
Specifies the yield calculation treatment for the second stub index.
The cap rate, if any, which applies to the second floating rate. The cap rate (strike) is only required where the floating rate on a swap stream is capped at a certain level. The cap rate is assumed to be exclusive of any spread and is a per annum rate, expressed as a decimal. A cap rate of 5% would be represented as 0.05.
The floor rate, if any, which applies to the second floating rate. The floor rate (strike) is only required where the floating rate on a swap stream is floored at a certain strike level. The floor rate is assumed to be exclusive of any spread and is a per annum rate, expressed as a decimal. A floor rate of 5% would be represented as 0.05.
Number of provisions in the repeating group.
Type of provisions.
The unadjusted date of the provision.
The business day convention used to adjust the instrument leg's provision's date. Used only to override the business day convention specified in the LegDateAdjustment component within the InstrumentLeg component.
The business center calendar used to adjust the instrument leg's provision's date, e.g. "GBLO". See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
The adjusted date of the provision.
Time unit multiplier for the leg provision's tenor period.
Time unit associated with the leg provision's tenor period.
Used to identify the calculation agent. The calculation agent may be identified in LegProvisionCalculationAgent(40456) or in the ProvisionParties component.
If optional early termination is not available to both parties then this component identifies the buyer of the option through its side of the trade.
If optional early termination is not available to both parties then this component identifies the seller of the option through its side of the trade.
The instrument provision option exercise style.
A notional amount which restricts the amount of notional that can be exercised when partial exercise or multiple exercise is applicable. The integral multiple amount defines a lower limit of notional that can be exercised and also defines a unit multiple of notional that can be exercised, i.e. only integer multiples of this amount can be exercised.
The minimum notional amount that can be exercised on a given exercise date.
The maximum notional amount that can be exercised on a given exercise date.
The minimum number of options that can be exercised on a given exercise date.
The maximum number of options that can be exercised on a given exercise date. If the number is not specified, it means that the maximum number of options corresponds to the remaining unexercised options.
Used to indicate whether follow-up confirmation of exercise (written or electronic) is required following telephonic notice by the buyer to the seller or seller's agent.
An ISDA defined cash settlement method used for the determination of the applicable cash settlement amount. The method is defined in the 2006 ISDA Definitions, Section 18.3. Cash Settlement Methods, paragraph (e).
Specifies the currency of settlement. Uses ISO 4217 currency codes.
Specifies the currency of settlement for a cross-currency provision. Uses ISO 4217 currency codes.
Identifies the type of quote to be used.
Identifies the source of quote information.
A business center whose calendar is used for date adjustment, e.g. "GBLO". See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Free form text to specify additional information or enumeration description when a standard value does not apply.
Number of provision cash settlement payment dates in the repeating group.
The cash settlement payment date, unadjusted or adjusted depending on LegProvisionCashSettlPaymentDateType(40521).
Specifies the type of date (e.g. adjusted for holidays).
The business day convention used to adjust the instrument leg's provision's option exercise date. Used only to override the business day convention specified in the LegDateAdjustment component within the InstrumentLeg component.
The business center calendar used to adjust the instrument leg's provision's option exercise date, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Time unit multiplier for the interval to the first (and possibly only) exercise date in the exercise period.
Time unit associated with the interval to the first (and possibly only) exercise date in the exercise period.
Time unit multiplier for subsequent exercise dates in the exercise period following the earliest exercise date. An interval of 1 day should be used to indicate an American style exercise period.
Time unit associated with subsequent exercise dates in the exercise period following the earliest exercise date.
The unadjusted first day of the exercise period for an American style option.
Specifies the anchor date when the option exercise start date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative option exercise start date offset.
Time unit associated with the relative option exercise start date offset.
Specifies the day type of the provision's relative option exercise start date offset.
The adjusted first day of the exercise period for an American style option.
The number of periods in the referenced date schedule that are between each date in the relative date schedule. Thus a skip of 2 would mean that dates are relative to every second date in the referenced schedule. If present this should have a value greater than 1.
The unadjusted first date of a schedule. This can be used to restrict the range of exercise dates when they are relative.
The unadjusted last date of a schedule. This can be used to restrict the range of exercise dates when they are relative.
The earliest time at which notice of exercise can be given by the buyer to the seller (or seller's agent) (i) on the expriation date, in the case of a European style option, (ii) on each bermuda option exercise date and the expiration date, in the case of a Bermuda style option the commencement date to, and including, the expiration date, in the case of an American option.
Identifies the business center calendar used with the provision's earliest time for notice of exercise.
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
For a Bermuda or American style option, the latest time on an exercise business day (excluding the expiration date) within the exercise period that notice can be given by the buyer to the seller or seller's agent. Notice of exercise given after this time will be deemed to have been given on the next exercise business day.
Identifies the business center calendar used with the provision's latest time for notice of exercise.
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Number of provision option exercise fixed dates in the repeating group.
A predetermined option exercise date unadjusted or adjusted depending on LegProvisionOptionExerciseFixedDateType(40497).
Specifies the type of date (e.g. adjusted for holidays).
The unadjusted last day within an exercise period for an American style option. For a European style option it is the only day within the exercise period.
The business day convention used to adjust the instrument leg's provision's option expiration date. Used only to override the business day convention specified in the LegDateAdjustment component within the InstrumentLeg component.
The business center calendar used to adjust the instrument leg's provision's option expiration date, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Specifies the anchor date when the option expiration date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative option expiration date offset.
Time unit associated with the relative option expiration date offset.
Specifies the day type of the provision's relative option expiration date offset.
The adjusted last date within an exercise period for an American style option. For a European style option it is the only date within the exercise period.
The latest time for exercise on the expiration date.
Identifies the business center calendar used with the provision's latest exercise time on expiration date.
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
The unadjusted date on the underlying set by the exercise of an option. What this date is depends on the option (e.g. in a swaption it is the swap effective date, in an extendible/cancelable provision it is the swap termination date).
The business day convention used to adjust the instrument leg's provision's option relevant underlying date. Used only to override the business day convention specified in the LegDateAdjustment component within the InstrumentLeg component.
The business center calendar used to adjust the instrument leg's provision's option underlying date, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Specifies the anchor date when the date relevant to the underlying trade on exercise is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative option relevant underlying date offset.
Time unit associated with the relative option relevant underlying date offset.
Specifies the day type of the provision's relative option relevant underlying date offset.
The adjusted date on the underlying set by the exercise of an option. What this date is depends on the option (e.g. in a swaption it is the swap effective date, in an extendible/cancelable provision it is the swap termination date).
The business day convention used to adjust the provisional cash settlement payment's termination, or relative termination, date. Used only to override the business day convention specified in the LegDateAdjustment component within the InstrumentLeg component.
The business center calendar used to adjust the provisional cash settlement payment's termination, or relative termination, date, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Specifies the anchor date when the cash settlement payment date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative cash settlement payment date offset.
Time unit associated with the relative cash settlement payment date offset.
Specifies the day type of the provision's relative cash settlement payment date offset.
The first date in range when a settlement date range is provided.
The last date in range when a settlement date range is provided.
A time specified in 24-hour format, e.g. 11am would be represented as 11:00:00. The time of the cash settlement valuation date when the cash settlement amount will be determined according to the cash settlement method if the parties have not otherwise been able to agree to the cash settlement amount.
Identifies the business center calendar used with the provision's cash settlement valuation time.
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
The business day convention used to adjust the provision's cash settlement valuation date. Used only to override the business day convention specified in the LegDateAdjustment component within the InstrumentLeg component.
The business center calendar used to adjust the provision's cash settlement valuation date, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Specifies the anchor date when the cash settlement value date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative cash settlement value date offset.
Time unit associated with the relative cash settlement value date offset.
Specifies the day type of the provision's relative cash settlement value date offset.
The adjusted cash settlement value date.
Number of parties identified in the contract provision.
The party identifier/code for the payment settlement party.
Identifies the class or source of LegProvisionPartyID(40534).
Identifies the type or role of LegProvisionPartyID(40534) specified.
Number of sub-party IDs to be reported for the party.
Party sub-identifier, if applicable, for LegProvisionPartyRole(40536).
The type of LegProvisionPartySubID(40538) value.
Number of swap streams in the repeating group.
Type of swap stream.
A short descriptive name given to payment stream. Eg. CDS, Fixed, Float, Float2, GBP. The description has no intrinsic meaning but should be arbitrarily chosen by the remitter as a reference.
The side of the party paying the stream.
The side of the party receiving the stream.
Notional, or initial notional value for the payment stream. Use SwapSchedule for steps.
Specifies the currency the UnderlyingStreamNotional(40545) is denominated in. Uses ISO 4217 currency codes.
Free form text to specify additional information or enumeration description when a standard value does not apply.
The unadjusted termination date.
The business day convention used to adjust the underlying instrument's stream's termination, or relative termination, date. Used only to override the business day convention specified in the UnderlyingDateAdjustment component within the UnderlyingInstrument component.
The business center calendar used to adjust the underlying instrument's stream's termination, or relative termination, date, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Specifies the anchor date when the termination date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative termination date offset.
Time unit associated with the relative termination date offset.
Specifies the day type of the relative termination date offset.
The adjusted termination date.
The business day convention used to adjust the calculation periods. Used only to override the business day convention specified in the UnderlyingDateAdjustment component within the UnderlyingInstrument component.
The business center calendar used to adjust the calculation periods, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
The unadjusted first calculation period start date if before the effective date.
The business day convention used to adjust the underlying instrument's stream's first calculation period start date. Used only to override the business day convention specified in the UnderlyingDateAdjustment component within the UnderlyingInstrument component.
The business center calendar used to adjust the underlying instrument's stream's first calculation period start date, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
The adjusted first calculation period start date, if it is before the effective date.
The unadjusted first start date of the regular calculation period, if there is an initial stub period.
The unadjusted end date of the initial compounding period.
The unadjusted last regular period end date if there is a final stub period.
Time unit multiplier for the frequency at which calculation period end dates occur.
Time unit associated with the frequency at which calculation period end dates occur.
The convention for determining the sequence of end dates. It is used in conjunction with a specified frequency. Used only to override the roll convention specified in the UnderlyingDateAdjustment component within the UnderlyingInstrument component.
Identifies the type of payment stream applicable to the swap stream associated with the underlying instrument.
Used only for credit index trade. This contains the credit spread ("fair value") at which the trade was executed. The market rate varies over the life of the index depending on market conditions. This is the price of the index as quoted by trading desks.
Applicable to credit default swaps on mortgage backed securities to specify whether payment delays are applicable to the fixed amount.
Residential mortgage backed securities typically have a payment delay of 5 days between the coupon date of the reference obligation and the payment date of the synthetic swap.
Commercial mortage backed securities do not typically have a payment delay, with both payment dates (the coupon date of the reference obligation and the payment date of the synthetic swap) being on the 25th of each month.
Specifies the currency that the stream settles in (to support swaps that settle in a currency different from the notional currency). Uses ISO 4217 currency codes.
The day count convention used in the payment stream calculations.
The number of days from the adjusted calculation period start date to the adjusted value date, calculated in accordance with the applicable day count fraction.
The method of calculating discounted payment amounts
Discount rate. The rate is expressed in decimal, e.g. 5% is expressed as 0.05.
The day count convention applied to the UnderlyingPaymentStreamDiscountRate(40575).
Compounding Method.
Indicates whether there is an initial exchange of principal on the effective date.
Indicates whether there are intermediate or interim exchanges of principal during the term of the swap.
Indicates whether there is a final exchange of principal on the termination date.
The business day convention used to adjust the payment stream's payment date. Used only to override the business day convention specified in the UnderlyingDateAdjustment component within the UnderlyingInstrument component.
The business center calendar used to adjust the payment stream's payment date, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Time unit multiplier for the frequency of payments.
Time unit associated with the frequency of payments.
The convention for determining the sequence of end dates. It is used in conjunction with a specified frequency. Used only to override the roll convention specified in the UnderlyingDateAdjustment component within the UnderlyingInstrument component.
The unadjusted first payment date.
The unadjusted last regular payment date.
Specifies the anchor date when payment dates are relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative payment date offset.
Time unit associated with the relative payment date offset.
Specifies the day type of the relative payment date offset.
Specifies the anchor date when the reset dates are relative to an anchor date.
If the reset frequency is specified as daily this element must not be included.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
The business day convention used to adjust the payment stream's reset date. Used only to override the business day convention specified in the UnderlyingDateAdjustment component within the UnderlyingInstrument component.
The business center calendar used to adjust the payment stream's reset date, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Time unit multiplier for frequency of resets.
Time unit associated with frequency of resets.
Used to specify the day of the week in which the reset occurs for payments that reset on a weekly basis.
Specifies the anchor date when the initial fixing date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
The business day convention used to adjust the payment stream's initial fixing date. Used only to override the business day convention specified in the UnderlyingDateAdjustment component within the UnderlyingInstrument component.
The business center calendar used to adjust the payment stream's initial fixing date, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Time unit multiplier for the relative initial fixing date offset.
Time unit associated with the relative initial fixing date offset.
Specifies the day type of the relative initial fixing date offset.
The adjusted initial fixing date.
Specifies the anchor date when the fixing date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
The business day convention used to adjust the payment stream's fixing date. Used only to override the business day convention specified in the UnderlyingDateAdjustment component within the UnderlyingInstrument component.
The business center calendar used to adjust the payment stream's fixing date, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Time unit multiplier for the relative fixing date offset.
Time unit associated with the relative fixing date offset.
Specifies the day type of the relative fixing date offset.
The adjusted fixing date.
Time unit multiplier for the relative rate cut-off date offset.
Time unit associated with the relative rate cut-off date offset.
Specifies the day type of the relative rate cut-off date offset.
The rate applicable to the fixed rate payment stream.
The underlying payment stream's fixed payment amount. In CDS an alternative to UnderlyingPaymentStreamRate(40615).
Specifies the currency in which UnderlyingPaymentStreamFixedAmount(40616) or UnderlyingPaymentStreamRate(40615) is denominated. Users ISO 4271 currency codes.
The future value notional is normally only required for certain non-deliverable interest rate swaps (e.g. Brazillian Real (BRL) vs. CETIP Interbank Deposit Rate (CDI)). The value is calculated as follows: Future Value Notional = Notional Amount * (1 + Fixed Rate) ^ (Fixed Rate Day Count Fraction). The currency is the same as the stream notional.
The adjusted value date of the future value amount.
The payment stream's floating rate index.
The source of the payment stream floating rate index.
Time unit associated with the underlying instrument’s floating rate index.
Time unit multiplier for the underlying instrument’s floating rate index.
A rate multiplier to apply to the floating rate. A multiplier schedule is expressed as explicit multipliers and dates. In the case of a schedule, the step dates may be subject to adjustment in accordance with any adjustments specified in the calculationPeriodDatesAdjustments. The multiplier can be less than or greater than 1 (one). This element should only be included if the multiplier is not equal to 1 (one) for the term of the stream.
Spread from floating rate index.
Identifies a short or long spread value.
Specifies the yield calculation treatment for the index.
The cap rate, if any, which applies to the floating rate. The cap rate (strike) is only required where the floating rate on a swap stream is capped at a certain level. The cap rate is assumed to be exclusive of any spread and is a per annum rate, expressed as a decimal. A cap rate of 5% would be represented as 0.05.
Reference to the buyer of the cap rate option through its trade side.
Reference to the seller of the cap rate option through its trade side.
The floor rate, if any, which applies to the floating rate. The floor rate (strike) is only required where the floating rate on a swap stream is floored at a certain strike level. The floor rate is assumed to be exclusive of any spread and is a per annum rate, expressed as a decimal. A floor rate of 5% would be represented as 0.05.
Reference to the buyer of the floor rate option through its trade side.
Reference to the seller of the floor rate option through its trade side.
The initial floating rate reset agreed between the principal parties involved in the trade. This is assumed to be the first required reset rate for the first regular calculation period. It should only be included when the rate is not equal to the rate published on the source implied by the floating rate index. An initial rate of 5% would be represented as 0.05.
Specifies the rounding direction.
Specifies the rounding precision in terms of a number of decimal places. Note how a percentage rate rounding of 5 decimal places is expressed as a rounding precision of 7.
When rate averaging is applicable, used to specify whether a weighted or unweighted average calculation method is to be used.
The specification of any provisions for calculating payment obligations when a floating rate is negative (either due to a quoted negative floating rate or by operation of a spread that is subtracted from the floating rate).
Time unit multiplier for the inflation lag period. The lag period is the offsetting period from the payment date which determines the reference period for which the inflation index is observed.
Time unit associated with the inflation lag period.
The inflation lag period day type.
The method used when calculating the Inflation Index Level from multiple points - the most common is Linear.
The inflation index reference source.
The current main publication source such as relevant web site or a government body.
Initial known index level for the first calculation period.
Indicates whether a fallback bond as defined in the 2006 ISDA Inflation Derivatives Definitions, sections 1.3 and 1.8, is applicable or not. If not specified, the default value is "Y" (True/Yes).
The method of Forward Rate Agreement (FRA) discounting, if any, that will apply.
The non-deliverable settlement reference currency. Uses ISO 4217 currency codes.
The business day convention used to adjust the payment stream's fixing date for the non-deliverable terms. Used only to override the business day convention specified in the UnderlyingDateAdjustment component within the UnderlyingInstrument component.
The business center calendar used to adjust the payment stream's fixing date for the non-deliverable terms, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Specifies the anchor date when the non-deliverable fixing dates are relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative non-deliverable fixing date offset.
Time unit associated with the relative non-deliverable fixing date offset.
Specifies the day type of the relative non-deliverable fixing date offset.
Identifies the reference "page" from the rate source.
When SettlRateFallbackRateSource(40373) = 3 (ISDA Settlement Rate Option) this contains the value from the scheme that reflects the terms of the Annex A to the ISDA 1998 FX and Currency Option Definitions. See: http://www.fpml.org/coding-scheme/settlement-rate-option
Number of Fixing dates in the repeating group
The non-deliverable fixing date unadjusted or adjusted depending on UnderlyingNonDeliverableFixingDateType(40658).
Specifies the type of date (e.g. adjusted for holidays).
Number of settlement rate fallbacks in the repeating group
The maximum number of days to wait for a quote from the disrupted settlement rate option before proceding to this method.
Identifies the source of rate information.
Indicates whether to request a settlement rate quote from the market.
Used to identify the settlement rate postponement calculation agent.
Number of swap schedules in the repeating group
Type of schedule.
Indicates to which stub this schedule applies.
The unadjusted date on which the value is adjusted, or calculated if a future value notional for certain non-deliverable interest rate swaps (e.g. Brazillian Real (BRL) vs. CETIP Interbank Deposit Rate (CDI)), or the start date of a cashflow payment.
The unadjusted end date of a cashflow payment.
The side of the party paying the step schedule.
The side of the party receiving the step schedule.
The notional value for this step, or amount of a cashflow payment.
The currency for this step. Uses ISO 4217 currency codes.
The rate value for this step.
A rate multiplier to apply to the floating rate. The multiplier can be less than or greater than 1 (one). This element should only be included if the multiplier is not equal to 1 (one) for the term of the stream.
The spread value for this step.
Identifies whether the rate spread is applied to a long or short position.
Specifies the yield calculation treatment for the step schedule.
The explicit payment amount for this step.
The currency of the fixed amount. Uses ISO 4217 currency codes.
Time unit multiplier for the step frequency.
Time unit associated with the step frequency.
The explicit amount that the notional changes on each step date. This can be a positive or negative amount.
The percentage by which the notional changes on each step date. The percentage is either a percentage applied to the initial notional amount or the previous outstanding notional, depending on the value specified in UnderlyingPaymentScheduleStepRelativeTo(40685). The percentage can be either positive or negative.
The explicit amount that the rate changes on each step date. This can be a positive or negative value.
Specifies whether the UnderlyingPaymentScheduleStepRate(40683) or UnderlyingPaymentScheduleStepOffsetValue(40682) should be applied to the initial notional or the previous notional in order to calculate the notional step change amount.
The unadjusted fixing date.
Floating rate observation weight for cashflow payment.
Specifies the anchor date when the fixing date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
The business day convention used to adjust the payment schedule's fixing date. Used only to override the business day convention specified in the UnderlyingDateAdjustment component within the UnderlyingInstrument component.
The business center calendar used to adjust the payment schedule's fixing date, e.g. "GBLO". See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Time unit multiplier for the relative fixing date offset.
Time unit associated with the relative fixing date offset.
Specifies the day type of the relative fixing date offset.
The adjusted fixing date.
The fixing time.
Business center for determining fixing time. See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Specifies the anchor date when the interim exchange payment date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
The business day convention used to adjust the payment schedule's interim exchange date. Used only to override the business day convention specified in the UnderlyingDateAdjustment component within the UnderlyingInstrument component.
The business center calendar used to adjust the payment schedule's interim exchange date, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Time unit multiplier for the relative interim exchange date offset.
Time unit associated with the relative interim exchange date offset.
Specifies the day type of the relative interim exchange date offset.
The adjusted interim exchange date.
Number of rate sources in the repeating group
Identifies the source of rate information.
Rate source type.
Identifies the reference “page” from the rate source.
For FX, the reference page to the spot rate to be used for the reference FX spot rate.
When RateSource(1446) = 3 (ISDA Settlement Rate Option) this contains the value from the scheme that reflects the terms of the Annex A to the ISDA 1998 FX and Currency Option Definitions. See: http://www.fpml.org/coding-scheme/settlement-rate-option
Number of stubs in the repeating group
Stub type.
Optional indication whether stub is shorter or longer than the regular swap period.
The agreed upon fixed rate for this stub.
A fixed payment amount for the stub.
The currency of the fixed payment amount. Uses ISO 4217 currency codes.
The stub floating rate index.
The source for the underlying payment stub floating rate index.
Time unit multiplier for the underlying payment stub floating rate index.
Time unit associated with the underlying payment stub floating rate index.
A rate multiplier to apply to the floating rate. The multiplier can be less than or greater than 1 (one). This element should only be included if the multiplier is not equal to 1 (one) for the term of the stream.
Spread from floating rate index.
Identifies whether the rate spread is applied to a long or short position.
Specifies the yield calculation treatment for the stub index.
The cap rate, if any, which applies to the floating rate. The cap rate (strike) is only required where the floating rate on a swap stream is capped at a certain level. The cap rate is assumed to be exclusive of any spread and is a per annum rate, expressed as a decimal. A cap rate of 5% would be represented as 0.05.
Reference to the buyer of the cap rate option through its trade side.
Reference to the seller of the cap rate option through its trade side.
The floor rate, if any, which applies to the floating rate. The floor rate (strike) is only required where the floating rate on a swap stream is floored at a certain strike level. The floor rate is assumed to be exclusive of any spread and is a per annum rate, expressed as a decimal. A floor rate of 5% would be represented as 0.05.
Reference to the buyer of the floor rate option through its trade side.
Reference to the seller of the floor rate option through its trade side.
The second stub floating rate index.
The source of the second stub floating rate index.
Secondary time unit multiplier for the stub floating rate index curve.
Secondary time unit associated with the stub floating rate index curve.
A rate multiplier to apply to the second floating rate. The multiplier can be less than or greater than 1 (one). This element should only be included if the multiplier is not equal to 1 (one) for the term of the stream.
Spread from the second floating rate index.
Identifies whether the rate spread is applied to a long or short position.
Specifies the yield calculation treatment for the second stub index.
The cap rate, if any, which applies to the second floating rate. The cap rate (strike) is only required where the floating rate on a swap stream is capped at a certain level. The cap rate is assumed to be exclusive of any spread and is a per annum rate, expressed as a decimal. A cap rate of 5% would be represented as 0.05.
The floor rate, if any, which applies to the second floating rate. The floor rate (strike) is only required where the floating rate on a swap stream is floored at a certain strike level. The floor rate is assumed to be exclusive of any spread and is a per annum rate, expressed as a decimal. A floor rate of 5% would be represented as 0.05.
Identifies the type of payment stream associated with the swap.
Periodic (default)
Initial
Single
Dividend
Interest
Dividend return
Price return
Total return
Variance
Correlation
Used only for credit index trade. This contains the credit spread ("fair value") at which the trade was executed. The market rate varies over the life of the index depending on market conditions. This is the price of the index as quoted by trading desks.
Applicable to credit default swaps on mortgage backed securities to specify whether payment delays are applicable to the fixed amount.
Residential mortgage backed securities typically have a payment delay of 5 days between the coupon date of the reference obligation and the payment date of the synthetic swap.
Commercial mortgage backed securities do not typically have a payment delay, with both payment dates (the coupon date of the reference obligation and the payment date of the synthetic swap) being on the 25th of each month.
Specifies the currency that the stream settles in (to support swaps that settle in a currency different from the notional currency). Uses ISO 4217 currency codes.
The day count convention used in the payment stream calculations.
The number of days from the adjusted calculation period start date to the adjusted value date, calculated in accordance with the applicable day count fraction.
The method of calculating discounted payment amounts
Standard
Forward Rate Agreement (FRA)
Discount rate. The rate is expressed in decimal, e.g. 5% is expressed as 0.05.
The day count convention applied to the PaymentStreamDiscountRate(40745).
Compounding method.
None
Flat
Straight
Spread exclusive
Indicates whether there is an initial exchange of principal on the effective date.
Indicates whether there are intermediate or interim exchanges of principal during the term of the swap.
Indicates whether there is a final exchange of principal on the termination date.
The business day convention used to adjust the payment stream's payment date. Used only to override the business day convention specified in the DateAdjustment component within the Instrument component.
The business center calendar used to adjust the payment stream's payment date, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Time unit multiplier for the frequency of payments.
Time unit associated with the frequency of payments.
Day
Week
Month
Year
Term
The convention for determining the sequence of end dates. It is used in conjunction with a specified frequency. Used only to override the roll convention specified in the DateAdjustment component within the Instrument component.
The unadjusted first payment date.
The unadjusted last regular payment date.
Specifies the anchor date when payment dates are relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative payment date offset.
Time unit multiplier for the relative initial fixing date offset.
Day
Week
Month
Year
Specifies the anchor date when the reset dates are relative to an anchor date.
If the reset frequency is specified as daily this element must not be included.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
The business day convention used to adjust the payment stream's reset date. Used only to override the business day convention specified in the DateAdjustment component within the Instrument component.
The business center calendar used to adjust the payment stream's reset date, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Time unit multiplier for the frequency of resets.
Time unit associated with the frequency of resets.
Used to specify the day of the week in which the reset occurs for payments that reset on a weekly basis.
Monday
Tuesday
Wednesday
Thursday
Friday
Saturday
Sunday
Specifies the anchor date when the initial fixing date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
The business day convention used to adjust the payment stream's initial fixing date. Used only to override the business day convention specified in the DateAdjustment component within the Instrument component.
The business center calendar used to adjust the payment stream's initial fixing date, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Time unit multiplier for the relative initial fixing date offset.
Time unit associated with the relative initial fixing date offset.
Specifies the day type of the relative initial fixing date offset.
The adjusted initial fixing date.
Specifies the anchor date when the fixing date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
The business day convention used to adjust the payment stream's fixing date. Used only to override the business day convention specified in the DateAdjustment component within the Instrument component.
The business center calendar used to adjust the payment stream's fixing date, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Time unit multiplier for the relative fixing date offset.
Time unit associated with the relative fixing date offset.
Specifies the day type of the relative fixing date offset.
The adjusted fixing date.
Time unit multiplier for the relative rate cut-off date offset.
Time unit associated with the relative rate cut-off date offset.
Specifies the day type of the relative rate cut-off date offset.
The rate applicable to the fixed rate payment stream.
The payment stream's fixed payment amount. In CDS an alternative to PaymentStreamRate(40784).
Specifies the currency in which PaymentStreamFixedAmount(40785) or PaymentStreamRate(40784) is denominated. Uses ISO 4271 currency codes.
The future value notional is normally only required for certain non-deliverable interest rate swaps (e.g. Brazillian Real (BRL) vs. CETIP Interbank Deposit Rate (CDI)). The value is calculated as follows: Future Value Notional = Notional Amount * (1 + Fixed Rate) ^ (Fixed Rate Day Count Fraction). The currency is the same as the stream notional.
The adjusted value date of the future value amount.
The payment stream floating rate index.
The source of the payment stream floating rate index.
Bloomberg
Reuters
Telerate
Other
Time unit associated with the floating rate index.
Day
Week
Month
Year
Time unit multiplier for the floating rate index.
A rate multiplier to apply to the floating rate. A multiplier schedule is expressed as explicit multipliers and dates. In the case of a schedule, the step dates may be subject to adjustment in accordance with any adjustments specified in the calculationPeriodDatesAdjustments. The multiplier can be less than or greater than 1 (one). This element should only be included if the multiplier is not equal to 1 (one) for the term of the stream.
Spread from floating rate index.
Identifies whether the rate spread is applied to a long or short position.
Short
Long
Specifies the yield calculation treatment for the index.
Bond equivalent yield
Money market yield
The cap rate, if any, which applies to the floating rate. The cap rate (strike) is only required where the floating rate on a swap stream is capped at a certain level. The cap rate is assumed to be exclusive of any spread and is a per annum rate, expressed as a decimal. A cap rate of 5% would be represented as 0.05.
Reference to the buyer of the cap rate option through its trade side.
Buyer of the trade
Seller of the trade
Reference to the seller of the cap rate option through its trade side.
The floor rate, if any, which applies to the floating rate. The floor rate (strike) is only required where the floating rate on a swap stream is floored at a certain strike level. The floor rate is assumed to be exclusive of any spread and is a per annum rate, expressed as a decimal. A floor rate of 5% would be represented as 0.05.
Reference to the buyer of the floor rate option through its trade side.
Buyer of the trade
Seller of the trade
Reference to the seller of the floor rate option through its trade side.
The initial floating rate reset agreed between the principal parties involved in the trade. This is assumed to be the first required reset rate for the first regular calculation period. It should only be included when the rate is not equal to the rate published on the source implied by the floating rate index. An initial rate of 5% would be represented as 0.05.
Specifies the rounding direction.
Specifies the rounding precision in terms of a number of decimal places. Note how a percentage rate rounding of 5 decimal places is expressed as a rounding precision of 7.
When rate averaging is applicable, used to specify whether a weighted or unweighted average calculation method is to be used.
Unweighted
Weighted
The specification of any provisions for calculating payment obligations when a floating rate is negative (either due to a quoted negative floating rate or by operation of a spread that is subtracted from the floating rate).
Zero interest rate method
Negative interest rate method
Time unit multiplier for the inflation lag period. The lag period is the offsetting period from the payment date which determines the reference period for which the inflation index is observed.
Time unit associated with the inflation lag period.
Day
Week
Month
Year
The inflation lag period day type.
Business
Calendar
Commodity business
Currency business
Exchange business
Scheduled trading day
The method used when calculating the Inflation Index Level from multiple points - the most common is Linear.
None
Linear zero yield
The inflation index reference source.
The current main publication source such as relevant web site or a government body.
Initial known index level for the first calculation period.
Indicates whether a fallback bond as defined in the 2006 ISDA Inflation Derivatives Definitions, sections 1.3 and 1.8, is applicable or not. If not specified, the default value is "Y" (True/Yes).
The method of Forward Rate Agreement (FRA) discounting, if any, that will apply.
None
International Swaps and Derivatives Association (ISDA)
Australian Financial Markets Association (AFMA)
The non-deliverable settlement reference currency. Uses ISO 4217 currency codes.
The business day convention used to adjust the payment stream's fixing date for the non-deliverable settlement terms. Used only to override the business day convention specified in the DateAdjustment component within the Instrument component
The business center calendar used to adjust the payment stream's fixing date for the non-deliverable terms, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Specifies the anchor date when the non-deliverable fixing dates are relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative non-deliverable fixing date offset.
Time unit associated with the relative non-deliverable fixing date offset.
Specifies the day type of the relative non-deliverable fixing date offset.
Identifies the reference "page" from the rate source.
When UnderlyingPaymentStreamNonDeliverableSettlRateSource(40661) = 3(ISDA Settlement Rate Option) this contains the value from the scheme that reflects the terms of the Annex A to the ISDA 1998 FX and Currency Option Definitions. See: http://www.fpml.org/coding-scheme/settlement-rate-option
Number of Fixing dates in the repeating group
Non-deliverable fixing date unadjusted or adjusted depending on NonDeliverableFixingDateType(40827).
Specifies the type of date (e.g. adjusted for holidays).
Unadjusted
Adjusted
Number of swap schedules in the repeating group
Type of schedule.
Notional
Cash flow
FX linked notional
Fixed rate
Future value notional
Known amount
Floating rate multiplier
Spread
Cap rate
Floor rate
Non-deliverable settlement payment dates
Non-deliverable settlement calculation dates
Non-deliverable fixing dates.
Settlement period notional
Settlement period price
Calculation period
Dividend accrual rate multiplier
Dividend accrual rate spread
Dividend accrual cap rate
Dividend accrual floor rate
Compounding rate multiplier
Compounding rate spread
Compounding cap rate
Compounding floor rate
Indicates to which stub this schedule applies.
The date on which the value is adjusted, or calculated if a future value notional for certain non-deliverable interest rate swaps (e.g. Brazillian Real (BRL) vs. CETIP Interbank Deposit Rate (CDI)), or the start date of a cashflow payment.
The unadjusted end date of a cash flow payment.
The side of the party paying the step schedule.
The side of the party receiving the stepf schedule.
The notional value for this step, or amount of a cashflow payment.
The currency for this step. Uses ISO 4217 currency codes.
The rate value for this step schedule.
A rate multiplier to apply to the floating rate. The multiplier can be less than or greater than 1 (one). This element should only be included if the multiplier is not equal to 1 (one) for the term of the stream.
The spread value for this step schedule.
Identifies whether the rate spread is applied to a long or short position.
Specifies the yield calculation treatment for the step schedule.
The explicit payment amount for this step schedule.
The currency of the fixed amount. Uses ISO 4217 currency codes.
Time unit multiplier for the step frequency.
Time unit associated with the step frequency.
The explicit amount that the notional changes on each step date. This can be a positive or negative amount.
The percentage by which the notional changes on each step date. The percentage is either a percentage applied to the initial notional amount or the previous outstanding notional, depending on the value specified in PaymentScheduleStepRelativeTo(40849). The percentage can be either positive or negative.
The explicit amount that the rate changes on each step date. This can be a positive or negative value.
Specifies whether the PaymentScheduleStepRate(40847) or PaymentScheduleStepOffsetValue(40846) should be applied to the initial notional or the previous notional in order to calculate the notional step change amount.
Initial
Previous
The unadjusted fixing date.
Floating rate observation weight for cashflow payment.
Specifies the anchor date when the fixing date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
The business day convention used to adjust the payment schedule's fixing date. Used only to override the business day convention specified in the DateAdjustment component within the Instrument component.
The business center calendar used to adjust the payment schedule's fixing date, e.g. "GBLO". See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Time unit multiplier for the relative fixing date offset.
Time unit associated with the relative fixing date offset.
Specifies the day type of the relative fixing date offset.
The adjusted fixing date.
The fixing time associated with the step schedule.
Business center for determining fixing time.
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Specifies the anchor date when the interim exchange payment date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
The business day convention used to adjust the payment schedule's interim exchange date. Used only to override the business day convention specified in the DateAdjustment component within the Instrument component.
The business center calendar used to adjust the payment schedule's interim exchange date, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Time unit multiplier for the relative interim exchange date offset.
Time unit associated with the relative interim exchange date offset.
Specifies the day type of the relative interim exchange date offset.
The adjusted interim exchange date.
Number of swap schedule rate sources.
Identifies the source of rate information.
Rate source type.
Identifies the reference “page” from the rate source.
For FX, the reference page to the spot rate to be used for the reference FX spot rate.
When RateSource(1446) = 3 (ISDA Settlement Rate Option) this contains the value from the scheme that reflects the terms of the Annex A to the ISDA 1998 FX and Currency Option Definitions. See: http://www.fpml.org/coding-scheme/settlement-rate-option
Number of stubs in the repeating group
Stub type.
Initial
Final
Compounding initial
Compounding final
Optional indication whether stub is shorter or longer than the regular swap period.
Short
Long
The agreed upon fixed rate for this stub.
A fixed payment amount for the stub.
The currency of the fixed payment amount. Uses ISO 4217 currency codes.
The stub floating rate index.
The source of the stub floating rate index.
Time unit multiplier for the stub floating rate index.
Time unit associated with the stub floating rate index.
A rate multiplier to apply to the floating rate. The multiplier can be less than or greater than 1 (one). This element should only be included if the multiplier is not equal to 1 (one) for the term of the stream.
Spread from floating rate index.
Identifies whether the rate spread is applied to a long or short position.
Specifies the yield calculation treatment for the payment stub index.
The cap rate, if any, which applies to the floating rate. The cap rate (strike) is only required where the floating rate on a swap stream is capped at a certain level. The cap rate is assumed to be exclusive of any spread and is a per annum rate, expressed as a decimal. A cap rate of 5% would be represented as 0.05.
Reference to the buyer of the cap rate option through its trade side.
Reference to the seller of the cap rate option through its trade side.
The floor rate, if any, which applies to the floating rate. The floor rate (strike) is only required where the floating rate on a swap stream is floored at a certain strike level. The floor rate is assumed to be exclusive of any spread and is a per annum rate, expressed as a decimal. A floor rate of 5% would be represented as 0.05.
Reference to the buyer of the floor rate option through its trade side.
Reference to the seller of the floor rate option through its trade side.
The second stub floating rate index.
The source of the second stub floating rate index.
Secondary time unit multiplier for the stub floating rate index curve.
Secondary time unit associated with the stub floating rate index curve.
A rate multiplier to apply to the second floating rate. The multiplier can be less than or greater than 1 (one). This element should only be included if the multiplier is not equal to 1 (one) for the term of the stream.
Spread from the second floating rate index.
Identifies whether the rate spread is applied to a long or short position.
Specifies the yield calculation treatment for the second stub index.
The cap rate, if any, which applies to the second floating rate. The cap rate (strike) is only required where the floating rate on a swap stream is capped at a certain level. The cap rate is assumed to be exclusive of any spread and is a per annum rate, expressed as a decimal. A cap rate of 5% would be represented as 0.05.
The floor rate, if any, which applies to the second floating rate. The floor rate (strike) is only required where the floating rate on a swap stream is floored at a certain strike level. The floor rate is assumed to be exclusive of any spread and is a per annum rate, expressed as a decimal. A floor rate of 5% would be represented as 0.05.
Number of settlement rate fallbacks in the repeating group
The maximum number of days to wait for a quote from the disrupted settlement rate option before proceding to this method.
Identifies the source of rate information.
Indicates whether to request a settlement rate quote from the market.
Used to identify the settlement rate postponement calculation agent.
The unadjusted effective date.
The business day convention used to adjust the instrument's stream's effective, or relative effective, date. Used only to override the business day convention specified in the DateAdjustment component within the Instrument component.
The business center calendar used to adjust the instrument's stream's effective, or relative effective, date, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Specifies the anchor date when the effective date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative effective date offset.
Time unit associated with the relative effective date offset.
Specifies the day type of the relative effective date offset.
The adjusted effective date.
Identifies the reference "page" from the rate source.
When UnderlyingSettlRateFallbackRateSource(40904) = 3(ISDA Settlement Rate Option) this contains the value from the scheme that reflects the terms of the Annex A to the ISDA 1998 FX and Currency Option Definitions. See: http://www.fpml.org/coding-scheme/settlement-rate-option
Specifies the type of price for PaymentPrice(40218).
Specifies the day type of the relative payment date offset.
Business
Calendar
Commodity business
Currency business
Exchange business
Scheduled trading day
The business day convention used for adjusting dates. The value defined here applies to all adjustable dates in the instrument unless specifically overridden.
Not applicable
Business day convention is not applicable.
None (current day)
Following day
The following business day.
Floating rate note
The FRN business day convention.
Modified following day
The modified following business day.
Preceding day
The preceding business day.
Modified preceding day
The modified preceding business day.
Nearest day
The nearest applicable business day.
The convention for determining a sequence of dates. It is used in conjunction with a specified frequency. The value defined here applies to all adjustable dates in the instrument unless specifically overridden. Additional values may be used by mutual agreement of the counterparties.
1st day of the month
2nd day of the month
3rd day of the month
4th day of the month
5th day of the month
6thd day of the month
7th day of the month
8th day of the month
9th day of the month
10th day of the month
11th day of the month
12th day of the month
13th day of the month
14th day of the month
15th day of the month
16th day of the month
17th day of the month
18th day of the month
19th day of the month
20th day of the month
21st day of the month
22nd day of the month
23rd day of the month
24th day of the month
25th day of the month
26th day of the month
27th day of the month
28th day of the month
29th day of the month
30th day of the month
The end of the month.
Use EOM for 31st day of the month.
The floating rate note convention or Eurodollar convention.
The International Money Market settlement date, i.e. the 3rd Wednesday of the month.
The last trading day/expiration day of the Canadian Derivatives Exchange.
The last trading day of the Sydney Futures Exchange Australian 90-day bank accepted bill futures contract.
The last trading day of the Sydney Futures Exchange New Zealand 90-day bank bill futures contract.
The Sydney Futures Exchange 90-day bank accepted bill futures settlement dates.
No adjustment
The 13-week and 26-week U.S. Treasury Bill auction dates.
Monday
Tuesday
Wednesday
Thursday
Friday
Saturday
Sunday
Number of business centers in the repeating group.
A business center whose calendar is used for date adjustment, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
The business day convention used for adjusting dates. The value defined here applies to all adjustable dates in the instrument leg unless specifically overridden.
The convention for determining a sequence of dates. It is used in conjunction with a specified frequency. The value defined here applies to all adjustable dates in the instrument leg unless specifically overridden.
Number of business centers in the repeating group.
Number of business centers in the repeating group.
Number of business centers in the repeating group.
Number of business centers in the repeating group.
Number of business centers in the repeating group.
Number of business centers in the repeating group.
Number of business centers in the repeating group.
Number of business centers in the repeating group.
Number of business centers in the repeating group.
Number of business centers in the repeating group.
Number of business centers in the repeating group.
Number of business centers in the repeating group.
Number of business centers in the repeating group.
Number of business centers in the repeating group.
Number of business centers in the repeating group.
Number of business centers in the repeating group.
Number of business centers in the repeating group.
Number of business centers in the repeating group.
Number of business centers in the repeating group.
Number of business centers in the repeating group.
Number of business centers in the repeating group.
Number of business centers in the repeating group.
Number of business centers in the repeating group.
Number of business centers in the repeating group.
Number of event news sources in the repeating group.
Number of business centers in the repeating group.
Number of business centers in the repeating group.
Number of business centers in the repeating group.
Number of business centers in the repeating group.
Number of business centers in the repeating group.
Number of business centers in the repeating group.
Number of business centers in the repeating group.
Number of business centers in the repeating group.
Number of business centers in the repeating group.
Number of business centers in the repeating group.
Number of business centers in the repeating group.
A business center whose calendar is used for date adjustment, e.g. "GBLO". See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
The business day convention used for adjusting dates. The value defined here applies to all adjustable dates in the underlying instrument unless specifically overridden.
The convention for determining a sequence of dates. It is used in conjunction with a specified frequency. The value defined here applies to all adjustable dates in the underlying instrument unless specifically overridden.
Number of business centers in the repeating group.
Number of business centers in the repeating group.
Number of business centers in the repeating group.
Number of business centers in the repeating group.
Number of business centers in the repeating group.
Number of business centers in the repeating group.
Number of business centers in the repeating group.
Number of business centers in the repeating group.
Number of business centers in the repeating group.
Number of business centers in the repeating group.
Number of business centers in the repeating group.
Number of business centers in the repeating group.
Byte length of encoded (non-ASCII characters) EncodedLegStreamText(40979) field.
Encoded (non-ASCII characters) representation of the LegStreamText(40248) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the LegStreamText(40248) field.
Byte length of encoded (non-ASCII characters) EncodedLegProvisionText(40472) field.
Encoded (non-ASCII characters) representation of the LegProvisionText(40472) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the LegProvisionText(40472) field.
Byte length of encoded (non-ASCII characters) EncodedStreamText(40983) field.
Encoded (non-ASCII characters) representation of the StreamText(40056) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the StreamText(40056) field.
Byte length of encoded (non-ASCII characters) EncodedPaymentText(40985) field.
Encoded (non-ASCII characters) representation of the PaymentText(40229) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the PaymentText(40229) field.
Byte length of encoded (non-ASCII characters) EncodedProvisionText(40987) field.
Encoded (non-ASCII characters) representation of the ProvisionText(40113) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the ProvisionText(40113) field.
Byte length of encoded (non-ASCII characters) EncodedUnderlyingStreamText(40989) field.
Encoded (non-ASCII characters) representation of the UnderlyingStreamText(40547) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the UnderlyingStreamText(40547) field.
Identifies the reference "page" from the quote source.
Identifies the reference "page" from the quote source.
Used with derivatives when an event is express as a month-year with optional day or month or week of month.
Format:
YYYYMM (e.g. 199903)
YYYYMMDD (e.g. 20030323)
YYYYMMwN (e.g. 200303w2) for week
A specific date can be appended to the month-year. For instance, if multiple event types exist in the same Year and Month, but actually at a different time, a value can be appended, such as "w" or "w2" to indicate week. Likewise, the day of monty (0-31) can be appended to indicate a specific event date.
Used with derivatives when an event is express as a month-year with optional day or month or week of month.
Format:
YYYYMM (e.g. 199903)
YYYYMMDD (e.g. 20030323)
YYYYMMwN (e.g. 200303w2) for week
A specific date can be appended to the month-year. For instance, if multiple event types exist in the same Year and Month, but actually at a different time, a value can be appended, such as "w" or "w2" to indicate week. Likewise, the day of monty (0-31) can be appended to indicate a specific event date.
Used with derivatives when an event is express as a month-year with optional day or month or week of month.
Format:
YYYYMM (e.g. 199903)
YYYYMMDD (e.g. 20030323)
YYYYMMwN (e.g. 200303w2) for week
A specific date can be appended to the month-year. For instance, if multiple event types exist in the same Year and Month, but actually at a different time, a value can be appended, such as "w" or "w2" to indicate week. Likewise, the day of monty (0-31) can be appended to indicate a specific event date.
The date of the previous clearing business day.
The valuation date of the trade.
The valuation time of the trade.
Identifies the business center whose calendar is used for valuation, e.g. "GLOB". See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Foreign exchange rate used to compute the MarginAmt(1645) from the MarginAmtCcy(1646) and the Currency(15).
Specifies whether or not MarginAmtFXRate(2088) should be multipled or divided.
Foreign exchange rate used to compute the CurrentCollateralAmount(1704) from the CollateralCurrency(1646) and the Currency(15).
Specifies whether or not CollateralFXRate(2090) should be multipled or divided.
Market segment associated with the collateral amount.
Market associated with the collateral amount.
Foreign exchange rate used to compute the PayAmount(1710) or CollectAmount(1711) from the PayCollectCurrency(1709) and the Currency(15).
Specifies whether or not PayCollectFXRate(2094) should be multipled or divided.
Corresponds to the value in StreamDesc(40051) in the StreamGrp component.
Foreign exchange rate used to compute the PosAmt(708) from the PositionCurrency(1055) and the Currency (15).
Specifies whether or not PositionFXRate(2097) should be multipled or divided.
Market segment associated with the position amount.
Market associated with the position amount.
Indicates if the position has been terminated.
Indicates whether the originating account is exempt (Y) from marking orders as short or not (N). This designation may be used on both buy and sell orders.
Specifies the identifier of the reporting entity as assigned by regulatory agency.
The number of attached files.
Specifies the file name of the attachment.
The MIME media type (and optional subtype) of the attachment. The values used are those assigned, listed and maintained by IANA (www.iana.org) [RFC2046]. See http://www.iana.org/assignments/media-types/index.html for available types.
Examples values (RFC number provided for reference here only):
"application/pdf" (see [RFC3778])
"application/msword" (for .doc files)
"multipart/signed" (see [RFC1847])
"application/vnd.openxmlformats-officedocument.wordprocessingml.document" (for .docx files)
Specifies semantically the type of the attached document from a business perspective. The default classification scheme reuses the FIX standard classification scheme of a high level section (pretrade, trade, posttrade, etc.) and a category, then a specific application or document type. The expression follows {"section/category/application type"}.
The goal here is to map the attachment into the sections and categories of the FIX business messages if possible. The classification scheme can be expanded or replaced by counterparty agreement. This approach permits the introduction and reference to other business ontologies.
Example:
posttrade/confirmation/confirm
pretrade//termsheet
Used to specify an external URL where the attachment can be obtained.
The encoding type of the content provided in EncodedAttachment(2112).
MessageEncoding(347) that defines how FIX fields of type Data are encoded. The MessageEncoding(347) is used embed text in another character set (e.g. Unicode or Shift-JIS) within FIX.
Base64 encoding
Base64 Encoding.
Unencoded binary content
Unencoded binary content.
Unencoded content length in bytes. Can be used to validate successful unencoding.
Byte length of encoded the EncodedAttachment(2112) field.
The content of the attachment in the encoding format specified in the AttachmentEncodingType(2109) field.
The number of attachment keywords.
Can be used to provide data or keyword tagging of the content of the attachment.
Specifies the negotiation method to be used.
Auto spot
The spot price for the reference or benchmark security is provided automatically.
Negotiated spot
The spot price for the reference or benchmark security is to be negotiated.
The spot price for the reference or benchmark security is to be negotiated via phone or voice.
The spot price for the reference of benchmark security is to be negotiated via phone or voice.
The time of the next auction.
The number of asset attribute entries in the group.
Specifies the name of the attribute.
See http://www.fixtradingcommunity.org/codelists#Asset_Attribute_Types for code list of applicable asset attribute types.
Specifies the value of the asset attribute.
Limit or lower acceptable value of the attribute.
The commission rate when Commission(12) is based on a percentage of quantity, amount per unit or a factor of "unit of measure". If the rate is a percentage, use the decimalized form, e.g. "0.05" for a 5% commission or "0.005" for 50 basis points.
The commission rate unit of measure.
The number of averaging observations in the repeating group.
Cross reference to the ordinal observation as specified either in the ComplexEventScheduleGrp or ComplexEventPeriodDateGrp components.
The weight factor to be applied to the observation.
The number of credit events specified in the repeating group.
Specifies the type of credit event.
See http://www.fixtradingcommunity.org/codelists#Credit_Event_Types for code list of applicable event types.
The credit event value appropriate to ComplexEventCreditEventType(40998).
See http://www.fixtradingcommunity.org/codelists#Credit_Event_Types for applicable event type values.
Specifies the applicable currency when ComplexEventCreditEventValue(40999) is an amount. Uses ISO 4217 currency codes.
Time unit multiplier for complex credit events.
Time unit associated with complex credit events.
Specifies the day type for the complex credit events.
Identifies the source of rate information used for credit events.
See http://www.fixtradingcommunity.org/codelists#Credit_Event_Rate_Source for code list of applicable sources.
The number of qualifiers in the repeating group.
Specifies a complex event qualifier. Used to further qualify ComplexEventCreditEventType(40998).
The number of entries in the date-time repeating group.
The averaging date for an Asian option.
The trigger date for a Barrier or Knock option.
The averaging time for an Asian option.
The number of periods in the repeating group.
Specifies the period type.
Asian Out
Asian In
Barrier Cap
Barrier Floor
Knock Out
Knock In
The business center used to determine dates and times in the schedule or date-time group.
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
The number of rate sources in the repeating group.
Identifies the source of rate information.
For FX, the reference source to be used for the FX spot rate.
Indicates whether the rate source specified is a primary or secondary source.
Identifies the reference page from the rate source.
For FX, the reference page to the spot rate is to be used for the reference FX spot rate.
When ComplexEventRateSource(41014) = 3 (ISDA Settlement Rate Option) this contains the value from the scheme that reflects the terms of the Annex A to the ISDA 1998 FX and Currency Option Definitions. See: http://www.fpml.org/coding-scheme/settlement-rate-option.
Identifies the reference page heading from the rate source.
The number of business centers in the repeating group.
The business center calendar used to adjust the complex event date, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
The unadjusted complex event date.
For example the second expiration date for a calendar spread option strategy.
Specifies the anchor date when the complex event date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative date offset.
Time unit associated with the relative date offset.
Specifies the day type of the relative date offset.
Business
Calendar
Commodity business
Currency business
Exchange business
Scheduled trading day
The business day convention used to adjust the complex event date. Used only to override the business day convention specified in the DateAdjustment component within the Instrument component.
The adjusted complex event date.
The local market fixing time.
The business center calendar used to determine the actual fixing times.
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Number of event sources in the repeating group.
A newspaper or electronic news service that may publish relevant information used in the determination of whether or not a credit event has occurred.
Trade side of payout payer.
Trade side of payout receiver.
Reference to the underlier whose payments are being passed through.
Percentage of observed price for calculating the payout associated with the event.
Specifies when the payout is to occur.
Close
Open
Official settlement
Valuation time
Exchange settlement time
Derivatives close
As specified in master confirmation
Specifies the currency of the payout amount. Uses ISO 4217 currency codes.
Specifies the price percentage at which the complex event takes effect. Impact of the event price is determined by the ComplexEventType(1484).
Specifies the first or only reference currency of the trade. Uses ISO 4217 currency codes.
Applicable for complex FX option strategies.
Specifies the second reference currencyof the trade. Uses ISO 4217 currency codes.
Applicable for complex FX option strategies.
For foreign exchange Quanto option feature.
Currency 1 per currency 2
Currency 2 per currency 1
Specifies the fixed FX rate alternative for FX Quantro options.
Specifies the method according to which an amount or a date is determined.
See http://www.fpml.org/coding-scheme/determination-method for values.
Used to identify the calculation agent.
Upper strike price for Asian option feature. Strike percentage for a Strike Spread.
Strike factor for Asian option feature. Upper strike percentage for a Strike Spread.
Upper string number of options for a Strike Spread.
Reference to credit event table elsewhere in the message.
The notifying party is the party that notifies the other party when a credit event has occurred by means of a credit event notice. If more than one party is referenced as being the notifying party then either party may notify the other of a credit event occurring.
Seller notifies
Buyer notifies
Seller or buyer notifies
The local business center for which the credit event is to be determined. The inclusion of this business center implies that Greenwich Mean Time in Section 3.3 of the 2003 ISDA Credit Derivatives Definitions is replaced by the local time of the specified business center.
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
When this element is specified and set to 'Y', indicates that ISDA defined Standard Public Sources are applicable.
The minimum number of the specified public information sources that must publish information that reasonably confirms that a credit event has occurred. The market convention is two.
ISDA 2003 Term: Specified Number.
Identifier of this complex event for cross referencing elsewhere in the message.
Reference to a complex event elsewhere in the message.
Number of schedules in the repeating group.
The start date of the schedule.
The end date of the schedule.
Time unit multiplier for the schedule date frequency.
Time unit associated with the schedule date frequency.
The convention for determining the sequence of dates. It is used in conjunction with a specified frequency. Used only to override the roll convention defined in the DateAdjustment component in Instrument.
Number of delivery schedules in the repeating group.
Specifies the type of delivery schedule.
Notional
Delivery
Physical settlement period
Identifier for this instance of delivery schedule for cross referencing elsewhere in the message.
Physical delivery quantity.
Specifies the delivery quantity unit of measure (UOM).
The frequency of notional delivery.
Specifies the negative tolerance value. The value may be an absolute quantity or a percentage, as specified in DeliveryScheduleToleranceType(41046). Percentage value is to be expressed relative to "1.0" representing 100% (e.g. a value of "0.0575" represents 5.75%).
Specifies the positive tolerance value. The value may be an absolute quantity or a percentage, as specified in DeliveryScheduleToleranceType(41046). Value may exceed agreed upon value. Percentage value is to be expressed relative to "1.0" representing 100% (e.g. a value of "0.0575" represents 5.75%).
Specifies the tolerance value's unit of measure (UOM).
Specifies the tolerance value type.
Absolute
Percentage
Specifies the country where delivery takes place. Uses ISO 3166 2-character country code.
Delivery timezone specified as "prevailing" rather than "standard" or "daylight".
See http://www.fixtradingcommunity.org/codelists#Prevailing_Timezones for code list of applicable prevailing timezones.
Specifies the commodity delivery flow type.
All times
On peak
Off peak
Base
Block hours
Other
Indicates whether holidays are included in the settlement periods. Required for electricity contracts.
Do not include holidays
Include holidays
Number of delivery schedules in the repeating group.
Specifies the day or group of days for delivery.
Monday
Tuesday
Wednesday
Thursday
Friday
Saturday
Sunday
All weekdays
All days
All weekends
The sum of the total hours specified in the DeliveryScheduleSettlTimeGrp component.
Number of hour ranges in the repeating group.
The scheduled start time for the delivery of the commodity where delivery occurs over specified times. The format of the time value is specified in DeliveryScheduleSettlTimeType(41057).
The scheduled end time for the delivery of the commodity where delivery occurs over specified times. The format of the time value is specified in DeliveryScheduleSettlTimeType(41057).
Specifies the format of the delivery start and end time values.
Hour of the day
Applicable for electricity contracts. Time value is expressed as an integer hour of the day (1-24). The delivery start/end hour is specified as the end of the included hour. For example, a start hour of "4" begins at 3 a.m.; an end hour of "20" ends at 8 p.m.; a start hour of "1" and end hour of "24" indicates midnight to midnight delivery.
HH:MM time format
Applicable for gas contracts. Time value is expressed using a 24-hour time format. For example, a time value of "13:30" is 1:30 p.m.
Specifies the type of delivery stream.
Periodic (default if not specified)
Initial
Single
The name of the oil delivery pipeline.
The point at which the commodity will enter the delivery mechanism or pipeline.
The point at which the commodity product will be withdrawn prior to delivery.
The point at which the commodity product will be delivered and received. Value specified should follow market convention appropriate for the commodity product.
For bullion, see http://www.fpml.org/coding-scheme/bullion-delivery-location for values.
Specifies under what conditions the buyer and seller should be excused of their delivery obligations.
Firm
Never excused of delivery obligations.
Interruptable or non-firm
Excused when interrupted for any reason or for no reason without liability.
Force majeure
Excused when prevented by force majeure.
System firm
Must be supplied from the owned or controlled generation of pre-existing purchased power assets of the system specified.
Unit firm
Must be supplied from the generation assset specified.
Specifies the electricity delivery contingency.
See http://www.fpml.org/coding-scheme/electricity-transmission-contingency for values.
The trade side value of the party responsible for electricity delivery contingency.
When this element is specified and set to 'Y', delivery of the coal product is to be at its source.
Specifies how the parties to the trade apportion responsibility for the delivery of the commodity product.
See http://www.fixtradingcommunity.org/codelists#Risk_Apportionment for the details of the external code list.
Specifies the source or legal framework for the risk apportionment.
See http://www.fixtradingcommunity.org/codelists#Risk_Apportionment_Source for the details of the external code list.
Specifies the title transfer location.
Specifies the condition of title transfer.
Transfers with risk of loss
Does not transfer with risk of loss
A party, not necessarily of the trade, who is the Importer of Record for the purposes of paying customs duties and applicable taxes or costs related to importation.
Specifies the negative tolerance value. The value may be an absolute quantity or a percentage, as specified in DeliveryStreamToleranceType(41074). Percentage value is to be expressed relative to "1.0" representing 100% (e.g. a value of "0.0575" represents 5.75%).
Specifies the positive tolerance value. The value may be an absolute quantity or a percentage, as specified in DeliveryStreamToleranceType(41074). Value may exceed agreed upon value. Percentage value is to be expressed relative to "1.0" representing 100% (e.g. a value of "0.0575" represents 5.75%).
Specifies the tolerance value's unit of measure (UOM).
Specifies the tolerance value type.
Indicates whether the tolerance is at the seller's or buyer's option.
Buyer
Seller
The positive percent tolerance which applies to the total quantity delivered over all shipment periods.
Percentage value is to be expressed relative to "1.0" representing 100% (e.g. a value of "0.0575" represents 5.75%.).
The negative percent tolerance which applies to the total quantity delivered over all shipment periods.
Percentage value is to be expressed relative to "1.0" representing 100% (e.g. a value of "0.0575" represents 5.75%.).
If the notional quantity is specified in a unit that does not match the unit in which the commodity reference price is quoted, the scaling or conversion factor used to convert the commodity reference price unit into the notional quantity unit should be stated here. If there is no conversion, this field is not intended to be used.
The transportation equipment with which the commodity product will be delivered and received.
Examples of transportation equipment or mode are barge, truck, railcar, etc.
A reference to the party able to choose whether the gas is delivered for a particular period as found in a swing or interruptible contract.
Buyer
Seller
Number of delivery cycles in the repeating group.
The delivery cycles during which the oil product will be transported in the pipeline.
Byte length of encoded (non-ASCII characters) EncodedDeliveryStreamCycleDesc(41084) field.
Encoded (non-ASCII characters) representation of the DeliveryStreamCycleDesc(41082) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the DeliveryStreamCycleDesc(41082) field.
Number of commodity sources in the repeating group.
The SCoTA coal cargo origin, mining region, mine(s), mining complex(es), loadout(s) or river dock(s) or other point(s) of origin that seller and buyer agree are acceptable origins for the coal product. For international coal transactions, this is the origin of the coal product.
See http://www.fpml.org/coding-scheme/commodity-coal-product-source for values.
A sentence or phrase pertenant to the trade, not a reference to an external document. E.g. "To be registered with the U.S. Environmental Protection Agency, Acid Rain Division, SO2 Allowance Tracking System"
Byte length of encoded (non-ASCII characters) EncodedDocumentationText(1527) field.
Encoded (non-ASCII characters) representation of the DocumentationText(1513) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the DocumentationText(1513) field.
The subclassification or subtype of swap.
Amortizing
Compounding
In an outright or forward commodity trade that is cash settled this is the index used to determine the cash payment.
This is an optional qualifying attribute of SettlRateIndex(1577) such as the delivery zone for an electricity contract.
Description of the option expiration.
Byte length of encoded (non-ASCII characters) EncodedOptionExpirationDesc(1697) field.
Encoded (non-ASCII characters) representation of the OptionExpirationDesc(1581) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the OptionExpirationDesc(1581).
Used to express the unit of measure (UOM) of the price if different from the contract.
Specifies the index used to calculate the strike price.
Specifies the strike price offset from the named index.
Specifies the source of trade valuation data.
Specifies the methodology and/or assumptions used to generate the trade value.
Specifies the type of trade strategy.
Straddle
Strangle
Butterfly
Condor
Callable inversible snowball
Other
When this element is specified and set to 'Y', it indicates that common pricing applies. Common pricing may be relevant for a transaction that references more than one commodity reference price.
Specifies the consequences of bullion settlement disruption events.
Negotiation
Cancellation and payment
Specifies the rounding direction if not overridden elsewhere.
Specifies the rounding precision in terms of a number of decimal places. Note how a percentage rate rounding of 5 decimal places is expressed as a rounding precision of 7.
Indicator to determine if the instrument is to settle on open.
Specifies the method under which assignment was conducted.
Used for derivatives. Denotes the current state of the InstrumentLeg.
A category of CDS credit event in which the underlying bond experiences a restructuring.
Used to define a CDS instrument.
Specifies which issue (underlying bond) will receive payment priority in the event of a default.
Used to define a CDS instrument.
Indicates the notional percentage of the deal that is still outstanding based on the remaining components of the index.
Used to calculate the true value of a CDS trade or position.
Used to reflect the Original value prior to the application of a credit event. See LegNotionalPercentageOutstanding(2151).
Lower bound percentage of the loss that the tranche can endure.
Upper bound percentage of the loss the tranche can endure.
Type of reference obligation for credit derivatives contracts.
The subclassification or subtype of swap.
The Nth reference obligation in a CDS reference basket. If specified without LegMthToDefault(2158) the default will trigger a CDS payout. If LegMthToDefault(2158) is also present then payout occurs between the Nth and Mth obligations to default.
The Mth reference obligation to default in a CDS reference basket. When an NthToDefault(2157) to MthToDefault(2158) are represented then the CDS payout occurs between the Nth and Mth obligations to default.
Relevant settled entity matrix source.
The publication date of the applicable version of the matrix. When this element is omitted, the Standard Terms Supplement defines rules for which version of the matrix is applicable.
Specifies the coupon type of the bond.
Specifies the total amount of the issue. Corresponds to the par value multiplied by the number of issued security.
Time unit multiplier for the frequency of the bond's coupon payment.
Time unit associated with the frequency of the bond's coupon payment.
The day count convention used in interest calculations for a bond or an interest bearing security.
Identifies the equity in which a convertible bond can be converted to.
Identifies class or source of the LegConvertibleBondEquitySecurityID(2166) value.
Reference month if there is no applicable LegMaturityMonthYear(610) value for the contract or security.
Indicates the seniority level of the lien in a loan.
Specifies the type of loan when the credit default swap's reference obligation is a loan.
Specifies the type of reference entity for first-to-default CDS basket contracts.
The series identifier of a credit default swap index.
The version of a credit default swap index annex.
The date of a credit default swap index series annex.
The source of a credit default swap series annex.
In an outright or forward commodity trade that is cash settled this is the index used to determine the cash payment.
This is an optional qualifying attribute of LegSettlementRateIndex(2176) such as the delivery zone for an electricity contract.
Description of the option expiration.
Byte length of encoded (non-ASCII characters) EncodedLegOptionExpirationDesc(2180) field.
Encoded (non-ASCII characters) representation of the LegOptionExpirationDesc(2178) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the LegOptionExpirationDesc(2178).
Used for derivatives. Multiplier applied to the strike price for the purpose of calculating the settlement value.
The number of shares/units for the financial instrument involved in the option trade. Used for derivatives.
Used to express the unit of measure (UOM) of the price if different from the contract.
Specifies the index used to calculate the strike price.
Specifies the strike price offset from the named index.
Specifies how the strike price is determined at the point of option exercise. The strike may be fixed throughout the life of the option, set at expiration to the value of the underlying, set to the average value of the underlying , or set to the optimal value of the underlying.
Specifies the boundary condition to be used for the strike price relative to the underlying price at the point of option exercise.
Used in combination with StrikePriceBoundaryMethod(2187) to specify the percentage of the strike price in relation to the underlying price. The percentage is generally 100 or greater for puts and 100 or less for calls.
Specifies how the underlying price is determined at the point of option exercise. The underlying price may be set to the current settlement price, set to a special reference, set to the optimal value of the underlying during the defined period ("Look-back") or set to the average value of the underlying during the defined period ("Asian option").
Minimum price increment for a given exchange-traded instrument. Could also be used to represent tick value.
Minimum price increment amount associated with the LegMinPriceIncrement(2190). For listed derivatives, the value can be calculated by multiplying LegMinPriceIncrement(2190) by LegContractMultiplier(614).
Settlement method for a contract or instrument. Additional values may be used with bilateral agreement.
Indicates the type of payout that will result from an in-the-money option.
Cash amount indicating the pay out associated with an option. For binary options this is a fixed amount.
Specifies the method for price quotation.
Specifies the type of valuation method applied.
Specifies the source of trade valuation data.
Specifies the methodology and/or assumptions used to generate the trade value.
Indicates whether instruments are pre-listed only or can also be defined via user request.
Used to express the ceiling price of a capped call.
Used to express the floor price of a capped put.
Used to indicate a derivatives security that can be defined using flexible terms. The terms commonly permitted to be defined by market participants are expiration date and strike price. FlexibleIndicator is an alternative to LegCFICode(608) Standard/Non-standard attribute.
Used to indicate if a product or group of product supports the creation of flexible securities.
Position Limit for a given exchange-traded product.
Position limit in the near-term contract for a given exchange-traded product.
The program under which a commercial paper is issued.
The registration type of a commercial paper issuance.
Indicates whether a restriction applies to short selling a security.
Specifies the type of trade strategy.
When this element is specified and set to 'Y', it indicates that common pricing applies. Common pricing may be relevant for a transaction that references more than one commodity reference price.
Specifies the consequences of bullion settlement disruption events.
Specifies the rounding direction if not overridden elsewhere.
Applicable for complex FX option strategies.
Specifies the rounding precision in terms of a number of decimal places. Note how a percentage rate rounding of 5 decimal places is expressed as a rounding precision of 7.
The consequences of market disruption events.
Not applicable
Applicable
As specified in master agreement
As specified in confirmation
Specifies the location of the fallback provision documentation.
As specified in master agreement
As specified in confirmation
Specifies the maximum number of market disruption days (commodity or bullion business days) in a contract or confirmation. If none are specified, the maximum number of market disruption days is five (5).
ISDA 2005 Commodity Definition.
Used when a price materiality percentage applies to the price source disruption event and this event has been specified.
Applicable to 2005 Commodity Definitions only.
Specifies the minimum futures contracts level that dictates whether or not a 'De Minimis Trading' event has occurred.
Applicable to 1993 Commodity Definitions only.
Number of disruption events in the repeating group.
Specifies the market disruption event.
For commodities see http://www.fpml.org/coding-scheme/commodity-market-disruption for values.
For foreign exchange, see http://www.fixtradingcommunity.org/codelists#Market_Disruption_Event for code list of applicable event types.
Number of fallbacks in the repeating group.
Specifies the type of disruption fallback.
See http://www.fpml.org/coding-scheme/commodity-market-disruption-fallback for values.
Number of fallback reference securities in the repeating group.
The type of reference price underlier.
Basket
Bond
Cash
Commodity
Convertible bond
Equity
Exchange traded fund
Future
Index
Loan
Mortgage
Mutual fund
Specifies the identifier value of the security.
Specifies the class or source scheme of the security identifier.
Specifies the description of the underlying security.
Byte length of encoded (non-ASCII characters) EncodedMarketDisruptionFallbackUnderlierSecurityDesc(41102) field.
Encoded (non-ASCII characters) representation of the MarketDisruptionFallbackUnderlierSecurityDesc(41100) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the MarketDisruptionFallbackUnderlierSecurityDesc(41100) field.
If there are multiple underlying assets, this specifies the number of units (index or securities) that constitute the underlier of the swap. In the case of a basket swap, this is used to reference both the number of basket units, and the number of each asset components of the basket when these are expressed in absolute terms.
Specifies the currency if the underlier is a basket. Uses ISO 4217 currency codes.
Specifies the basket divisor amount. This value is normally used to adjust the constituent weight for pricing or to adjust for dividends, or other corporate actions.
The fee rate when MiscFeeAmt(137) is a percentage of trade quantity.
The fee amount due if different from MiscFeeAmt(137).
A description of the option exercise.
Byte length of encoded (non-ASCII characters) EncodedExerciseDesc(41102) field.
Encoded (non-ASCII characters) representation of the ExerciseDesc(41106) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the ExerciseDesc(41106) field.
Indicates (when 'Y') that exercise is automatic when the strike price is crossed or the underlying trade is in the money.
The threshold rate for triggering automatic exercise.
Indicates whether follow-up confirmation of exercise (written or electronic) is required following telephonic notice by the buyer to the seller or seller's agent.
Not required
Non-electronic
Electronic
Unknown at time of report
Identifies the business center used for adjusting the time for manual exercise notice.
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Indicates whether the notional amount of the underlying swap, not previously exercised under the option, will be automatically exercised at the expiration time on the expiration date if at such time the buyer is in-the-money, provided that the difference between the settlement rate and the fixed rate under the relevant underlying swap is not less than one tenth of a percentage point (0.10% or 0.001).
Indicates whether the Seller may request the Buyer to confirm its intent to exercise if not done on or before the expiration time on the expiration date. If true ("Y") specific rules will apply in relation to the settlement mode.
Indicates in physical settlement of bond and convertible bond options whether the party required to deliver the bonds will divide those to be delivered as notifying party desires to facilitate delivery obligations.
Number of business centers in the repeating group.
The business center calendar used to adjust the option exercise dates, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
The business day convention used to adjust the option exercise dates. Used only to override the business day convention specified in the DateAdjustment component within the Instrument component.
Specifies the day type of the relative earliest option exercise date offset.
Time unit multiplier for the relative earliest exercise date offset.
Time unit associated with the relative earliest exercise date offset.
Time unit multiplier for the frequency of exercise dates.
Time unit associated with the frequency of exercise dates.
The unadjusted start date for calculating periodic exercise dates.
Specifies the anchor date when the option exercise start date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative exercise start date offset.
Time unit associated with the relative exercise start date offset.
Specifies the day type of the relative option exercise start date offset.
The adjusted start date for calculating periodic exercise dates.
The number of periods in the referenced date schedule that are between each date in the relative date schedule. Thus a skip of 2 would mean that dates are relative to every second date in the referenced schedule. If present this should have a value greater than 1.
Last date (adjusted) for establishing the option exercise terms.
The unadjusted first exercise date.
The unadjusted last exercise date.
The earliest time at which notice of exercise can be given by the buyer to the seller (or seller's agent) (i) on the expriation date, in the case of a European style option, (ii) on each Bermuda option exercise date and the expiration date, in the case of a Bermuda style option, (iii) the commencement date to, and including, the expiration date, in the case of an American option.
The latest exercise time. See also OptionExerciseEarliestTime(41134).
The business center used to determine the locale for option exercise time, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values
Number of dates in the repeating group.
The option exercise fixed date, unadjusted or adjusted depending on OptionExerciseDateType(41139).
Specifies the type of date. When specified it applies not only to the current date but to all subsequent dates in the group until overridden with a new type.
Unadjusted
Adjusted
Number of business centers in the repeating group.
The business center calendar used to adjust the option exercise expiration dates, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
The business day convention used to adjust the option exercise expiration dates. Used only to override the business day convention specified in the DateAdjustment component within the Instrument component.
Specifies the anchor date when the option exercise expiration date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative exercise expiration date offset.
Time unit associated with the relative exercise expiration date offset.
Time unit multiplier for the frequency of exercise expiration dates.
Time unit associated with the frequency of exercise expiration dates.
The convention for determining the sequence of exercise expiration dates. It is used in conjunction with a specified frequency. Used only to override the roll convention defined in the DateAdjustment component in Instrument.
Specifies the day type of the relative option exercise expiration date offset.
The option exercise expiration time.
The business center used to determine the locale for option exercise expiration time, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Number of fixed exercise expiration dates in the repeating group.
An adjusted or unadjusted fixed option exercise expiration date.
Specifies the type of option exercise expiration date. When specified it applies not only to the current date but to all subsequent dates in the group until overridden with a new type.
Used to express the unit of measure (UOM) of the payment amount if not in the currency of the trade.
Specifies the anchor date when the payment date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative payment date offset.
Time unit associated with the relative payment date offset.
Specifies the day type of the relative payment date offset.
Business
Calendar
Commodity business
Currency business
Exchange business
Scheduled trading day
Forward start premium type.
Prepaid
Post-paid
Variable
Fixed
Number of fixing days in the repeating group.
The day of the week on which fixing will take place.
The occurrence of the day of week on which fixing takes place.
For example, a fixing of the 3rd Friday would be DayOfWk=5 DayNum=3. If omitted every day of the week is a fixing day.
Identifier of this PaymentSchedule for cross referencing elsewhere in the message.
Reference to payment schedule elsewhere in the message.
The currency of the schedule rate. Uses ISO 4217 currency codes.
The schedule rate unit of measure (UOM).
The number to be multiplied by the derived floating rate of the payment schedule in order to arrive at the payment rate. If omitted, the schedule rate conversion factor is 1.
Identifies whether the rate spread is an absolute value to be added to the index rate or a percentage of the index rate.
The schedule settlement period price.
Specifies the currency of the schedule settlement period price. Uses ISO 4217 currency codes.
The settlement period price unit of measure (UOM).
The schedule step unit of measure (UOM).
The distribution of fixing days.
The number of days over which fixing should take place.
Time unit multiplier for the fixing lag duration.
Time unit associated with the fixing lag duration.
Time unit multiplier for the relative first observation date offset.
If the first observation offset is specified, the observation period will start the specified interval prior to each calculation period - i.e. if the first observation offset is 4 months and the lag duration is 3 months, observations will be taken in months 4, 3 and 2 (but not 1) prior to each calculation period. If no first observation offset is specified, the observation period will end immediately preceding each calculation period.
Time unit associated with the relative first observation date offset.
When this element is specified and set to 'Y', the Flat Rate is the New Worldwide Tanker Nominal Freight Scale for the Freight Index Route taken at the Trade Date of the transaction “Fixed”. If 'N' it is taken on each Pricing Date “Floating”.
Specifies the actual monetary value of the flat rate when PaymentStreamFlatRateIndicator(41180) = 'Y'.
Specifies the currency of the actual flat rate. Uses ISO 4217 currency codes.
Specifies the limit on the total payment amount.
Specifies the currency of total payment amount limit. Uses ISO 4217 currency codes.
Specifies the limit on the payment amount that goes out in any particular calculation period.
Specifies the currency of the period payment amount limit. Uses ISO 4217 currency codes.
Specifies the fixed payment amount unit of measure (UOM).
Specifies the total fixed payment amount.
The number of Worldscale points for purposes of the calculation of a fixed amount for a wet voyage charter commodity swap.
The price per relevant unit for purposes of the calculation of a fixed amount for a dry voyage charter or time charter commodity swap.
Specifies the currency of PaymentStreamContractPrice(41190). Uses ISO 4217 currency codes.
Number of business centers in the repeating group.
The business center calendar used to adjust the payment stream's pricing dates, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Secondary time unit multiplier for the payment stream's floating rate index curve.
May be used for a Forward Rate Agreement (FRA) with an average rate between two curve points.
Secondary time unit associated with the payment stream's floating rate index curve.
Specifies the location of the floating rate index.
This is the weather Cooling Degree Days (CDD), Heating Degree Days (HDD) or HDD index level specified as the number of (amount of) weather index units specified by the parties in the related confirmation.
The unit of measure (UOM) of the rate index level.
Specifies how weather index units are to be calculated.
Average
The cumulative number of weather index units for each day in the calculation period divided by the number of days in the calculation period.
Maximum
The maximum number of weather index units for any day in the calculaiton period.
Minimum
The minimum number of weather index units for any day in the calculaiton period.
Cumulative
The cumulative number of weather index units for each day in the calculaiton period.
This is the weather Cooling Degree Days (CDD), Heating Degree Days (HDD) or HDD reference level specified as the number of (amount of) weather index units specified by the parties in the related confirmation.
The unit of measure (UOM) of the rate reference level.
When set to 'Y', it indicates the weather reference level equals zero.
Specifies the currency of the floating rate spread. Uses ISO 4217 currency codes.
Species the unit of measure (UOM) of the floating rate spread.
The number to be multiplied by the derived floating rate of the payment stream in order to arrive at the payment rate. If omitted, the floating rate conversion factor is 1.
Identifies whether the rate spread is an absolute value to be added to the index rate or a percentage of the index rate.
Absolute
Percentage
The floating rate determined at the most recent reset. The rate is expressed in decimal form, e.g. 5% is represented as 0.05.
The floating rate determined at the final reset. The rate is expressed in decimal form, e.g. 5% is represented as 0.05.
Time unit multiplier for the calculation lag duration.
Time unit associated with the calculation lag duration.
Time unit multiplier for the relative first observation date offset.
If the first observation offset is specified, the observation period will start the specified interval prior to each calculation period - i.e. if the first observation offset is 4 months and the lag duration is 3 months, observations will be taken in months 4, 3 and 2 (but not 1) prior to each calculation period. If no first observation offset is specified, the observation period will end immediately preceding each calculation period.
Time unit associated with the relative first observation date offset.
Specifies the commodity pricing day type.
The distribution of pricing days.
All
First
Last
Penultimate
The number of days over which pricing should take place.
Specifies the business calendar to use for pricing.
See http://www.fpml.org/coding-scheme/commodity-business-calendar for values.
The business day convention used to adjust the payent stream's pricing dates. Used only to override the business day convention specified in the DateAdjustment component within the Instrument component.
Number of payment dates in the repeating group.
The adjusted or unadjusted fixed stream payment date.
Specifies the type of payment date. When specified it applies not only to the current date but to all subsequent dates in the group until overridden with a new type.
When set to 'Y', it indicates that payment dates are specified in the relevant master agreement.
Number of pricing dates in the repeating group.
The adjusted or unadjusted fixed stream pricing date.
Specifies the type of pricing date. When specified it applies not only to the current date but to all subsequent dates in the group until overridden with a new type.
Number of pricing days in the repeating group.
The day of the week on which pricing takes place.
Every day (the default if not specified)
Monday
Tuesday
Wednesday
Thursday
Friday
Saturday
Sunday
The occurrence of the day of week on which pricing takes place.
For example a pricing day of the 3rd Friday would be DayOfWk=5 DayNum=3.
Number of business centers in the repeating group.
The business center calendar used to adjust pricing or fixing dates, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
The unadjusted pricing or fixing date.
The business day convention used to adjust pricing or fixing dates. Used only to override the business day convention defined in the DateAdjustment component within the Instrument component.
The adjusted pricing or fixing date.
Specifies the local market time of the pricing or fixing.
Specifies the business center for determining the pricing or fixing time. See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Number of asset attribute entries in the group.
Day
Specifies the name of the attribute.
See http://www.fixtradingcommunity.org/codelists#Asset_Attribute_Types for code list of applicable asset attribute types.
Specifies the value of the attribute.
Limit or lower acceptable value of the attribute.
Number of calculation period dates in the repeating group.
The adjusted or unadjusted fixed calculation period date.
Specifies the type of fixed calculation period date. When specified it applies not only to the current date but to all subsequent dates in the group until overridden with a new type.
Identifier of this calculation period for cross referencing elsewhere in the message.
Cross reference to another calculation period for duplicating its properties.
When specified and set to 'Y', it indicates that the first calculation period should run from the effective date to the end of the calendar period in which the effective date falls (e.g. Jan 15 - Jan 31 if the calculation periods are one month long and effective date is Jan 15.). If 'N' or not specified, it indicates that the first calculation period should run from the effective date for one whole period (e.g. Jan 15 to Feb 14 if the calculation periods are one month long and the effective date is Jan 15.).
Time unit multiplier for the length of time after the publication of the data when corrections can be made.
Time unit associated with the length of time after the publication of the data when corrections can be made.
Number of business centers in the repeating group.
The business center calendar used to adjust the commodity delivery date, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Specifies the general base type of the commodity traded. Where possible, this should follow the naming convention used in the 2005 ISDA Commodity Definitions.
Examples of general commodity base types include: Metal, Bullion, Oil, Natural Gas, Coal, Electricity, Inter-Energy, Grains, Oils Seeds, Dairy, Livestock, Forestry, Softs, Weather, Emissions.
Specifies the type of commodity product.
For coal see http://www.fpml.org/coding-scheme/commodity-coal-product-type for values.
For metals see http://www.fpml.org/coding-scheme/commodity-metal-product-type for values.
For bullion see http://www.fixtradingcommunity.org/codelists#Bullion_Types for the external code list of bullion types.
Specifies the market identifier for the commodity.
Identifies the class or source of the StreamCommoditySecurityIDSource(41253) value.
Description of the commodity asset.
Byte length of encoded (non-ASCII characters) EncodedStreamCommodityDesc(41257) field.
Encoded (non-ASCII characters) representation of the StreamCommodityDesc(41255) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the StreamCommodityDesc(41255) field.
The unit of measure (UOM) of the commodity asset.
Identifies the currency of the commodity asset. Uses ISO 4217 currency codes.
Identifies the exchange where the commodity is traded.
Identifies the source of rate information used for commodities.
See http://www.fixtradingcommunity.org/codelists#Commodity_Rate_Source for code list of applicable sources.
Identifies the reference "page" from the rate source.
Identifies the page heading from the rate source.
Specifies the commodity data or information provider.
See http://www.fpml.org/coding-scheme/commodity-information-provider for values.
Specifies how the pricing or rate setting of the trade is to be determined or based upon.
See http://www.fixtradingcommunity.org/codelists#Commodity_Rate_Pricing_Type for code list of applicable commodity pricing types.
Time unit multiplier for the nearby settlement day.
When the commodity transaction references a futures contract, the delivery or settlement dates are a nearby month or week. For example, for eighth nearby month use Period=8 and Unit=Mo.
Time unit associated with the nearby settlement day.
Week
Month
The unadjusted commodity delivery date.
The business day convention used to adjust the commodity delivery date. Used only to override the business day convention specified in the DateAdjustment component within the Instrument component.
The adjusted commodity delivery date.
Specifies a fixed single month for commodity delivery.
Use "1" for January, "2" for February, etc.
Time unit multiplier for the commodity delivery date roll.
For a commodity transaction that references a listed future via the delivery dates, this is the day offset on which the specified future will roll to the next nearby month when the referenced future expires.
Time unit associated with the commodity delivery date roll.
Day
Specifies the commodity delivery roll day type.
Identifier of this stream commodity for cross referencing elsewhere in the message.
Reference to a stream commodity elsewhere in the message.
Number of alternate security identifers.
Alternate security identifier value for the commodity.
Identifies the class or source of the alternate commodity security identifier.
Number of data sources in the repeating group. The order of entry determines priority – first is the main source, second is fallback, third is second fallback.
Data source identifier.
Type of data source identifier.
City (4 character business center code)
Airport (IATA standard)
Weather station WBAN (Weather Bureau Army Navy)
Weather index WMO (World Meteorological Organization)
Number of days in the repeating group.
Specifies the day or group of days for delivery.
Sum of the hours specified in StreamCommoditySettlTimeGrp.
Number of hour ranges in the repeating group.
The start time for commodities settlement where delivery occurs over time. The time format is specified by the settlement time type.
The end time for commodities settlement where delivery occurs over time. The time format is specified by the settlement time type.
Specifies the format of the commodities settlement start and end times.
Number of commodity settlement periods in the repeating group.
Specifies the country where delivery takes place. Uses ISO 3166 2-character country code.
Commodity delivery timezone specified as "prevailing" rather than "standard" or "daylight".
See http://www.fixtradingcommunity.org/codelists#Prevailing_Timezones for code list of applicable prevailing timezones.
Specifies the commodity delivery flow type.
Specifies the delivery quantity associated with this settlement period.
Specifies the unit of measure (UOM) of the delivery quantity associated with this settlement period.
Time unit multiplier for the settlement period frequency.
Time unit associated with the settlement period frequency.
The settlement period price.
Specifies the settlement period price unit of measure (UOM).
The currency of the settlement period price. Uses ISO 4217 currency codes.
Indicates whether holidays are included in the settlement periods. Required for electricity contracts.
Identifier of this settlement period for cross referencing elsewhere in the message.
Cross reference to another settlement period for duplicating its properties.
Identifier of this Stream for cross referencing elsewhere in the message.
Cross reference to another Stream notional for duplicating its properties.
Time unit multiplier for the swap stream's notional frequency.
Time unit associated with the swap stream's notional frequency.
The commodity's notional or quantity delivery frequency.
Term
Per business day
Per calculation period
Per settlement period
Per calendar day
Per hour
Per month
Specifies the delivery stream quantity unit of measure (UOM).
Total notional or delivery quantity over the term of the contract.
Specifies the unit of measure (UOM) for the total notional or delivery quantity over the term of the contract.
Number of mandatory clearing jurisdictions.
Identifier of the regulatory jurisdiction requiring the trade to be cleared.
The positive or negative change in quantity when this report is a trade correction or continuation.
Specifies the version of a trade or contract. This is used by systems or trading platforms in conjunction with TradeID(1003) to uniquely identify the version of a trade or contract. If used the conditions for a change of version are subject to bilateral agreement. It is recommended to change the version only for significant updates to the business entity rather than for minor changes to trade details or systematic distribution of reports. Examples where the version would change are trade quantity modification, customer account assignment or trade novation.
Indicates that the trade or event being reported occurred in the past and the trade is terminated or no longer active.
Number of bonds in the repeating group.
Security identifier of the bond.
Identifies the source scheme of the LegAdditionalTermBondSecurityID(41317) value.
Description of the bond.
Byte length of encoded (non-ASCII characters) EncodedLegAdditionalTermBondDesc(41321) field.
Encoded (non-ASCII characters) representation of the LegAdditionalTermBondDesc(41319) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the LegAdditionalTermBondDesc(41319) field.
Specifies the currency the bond value is denominated in. Uses ISO 4217 currency codes.
Issuer of the bond.
Byte length of encoded (non-ASCII characters) EncodedLegAdditionalTermBondIssuer(41325) field.
Encoded (non-ASCII characters) representation of the LegAdditionalTermBondIssuer(41323) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the LegAdditionalTermBondIssuer(41323) field.
Specifies the bond's payment priority in the event of a default.
Specifies the coupon type of the bond.
Coupon rate of the bond. See also CouponRate(223).
The maturity date of the bond.
The par value of the bond.
Total issued amount of the bond.
Time unit multiplier for the frequency of the bond's coupon payment.
Time unit associated with the frequency of the bond's coupon payment.
The day count convention used in interest calculations for a bond or an interest bearing security.
Number of additional terms in the repeating group.
Indicates whether the condition precedent bond is applicable. The swap contract is only valid if the bond is issued and if there is any dispute over the terms of fixed stream then the bond terms would be used.
Indicates whether the discrepancy clause is applicable.
Number of asset attribute entries in the group.
Specifies the name of the attribute.
See http://www.fixtradingcommunity.org/codelists#Asset_Attribute_Types for code list of applicable asset attribute types.
Specifies the value of the attribute.
Limit or lower acceptable value of the attribute.
Number of dealers in the repeating group.
Identifies the dealer from whom price quotations for the reference obligation are obtained for the purpose of cash settlement valuation calculation.
ISDA 2003 Term: Dealer
Number of elements in the repeating group.
Specifies the currency the LegCashSettlAmount(41357) is denominated in. Uses ISO 4217 currency codes.
The number of business days after settlement conditions have been satisfied, when the calculation agent is to obtain a price quotation on the reference obligation for purposes of cash settlement.
Associated with ISDA 2003 Term: Valuation Date.
The number of business days between successive valuation dates when multiple valuation dates are applicable for cash settlement.
Where multiple valuation dates are specified as being applicable for cash settlement, this element specifies the number of applicable valuation dates.
Associated with ISDA 2003 Term: Valuation Date
Time of valuation.
Identifies the business center calendar used at valuation time for cash settlement purposes e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
The type of quote used to determine the cash settlement price.
When determining the cash settlement amount, if weighted average price quotes are to be obtained for the reference obligation, this is the upper limit to the outstanding principal balance of the reference obligation for which the quote should be obtained. If not specifed, the ISDA definitions provide for a fallback amount equal to floating rate payer calculation amount.
ISDA 2003 Term: Quotation Amount.
Specifies the currency the LegCashSettlQuoteAmount(41352) is denominated in. Uses ISO 4217 Currency Code.
When determining the cash settlement amount, if weighted average price quotes are to be obtained for the reference obligation, this is the minimum intended threshold amount of outstanding principal balance of the reference obligation for which the quote should be obtained. If not specified, the ISDA definitions provide for a fallback amount of the lower of either USD1,000,000 (or its equivalent in the relevent obligation currency) or the (minimum) quoted amount.
ISDA 2003 Term: Minimum Quotation Amount.
Specifies the currency the LegCashSettlQuoteMinimumAmount(41354) is denominated in. Uses ISO 4217 Currency Code.
The number of business days used in the determination of the cash settlement payment date.
If a cash settlement amount is specified, the cash settlement payment date will be this number of business days following the calculation of the final price. If a cash settlement amount is not specified, the cash settlement payment date will be this number of business days after all conditions to settlement are satisfied. ISDA 2003 Term: Cash Settlement Date.
The amount paid between the trade parties, seller to the buyer, for cash settlement on the cash settlement date.
If not specified this would typically be calculated as ((100 or the reference price) - reference obligation price) x floating rate payer calculation amount. Price values are all expressed as a percentage. ISDA 2003 Term: Cash Settlement Amount.
Used for fixed recovery, this specifies the recovery level as determined at contract inception, to be applied in the event of a default. The factor is used to calculate the amount paid by the seller to the buyer for cash settlement on the cash settlement date. The amount calculated is (1 - LegCashSettlRecoveryFactor(41358)) x floating rate payer calculation amount. The currency is derived from the floating rate payer calculation amount.
Indicates whether fixed settlement is applicable or not applicable in a recovery lock.
Indicates whether accrued interest is included or not in the value provided in LegCashSettlAmount(41357).
For cash settlement this specifies whether quotations should be obtained inclusive or not of accrued interest.
For physical settlement this specifies whether the buyer should deliver the obligation with an outstanding principal balance that includes or excludes accrued interest.
ISDA 2003 Term: Include/Exclude Accrued Interest.
The ISDA defined methodology for determining the final price of the reference obligation for purposes of cash settlement.
ISDA 2003 Term: Valuation Method.
A named string value referenced by UnderlyingSettlTermXIDRef(41315).
The number of averaging observations in the repeating group.
Cross reference to the ordinal observation as specified either in the LegComplexEventScheduleGrp or LegComplexEventPeriodDateGrp components.
The weight factor to be applied to the observation.
The number of credit events specified in the repeating group.
Specifies the type of credit event.
See http://www.fixtradingcommunity.org/codelists#Credit_Event_Types for code list of applicable event types.
The credit event value appropriate to LegComplexEventCreditEventType(41367).
See http://www.fixtradingcommunity.org/codelists#Credit_Event_Types for applicable event type values.
Specifies the applicable currency when LegComplexEventCreditEventCurrency(41368) is an amount. Uses ISO 4217 currency codes.
Time unit multiplier for complex credit events.
Time unit associated with complex credit events.
Specifies the day type for the complex credit events.
Identifies the source of rate information used for credit events.
See http://www.fixtradingcommunity.org/codelists#Credit_Event_Rate_Source for code list of applicable sources.
Number of qualifiers in the repeating group.
Specifies a complex event qualifier. Used to further qualify LegComplexEventCreditEventType(41367).
Number of entries in the date-time repeating group.
Averaging date for an Asian option.
Trigger date for a Barrier or Knock option.
Averaging time for an Asian option.
Number of periods in the repeating group.
Specifies the period type.
The business center for adjusting dates and times in the schedule or date-time group.
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Number of rate sources in the repeating group.
Identifies the source of rate information.
For FX, the reference source to be used for the FX spot rate.
Indicates whether the rate source specified is a primary or secondary source.
Identifies the reference page from the rate source.
For FX, the reference page to the spot rate is to be used for the reference FX spot rate.
When LegComplexEventRateSource(41383) = 3 (ISDA Settlement Rate Option) this contains the value from the scheme that reflects the terms of the Annex A to the ISDA 1998 FX and Currency Option Definitions. See: http://www.fpml.org/coding-scheme/settlement-rate-option.
Identifies the reference page heading from the rate source.
Number of business centers in the repeating group.
The business center calendar used to adjust the event date, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
The unadjusted complex event date.
For example the second expiration date for a calendar spread option strategy.
Specifies the anchor date when the complex event date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative date offset.
Time unit associated with the relative date offset.
Specifies the day type of the relative date offset.
The business day convention used to adjust the event date. Used only to override the business day convention specified in the LegDateAdjustment component within the InstrumentLeg component.
The adjusted complex event date.
The local market fixing time.
The business center for determining the actual fixing times.
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Number of event sources in the repeating group.
A newspaper or electronic news service that may publish relevant information used in the determination of whether or not a credit event has occurred.
Number of complex events in the repeating group.
Identifies the type of complex event.
Trade side of payout payer.
Trade side of payout receiver.
Reference to the underlier whose payments are being passed through.
Cash amount indicating the pay out associated with an event. For binary options this is a fixed amount.
Percentage of observed price for calculating the payout associated with the event.
Specifies when the payout is to occur.
Specifies the currency of the payout amount. Uses ISO 4217 currency codes.
Specifies the price at which the complex event takes effect. Impact of the event price is determined by the LegComplexEventType(2219).
Specifies the price percentage at which the complex event takes effect. Impact of the event price is determined by the LegComplexEventType(2219).
Specifies the boundary condition to be used for the event price relative to the complex event price at the point the complex event outcome takes effect as determined by the LegComplexEventPriceTimeType(2231).
Used in combination with LegComplexEventPriceBoundaryMethod(2229) to specify the percentage of the strike price in relation to the underlying price. The percentage is generally 100 or greater for puts and 100 or less for calls.
Specifies when the complex event outcome takes effect. The outcome of a complex event is a payout or barrier action as specified by the LegComplexEventType(2219).
Specifies the condition between complex events when more than one event is specified.
Multiple barrier events would use an "or" condition since only one can be effective at a given time. A set of digital range events would use an "and" condition since both conditions must be in effect for a payout to result.
Specifies the first or only reference currency of the trade. Uses ISO 4217 currency codes.
Applicable for complex FX option strategies.
Specifies the second reference currency of the trade. Uses ISO 4217 currency codes.
Applicable for complex FX option strategies.
For foreign exchange Quanto option feature.
Specifies the fixed FX rate alternative for FX Quantro options.
Specifies the method according to which an amount or a date is determined.
See http://www.fpml.org/coding-scheme/determination-method for values.
Used to identify the calculation agent.
Upper strike price for Asian option feature. Strike percentage for a Strike Spread.
Strike factor for Asian option feature. Upper strike percentage for a Strike Spread.
Upper string number of options for a Strike Spread.
Reference to credit event table elsewhere in the message.
The notifying party is the party that notifies the other party when a credit event has occurred by means of a credit event notice. If more than one party is referenced as being the notifying party then either party may notify the other of a credit event occurring.
Specifies the local business center for which the credit event is to be determined. The inclusion of this business center implies that Greenwich Mean Time in Section 3.3 of the 2003 ISDA Credit Derivatives Definitions is replaced by the local time of the specified business center.
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
When this element is specified and set to 'Y', indicates that ISDA defined Standard Public Sources are applicable.
The minimum number of the specified public information sources that must publish information that reasonably confirms that a credit event has occurred. The market convention is two.
ISDA 2003 Term: Specified Number.
Identifier of this complex event for cross referencing elsewhere in the message.
Reference to a complex event elsewhere in the message.
Number of complex event dates in the repeating group.
The start date of the date range on which a complex event is effective. The start date will be set equal to the end date for single day events such as Bermuda options.
The start date must always be less than or equal to end date.
The end date of the date range on which a complex event is effective. The start date will be set equal to the end date for single day events such as Bermuda options.
The end date must always be greater than or equal to start date.
Number of complex event times in the repeating group.
The start time of the time range on which a complex event date is effective.
The start time must always be less than or equal to the end time.
The end time of the time range on which a complex event date is effective.
The end time must always be greater than or equal to the start time.
Number of schedules in the repeating group.
The start date of the schedule.
The end date of the schedule.
Time unit multiplier for the schedule date frequency.
Time unit associated with the schedule date frequency.
The convention for determining the sequence of dates. It is used in conjunction with a specified frequency. Used only to override the roll convention defined in the LegDateAdjustment component in InstrumentLeg.
Number of delivery schedules in the repeating group.
Specifies the type of delivery schedule.
Identifier for this instance of delivery schedule for cross referencing elsewhere in the message.
Physical delivery quantity.
Specifies the delivery quantity unit of measure (UOM).
The frequency of notional delivery.
Specifies the negative tolerance value. The value may be an absolute quantity or a percentage, as specified in LegDeliveryScheduleToleranceType(41417). Percentage value is to be expressed relative to "1.0" representing 100% (e.g. a value of "0.0575" represents 5.75%).
Specifies the positive tolerance value. The value may be an absolute quantity or a percentage, as specified in LegDeliveryScheduleToleranceType(41417). Value may exceed agreed upon value. Percentage value is to be expressed relative to "1.0" representing 100% (e.g. a value of "0.0575" represents 5.75%).
Specifies the tolerance value's unit of measure (UOM).
Specifies the tolerance value type.
Specifies the country where delivery takes place. Uses ISO 3166 2-character country code.
Delivery timezone specified as "prevailing" rather than "standard" or "daylight".
See http://www.fixtradingcommunity.org/codelists#Prevailing_Timezones for code list of applicable prevailing timezones.
Specifies the delivery flow type.
Indicates whether holidays are included in the settlement periods. Required for electricity contracts.
Number of delivery schedules in the repeating group.
Specifies the day or group of days for delivery.
The sum of the total hours specified in the LegDeliveryScheduleSettlTimeGrp component.
Number of hour ranges in the repeating group.
The scheduled start time for the delivery of the commodity where delivery occurs over specified times. The format of the time value is specified in LegDeliveryScheduleSettlTimeType(41428).
The scheduled end time for the delivery of the commodity where delivery occurs over specified times. The format of the time value is specified in LegDeliveryScheduleSettlTimeType(41428).
Specifies the format of the delivery start and end time values.
Specifies the type of delivery stream.
The name of the oil delivery pipeline.
The point at which the commodity will enter the delivery mechanism or pipeline.
The point at which the commodity product will be withdrawn prior to delivery.
The point at which the commodity product will be delivered and received. Value specified should follow market convention appropriate for the commodity product.
For bullion, see http://www.fpml.org/coding-scheme/bullion-delivery-location for values.
Specifies under what conditions the buyer and seller should be excused of their delivery obligations.
Specifies the electricity delivery contingency. See
http://www.fpml.org/coding-scheme/electricity-transmission-contingency for values.
The trade side value of the party responsible for electricity delivery contingency.
When this element is specified and set to 'Y', delivery of the coal product is to be at its source.
Specifies how the parties to the trade apportion responsibility for the delivery of the commodity product.
See http://www.fixtradingcommunity.org/codelists#Risk_Apportionment for the details of the external code list.
Specifies the source or legal framework for the risk apportionment.
See http://www.fixtradingcommunity.org/codelists#Risk_Apportionment_Source for the details of the external code list.
Specifies the title transfer location.
Specifies the condition of title transfer.
A party, not necessarily of the trade, who is the Importer of Record for the purposes of paying customs duties and applicable taxes or costs related to importation.
Specifies the negative tolerance value. The value may be an absolute quantity or a percentage, as specified in LegDeliveryStreamToleranceType(41445). Percentage value is to be expressed relative to "1.0" representing 100% (e.g. a value of "0.0575" represents 5.75%).
Specifies the positive tolerance value. The value may be an absolute quantity or a percentage, as specified in LegDeliveryStreamToleranceType(41445). Value may exceed agreed upon value. Percentage value is to be expressed relative to "1.0" representing 100% (e.g. a value of "0.0575" represents 5.75%).
Specifies the tolerance value's unit of measure (UOM).
Specifies the tolerance value type.
Indicates whether the tolerance is at the seller's or buyer's option.
The positive percent tolerance which applies to the total quantity delivered over all shipment periods.
Percentage value is to be expressed relative to "1.0" representing 100% (e.g. a value of "0.0575" represents 5.75%.).
The negative percent tolerance which applies to the total quantity delivered over all shipment periods.
Percentage value is to be expressed relative to "1.0" representing 100% (e.g. a value of "0.0575" represents 5.75%.).
If the notional quantity is specified in a unit that does not match the unit in which the commodity reference price is quoted, the scaling or conversion factor used to convert the commodity reference price unit into the notional quantity unit should be stated here. If there is no conversion, this field is not intended to be used.
The transportation equipment with which the commodity product will be delivered and received.
Examples of transportation equipment or mode are barge, truck, railcar, etc.
A reference to the party able to choose whether the gas is delivered for a particular period e.g. a swing or interruptible contract.
Number of asset attribute entries in the group.
Specifies the name of the attribute.
See http://www.fixtradingcommunity.org/codelists#Asset_Attribute_Types for code list of applicable asset attribute types.
Specifies the value of the attribute.
Limit or lower acceptable value of the attribute.
Number of commodity sources in the repeating group.
The delivery cycles during which the oil product will be transported in the pipeline.
Byte length of encoded (non-ASCII characters) EncodedLegDeliveryStreamCycleDesc(41459) field.
Encoded (non-ASCII characters) representation of the LegDeliveryStreamCycleDesc(41457) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the LegLeg DeliveryStream(41457) field.
Number of commodity sources in the repeating group.
The SCoTA coal cargo origin, mining region, mine(s), mining complex(es), loadout(s) or river dock(s) or other point(s) of origin that seller and buyer agree are acceptable origins for the coal product. For international coal transactions, this is the origin of the coal product.
See http://www.fpml.org/coding-scheme/commodity-coal-product-source for values.
Number of parties in the repeating group.
Used to identify party id related to instrument.
Used to identify source of instrument party id.
Used to identify the role of instrument party id.
Number of parties sub-IDs in the repeating group.
PartySubID value within an instrument party repeating group.
Type of LegInstrumentPartySubID (2259) value.
The consequences of market disruption events.
Specifies the location of the fallback provision documentation.
Specifies the maximum number of market disruption days (commodity or bullion business days) in a contract or confirmation. If none are specified, the maximum number of market disruption days is five (5).
ISDA 2005 Commodity Definition.
Used when a price materiality percentage applies to the price source disruption event and this event has been specified.
Applicable to 2005 Commodity Definitions only.
Specifies the minimum futures contracts level that dictates whether or not a 'De Minimis Trading' event has occurred.
Applicable to 1993 Commodity Definitions only.
Number of disruption events in the repeating group.
Specifies the market disruption event.
For commodities see http://www.fpml.org/coding-scheme/commodity-market-disruption for values.
For foreign exchange, see http://www.fixtradingcommunity.org/codelists#Market_Disruption_Event for code list of applicable event types.
Number of fallbacks in the repeating group.
Specifies the type of disruption fallback.
See http://www.fpml.org/coding-scheme/commodity-market-disruption-fallback for values.
Number of fallback reference securities in the repeating group.
The type of reference price underlier.
Specifies the identifier value of the security.
Specifies the class or source scheme of the security identifier.
Specifies the description of the underlying security.
Byte length of encoded (non-ASCII characters) EncodedLegMarketDisruptionFallbackUnderlierSecurityDesc (41477) field.
Encoded (non-ASCII characters) representation of the LegMarketDisruptionFallbackUnderlierSecurityDesc(41475) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the LegMarketDisruptionFallbackUnderlierSecurityDesc(41475) field.
If there are multiple underlying assets, this specifies the number of units (index or securities) that constitute the underlier of the swap. In the case of a basket swap, this is used to reference both the number of basket units, and the number of each asset components of the basket when these are expressed in absolute terms.
Specifies the currency if the underlier is a basket. Uses ISO 4217 currency codes.
Specifies the basket divisor amount. This value is normally used to adjust the constituent weight for pricing or to adjust for dividends, or other corporate actions.
A description of the option exercise.
Byte length of encoded (non-ASCII characters) EncodedLegExerciseDesc(41483) field.
Encoded (non-ASCII characters) representation of the LegExerciseDesc(41481) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the LegExerciseDesc(41481) field.
Indicates (when 'Y') that exercise is automatic when the strike price is crossed or the underlying trade is in the money.
The threshold rate for triggering automatic exercise.
Indicates whether follow-up confirmation of exercise (written or electronic) is required following telephonic notice by the buyer to the seller or seller's agent.
Identifies the business center used for adjusting the time for manual exercise notice.
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Indicates whether the notional amount of the underlying swap, not previously exercised under the option, will be automatically exercised at the expiration time on the expiration date if at such time the buyer is in-the-money, provided that the difference between the settlement rate and the fixed rate under the relevant underlying swap is not less than one tenth of a percentage point (0.10% or 0.001).
Indicates whether the Seller may request the Buyer to confirm its intent to exercise if not done on or before the expiration time on the expiration date. If true ("Y") specific rules will apply in relation to the settlement mode.
Indicates in physical settlement of bond and convertible bond options whether the party required to deliver the bonds will divide those to be delivered as notifying party desires to facilitate delivery obligations.
Number of business centers in the repeating group.
The business center calendar used to adjust the option exercise dates, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
The business day convention used to adjust the option exercise dates. Used only to override the business day convention specified in the LegDateAdjustment component within the InstrumentLeg component.
Specifies the day type of the relative earliest exercise date offset.
Time unit multiplier for the relative earliest exercise date offset.
Time unit associated with the relative earliest exercise date offset.
Time unit multiplier for the frequency of exercise dates.
Time unit associated with the frequency of exercise dates.
The unadjusted start date for calculating periodic exercise dates.
Specifies the anchor date when the option exercise start date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative exercise start date offset.
Time unit associated with the relative exercise start date offset.
Specifies the day type of the relative option exercise start date offset.
The adjusted start date for calculating periodic exercise dates.
The number of periods in the referenced date schedule that are between each date in the relative date schedule. Thus a skip of 2 would mean that dates are relative to every second date in the referenced schedule. If present this should have a value greater than 1.
The last date (adjusted) for establishing the option exercise terms.
The unadjusted first exercise date.
The unadjusted last exercise date.
The earliest time at which notice of exercise can be given by the buyer to the seller (or seller's agent) (i) on the expriation date, in the case of a European style option, (ii) on each Bermuda option exercise date and the expiration date, in the case of a Bermuda style option, (iii) the commencement date to, and including, the expiration date, in the case of an American option.
The latest exercise time. See also LegOptionExerciseEarliestTime(41509).
The business center used to determine the locale for option exercise time, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Number of dates in the repeating group.
The adjusted or unadjusted option exercise fixed date.
Specifies the type of option exercise date. When specified it applies not only to the current date but to all subsequent dates in the group until overridden with a new type.
Number of business centers in the repeating group.
The business center calendar used to adjust the option exercise expiration dates, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
The business day convention used to adjust the option exercise expiration dates. Used only to override the business day convention specified in the LegDateAdjustment component within the InstrumentLeg component.
Specifies the anchor date when the option exercise expiration date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative exercise expiration date offset.
Time unit associated with the relative exercise expiration date offset.
Time unit multiplier for the frequency of exercise expiration dates.
Time unit associated with the frequency of exercise expiration dates.
The convention for determining the sequence of exercise expiration dates. It is used in conjunction with a specified frequency. Used only to override the roll convention defined in the LegDateAdjustment component in InstrumentLeg.
Specifies the day type of the relative option exercise expiration date offset.
The option exercise expiration time.
The business center used to determine the locale for option exercise expiration time, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Number of fixed exercise expiration dates in the repeating group.
The adjusted or unadjusted option exercise expiration fixed date.
Specifies the type of option exercise expiration date. When specified it applies not only to the current date but to all subsequent dates in the group until overridden with a new type.
Number of fixing days in the repeating group.
The day of the week on which fixing takes place.
The occurrence of the day of week on which fixing takes place.
For example, a fixing of the 3rd Friday would be DayOfWk=5 DayNum=3. If omitted every day of the week is a fixing day.
Identifier of this LegPaymentSchedule for cross referencing elsewhere in the message.
Reference to payment schedule elsewhere in the message.
The currency of the schedule rate. Uses ISO 4217 currency codes.
The schedule rate unit of measure (UOM).
The number multipled by the derived floating rate of the leg's payment schedule in order to arrive at the payment rate. If omitted, the schedule rate conversion factor is 1.
Identifies whether the rate spread is an absolute value to be added to the index rate or a percentage of the index rate.
The schedule settlement period price.
The currency of the schedule settlement period price. Uses ISO 4217 currency codes.
The settlement period price unit of measure (UOM).
The schedule step unit of measure (UOM).
The distribution of fixing days.
The number of days over which fixing should take place.
Time unit multiplier for the fixing lag duration.
Time unit associated with the fixing lag duration.
Time unit multiplier for the relative first observation date offset.
If the first observation offset is specified, the observation period will start the specified interval prior to each calculation period - i.e. if the first observation offset is 4 months and the lag duration is 3 months, observations will be taken in months 4, 3 and 2 (but not 1) prior to each calculation period. If no first observation offset is specified, the observation period will end immediately preceding each calculation period.
Time unit associated with the relative first observation date offset.
When this element is specified and set to 'Y', the Flat Rate is the New Worldwide Tanker Nominal Freight Scale for the Freight Index Route taken at the trade date of the transaction "Fixed". If 'N' it is taken on each pricing date "Floating".
Specifies the actual monetary value of the flat rate when LegPaymentStreamFlatRateIndicator(41549) = 'Y'.
Specifies the currency of the actual flat rate. Uses ISO 4217 currency codes.
Specifies the limit on the total payment amount.
Specifies the currency of total payment amount limit. Uses ISO 4217 currency codes.
Specifies the limit on the payment amount that goes out in any particular calculation period.
Specifies the currency of the period payment amount limit. Uses ISO 4217 currency codes.
The fixed payment amount unit of measure (UOM).
Specifies the total fixed payment amount.
The number of Worldscale points for purposes of the calculation of a fixed amount for a wet voyage charter commodity swap.
The price per relevant unit for purposes of the calculation of a fixed amount for a dry voyage charter or time charter commodity swap.
Specifies the currency of LegPaymentStreamContractPrice(41559). Uses ISO 4217 currency codes.
Number of business centers in the repeating group.
The business center calendar used to adjust the pricing dates, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Secondary time unit associated with the payment stream's floating rate index curve.
Secondary time unit multiplier for the payment stream's floating rate index curve.
May be used for a Forward Rate Agreement (FRA) with an average rate between two curve points.
Specifies the location of the floating rate index.
This is the weather Cooling Degree Days (CDD), Heating Degree Days (HDD) or HDD index level specified as the number of (amount of) weather index units specified by the parties in the related confirmation.
The unit of measure (UOM) of the rate index level.
Specifies how weather index units are to be calculated.
This is the weather Cooling Degree Days (CDD), Heating Degree Days (HDD) or HDD reference level specified as the number of (amount of) weather index units specified by the parties in the related confirmation.
The unit of measure (UOM) of the rate reference level.
When set to 'Y', it indicates that the weather reference level equals zero.
Specifies the currency of the floating rate spread. Uses ISO 4217 currency codes.
Specifies the unit of measure (UOM) of the floating rate spread.
The number to be multiplied by the derived floating rate of the leg's payment stream in order to arrive at the payment rate. If omitted, the floating rate conversion factor is 1.
Identifies whether the rate spread is an absolute value to be added to the index rate or a percentage of the index rate.
The floating rate determined at the most recent reset. The rate is expressed in decimal form, e.g. 5% is represented as 0.05.
The floating rate determined at the final reset. The rate is expressed in decimal form, e.g. 5% is represented as 0.05.
Time unit multiplier for the calculation lag duration.
Time unit associated with the calculation lag duration.
Time unit multiplier for the relative first observation date offset.
If the first observation offset is specified, the observation period will start the specified interval prior to each calculation period - i.e. if the first observation offset is 4 months and the lag duration is 3 months, observations will be taken in months 4, 3 and 2 (but not 1) prior to each calculation period. If no first observation offset is specified, the observation period will end immediately preceding each calculation period.
Time unit associated with the relative first observation date offset.
Specifies the commodity pricing day type.
The distribution of pricing days.
The number of days over which pricing should take place.
Specifies the business calendar to use for pricing.
See http://www.fpml.org/coding-scheme/commodity-business-calendar for values.
The business day convention used to adjust the payment stream's pricing dates. Used only to override the business day convention specified in the LegDateAdjustment component within the InstrumentLeg component.
Number of payment dates in the repeating group.
The adjusted or unadjusted fixed stream payment date.
Specifies the type of payment date. When specified it applies not only to the current date but to all subsequent dates in the group until overridden with a new type.
When set to 'Y', it indicates that payment dates are specified in the relevant master agreement.
Number of pricing dates in the repeating group.
The adjusted or unadusted fixed stream pricing date.
Specifies the type of pricing date. When specified it applies not only to the current date but to all subsequent dates in the group until overridden with a new type.
Number of pricing days in the repeating group.
The day of the week on which pricing takes place..
The occurrence of the day of week on which pricing takes place.
For example a pricing day of the 3rd Friday would be DayOfWk=5 DayNum=3.
Number of entries in the repeating group.
A named string value referenced by UnderlyingSettlTermXIDRef(41315).
Specifies the currency of physical settlement. Uses ISO 4217 currency codes.
The number of business days used in the determination of physical settlement. Its precise meaning is dependant on the context in which this is used.
ISDA 2003 Term: Business Day.
A maximum number of business days. Its precise meaning is dependant on the context in which this element is used. Intended to be used to limit a particular ISDA fallback provision.
Number of entries in the repeating group.
Specifies the type of delivery obligation applicable for physical settlement.
See http://www.fixptradingcommunity.org/codelists#Deliverable_Obligation_Types for code list for applicable deliverable obligation types.
Physical settlement delivery obligation value appropriate to LegPhysicalSettlDeliverableObligationType(41605).
See http://www.fixtradingcommunity.org/codelists#Deliverable_Obligation_Types for code list for applicable deliverable obligation types.
Number of business centers in the repeating group.
The business center calendar used to adjust the pricing or fixing date, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
The unadjusted pricing or fixing date.
The business day convention used to adjust the pricing or fixing date. Used only to override the business day convention specified in the LegDateAdjustment component within the InstrumentLeg component.
The adjusted pricing or fixing date.
The local market pricing or fixing time.
Specifies the business center for determining the pricing or fixing time. See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Number of event sources in the repeating group.
A newspaper or electronic news service that may publish relevant information used in the determination of whether or not a credit event has occurred.
Number of protection terms in the repeating group.
A named string value referenced from UnderlyingLegProtectionTermXIDRef(41314).
The notional amount of protection coverage.
ISDA 2003 Term: Floating Rate Payer Calculation Amount.
The currency of LegProtectionTermNotional(41618). Uses ISO 4217 currency codes.
The notifying party is the party that notifies the other party when a credit event has occurred by means of a credit event notice. If more than one party is referenced as being the notifying party then either party may notify the other of a credit event occurring. LegProtectionTermSellerNotifies(41620)=Y indicates that the seller notifies.
ISDA 2003 Term: Notifying Party.
The notifying party is the party that notifies the other party when a credit event has occurred by means of a credit event notice. If more than one party is referenced as being the notifying party then either party may notify the other of a credit event occurring. LegProtectionTermBuyerNotifies(41621)=Y indicates that the buyer notifies.
ISDA 2003 Term: Notifying Party.
When used, the business center indicates the local time of the business center that replaces the Greenwich Mean Time in Section 3.3 of the 2003 ISDA Credit Derivatives Definitions.
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Indicates whether ISDA defined Standard Public Sources are applicable (LegProtectionTermStandardSources(41623)=Y) or not.
The minimum number of the specified public information sources that must publish information that reasonably confirms that a credit event has occurred. The market convention is two.
ISDA 2003 Term: Specified Number.
Number of protection term events in the repeating group.
Specifies the type of credit event applicable to the protection terms.
See http://www.fixtradingcommunity.org/codelists#Protection_Term_Event_Types for code list of applicable event types.
Specifies the protection term event value appropriate to LegProtectionTermEventType(41626). See http:///www.fixtradingcommunity.org/codelists#Protection_Term_Event_Types for applicable event type values.
Applicable currency if the event value is an amount. Uses ISO 4217 currency codes.
Time unit multiplier for protection term events.
Time unit associated with protection term events.
Specifies the day type for protection term events.
Rate source for events that specify a rate source, e.g. floating rate interest shortfall.
Number of qualifiers in the repeating group.
Specifies the protection term event qualifier. Used to further qualify LegProtectionTermEventType(41626).
Number of obligations in the repeating group.
Specifies the type of obligation applicable to the protection terms.
See http://www.fixtradingcommunity.org/codelists#Protection_Term_Obligation_Types for code list of applicable obligation types.
The value associated with the protection term obligation specified in LegProtectionTermObligationType(41636). See http://www.fixtradingcommunity.org/codelists#Protection_Term_Obligation_Types for applicable obligation type values.
Number of calculation period dates in the repeating group.
The adjusted or unadjusted fixed calculation period date.
Specifies the type of fixed calculation period date. When specified it applies not only to the current date but to all subsequent dates in the group until overridden with a new type.
Identifier of this calculation period for cross referencing elsewhere in the message.
Cross reference to another calculation period for duplicating its properties.
When specified and set to 'Y', it indicates that the first calculation period should run from the effective date to the end of the calendar period in which the effective date falls (e.g. Jan 15 - Jan 31 if the calculation periods are one month long and effective date is Jan 15.). If 'N' or not specified, it indicates that the first calculation period should run from the effective date for one whole period (e.g. Jan 15 to Feb 14 if the calculation periods are one month long and the effective date is Jan 15.).
Time unit multiplier for the length of time after the publication of the data when corrections can be made.
Time unit associated with the length of time after the publication of the data when corrections can be made.
Number of business centers in the repeating group.
The business center calendar used to adjust the commodity delivery date, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Specifies the general base type of the commodity traded. Where possible, this should follow the naming convention used in the 2005 ISDA Commodity Definitions.
Examples of general commodity base types include: Metal, Bullion, Oil, Natural Gas, Coal, Electricity, Inter-Energy, Grains, Oils Seeds, Dairy, Livestock, Forestry, Softs, Weather, Emissions.
Specifies the type of commodity product.
For coal see http://www.fpml.org/coding-scheme/commodity-coal-product-type for values.
For metals see http://www.fpml.org/coding-scheme/commodity-metal-product-type for values.
For bullion see http://www.fixtradingcommunity.org/codelists#Bullion_Types for the external code list of bullion types.
Specifies the market identifier for the commodity.
Identifies the class or source of the LegStreamCommoditySecurityIDSource(41650) value.
Description of the commodity asset.
Byte length of encoded (non-ASCII characters) EncodedLegStreamCommodityDesc(41654) field.
Encoded (non-ASCII characters) representation of the LegStreamCommodityDesc(41652) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the LegStreamCommodityDesc(41652) field.
The unit of measure (UOM) of the commodity asset.
Identifies the currency of the commodity asset. Uses ISO 4217 currency codes.
Identifies the exchange where the commodity is traded.
Identifies the source of rate information used for commodities.
See http://www.fixtradingcommunity.org/codelists#Commodity_Rate_Source for code list of applicable sources.
Identifies the reference "page" from the rate source.
Identifies the page heading from the rate source.
Specifies the commodity data or information provider.
See http://www.fpml.org/coding-scheme/commodity-information-provider for values.
Specifies how the pricing or rate setting of the trade is to be determined or based upon.
See http://www.fixtradingcommunity.org/codelists#Commodity_Rate_Pricing_Type for code list of applicable commodity pricing types.
Time unit multiplier for the nearby settlement day.
When the commodity transaction references a futures contract, the delivery or settlement dates are a nearby month or week. For example, for eighth nearby month use Period=8 and Unit=Mo.
Time unit associated with the nearby settlement day.
The unadjusted commodity delivery date.
The business day convention used to adjust the commodity delivery date. Used only to override the business day convention specified in the LegDateAdjustment component within the InstrumentLeg component.
The adjusted commodity delivery date.
Specifies a fixed single month for commodity delivery.
Use "1" for January, "2" for February, etc.
Time unit multiplier for the commodity delivery date roll.
For a commodity transaction that references a listed future via the delivery dates, this is the day offset on which the specified future will roll to the next nearby month when the referenced future expires.
Time unit associated with the commodity delivery date roll.
Specifies the commodity delivery roll day type.
Identifier of this stream commodity for cross referencing elsewhere in the message.
Reference to a stream commodity elsewhere in the message.
Number of alternate security identifers.
Alternate security identifier value for the commodity.
Identifies the class or source of the alternate commodity security identifier.
Number of data sources in the repeating group. The order of entry determines priority – first is the main source, second is fallback, third is second fallback.
Specifies the data source identifier.
Specifies the type of data source identifier.
Number of days in the repeating group.
Specifies the day or group of days for delivery.
Sum of the hours specified in LegStreamCommoditySettlTimeGrp.
Number of hour ranges in the repeating group.
The start time for commodity settlement where delivery occurs over time. The time format is specified by the settlement time type.
The end time for commodity settlement where delivery occurs over time. The time format is specified by the settlement time type.
Specifies the format of the commodity settlement start and end times.
Number of commodity settlement periods in the repeating group.
Specifies the country where delivery takes place. Uses ISO 3166 2-character country code.
Commodity delivery timezone specified as "prevailing" rather than "standard" or "daylight".
See http://www.fixtradingcommunity.org/codelists#Prevailing_Timezones for code list of applicable prevailing timezones.
Specifies the commodity delivery flow type.
Delivery quantity associated with this settlement period.
Specifies the unit of measure (UOM) of the delivery quantity associated with this settlement period.
Time unit multiplier for the settlement period frequency.
Time unit associated with the settlement period frequency.
The settlement period price.
The settlement period price unit of measure (UOM).
The currency of the settlement period price. Uses ISO 4217 currency codes.
Indicates whether holidays are included in the settlement periods. Required for electricity contracts.
Identifier of this settlement period for cross referencing elsewhere in the message.
Cross reference to another settlement period for duplicating its properties.
Identifier of this LegStream for cross referencing elsewhere in the message.
Cross reference to another LegStream notional for duplicating its properties.
Time unit multiplier for the swap stream's notional frequency.
Time unit associated with the swap stream's notional frequency.
The commodity's notional or quantity delivery frequency.
Specifies the delivery quantity unit of measure (UOM).
Specifies the total notional or delivery quantity over the term of the contract.
Specifies the unit of measure (UOM) for the total notional or delivery quantity over the term of the contract.
Number of asset attribute entries in the group.
Specifies the name of the attribute.
See http://www.fixtradingcommunity.org/codelists#Asset_Attribute_Types for code list of applicable asset attribute types.
Specifies the value of the attribute.
Limit or lower acceptable value of the attribute.
The number of averaging observations in the repeating group.
Cross reference to the ordinal observation as specified either in the UnderlyingComplexEventScheduleGrp or UnderlyingComplexEventPeriodDateGrp components.
The weight factor to be applied to the observation.
The number of credit events specified in the repeating group.
Specifies the type of credit event.
See http://www.fixtradingcommunity.org/codelists#Credit_Event_Types for code list of applicable event types.
The credit event value appropriate to UnderlyingComplexEventCreditEventType(41717).
See http://www.fixtradingcommunity.org/codelists#Credit_Event_Types for applicable event type values.
Specifies the applicable currency when UnderlyingComplexEventCreditEventValue(41718) is an amount. Uses ISO 4217 currency codes.
Time unit multiplier for complex credit events.
Time unit associated with complex credit events.
Specifies the day type for the complex credit events.
Identifies the source of rate information used for credit events.
See http://www.fixtradingcommunity.org/codelists#Credit_Event_Rate_Source for code list of applicable sources.
Number of qualifiers in the repeating group.
Specifies a complex event qualifier. Used to further qualify UnderlyingComplexEventCreditEventType(41717).
Number of entries in the date-time repeating group.
The averaging date for an Asian option.
The trigger date for a Barrier or Knock option.
The averaging time for an Asian option.
Number of periods in the repeating group.
Specifies the period type.
The business center for adjusting dates and times in the schedule or date-time group.
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Number of rate sources in the repeating group.
Identifies the source of rate information.
For FX, the reference source to be used for the FX spot rate.
Indicates whether the rate source specified is a primary or secondary source.
Identifies the reference page from the rate source.
For FX, the reference page to the spot rate is to be used for the reference FX spot rate.
When UnderlyingComplexEventRateSource(41733) = 3 (ISDA Settlement Rate Option) this contains the value from the scheme that reflects the terms of the Annex A to the ISDA 1998 FX and Currency Option Definitions. See: http://www.fpml.org/coding-scheme/settlement-rate-option.
Identifies the reference page heading from the rate source.
Number of business centers in the repeating group.
The business center calendar is used to adjust the event date, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
The unadjusted complex event date.
For example the second expiration date for a calendar spread option strategy.
Specifies the anchor date when the complex event date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative date offset.
Time unit associated with the relative date offset.
Specifies the day type of the relative date offset.
The business day convention used to adjust the event date. Used only to override the business day convention specified in the UnderlyingDateAdjustment component within the UnderlyingInstrument component.
The adjusted complex event date.
The local market fixing time.
The business center for determining the actual fixing times.
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Number of event sources in the repeating group.
A newspaper or electronic news service that may publish relevant information used in the determination of whether or not a credit event has occurred.
Trade side of payout payer.
Trade side of payout receiver.
Reference to the underlier whose payments are being passed through.
Percentage of observed price for calculating the payout associated with the event.
The time when the payout is to occur.
Specifies the currency of the payout amount. Uses ISO 4217 currency codes.
Specifies the price percentage at which the complex event takes effect. Impact of the event price is determined by the UnderlyingComplexEventType(2046).
Specifies the first or only reference currency of the trade. Uses ISO 4217 currency codes.
Applicable for complex FX option strategies.
Specifies the second reference currency of the trade. Uses ISO 4217 currency codes.
Applicable for complex FX option strategies.
Specifies the currency pairing for the quote.
Specifies the fixed FX rate alternative for FX Quantro options.
Specifies the method according to which an amount or a date is determined.
See http://www.fpml.org/coding-scheme/determination-method for values.
Used to identify the calculation agent.
Upper strike price for Asian option feature. Strike percentage for a Strike Spread.
Strike factor for Asian option feature. Upper strike percentage for a Strike Spread.
Upper string number of options for a Strike Spread.
Reference to credit event table elsewhere in the message.
The notifying party is the party that notifies the other party when a credit event has occurred by means of a credit event notice. If more than one party is referenced as being the notifying party then either party may notify the other of a credit event occurring.
Specifies the local business center for which the credit event is to be determined. The inclusion of this business center implies that Greenwich Mean Time in Section 3.3 of the 2003 ISDA Credit Derivatives Definitions is replaced by the local time of the specified business center.
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
When this element is specified and set to 'Y', indicates that ISDA defined Standard Public Sources are applicable.
The minimum number of the specified public information sources that must publish information that reasonably confirms that a credit event has occurred. The market convention is two.
ISDA 2003 Term: Specified Number.
Identifier of this complex event for cross referencing elsewhere in the message.
Reference to a complex event elsewhere in the message.
Number of schedules in the repeating group.
The start date of the schedule.
The end date of the schedule.
Time unit multiplier for the schedule date frequency.
Time unit associated with the schedule date frequency.
The convention for determining the sequence of dates. It is used in conjunction with a specified frequency. Used only to override the roll convention defined in the UnderlyingDateAdjustment component in UnderlyingInstrument.
Number of delivery schedules in the repeating group.
Specifies the type of delivery schedule.
Identifier for this instance of delivery schedule for cross referencing elsewhere in the message.
Physical delivery quantity.
Specifies the delivery quantity unit of measure (UOM).
The frequency of notional delivery.
Specifies the negative tolerance value. The value may be an absolute quantity or a percentage, as specified in UnderlyingDeliveryScheduleToleranceType(41765). Percentage value is to be expressed relative to "1.0" representing 100% (e.g. a value of "0.0575" represents 5.75%).
Specifies the positive tolerance value. The value may be an absolute quantity or a percentage, as specified in UnderlyingDeliveryScheduleToleranceType(41765). Value may exceed agreed upon value. Percentage value is to be expressed relative to "1.0" representing 100% (e.g. a value of "0.0575" represents 5.75%).
Specifies the tolerance value's unit of measure (UOM).
Specifies the tolerance value type.
Specifies the country where delivery takes place. Uses ISO 3166 2-character country code.
Delivery timezone specified as "prevailing" rather than "standard" or "daylight".
See http://www.fixtradingcommunity.org/codelists#Prevailing_Timezones for code list of applicable prevailing timezones.
Specifies the delivery flow type.
Indicates whether holidays are included in the settlement periods. Required for electricity contracts.
Number of delivery schedules in the repeating group.
Specifies the day or group of days for delivery.
The sum of the total hours specified in the UnderlyingDeliveryScheduleSettlTimeGrp component.
Number of hour ranges in the repeating group.
The scheduled start time for the delivery of the commodity where delivery occurs over specified times. The format of the time value is specified in UnderlyingDeliveryScheduleSettlTimeType(41776).
The scheduled end time for the delivery of the commodity where delivery occurs over specified times. The format of the time value is specified in UnderlyingDeliveryScheduleSettlTimeType(41776).
Specifies the format of the delivery start and end time values.
Specifies the type of delivery stream.
The name of the oil delivery pipeline.
The point at which the commodity will enter the delivery mechanism or pipeline.
The point at which the commodity product will be withdrawn prior to delivery.
The point at which the commodity product will be delivered and received. Value specified should follow market convention appropriate for the commodity product.
For bullion see http://www.fpml.org/coding-scheme/bullion-delivery-location for values.
Specifies under what conditions the buyer and seller should be excused of their delivery obligations.
Specifies the electricity delivery contingency.
See http://www.fpml.org/coding-scheme/electricity-transmission-contingency for values.
The trade side value of the party responsible for electricity delivery contingency.
When this element is specified and set to 'Y', delivery of the coal product is to be at its source.
Specifies how the parties to the trade apportion responsibility for the delivery of the commodity product.
See http://www.fixtradingcommunity.org/codelists#Risk_Apportionment for the details of the external code list.
Specifies the source or legal framework for the risk apportionment.
See http://www.fixtradingcommunity.org/codelists#Risk_Apportionment_Source for the details of the external code list.
Specifies the title transfer location.
Specifies the title transfer condition.
A party, not necessarily of the trade, who is the Importer of Record for the purposes of paying customs duties and applicable taxes or costs related to importation.
Specifies the negative tolerance value. The value may be an absolute quantity or a percentage, as specified in UnderlyingDeliveryStreamToleranceType(41793). Percentage value is to be expressed relative to "1.0" representing 100% (e.g. a value of "0.0575" represents 5.75%).
Specifies the positive tolerance value. The value may be an absolute quantity or a percentage, as specified in UnderlyingDeliveryStreamToleranceType(41793). Value may exceed agreed upon value. Percentage value is to be expressed relative to "1.0" representing 100% (e.g. a value of "0.0575" represents 5.75%).
Specifies the tolerance value's unit of measure (UOM).
Specifies the tolerance value type.
Indicates whether the tolerance is at the seller's or buyer's option.
The positive percent tolerance which applies to the total quantity delivered over all shipment periods.
Percentage value is to be expressed relative to "1.0" representing 100% (e.g. a value of "0.0575" represents 5.75%.).
The negative percent tolerance which applies to the total quantity delivered over all shipment periods.
Percentage value is to be expressed relative to "1.0" representing 100% (e.g. a value of "0.0575" represents 5.75%.).
If the notional quantity is specified in a unit that does not match the unit in which the commodity reference price is quoted, the scaling or conversion factor used to convert the commodity reference price unit into the notional quantity unit should be stated here. If there is no conversion, this field is not intended to be used.
The transportation equipment with which the commodity product will be delivered and received.
Examples of transportation equipment or mode are barge, truck, railcar, etc.
A reference to the party able to choose whether the gas is delivered for a particular period e.g. a swing or interruptible contract.
Number of asset attribute entries in the group.
Specifies the name of the attribute.
See http://www.fixtradingcommunity.org/codelists#Asset_Attribute_Types for code list of applicable asset attribute types.
Specifies the value of the attribute.
The limit or lower acceptable value of the attribute.
Number of delivery cycles in the repeating group.
The delivery cycles during which the oil product will be transported in the pipeline.
Byte length of encoded (non-ASCII characters) EncodedUnderlyingDeliveryStreamCycleDesc(41807) field.
Encoded (non-ASCII characters) representation of the UnderlyingDeliveryStreamCycleDesc(41805) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the UnderlyingDeliveryStreamCycleDesc(41805) field.
Number of commodity sources in the repeating group.
The SCoTA coal cargo origin, mining region, mine(s), mining complex(es), loadout(s) or river dock(s) or other point(s) of origin that seller and buyer agree are acceptable origins for the coal product. For international coal transactions, this is the origin of the coal product.
See http://www.fpml.org/coding-scheme/commodity-coal-product-source for values.
A description of the option exercise.
Byte length of encoded (non-ASCII characters) EncodedUnderlyingExerciseDesc(41812) field.
Encoded (non-ASCII characters) representation of the UnderlyingExerciseDesc(41810) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the UnderlyingExerciseDesc(41810) field.
Indicates (when 'Y') that exercise is automatic when the strike price is crossed or the underlying trade is in the money.
The threshold rate for triggering automatic exercise.
Indicates whether follow-up confirmation of exercise (written or electronic) is required following telephonic notice by the buyer to the seller or seller's agent.
Identifies the business center used for adjusting the time for manual exercise notice.
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Indicates whether the notional amount of the underlying swap, not previously exercised under the option, will be automatically exercised at the expiration time on the expiration date if at such time the buyer is in-the-money, provided that the difference between the settlement rate and the fixed rate under the relevant underlying swap is not less than one tenth of a percentage point (0.10% or 0.001).
Indicates whether the Seller may request the Buyer to confirm its intent to exercise if not done on or before the expiration time on the Expiration date. If true ("Y") specific rules will apply in relation to the settlement mode.
Indicates in physical settlement of bond and convertible bond options whether the party required to deliver the bonds will divide those to be delivered as notifying party desires to facilitate delivery obligations.
Number of business centers in the repeating group.
The business center calendar used to adjust the option exercise dates, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
The business day convention used to adjust the option exercise dates. Used only to override the business day convention specified in the UnderlyingDateAdjustment component within the UnderlyingInstrument component.
Specifies the day type of the relative earliest exercise date offset.
Time unit multiplier for the relative earliest exercise date offset.
Time unit associated with the relative earliest exercise date offset.
Time unit multiplier for the frequency of exercise dates.
Time unit associated with the frequency of exercise dates.
The unadjusted start date for calculating periodic exercise dates.
Specifies the anchor date when the option exercise start date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative exercise start date offset.
Time unit associated with the relative exercise start date offset.
Specifies the day type of the relative option exercise start date offset.
The adjusted start date for calculating periodic exercise dates.
The number of periods in the referenced date schedule that are between each date in the relative date schedule. Thus a skip of 2 would mean that dates are relative to every second date in the referenced schedule. If present this should have a value greater than 1.
The last date (adjusted) for establishing the option exercise terms.
The unadjusted first exercise date.
The unadjusted last exercise date.
The earliest time at which notice of exercise can be given by the buyer to the seller (or seller's agent) (i) on the expriation date, in the case of a European style option, (ii) on each Bermuda option exercise date and the expiration date, in the case of a Bermuda style option, (iii) the commencement date to, and including, the expiration date, in the case of an American option.
Latest exercise time. See also UnderlyingOptionExerciseEarliestTime(41838).
The business center used to determine the locale for option exercise time, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values
Number of dates in the repeating group.
The adjusted or unadjusted option exercise fixed date.
Specifies the type of option exercise date. When specified it applies not only to the current date but to all subsequent dates in the group until overridden with a new type.
Number of business centers in the repeating group.
The business center calendar used to adjust the option exercise expiration dates, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
The business day convention used to adjust the option exercise expiration dates. Used only to override the business day convention specified in the UnderlyingDateAdjustment component within the UnderlyingInstrument component.
Specifies the anchor date when the option exercise expiration date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative exercise expiration date offset.
Time unit associated with the relative exercise expiration date offset.
Time unit multiplier for the frequency of exercise expiration dates.
Time unit associated with the frequency of exercise expiration dates.
The convention for determining the sequence of exercise expiration dates. It is used in conjunction with a specified frequency. Used only to override the roll convention defined in the UnderlyingDateAdjustment component in UnderlyingInstrument.
Specifies the day type of the relative option exercise expiration date offset.
The option exercise expiration time.
The business center used to determine the locale for option exercise expiration time, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Number of fixed exercise expiration dates in the repeating group.
The adjusted or unadjusted option exercise expiration fixed date.
Specifies the type of option exercise expiration date. When specified it applies not only to the current date but to all subsequent dates in the group until overridden with a new type.
In an outright or forward commodity trade that is cash settled this is the index used to determine the cash payment.
This is an optional qualifying attribute of UnderlyingSettlementRateIndex(2284) such as the delivery zone for an electricity contract.
Description of the option expiration.
Byte length of encoded (non-ASCII characters) EncodedUnderlyingOptionExpirationDesc(2288) field.
Encoded (non-ASCII characters) representation of the UnderlyingOptionExpirationDesc(2286) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the UnderlyingOptionExpirationDesc(2286).
The subclassification or subtype of swap.
Used to express the unit of measure (UOM) of the price if different from the contract.
Specifies the index used to calculate the strike price.
Specifies the strike price offset from the named index.
Specifies the source of trade valuation data.
Specifies the methodology and/or assumptions used to generate the trade value.
Specifies the type of trade strategy.
When this element is specified and set to 'Y', it indicates that common pricing applies. Common pricing may be relevant for a transaction that references more than one commodity reference price.
Specifies the consequences of settlement disruption events.
Specifies the rounding direction if not overridden elsewhere.
Specifies the rounding precision in terms of a number of decimal places. Note how a percentage rate rounding of 5 decimal places is expressed as a rounding precision of 7.
The consequences of market disruption events.
Specifies the location of the fallback provision documentation.
Specifies the maximum number of market disruption days (commodity or bullion business days) in a contract or confirmation. If none are specified, the maximum number of market disruption days is five (5).
ISDA 2005 Commodity Definition.
Used when a price materiality percentage applies to the price source disruption event and this event has been specified.
Applicable to 2005 Commodity Definitions only.
Specifies the minimum futures contracts level that dictates whether or not a 'De Minimis Trading' event has occurred.
Applicable to 1993 Commodity Definitions only.
Number of disruption events in the repeating group.
Specifies the market disruption event.
For commodities see http://www.fpml.org/coding-scheme/commodity-market-disruption for values.
For foreign exchange, see http://www.fixtradingcommunity.org/codelists#Market_Disruption_Event for code list of applicable event types.
Number of fallbacks in the repeating group.
Specifies the type of disruption fallback.
See http://www.fpml.org/coding-scheme/commodity-market-disruption-fallback for values.
Number of fallback reference securities in the repeating group.
The type of reference price underlier.
Specifies the identifier value of the security.
Specifies the class or source scheme of the security identifier.
Specifies the description of underlying security.
Byte length of encoded (non-ASCII characters) EncodedUnderlyingMarketDisruptionFallbackUnderlierSecurityDesc(41874) field.
Encoded (non-ASCII characters) representation of the UnderlyingMarketDisruptionFallbackUnderlierSecurityDesc(41872) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the UnderlyingMarketDisruptionFallbackUnderlierSecurityDesc(41872).
If there are multiple underlying assets, this specifies the number of units (index or securities) that constitute the underlier of the swap. In the case of a basket swap, this is used to reference both the number of basket units, and the number of each asset components of the basket when these are expressed in absolute terms.
Specifies the currency if the underlier is a basket. Uses ISO 4217 currency codes.
Specifies the basket divisor amount. This value is normally used to adjust the constituent weight for pricing or to adjust for dividends, or other corporate actions.
Number of fixing days in the repeating group.
The day of the week on which fixing takes place.
The occurrence of the day of week on which fixing takes place.
For example, a fixing of the 3rd Friday would be DayOfWk=5 DayNum=3. If omitted every day of the week is a fixing day.
Identifier of this UnderlyingPaymentSchedule for cross referencing elsewhere in the message.
Reference to payment schedule elsewhere in the message.
Specifies the currency of the schedule rate. Uses ISO 4217 currency codes.
The schedule rate unit of measure (UOM).
The number to be multiplied by the derived floating rate of the underlying's payment schedule in order to arrive at the payment rate. If ommitted, the schedule rate conversion factor is 1.
Specifies whether the rate spread is an absolute value to be added to the index rate or a percentage of the index rate.
The schedule settlement period price.
The currency of the schedule settlement period price. Uses ISO 4217 currency codes.
The settlement period price unit of measure (UOM).
The schedule step unit of measure (UOM).
The distribution of fixing days.
The number of days over which fixing should take place.
Time unit multiplier for the fixing lag duration.
Time unit associated with the fixing lag duration.
Time unit multiplier for the relative first observation date offset.
If the first observation offset is specified, the observation period will start the specified interval prior to each calculation period - i.e. if the first observation offset is 4 months and the lag duration is 3 months, observations will be taken in months 4, 3 and 2 (but not 1) prior to each calculation period. If no first observation offset is specified, the observation period will end immediately preceding each calculation period.
Time unit associated with the relative first observation date offset.
When this element is specified and set to 'Y', the Flat Rate is the New Worldwide Tanker Nominal Freight Scale for the Freight Index Route taken at the Trade Date of the transaction "Fixed". If 'N' it is taken on each Pricing Date "Floating".
Specifies the actual monetary value of the flat rate when UnderlyingPaymentStreamFlatRateIndicator(41897) = 'Y'.
Specifies the currency of the actual flat rate. Uses ISO 4217 currency codes.
Specifies the limit on the total payment amount.
Specifies the currency of total payment amount limit. Uses ISO 4217 currency codes.
Specifies the limit on the payment amount that goes out in any particular calculation period.
Specifies the currency of the period payment amount limit. Uses ISO 4217 currency codes.
Fixed payment amount unit of measure (UOM).
Specifies the total fixed payment amount.
The number of Worldscale points for purposes of the calculation of a fixed amount for a wet voyage charter commodity swap.
The price per relevant unit for purposes of the calculation of a fixed amount for a dry voyage charter or time charter commodity swap.
Specifies the currency of UnderlyingPaymentStreamContractPrice(41907). Uses ISO 4217 currency codes.
Number of business centers in the repeating group.
The business center calendar used to adjust the payment stream's pricing dates, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Secondary time unit associated with the payment stream’s floating rate index curve.
Secondary time unit multiplier for the payment stream’s floating rate index curve.
May be used for a Forward Rate Agreement (FRA) with an average rate between two curve points.
Specifies the location of the floating rate index.
This is the weather Cooling Degree Days (CDD), Heating Degree Days (HDD) or HDD index level specified as the number of (amount of) weather index units specified by the parties in the related confirmation.
The unit of measure (UOM) of the rate index level.
Specifies how weather index units are to be calculated.
This is the weather Cooling Degree Days (CDD), Heating Degree Days (HDD) or HDD reference level specified as the number of (amount of) weather index units specified by the parties in the related confirmation.
The unit of measure (UOM) of the rate reference level.
When set to 'Y', it indicates that the weather reference level equals zero.
Specifies the currency of the floating rate spread. Uses ISO 4217 currency codes.
Specifies the unit of measure (UOM) of the floating rate spread.
The number to be multiplied by the derived floating rate of the underlying's payment stream in order to arrive at the payment rate. If omitted, the floating rate conversion factor is 1.
Identifies whether the rate spread is an absolute value to be added to the index rate or a percentage of the index rate.
The floating rate determined at the most recent reset. The rate is expressed in decimal form, e.g. 5% is represented as 0.05.
The floating rate determined at the final reset. The rate is expressed in decimal form, e.g. 5% is represented as 0.05.
Time unit multiplier for the calculation lag duration.
Time unit associated with the calculation lag duration.
Time unit multiplier for the relative first observation date offset.
If the first observation offset is specified, the observation period will start the specified interval prior to each calculation period - i.e. if the first observation offset is 4 months and the lag duration is 3 months, observations will be taken in months 4, 3 and 2 (but not 1) prior to each calculation period. If no first observation offset is specified, the observation period will end immediately preceding each calculation period.
Time unit associated with the relative first observation date offset.
Specifies the commodity pricing day type.
The distribution of pricing days.
The number of days over which pricing should take place.
Specifies the business calendar to use for pricing.
See http://www.fpml.org/coding-scheme/commodity-business-calendar for values.
The business day convention used to adjust the payment stream's pricing dates. Used only to override the business day convention specified in the UnderlyingDateAdjustment component within the UnderlyingInstrument component.
Number of payment dates in the repeating group.
The adjusted or unadjusted fixed stream payment date.
Specifies the type of payment date. When specified it applies not only to the current date but to all subsequent dates in the group until overridden with a new type.
When set to 'Y', it indicates that payment dates are specified in the relevant master agreement.
Number of pricing dates in the repeating group.
An adjusted or unadjusted fixed pricing date.
Specifies the type of pricing date. When specified it applies not only to the current date but to all subsequent dates in the group until overridden with a new type.
Number of pricing days in the repeating group.
The day of the week on which pricing takes place.
The occurrence of the day of week on which pricing takes place.
For example a pricing day of the 3rd Friday would be DayOfWk=5 DayNum=3.
Number of business centers in the repeating group.
The business center calendar used to adjust the pricing or fixing date, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
The unadjusted pricing or fixing date.
The business day convention used to adjust the pricing or fixing date. Used only to override the business day convention specified in the UnderlyingDateAdjustment component within the UnderlyingInstrument component.
The adjusted pricing or fixing date.
The local market pricing or fixing time.
Specifies the business center for determining the pricing or fixing time. See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Number of calculation period dates in the repeating group.
The adjusted or unadjusted fixed calculation period date.
Specifies the type of fixed calculation period date. When specified it applies not only to the current date but to all subsequent dates in the group until overridden with a new type.
Identifier of this calculation period for cross referencing elsewhere in the message.
Cross reference to another calculation period for duplicating its properties.
When specified and set to 'Y', it indicates that the first calculation period should run from the effective date to the end of the calendar period in which the effective date falls (e.g. Jan 15 - Jan 31 if the calculation periods are one month long and effective date is Jan 15.). If 'N' or not specified, it indicates that the first calculation period should run from the effective date for one whole period (e.g. Jan 15 to Feb 14 if the calculation periods are one month long and the effective date is Jan 15.).
Time unit multiplier for the length of time after the publication of the data when corrections can be made.
Time unit associated with the length of time after the publication of the data when corrections can be made.
Number of business centers in the repeating group.
The business center calendar used to adjust the commodity delivery date, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Specifies the general base type of the commodity traded. Where possible, this should follow the naming convention used in the 2005 ISDA Commodity Definitions.
Examples of general commodity base types include:Metal, Bullion, Oil, Natural Gas, Coal, Electricity, Inter-Energy, Grains, Oils Seeds, Dairy, Livestock, Forestry, Softs, Weather, Emissions.
Specifies the type of commodity product.
For coal see http://www.fpml.org/coding-scheme/commodity-coal-product-type for values.
For metals see http://www.fpml.org/coding-scheme/commodity-metal-product-type for values.
For bullion see http://www.fixtradingcommunity.org/codelists#Bullion_Types for the external code list of bullion types.
Specifies the market identifier for the commodity.
Identifies the class or source of the UnderlyingStreamCommoditySecurityIDSource(41966) value.
Description of the commodity asset.
Byte length of encoded (non-ASCII characters) EncodedUnderlyingStreamCommodityDesc(41970) field.
Encoded (non-ASCII characters) representation of the UnderlyingStreamCommodityDesc(41968) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the UnderlyingStreamCommodityDesc(41968) field.
The unit of measure (UOM) of the commodity asset.
Identifies the currency of the commodity asset. Uses ISO 4217 currency codes.
Identifies the exchange where the commodity is traded.
Identifies the source of rate information used for commodities.
See http://www.fixtradingcommunity.org/codelists#Commodity_Rate_Source for code list of applicable sources.
Identifies the reference "page" from the rate source.
Identifies the page heading from the rate source.
Specifies the commodity data or information provider.
See http://www.fpml.org/coding-scheme/commodity-information-provider for values.
Specifies how the pricing or rate setting of the trade is to be determined or based upon.
See http://www.fixtradingcommunity.org/codelists#Commodity_Rate_Pricing_Type for code list of applicable commodity pricing types.
Time unit multiplier for the nearby settlement day.
When the commodity transaction references a futures contract, the delivery or settlement dates are a nearby month or week. For example, for eighth nearby month use Period=8 and Unit=Mo.
Time unit associated with the nearby settlement day.
The unadjusted commodity delivery date.
The business day convention used to adjust the commodity delivery date. Used only to override the business day convention specified in the UnderlyingDateAdjustment component within the UnderlyingInstrument component.
The adjusted commodity delivery date.
Specifies a fixed single month for commodity delivery.
Use "1" for January, "2" for February, etc.
Time unit multiplier for the commodity delivery date roll.
For a commodity transaction that references a listed future via the delivery dates, this is the day offset on which the specified future will roll to the next nearby month when the referenced future expires.
Time unit associated with the commodity delivery date roll.
Specifies the commodity delivery roll day type.
Identifier of this stream commodity for cross referencing elsewhere in the message.
Reference to a stream commodity elsewhere in the message.
Number of alternate security identifers.
Alternate security identifier value for the commodity.
Identifies the class or source of the alternate commodity security identifier.
Number of commodity data sources in the repeating group.
Data source identifier.
Specifies the type of data source identifier.
Number of days in the repeating group.
Specifies the day or group of days for delivery.
Sum of the hours specified in UnderlyingStreamCommoditySettlTimeGrp.
Number of hour ranges in the repeating group.
The start time for commodity settlement where delivery occurs over time. The time format is specified by the settlement time type.
The end time for commodity settlement where delivery occurs over time. The time format is specified by the settlement time type.
Specifies the format of the commodity settlement start and end times.
Number of commodity settlement periods in the repeating group.
Specifies the country where delivery takes place. Uses ISO 3166 2-character country code.
Commodity delivery timezone specified as "prevailing" rather than "standard" or "daylight".
See http://www.fixtradingcommunity.org/codelists#Prevailing_Timezones for code list of applicable prevailing timezones.
Specifies the commodity delivery flow type.
Specifies the delivery quantity associated with this settlement period.
Specifies the unit of measure (UOM) of the delivery quantity associated with this settlement period.
Time unit multiplier for the settlement period frequency.
Time unit associated with the settlement period frequency.
The settlement period price.
Specifies the settlement period price unit of measure (UOM).
The currency of the settlement period price. Uses ISO 4217 currency codes.
Indicates whether holidays are included in the settlement periods. Required for electricity contracts.
Identifier of this settlement period for cross referencing elsewhere in the message.
Cross reference to another settlement period for duplicating its properties.
Identifier of this UnderlyingStream for cross referencing elsewhere in the message.
Cross reference to another UnderlyingStream notional for duplicating its properties.
Time unit multiplier for the swap stream's notional frequency.
Time unit associated with the swap stream's notional frequency.
The commodity's notional or quantity delivery frequency.
Specifies the delivery quantity unit of measure (UOM).
Specifies the total notional or delivery quantity over the term of the contract.
Specifies the unit of measure (UOM) for the total notional or delivery quantity over the term of the contract.
Total amount traded for this account (i.e. quantity * price) expressed in units of currency.
Status of risk limit report.
Accepted
Rejected
The reason for rejecting the PartyRiskLimitsReport(35=CM) or PartyRiskLimitsUpdateReport(35=CR).
Unknown RiskLimitReportID(1667)
Unknown party
Other
The unique identifier of the PartyRiskLimitCheckRequest(35=DF) message.
The unique and static identifier, at the business entity level, of a risk limit check request.
Specifies the transaction type of the risk limit check request.
New
Cancel
Replace
Specifies the type of limit check message.
Submit
Indicates a submission for a limit check. The RiskLimitCheckTransType(2320) indicates whether the submission is a new request, a cancel or replace/amend of a prior submission.
Limit consumed
Indicates that the limit reserved by a prior request has been used or consumed by a transaction that occurred.
Specifies the message reference identifier of the risk limit check request message.
Specifies the type of limit amount check being requested.
All or none (default if not specified).
The limit check request is for the full amount requested or none at all. Request can only be responded to with a full approval of the amount requested or a rejection of the request.
Partial
The requester will accept a partial approval of the requested credit limit amount.
Specifies the amount being requested for approval.
Indicates the status of the risk limit check request.
Approved
Request has been accepted and processed. The credit amount requested has been reserved for the transaction.
Partially approved
Only a partial amount of the credit amount requested has been approved and has been reserved for the transaction.
Rejected
Approval pending
Cancelled
Result of the credit limit check request.
Successful (default)
Invalid party
Requested amount exceeds credit limit
Requested amount exceeds clip size limit
Request exceeds maximum notional order amount
Other
The credit/risk limit amount approved.
The unique identifier of the PartyActionRequest(35=DH) message.
Specifies the type of action to take or was taken for a given party.
Suspend
Halt trading
Reinstate
Used to indicate whether the message being sent is to test the receiving application's availability to process the message. When set to "Y" the message is a test message. If not specified, the message is by default not a test message.
The unique identifier of the PartyActionReport(35=DI) message as assigned by the message sender.
Specifies the action taken as a result of the PartyActionType(2239) of the PartyActionRequest(35=DH) message.
Accepted
The action request is accepted for processing.
Completed
The processing of the requested action has been successfully completed.
Rejected
The action request was rejected. PartyActionRejectReason(2233) should be used to specify the rejection reason
Specifies the reason the PartyActionRequest(35=DH) was rejected.
Invalid party or parties
Unknown requesting party
Not authorized
Other
The reference identifier of the PartyRiskLimitCheckRequest(35=DF) message, or a similar out of band message, that contained the approval for the risk/credit limit check request.
Specifies which type of identifier is specified in RefRiskLimitCheckID(2334) field.
RiskLimitRequestID(1666)
RiskLimitCheckID(2319)
Out of band identifier
The time interval for which the clip size limit applies. The velocity time unit is expressed in RiskLimitVelocityUnit(2337).
Unit of time in which RiskLimitVelocityPeriod(2336) is expressed.
Qualifies the value of RequestingPartyRole(1660).
Specifies the type of credit limit check model workflow to apply for the specified party
None (default if not specified)
No specified limit check model is defined. Limit checks for the party will be based on parameters defined.
PlusOne model
A pre-trade credit limit check model which allows trades to occur until it is determined by the clearinghouse or other designated limit checker that the party's limit(s) was breached by the most recent trade executed.
Ping model
A pre-trade credit limit check model which requires the execution venue to obtain limit approval from the Credit Provider for every transaction about to be conducted by the Credit User.
Push model
A pre-trade credit limit check model in which the Credit Provider "pushes" to the execution venue the credit limit information allocated to each of the Credit Provider's counterparty or customer.
Indicates the status of the risk limit check performed on a trade.
Accepted
For use when none of the more specific status enumerations apply.
Rejected
For use when none of the more specific status enumerations apply.
Claim required
Indicates that the clearing firm is required to accept or decline the trade.
Pre-defined limit check succeeded
Indicates a check enforced automatically by the clearing house.
Pre-defined limit check failed
Indicates a check enforced automatically by the clearing house.
Pre-defined auto-accept rule invoked
Indicates that the clearing firm is required to accept or decline the trade because no limit or rule applies.
Pre-defined auto-reject rule invoked
Indicates a check enforced automatically by the clearing house. Note that clearing house rules of engagement may still require a clearing firm accept or reject the trade.
Accepted by clearing firm
Indicates that explicit action by the clearing firm, and not an automatic check by the clearing house, was the basis for accepting the trade.
Rejected by clearing firm
Indicates that explicit action by the clearing firm, and not an automatic check by the clearing house, was the basis for rejecting the trade.
Pending
Indicates that one or more side level risk checks are in progress.
Accepted by credit hub
Indicates that a credit hub accepted the trade. An identifier assigned by the credit hub may appear in the appropriate RefRiskLimitCheckID(2334) field.
Rejected by credit hub
Indicates that a credit hub rejected the trade.
Pending credit hub check
Indicates that a check is pending at a credit hub.
Accepted by execution venue
Indicates acceptance by an execution venue, such as a SEF.
Rejected by execution venue
Indicates that the trade was rejected by an execution venue, such as a SEF.
Indicates the status of the risk limit check performed on the side of a trade.
Number of entitlement types in the repeating group.
Leg Mid price/rate.
For OTC swaps, this is the mid-market mark (for example, as defined by CFTC).
For uncleared OTC swaps, LegMidPx(2346) and the MidPx(631) fields are mutually exclusive.
Specifies the regulatory mandate or rule that the transaction complies with.
None (default if not specified)
The transaction does not fall under any special regulatory rule or mandate.
Swap Execution Facility (SEF) required transaction
The transaction is a "Required" transaction under Dodd-Frank Act SEF Rules. "Required" transactions are subject to the trade execution mandate under section 2(h)(8) of the CEA and are not block trades.
Swap Execution Facility (SEF) permitted transaction
The transaction is a "Permitted" transaction under Dodd-Frank Act SEF Rules. "Permitted" transactions are not subject to the clearing and trade execution mandates, illiquid or bespoke swaps, or block trades.
Unique Identifier for a batch of messages.
Total # of messages contained within batch.
Indicates the processing mode for a batch of messages.
Update/incremental (default if not specified)
Snapshot
Indicates that messages within the batch should be considered complete, and should replace all prior information. The recipient can take action, to be decided out of band, on previously received data omitted from the batch (e.g. an account not referenced has zero collateral value, a security not referenced is no longer tradable). The scope of completeness (e.g. a complete list of collateral values for all of a given firm's accounts, a complete list of options trading on a given exchange) will be decided out of band.
Identifier of the collateral portfolio when reporting on a portfolio basis.
Identifies the class or source of DeliveryStreamDeliveryPoint(41062).
Proprietary
Energy Identification Code (EIC)
Energy Identification Code specifies the location or connection point codes of energy delivery. See http://www.entsog.eu/eic-codes/eic-location-codes-v or http://www.eiccodes.eu for more information and allocated values to use in DeliveryStreamDeliveryPoint(41062).
Description of the delivery point identified in DeliveryStreamDeliveryPoint(41062).
Indicates the number of contract periods associated with the minimum trading unit for a given contract duration resulting in the number of total traded contracts.
As an example, 456 is the number of off-peak periods for a product with a minimum trading unit of 5 MWh resulting in 2280 total traded contracts.
Indicates the number of contract periods associated with the minimum trading unit for a given contract duration resulting in the number of total traded contracts.
As an example, 456 is the number of off-peak periods for a product with a minimum trading unit of 5 MWh resulting in 2280 total traded contracts.
Description of the delivery point identified in LegDeliveryStreamDeliveryPoint(41433).
Identifies the class or source of LegDeliveryStreamDeliveryPoint(41433).
Expresses the total quantity traded over the life of the contract when LegLastQty(1418) is to be repeated periodically over the term of the contract. The value is the product of LegLastQty(1418) and LegTradingUnitPeriodMultiplier(2353).
Expresses the quantity bought/sold when LastQty is expressed in contracts. Used in addition to LegLastQty(1418), it is the product of LegLastQty(1418) and LegContractMultiplier(614).
Expresses the full total monetary value of the traded contract. The value is the product of LegLastPx(637) and LegTotalTradeQty(2357) or LegTotalTradeMultipliedQty(2360), if priced in units instead of contracts.
Expresses the total trade quantity in units where LegContractMultiplier(614) is not 1. The value is the product of LegTotalTradeQty(2357) and LegContractMultiplier(614).
Description of the delivery point identified in UnderlyingDeliveryStreamDeliveryPoint(41781).
Identifies the class or source of UnderlyingDeliveryStreamDeliveryPoint(41781).
Indicates the number of contract periods associated with the minimum trading unit for a given contract duration resulting in the number of total traded contracts.
As an example, 456 is the number of off-peak periods for a product with a minimum trading unit of 5 MWh resulting in 2280 total traded contracts.
Indicates action that triggered the Position Report.
FX forward points added to SettlPrice(730). The value is expressed in decimal form and may be a negative.
As an example, 61.99 points is expressed as 0.006199.
Specifies whether LastPx(31) [TradeCaptureReport] or SettlPrice(730) [PositionReport] should be multiplied or divided.
Expresses the total quantity traded over the life of the contract when LastQty(32) is repeated periodically over the term of the contract. The value is the product of LastQty(32) and TradingUnitPeriodMultiplier(2353).
Expresses the quantity bought or sold when LastQty(32) is expressed in number of contracts. Used in addition to LastQty(32). It is the product of LastQty(32) and ContractMultiplier(231).
Expresses the full total monetary value of the traded contract. The value is the product of LastPx(31) and TotalTradeQty(2367) or TotalTradeMultipliedQty(2370), if priced in units instead of contracts.
Expresses the total trade quantity in units where ContractMultiplier(231) is not 1. The value is the product of TotalTradeQty(2367) and ContractMultiplier(231).
Encoded (non-ASCII characters) representation of the TradeContinuationText(2374) field in the encoded format specified via the MessageEncoding(347) field. If used, the ASCII (English) representation should also be specified in the TradeContinuationText(2374) field.
Byte length of encoded (non-ASCII characters) EncodedTradeContinuationText(2371) field.
Indicates whether the trade or position was entered into as an intra-group transaction, i.e. between two units of the same parent entity having majority ownership interest in both counterparties.
In the context of EMIR this refers to Regulation (EU) 648/2012 Article 3 "intragroup transactions" section 1 which states: "In relation to a non-financial counterparty, an intragroup transaction is an OTC derivative contract entered into with another counterparty which is part of the same group provided that both counterparties are included in the same consolidation on a full basis and they are subject to an appropriate centralised risk evaluation, measurement and control procedures and that counterparty is established in the Union or, if it is established in a third country, the Commission has adopted an implementing act under Article 13(2) in respect of that third country. Canada's similar requirement is under Appendix A to OSC Rule 91-507."
Elaboration of the purpose or action of the regulatory report when TradeContinuation(1937)=99 (Other).
The type of identification taxonomy used to identify the security.
ISIN or Alternate instrument identifier plus CFI
Identified through use of SecurityID(48) and SecurityIDSource(22) of ISIN or another standard source plus CFICode(461).
Interim Taxonomy
Identified through use of AssetClass(1938) plus either Symbol(55) or SecurityID(48) and SecurityIDSource(22), and/or other additional instrument attributes.
Used to further qualify the value of PartyRole(452).
Used to further qualify the value of DerivativeInstrumentPartyRole(1295).
Used to further qualify the value of InstrumentPartyRole(1051).
Used to further qualify the value of LegInstrumentPartyRole(2257).
Used to further qualify the value of LegProvisionPartyRole(40536).
Used to further qualify the value of Nested2PartyRole(759).
Used to further qualify the value of Nested3PartyRole(951).
Used to further qualify the value of Nested4PartyRole(1417).
Used to further qualify the value of NestedPartyRole(538).
Used to further qualify the value of ProvisionPartyRole(40177).
Used to further qualify the value of RequestedPartyRole(1509).
Used to further qualify the value of RootPartyRole(1119).
Used to further qualify the value of SettlPartyRole(784).
Used to further qualify the value of UnderlyingInstrumentPartyRole(1061).
The reference identifier to the PartyRiskLimitCheckRequest(35=DF), or a similar out of band message, message that contained the approval or rejection for risk/credit limit check for this allocation.
Specifies which type of identifier is specified in AllocRefRiskLimitCheckID(2392) field.
The total amount of the limit that has been drawn down against the counterparty. This includes the amount for prior trades. It may or may not include the amount for the given trade, specified in LastLimitAmt(1632), depending upon whether the given trade is considered pending.
The limit for the counterparty. This represents the total limit amount, independent of any amount already utilized.
Indicates the scope of the limit by role.
Used to indicate whether this is a customer account limit, a clearing firm limit, etc.
Specifies the scope to which the RegulatoryTradeID(1903) applies. Used when a trade must be assigned more than one identifier, e.g. one for the clearing member and another for the client on a cleared trade as with the principal model in Europe.
Clearing member
Client
Specifies the scope to which the SideRegulatoryTradeID(1972) applies. Used when a trade must be assigned more than one identifier, e.g. one for the clearing member and another for the client on a cleared trade as with the principal model in Europe.
Specifies the scope to which the AllocRegulatoryTradeID(1909) applies. Used when a trade must be assigned more than one identifier, e.g. one for the clearing member and another for the client on a cleared trade as with the principal model in Europe.
Identifies the leg of the trade the entry applies to by referencing the leg's LegID(1788).
Identifies the leg of the trade the entry applies to by referencing the leg's LegID(1788).
Identifies the leg of the trade the entry applies to by referencing the leg's LegID(1788).
Specifies an explicit business date for associated reference data or transaction. Used when an implicit date is not sufficiently specific.
Indicates if the list of orders was initially received manually (as opposed to electronically) or if it was entered manually (as opposed to entered by automated trading software).
Subtype of an entitlement specified in EntitlementType(1775).
Order entry
Entitle to enter new orders
Hit/Lift
Entitle to Hit/Lift
View indicative prices
Entitle to subscribe to indicative prices
View executable prices
Entitle to subscribe to executable prices
Single quote
Entitle to submit quote request for a single quote
Streaming quotes
Entitle to submit quote request for streaming quotes
Single broker
Entitle to submit quote request for a single broker
Multi brokers
Entitle to submit quote request for multiple brokers
Quote model type
Quote entry
New quote is entered or previously submitted quote is updated in full without regard to amount executed when a subsequent quote (e.g. with the same QuoteID reference) is received by the Recipient of the quote message.
Quote modification
Previously submitted quote must be present and is updated, taking into consideration the amount already executed when a subsequent quote (e.g. with the same QuoteID reference) is received by the Recipient of the quote message.
Free text for compliance information required for regulatory reporting.
Byte length of encoded (non-ASCII characters) EncodedComplianceText(2352) field.
Encoded (non-ASCII characters) representation of the ComplianceText(2404) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the ComplianceText(2404) field.
Specifies how the transaction was executed, e.g. via an automated execution platform or other method.
Undefined/unspecified - (default when not specified)
Manual
The transaction was executed in a manual or other non-automated manner, e.g. by voice directly between the counterparties. Also used to identify MTT code M "Off Book Non-Automated".
Automated
The transaction was executed on an automated execution platform such as an automated systematic internalizer system, broker crossing network, broker crossing system, dark pool trading, "direct to capital" systems, broker position unwind mechanisms, etc.
Voice brokered
The transaction was negotiated by voice through an intermediary.
Specifies the price decimal precision of the instrument.
For FX, this specifies the pip size in which forward points are calculated. Point (pip) size varies by currency pair. Major currencies are all traded in points of 0.0001, with the exception of JPY which has a point size of 0.01.
Indicates the contingency attribute for a trade in an asset class that may be contingent on the clearing of a corresponding paired trade (for example Exchange for Physical (EFP), Exchange for Swap (EFS), Exchange for Related (EFR) or Exchange for Option (EFO), collectively called EFRPs). Once the paired trade clears or fails to clear, the related trade (the trade which carries this attribute) ceases to exist.
Does not apply (default if not specified)
The trade is for an for asset class that is not traded with contingency.
Contingent trade
The trade is terminated as soon as its paired trade is cleared or denied clearing.
Non-contingent trade
Identifies a trade that is not contingent but is for an asset class that may be contingent.
FX spot rate.
FX forward points added to spot rate. May be a negative value.
FX spot rate.
FX forward points added to spot rate. May be a negative value.
Identifies the page heading from the rate source.
The security identifier of the instrument, instrument leg or underlying instrument with which the related instrument has correlation.
Identifies class or source of the RelatedToSecurityID(2413) value.
StreamXID(41303), LegStreamXID(41700) or UnderlyingStreamXID(42016) of the stream with which the related instrument has correlation.
An identifier created by the trading party for the life cycle event associated with this report.
FX spot rate.
FX forward points added to spot rate. May be a negative value.
Applicable value for LegMarketDisruptionEvent(41468).
Applicable value for LegMarketDisruptionFallbackType(41470).
Applicable value for MarketDisruptionEvent(41093).
Applicable value for MarketDisruptionFallbackType(41095).
Used to further clarify the value of PaymentType(40213).
Initial (principal exchange)
Intermediate (principal exchange)
Final (principal exchange)
Prepaid (premium forward)
Postpaid (premium forward)
Variable (premium forward)
Fixed (premium forward)
Swap (premium)
Indicates that the premium is to be paid in the style of payments under an IRS contract.
Conditional (principal exchange on exercise)
Identifies the instrument leg in which this payment applies to by referencing the leg's LegID(1788).
Applicable value for UnderlyingMarketDisruptionEvent(41865).
Applicable value for UnderlyingMarketDisruptionFallbackType(41867).
Number of bonds in the repeating group.
Security identifier of the bond.
Identifies the source scheme of the UnderlyingAdditionalTermBondSecurityID(41341) value.
Description of the bond.
Byte length of encoded (non-ASCII characters) EncodedUnderlyingAdditionalTermBondDesc(41711) field.
Encoded (non-ASCII characters) representation of the UnderlyingAdditionalTermBondDesc(41709) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the UnderlyingAdditionalTermBondDesc(41709) field.
Specifies the currency the bond value is denominated in. Uses ISO 4217 currency codes.
Issuer of the bond.
Byte length of encoded (non-ASCII characters) EncodedUnderlyingAdditionalTermBondIssuer(42026) field.
Encoded (non-ASCII characters) representation of the UnderlyingAdditionalTermBondIssuer(42017) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the UnderlyingAdditionalTermBondIssuer(42017) field.
Specifies the bond's payment priority in the event of a default.
Coupon type of the bond.
Coupon rate of the bond. See also CouponRate(223).
The maturity date of the bond.
The par value of the bond.
Total issued amount of the bond.
Time unit multiplier for the frequency of the bond's coupon payment.
Time unit associated with the frequency of the bond's coupon payment.
The day count convention used in interest calculations for a bond or an interest bearing security.
Number of additional terms in the repeating group.
Indicates whether the condition precedent bond is applicable. The swap contract is only valid if the bond is issued and if there is any dispute over the terms of fixed stream then the bond terms would be used.
Indicates whether the discrepancy clause is applicable.
Number of dealers in the repeating group.
Identifies the dealer from whom price quotations for the reference obligation are obtained for the purpose of cash settlement valuation calculation.
ISDA 2003 Term: Dealer
Number of elements in the repeating group.
Specifies the currency the UnderlyingCashSettlAmount(42054) is denominated in. Uses ISO 4217 currency codes.
The number of business days after settlement conditions have been satisfied, when the calculation agent is to obtain a price quotation on the reference obligation for purposes of cash settlement.
Associated with ISDA 2003 Term: Valuation Date.
The number of business days between successive valuation dates when multiple valuation dates are applicable for cash settlement.
Associated with ISDA 2003 Term: Valuation Date.
Where multiple valuation dates are specified as being applicable for cash settlement, this element specifies the number of applicable valuation dates.
Associated with ISDA 2003 Term: Valuation Date.
Time of valuation.
Identifies the business center calendar used at valuation time for cash settlement purposes e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
The type of quote used to determine the cash settlement price.
When determining the cash settlement amount, if weighted average price quotes are to be obtained for the reference obligation, this is the upper limit to the outstanding principal balance of the reference obligation for which the quote should be obtained. If not specifed, the ISDA definitions provide for a fallback amount equal to floating rate payer calculation amount.
ISDA 2003 Term: Quotation Amount.
Specifies the currency the UnderlyingCashSettlQuoteAmount(42049) is denominated in. Uses ISO 4217 currency codes.
When determining the cash settlement amount, if weighted average price quotes are to be obtained for the reference obligation, this is the minimum intended threshold amount of outstanding principal balance of the reference obligation for which the quote should be obtained. If not specified, the ISDA definitions provide for a fallback amount of the lower of either USD1,000,000 (or its equivalent in the relevent obligation currency) or the (minimum) quoted amount.
ISDA 2003 Term: Minimum Quotation Amount.
Specifies the currency the UnderlyingCashSettlQuoteAmount(42049) is denominated in. Uses ISO 4217 currency codes.
The number of business days used in the determination of the cash settlement payment date.
If a cash settlement amount is specified, the cash settlement payment date will be this number of business days following the calculation of the final price. If a cash settlement amount is not specified, the cash settlement payment date will be this number of business days after all conditions to settlement are satisfied.
ISDA 2003 Term: Cash Settlement Date.
The amount paid between the trade parties, seller to the buyer, for cash settlement on the cash settlement date.
If not specified this would typically be calculated as ((100 or the reference price) - reference obligation price) x floating rate payer calculation amount. Price values are all expressed as a percentage.
ISDA 2003 Term: Cash Settlement Amount.
Used for fixed recovery, this specifies the recovery level as determined at contract inception, to be applied in the event of a default. The factor is used to calculate the amount paid by the seller to the buyer for cash settlement on the cash settlement date. The amount is calculated is (1 - UnderlyingCashSettlRecoveryFactor(42055)) x floating rate payer calculation amount. The currency is derived from the floating rate payer calculation amount.
Indicates whether fixed settlement is applicable or not applicable in a recovery lock.
Indicates whether accrued interest is included or not in the value provided in UnderlyingCashSettlAmount(42054).
For cash settlement this specifies whether quotations should be obtained inclusive or not of accrued interest.
For physical settlement this specifies whether the buyer should deliver the obligation with an outstanding principal balance that includes or excludes accrued interest.
ISDA 2003 Term: Include/Exclude Accrued Interest.
The ISDA defined methodology for determining the final price of the reference obligation for purposes of cash settlement.
ISDA 2003 Term: Valuation Method
Name referenced from UnderlyingSettlementTermXIDRef(41315).
Number of entries in the repeating group.
Currency of physical settlement. Uses ISO 4217 currency codes.
A number of business days. Its precise meaning is dependent on the context in which this element is used.
ISDA 2003 Term: Business Day.
A maximum number of business days. Its precise meaning is dependent on the context in which this element is used. Intended to be used to limit a particular ISDA fallback provision.
A named string value referenced by UnderlyingSettlementTermXIDRef(41315).
Number of entries in the repeating group.
Specifies the type of delivery obligation applicable for physical settlement.
See http://www.fixtradingcommunity.org/codelists#Deliverable_Obligation_Types for code list for applicable deliverable obligation types.
Physical settlement delivery obligation value appropriate to UnderlyingPhysicalSettlDeliverableObligationType(42066).
See http://www.fixtradingcommunity.org/codelists#Deliverable_Obligation_Types for applicable obligation type values.
Number of protection terms in the repeating group.
The notional amount of protection coverage for a floating rate.
ISDA 2003 Term: Floating Rate Payer Calculation Amount.
The currency of UnderlyingProtectionTermNotional(42069). Uses ISO 4217 currency codes.
The notifying party is the party that notifies the other party when a credit event has occurred by means of a credit event notice. If more than one party is referenced as being the notifying party then either party may notify the other of a credit event occurring.
UnderlyingProtectionTermSellerNotifies(42071)=Y indicates that the seller notifies.
ISDA 2003 Term: Notifying Party.
The notifying party is the party that notifies the other party when a credit event has occurred by means of a credit event notice. If more than one party is referenced as being the notifying party then either party may notify the other of a credit event occurring.
UnderlyingProtectionTermBuyerNotifies(42072)=Y indicates that the buyer notifies.
ISDA 2003 Term: Notifying Party.
When used, the business center indicates the local time of the business center that replaces the Greenwich Mean Time in Section 3.3 of the 2003 ISDA Credit Derivatives Definitions.
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Indicates whether ISDA defined Standard Public Sources are applicable (UnderlyingProtectionTermStandardSources(42074)=Y) or not.
The minimum number of the specified public information sources that must publish information that reasonably confirms that a credit event has occurred. The market convention is two.
ISDA 2003 Term: Specified Number.
A named string value referenced by UnderlyingProtectionTermXIDRef(41314).
Number of protection term events in the repeating group.
Specifies the type of credit event applicable to the protection terms.
See http://www.fixtradingcommunity.org/codelists#Protection_Term_Event_Types for code list of applicable event types.
Protection term event value appropriate to UnderlyingProtectionTermEventType(42078).
See http://www.fixtradingcommunity.org/codelists#Protection_Term_Event_Types for applicable event type values.
Applicable currency if UnderlyingProtectionTermEventValue(42079) is an amount. Uses ISO 4217 currency codes.
Time unit multiplier for protection term events.
Time unit associated with protection term events.
Day type for events that specify a period and unit.
Rate source for events that specify a rate source, e.g. Floating rate interest shortfall.
Number of qualifiers in the repeating group.
Protection term event qualifier. Used to further qualify UnderlyingProtectionTermEventType(43078).
Number of obligations in the repeating group.
Specifies the type of obligation applicable to the protection terms.
See http://www.fixtradingcommunity.org/codelists#Protection_Term_Obligation_Types for code list of applicable obligation types.
Protection term obligation value appropriate to UnderlyingProtectionTermObligationType(42088).
See http://www.fixtradingcommunity.org/codelists#Protection_Term_Obligation_Types for applicable obligation type values.
Number of event news sources in the repeating group.
Newspaper or electronic news service or source that may publish relevant information used in the determination of whether or not a credit event has occurred.
The business day convention used to adjust the provisional cash settlement payment's termination, or relative termination, date. Used only to override the business day convention specified in the UnderlyingDateAdjustment component within the UnderlyingInstrument component.
Specifies the anchor date when the cash settlement payment date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative cash settlement payment date offset.
Time unit associated with the relative cash settlement payment date offset.
Specifies the day type of the provision's relative cash settlement payment date offset.
First date in range when a settlement date range is provided.
Last date in range when a settlement date range is provided.
Number of UnderlyingProvision cash settlement payment dates in the repeating group.
The cash settlement payment date, unadjusted or adjusted depending on UnderlyingProvisionCashSettlPaymentDateType(42101).
Specifies the type of date (e.g. adjusted for holidays).
Identifies the source of quote information.
Identifies the reference "page" from the quote source.
A time specified in 24-hour format, e.g. 11am would be represented as 11:00:00. The time of the cash settlement valuation date when the cash settlement amount will be determined according to the cash settlement method if the parties have not otherwise been able to agree to the cash settlement amount.
Identifies the business center calendar used with the provision's cash settlement valuation time.
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
The business day convention used to adjust the cash settlement valuation date. Used only to override the business day convention specified in the UnderlyingDateAdjustment component within the UnderlyingInstrument component.
Specifies the anchor date when the cash settlement value date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative cash settlement value date offset.
Time unit associated with the relative cash settlement value date offset.
Specifies the day type of the provision's relative cash settlement value date offset.
The adjusted cash settlement value date.
Number of UnderlyingProvision option exercise fixed dates in the repeating group.
A predetermined option exercise date, unadjusted or adjusted depending on UnderlyingProvisionOptionExerciseFixedDateType(42114).
Specifies the type of date (e.g. adjusted for holidays).
The business day convention used to adjust the underlying instrument's provision's option exercise date. Used only to override the business day convention specified in the UnderlyingDateAdjustment component within the UnderlyingInstrument component.
Time unit multiplier for the interval to the first (and possibly only) exercise date in the exercise period.
Time unit associated with the interval to the first (and possibly only) exercise date in the exercise period.
Time unit multiplier for the frequency of subsequent exercise dates in the exercise period following the earliest exercise date. An interval of 1 day should be used to indicate an American style exercise frequency.
Time unit associated with the frequency of subsequent exercise dates in the exercise period following the earliest exercise date.
The unadjusted first day of the exercise period for an American style option.
Specifies the anchor date when the option exercise start date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative option exercise start date offset.
Time unit associated with the relative option exercise start date offset.
Specifies the day type of the provision's relative option exercise start date offset.
The adjusted first day of the exercise period for an American style option.
The number of periods in the referenced date schedule that are between each date in the relative date schedule. Thus a skip of 2 would mean that dates are relative to every second date in the referenced schedule. If present this should have a value greater than 1.
The unadjusted first date of a schedule. This can be used to restrict the range of exercise dates when they are relative.
The unadjusted last date of a schedule. This can be used to restrict the range of exercise dates when they are relative.
The earliest time at which notice of exercise can be given by the buyer to the seller (or seller's agent) i) on the expriation date, in the case of a European style option, (ii) on each bermuda option exercise date and the expiration date, in the case of a Bermuda style option the commencement date to, and including, the expiration date, in the case of an American option.
Identifies the business center calendar used with the provision's earliest time for notice of exercise.
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
For a Bermuda or American style option, the latest time on an exercise business day (excluding the expiration date) within the exercise period that notice can be given by the buyer to the seller or seller's agent. Notice of exercise given after this time will be deemed to have been given on the next exercise business day.
Identifies the business center calendar used with the provision's latest time for notice of exercise.
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
The unadjusted last day within an exercise period for an American style option. For a European style option it is the only day within the exercise period.
The business day convention used to adjust the underlying instrument's provision's option expiration date. Used only to override the business day convention specified in the UnderlyingDateAdjustment component within the UnderlyingInstrument component.
Specifies the anchor date when the option expiration date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative option expiration date offset.
Time unit associated with the relative option expiration date offset.
Specifies the day type of the provision's relative option expiration date offset.
The adjusted last date within an exercise period for an American style option. For a European style option it is the only date within the exercise period.
The latest time for exercise on the expiration date.
Identifies the business center calendar used with the provision's latest exercise time on expiration date.
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
The unadjusted date on the underlying set by the exercise of an option. What this date is depends on the option (e.g. in a swaption it is the swap effective date, in an extendible/cancelable provision it is the swap termination date).
The business day convnetion used to adjust the underlying instrument provision's option underlying date. Used only to override the business day convention specified in the UnderlyingDateAdjustment component within the UnderlyingInstrument component.
Specifies the anchor date when the date relevant to the underlying trade on exercise is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative option relevant underlying date offset.
Time unit associated with the relative option relevant underlying date offset.
Specifies the day type of the provision's relative option relevant underlying date offset.
The adjusted date on the underlying set by the exercise of an option. What this date is depends on the option (e.g. in a swaption it is the swap effective date, in an extendible/cancelable provision it is the swap termination date).
Number of provisions in the repeating group.
Type of provision.
The unadjusted date of the provision.
The business day convention used to adjust the underlying instrument's provision's date. Used only to override the business day convention specified in the UnderlyingDateAdjustment component within the UnderlyingInstrument component.
The adjusted date of the provision.
Time unit multiplier for the provision's tenor period.
Time unit associated with the provision's tenor period.
Used to identify the calculation agent. The calculation agent may be identified in UnderlyingProvisionCalculationAgent(42156) or in the underlying provision parties component.
If optional early termination is not available to both parties then this component identifies the buyer of the option through its side of the trade.
If optional early termination is not available to both parties then this component identifies the seller of the option through its side of the trade.
The instrument provision's exercise style.
A notional amount which restricts the amount of notional that can be exercised when partial exercise or multiple exercise is applicable. The integral multiple amount defines a lower limit of notional that can be exercised and also defines a unit multiple of notional that can be exercised, i.e. only integer multiples of this amount can be exercised.
The minimum notional amount that can be exercised on a given exercise date.
The maximum notional amount that can be exercised on a given exercise date.
The minimum number of options that can be exercised on a given exercise date.
The maximum number of options that can be exercised on a given exercise date. If the number is not specified, it means that the maximum number of options corresponds to the remaining unexercised options.
Used to indicate whether follow-up confirmation of exercise (written or electronic) is required following telephonic notice by the buyer to the seller or seller's agent.
An ISDA defined cash settlement method used for the determination of the applicable cash settlement amount. The method is defined in the 2006 ISDA Definitions, Section 18.3. Cash Settlement Methods, paragraph (e).
Specifies the currency of settlement. Uses ISO 4217 currency codes.
Specifies the currency of settlement for a cross-currency provision. Uses ISO 4217 currency codes.
Identifies the type of quote to be used.
Free form text to specify additional information or enumeration description when a standard value does not apply.
Byte length of encoded (non-ASCII characters) EncodedUnderlyingProvisionText(42712) field.
Encoded (non-ASCII characters) representation of the UnderlyingProvisionText(42170) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the UnderlyingProvisionText(42170) field.
Number of parties identified in the contract provision.
The party identifier for the payment settlement party.
Identifies the class or source of the UnderlyingProvisionPartyID(42174) value.
Identifies the type or role of UnderlyingProvisionPartyID(42174) specified.
Used to further qualify the value of UnderlyingProvisionPartyRole(42176).
Number of sub-party IDs to be reported for the party.
Underlying provision party sub-identifier, if applicable for UnderlyingProvisionPartyID(42174).
The type of UnderlyingProvisionPartySubID(42178).
Number of business centers in the repeating group.
The business center calendar used to adjust the provision's cash settlement payment's termination, or relative termination, date, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Number of business centers in the repeating group.
The business center calendar used to adjust the cash settlement valuation date, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Number of business centers in the repeating group.
The business center calendar used to adjust the underlying instrument's provision's option exercise date, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Number of business centers in the repeating group.
The business center calendar used to adjust the underlying instrument's provision's option expiration date, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Number of business centers in the repeating group.
The business center calendar used to adjust the underlying instrument's provision's option underlying date, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Number of business centers in the repeating group.
The business center calendar used to adjust the underlying instrument's provision's date, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
A reference to either the value of the FillExecID(1363) or an implicit position of a fills instance in the FillsGrp component.
Unique message identifier for an order request as assigned by the submitter of the request.
Unique message identifier for a mass order request as assigned by the submitter of the orders.
Unique message identifier for a mass order request as assigned by the receiver of the orders.
Status of mass order request.
Accepted
Accepted with additional events
Rejected
Request result of mass order request.
Successful
Response level not supported
Invalid market
Invalid market segment
Other
The level of response requested from receiver of mass order messages. A default value should be bilaterally agreed.
No acknowledgement
Responses are provided through one or more ExecutionReport(35=8) messages.
Minimum acknowledgement
The minimum is any information to explain why the requested transaction was refused or led to additional events, e.g. immediate execution of an order that was entered or modified.
Acknowledge each order
The number of entries in the response is identical to the number of entries in the request.
Summary acknowledgement
Responses are provided through a single MassOrderAck(35=DK) without entries and one or more ExecutionReport(35=8) messages.
Number of order entries.
Specifies the action to be taken for the given order.
Add
Modify
Delete / Cancel
Suspend
Release
Unique identifier for an order within a single MassOrder(35=DJ) message that can be used as a reference in the MassOrderAck(35=DK) message.
The initiating event when an ExecutionReport(35=8) is sent.
Order added upon request
Order replaced upon request
Order cancelled upon request
Unsolicited order cancellation
Non-resting order added upon request
Order replaced with non-resting order upon request
Trigger order replaced upon request
Suspended order replaced upon request
Suspended order canceled upon request
Order cancellation pending
Pending cancellation executed
Resting order triggered
Suspended order activated
Active order suspended
Order expired
Totals number of orders for a mass order or its acknowledgment being fragmented across multiple messages.
Number of target party sub IDs in the repeating group.
Party sub-identifier value within a target party repeating group.
Type of TargetPartySubID(2434) value.
Unique identifier for the transfer instruction assigned by the submitter.
The unique identifier assigned to the transfer entity once it is received, for example, by the CCP or the party governing the transfer process. Generally this same identifier for the transfer is used by all parties involved.
Unique identifier for the transfer report message.
Indicates the type of transfer transaction.
New
Replace
Cancel
Indicates the type of transfer request.
Request transfer
Accept transfer
Decline transfer
Indicates the type of transfer.
Inter-firm transfer
Intra-firm transfer
Clearing Member Trade Assignment
Status of the transfer.
Received
Rejected by intermediary
Accept pending
Accepted
Declined
Cancelled
Reason the transfer instruction was rejected.
Success
Invalid party
Unknown instrument
Not authorized to submit transfers
Unknown position
Other
Indicates the type of transfer report.
Submit
Alleged
Timestamp of aggressive order or quote resulting in match event.
Side of aggressive order or quote resulting in match event.
Indicates if the instrument is in "fast market" state.
A "fast market" is a state in which market rules are applied to instrument(s) or entire trading session when market events causes significant price movements due to public information.
Indicate whether linkage handling is in effect for an instrument or not.
Number of buy orders involved in a trade.
Number of sell orders involved in a trade.
Calculation method used to determine settlement price.
Message identifier for a statistics request.
Message identifier for a statistics report.
The short name or acronym for a set of statistic parameters.
Can be used to provide an optional textual description for a statistic.
Type of statistic value.
Count
Simple count of entities or events, e.g. orders transactions during a period of time.
Average volume
Average quantity of entities, e.g. average size of incoming quotes or average trade size.
Total volume
Aggregated volume of entities across events, e.g. total trade volume during a period of time.
Distribution
Distribution of entities across entity types, e.g. percentage of limit orders amongst all order types.
Ratio
Pre-defined ratio between entities, e.g. ratio of trades triggered by buy orders.
Liquidity
Measurement of liquidity of an instrument, e.g. by providing the spread between bid and offer or the trade volume needed to move the price.
Volume weighted average price (VWAP)
Benchmark price.
Volatility
Volatility of entities, e.g. price movements of incoming orders.
Duration
Time period of events, e.g. resting period of passive orders.
Tick
Price movement of an instrument in number of ticks.
Average turnover
Average volume multiplied by price.
Total turnover
Aggregated volume multiplied by price.
High
Highest price.
Low
Lowest price.
Midpoint
Midpoint price between bid and offer.
First
First price or initial value.
Last
Most recent price or value.
Final
Final price or confirmed value.
Exchange best
Best price of a single venue regardless of volume.
Exchange best with volume
Best price of a single venue with volume at or above a pre-defined threshold.
Consolidated best
Best price across multiple venues regardless of volume.
Consolidated best with volume
Best price across multiple venues with volume at or above a pre-defined threshold.
Time weighted average price (TWAP)
Entities used as basis for the statistics.
Bid prices
Offer prices
Bid depth
Offer depth
Orders
Quotes
Orders and Quotes
Trades
Trade prices
Auction prices
Opening prices
Closing prices
Settlement prices
Underlying prices
Open interest
Index values
Margin rates
Sub-scope of the statistics to further reduce the entities used as basis for the statistics.
Visible
Only includes visible orders and/or quotes.
Hidden
Only includes hidden orders and/or quotes.
Indicative
Only includes IOIs and non-tradable quotes.
Tradeable
Excludes IOIs and indicative quotes.
Passive
Only includes resting orders and tradeable quotes.
Market consensus
Only includes entities, e.g. trades, conforming to minimum requirements. Details to be defined out of band.
Scope details of the statistics to reduce the number of events being used as basis for the statistics.
Entry rate
Modification rate
Cancel rate
Downward move
Upward move
Dissemination frequency of statistics.
Special meaning for a value of zero which represents an event-driven dissemination in real time (e.g. as soon as a new trade occurs).
Time unit for MDStatisticFrequencyPeriod(2460).
Number of time units between the calculation of the statistic and its dissemination. Can be used to defer or delay publication.
Time unit for MDStatisticDelayPeriod(2462).
Type of interval over which statistic is calculated.
Sliding window
Window is defined as an interval period up to the current time of dissemination, see MDStatisticIntervalPeriod (2466).
Sliding window peak
Highest value of all sliding windows across date and/or time range. Omission of date/time range represents current day.
Fixed date range
Interval may be open ended on either side, see MDStatisticStartDate (2468) and MDStatisticEndDate(2469). Starting/ending time of date fields only apply to the first/last day of the date range. Additional time range may be defined with MDStatisticStartTime(2470) and MDStatisticEndTime(2471) and applies to every business day within date range, i.e. to define an identical time slice across days.
Fixed time range
Interval may be open ended on either side, see MDStatisticStartTime(2470) and MDStatisticEndTime(2471).
Current time unit
Relative time unit which has not ended yet, e.g. current day. Interval ends with the time of dissemination of the statistic. Requires the definition of an actual unit, see MDStatisticIntervalTypeUnit(2465).
Previous time unit
Relative time unit which has ended in the past. Requires the definition of an actual unit, see MDStatisticIntervalTypeUnit(2465).
Maximum range
Use to convey record values over the lifetime of the system or venue.
Maximum range up to previous time unit
Use to convey record values over the lifetime of the system or venue but does not include the most recent time unit as it has not completed yet. Requires the definition of an actual unit, see MDStatisticIntervalTypeUnit(2465)
Time unit for MDStatisticIntervalType(2464).
Length of time over which the statistic is calculated. Special meaning for a value of zero to express that there is no aggregation over time. Can be used with other interval types expressing relative date and time ranges to combine them with sliding window peaks, e.g. highest volume across 1 minute intervals of the previous day.
Time unit for MDStatisticIntervalPeriod(2466).
First day of range for which statistical data is collected.
Last day of range for which statistical data is collected.
Start time of the time range for which statistical data is collected.
End time of the time range for which statistical data is collected.
Ratios between various entities.
Buyers to sellers
Upticks to downticks
Can also be used with a scope of multiple instruments representing an index.
Market maker to non-market maker
Use to identify share of market making activity.
Automated to non-automated
Use to identify ratio of orders and quotes resulting from automated trading.
Orders to trades
Use with scope of trades.
Quotes to trades
Use with scope of trades.
Orders and quotes to trades
Use with scope of trades.
Result returned in response to MarketDataStatisticsRequest (35=DO).
Successful (default)
Invalid or unknown market
Invalid or unknown market segment
Invalid or unknown security list
Invalid or unknown instrument(s)
Invalid parties
Trade date out of supported range
Statistic type not supported
Scope or sub-scope not supported
Scope type not supported
Market depth not supported
Frequency not supported
Statistic interval not supported
Statistic date range not supported
Statistic time range not supported
Ratio type not supported
Invalid or unknown trade input source
Invalid or unknown trading session
Unauthorized for statistic request
Other (further information in Text (58) field)
Number of market data statistics.
Unique identifier for a statistic.
Time of calculation of a statistic.
Status for a statistic to indicate its availability.
Active (default)
Inactive (not disseminated)
Statistical value.
Type of statistical value.
Absolute
Percentage
Unit of time for statistical value.
Byte length of encoded (non-ASCII characters) EncodedMDStatisticDesc(2482) field.
Encoded (non-ASCII characters) representation of the MDStatisticDesc(2455) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the MDStatisticDesc(2455) field.
Indicates the status of the risk limit check performed on a trade for this allocation instance.
Indicates the broad product or asset classification. May be used to provide grouping for the product taxonomy (Product(460), SecurityType(167), etc.) and/or the risk taxonomy (AssetClass(1938), AssetSubClass(1939), AssetType(1940), etc.).
Financials
A categorization which usually includes rates, foreign exchange, credit, bonds and equity products or assets.
Commodities
A categorization which usually includes hard commodities such as agricultural, metals, freight, energy products or assets.
Alternative investments
A categorization which usually includes weather, housing, and commodity indices products or assets.
Indicates the broad product or asset classification. May be used to provide grouping for the product taxonomy (Product(460), SecurityType(167), etc.) and/or the risk taxonomy (AssetClass(1938), AssetSubClass(1939), AssetType(1940), etc.).
Specifies which contract definition, such as those published by ISDA, will apply for the terms of the trade. See http://www.fpml.org/coding-scheme/contractual-definitions for values.
Number of financing definitions in the repeating group.
Specifies the publication date of the applicable version of the contract matrix. If not specified, the ISDA Standard Terms Supplement defines rules for which version of the matrix is applicable.
Identifies the applicable contract matrix. See http://www.fpml.org/coding-scheme/matrix-type-1-0.xml for values.
Specifies the applicable key into the relevent contract matrix. In the case of 2000 ISDA Definitions Settlement Matrix for Early Termination and Swaptions, the LegContractualMatrixTerm(42206) is not applicable and is to be omitted. See http://www.fpml.org/coding-scheme/credit-matrix-transaction-type for values.
Number of contractual matrices in the repeating group.
Encoded (non-ASCII characters) representation of the LegDocumentationText(2505) field in the encoded format specified via the MessageEncoding(347) field. If used, the ASCII (English) representation should also be specified in the LegDocumentationText(2505) field.
Byte length of encoded (non-ASCII characters) EncodedLegDocumentationText(2493) field.
Contractual currency forming the basis of a financing agreement and associated transactions. Usually, but not always, the same as the trade currency.
A reference to the date the underlying agreement specified by LegAgreementID(2498) and LegAgreementDesc(2497) was executed.
The full name of the base standard agreement, annexes and amendments in place between the principals applicable to a financing transaction. See http://www.fpml.org/coding-scheme/master-agreement-type for derivative values.
A common reference to the applicable standing agreement between the counterparties to a financing transaction.
The version of the master agreement.
Describes the type of broker confirmation executed between the parties. Can be used as an alternative to MasterConfirmationDesc(1962). See http://www.fpml.org/coding-scheme/broker-confirmation-type for values.
The date of the ISDA Credit Support Agreement executed between the parties and intended to govern collateral arrangements for all OTC derivatives transactions between those parties.
The type of ISDA Credit Support Agreement. See http://www.fpml.org/coding-scheme/credit-support-agreement-type for values.
A common reference or unique identifier to identify the ISDA Credit Support Agreement executed between the parties.
Identifies type of settlement.
A sentence or phrase pertinent to the trade, not a reference to an external document. E.g. "To be registered with the U.S. Environmental Protection Agency, Acid Rain Division, SO2 Allowance Tracking System".
End date of a financing deal, i.e. the date the seller reimburses the buyer and takes back control of the collateral.
Identification of the law governing the transaction. See http://www.fpml.org/coding-scheme/governing-law for values.
The fraction of the cash consideration that must be collateralized, expressed as a percent. A MarginRatio of 2% indicates that the value of the collateral (after deducting for "haircut") must exceed the cash consideration by 2%.
The date that an annexation to the master confirmation was executed between the parties.
Alternative to broker confirmation. The date of the confirmation executed between the parties and intended to govern all relevant transactions between those parties.
The type of master confirmation executed between the parties. See http://www.fpml.org/coding-scheme/master-confirmation-type for values.
The type of master confirmation annexation executed between the parties. See http://www.fpml.org/coding-scheme/master-confirmation-annex-type for values.
Start date of a financing deal, i.e. the date the buyer pays the seller cash and takes control of the collateral.
Type of financing termination.
Specifies the publication date of the applicable version of the contractual supplement.
Identifies the applicable contractual supplement. See http://www.fpml.org/coding-scheme/contractual-supplement for values.
Number of financing terms supplements in the repeating group.
Indicates the broad product or asset classification. May be used to provide grouping for the product taxonomy (Product(460), SecurityType(167), etc.) and/or the risk taxonomy (AssetClass(1938), AssetSubClass(1939), AssetType(1940), etc.).
The unique transaction entity identifier assigned by the firm.
The unique transaction entity identifier.
The reference to a wire transfer associated with the transaction. Wire references done via wire services such as Fedwire Output Message Accountabilitty Data "OMAD" or SWIFT Output Sequence Number "OSN".
Reject reason code for rejecting the collateral report.
Unknown trade or transaction
Unknown or invalid instrument
Unknown or invalid counterparty
Unknown or invalid position
Unacceptable or invalid type of collateral
Other
The status of the collateral report.
Accepted (successfully processed)
Received (not yet processed)
Rejected
Identifier assigned to a collection of trades so that they can be analyzed as one atomic unit for risk assessment and clearing.
Ordinal number of the trade within a series of related trades.
Used for the calculated quantity of the other side of the currency trade applicable to the allocation instance.
An encoded collateral request processing instruction to the receiver.
A unique identifier to link together a set or group of requests.
Ordinal number of the request within a set or group of requests.
Total number of request messages within a set or group of requests.
Communicates the underlying condition when the request response indicates "warning".
Encoded (non-ASCII characters) representation of the WarningText(2520) field in the encoded format specified via the MessageEncoding(347) field. If used, the ASCII (English) representation should also be specified in the WarningText(2520) field.
Byte length of encoded (non-ASCII characters) EncodedWarningtText(2521) field.
The delivery or pricing region associated with the commodity swap. See http://www.ecfr.gov/cgi-bin/text-idx?SID=660d6a40f836aa6ddf213cba080c5b22&node=ap17.2.43_17.e&rgn=div9 for the external code list.
In the context of CFTC Part 43 Appendix E requirement this represents the specific delivery point or pricing point associated with publically reportable commodity swap transactions.
The delivery or pricing region associated with the commodity swap. See http://www.ecfr.gov/cgi-bin/text-idx?SID=660d6a40f836aa6ddf213cba080c5b22&node=ap17.2.43_17.e&rgn=div9 for the external code list.
In the context of CFTC Part 43 Appendix E requirement this represents the specific delivery point or pricing point associated with publicly reportable commodity swap transactions.
Indicates whether the transaction or position was entered into between two affiliated firms. I.e. one counterparty has an ownership interest in the other counterparty but less than the majority interest.
This trade attribute was identified under and applies to the Canadian CSA trade reporting regulations.
Identifies the swap trade as an "international" transaction.
In the context of CFTC Regulation 45.3(h), an international swap is required by U.S. law and the law of another jurisdiction to be reported both to a US Swaps Data Repository and to a different trade repository registered within the other jurisdiction. The additional SDRs must be identified in the appropriate Parties component with PartyRole(452) = 102 (Data repository), PartyRoleQualifier(2376) = 11 (Additional international trade repository) and PartySubIDType(803) = 70 (Location or jurisdiction).
Indicates a swap that does not have one easily identifiable primary underlying asset, but instead involves multiple underlying assets within one trade repository's jurisdiction that belong to different asset classes.
The delivery or pricing region associated with the commodity swap. See http://www.ecfr.gov/cgi-bin/text-idx?SID=660d6a40f836aa6ddf213cba080c5b22&node=ap17.2.43_17.e&rgn=div9 for the external code list.
In the context of CFTC Part 43 Appendix E requirement this represents the specific delivery point or pricing point associated with publically reportable commodity swap transactions.
Number of relative value metrics entries in the repeating group.
Indicates the type of relative value measurement being specified.
Asset Swap Spread
ASW Spread. The asset swap spread is the difference in the bond's yield (yield to maturity) and a floating interest rate (usually LIBOR), expressed in basis points.
Overnight Indexed Swap Spread
OIS Spread. The overnight indexed swap spread is the spread, expressed in basis points, between the bond yield (the fixed rate) and an overnight indexed rate (e.g. Fed Funds rate, EONIA, SONIA, etc.) (the floating rate).
Zero Volatility Spread
Z-Spread. The zero coupon spread is the constant spread added to the reference zero coupon yield curve (usually Treasury spot rate curve), expressed in basis points, to derive the adjusted yield curve used to determine the present value of the cash flows so that it equals the dirty price of the bond (i.e. accrued interested factored in).
Discount Margin
The DM is the spread, expressed in basis points, added to the bond's reference rate that will equate the bond's cash flows to its current price.
Interpolated Spread
I-Spread or I-Curve spread. The spread, expressed in basis points, added to an interpolated point on the reference yield curve.
Option Adjusted Spread
OAS or OA-spread. Used to evaluate bonds with embedded (callable or put-able) options. The option adjusted spread is a constant spread, expressed in basis points, applied to each point on the spot rate curve (usually Treasury spot rate curve) where the bond's cash flow is received, such that the price of the bond is the same as the present value of its cash flows.
G-Spread
The spread difference between the bond's yield and the interpolated yield from the government reference yield curve, expressed in basis points. It represents the curve adjusted value of the bond by accounting for the difference between the bond's benchmark yield and the interpolated government reference yield at the same point on the curve that matches the bond's remaining life.
CDS Basis
Also referred to as CDS Bond Basis. The CDS basis is the spread difference between the CDS spread or premium for the obligor and the Z-Spread or the ASW spread of the same reference or obligor bond, expressed in basis points.
CDS Interpolated Basis
Also referred to as CDS Bond Interpolated Basis. The CDS interpolated basis is the difference between the reference or obligor bond's Z Spread or ASW spread and an interpolated point on CDS curve that matches the maturity of the reference bond, expressed in basis points.
The valuation of an instrument relative to a base measurement specified in RelativeValueType(2530). This value can be negative.
Specifies the side of the relative value.
Bid
Mid
Offer
Basis points relative to a benchmark curve on the bid side, such as LIBOR, or a known security, such as 10Y US Treasury bond. The benchmark security or curve name is specified in the SpreadOrBenchmarkCurveData component.
Basis points relative to a benchmark curve on the offer side, such as LIBOR, or a known security, such as 10Y US Treasury bond. The benchmark security or curve name is specified in the SpreadOrBenchmarkCurveData component.
Clearing settlement price.
Technical event within market data feed.
Start of instrument reference data
End of instrument reference data
Start of off-market trades
End of off-market trades
Start of order book trades
End of order book trades
Start of open interest
End of open interest
Start of settlement prices
End of settlement prices
Start of statistics reference data
End of statistics reference data
Start of statistics
End of statistics
Number of reference and market data messages in-between two MarketDataReport(35=DR) messages.
Total number of reports related to market segments.
Total number of reports related to instruments.
Total number of reports related to party detail information.
Total number of reports related to party entitlement information.
Total number of reports related to party risk limit information.
Status of market segment.
Active
Market segment is active, i.e. trading is possible.
Inactive
Market segment has previously been active and is now inactive.
Published
Market segment information is provided prior to its first activation.
Used to classify the type of market segment.
Pool
Used when multiple market segments are being grouped or pooled together.
Retail
Wholesale
Used to further categorize market segments within a MarketSegmentType(2543).
Inter-product spread
Complex instruments which consist of leg instruments from different products, e.g. a location spread which include country-specific products in each leg instrument.
Number of related market segments.
Identifies a related market segment.
Type of relationship between two or more market segments.
Market segment pool member
Market segments represent constituents of the pool identified.
Retail segment
Retail segment related to wholesale segment identified.
Wholesale segment
Wholesale segment related to retail segment identified.
Number of auction order types.
Identifies an entire suite of products for which the auction order type rule applies.
Number of rules related to price ranges.
Lower boundary for price range.
Upper boundary for price range.
Maximum range expressed as absolute value.
Maximum range expressed as percentage.
Identifies an entire suite of products in the context of trading rules related to price ranges.
Identifier for a price range rule.
The percentage factor to be applied to trading rule parameters (e.g. price ranges, size ranges, etc.) when fast market conditions are applicable.
Number of rules related to quote sizes.
Indicates whether single sided quotes are allowed.
Single sided quotes are not allowed
Single sided quotes are allowed
Number of eligibility indicators for the creation of flexible securities.
Identifies an entire suite of products which are eligible for the creation of flexible securities.
Represents the total number of multileg securities or user defined securities that make up the security.
Specifies the time interval used for netting market data in a price depth feed.
The time unit associated with the time interval of the netting of market data in a price depth feed.
Specifies the time interval between two repetitions of the same market data for cyclic recovery feeds.
The time unit associated with the time interval between two cycles of the same market data in cyclic data recovery feeds.
Primary service location identifier.
Secondary or alternate service location identifier.
Identifies an entire suite of products for which the matching rule applies.
Specifies the kind of priority given to customers.
No priority
Unconditional priority
Identifies an entire suite of products for which the price tick rule applies.
Previous day's adjusted open interest.
Previous day's unadjusted open interest.
Indicates if a given option instrument permits low exercise prices (LEPO).
Indicates if a given instrument is eligible for block trading.
Specifies the number of decimal places for instrument prices.
Specifies the number of decimal places for exercise price.
Original exercise price, e.g. after corporate action requiring changes.
Specifies a suitable settlement sub-method for a given settlement method.
Shares
Derivatives
Payment vs payment
Notional
Cascade
Repurchase
Other
Number of parameter sets for clearing prices.
Relative identification of a business day.
Constant value required for the calculation of the clearing price, e.g. for variance futures.
Constant value required for the calculation of the clearing quantity, e.g. for variance futures.
Number of trading business days in a year.
Number of trading business days over the lifetime of an instrument.
Number of actual trading business days of an instrument.
Actual or realized variance of an instrument used to calculate settlement prices, e.g. for variance futures.
Standard variance (over the lifetime of an instrument) or initial variance used to calculate settlement prices, e.g. for variance futures.
Closing price of the underlying required to calculate the RealizedVariance(2587).
Overnight interest rate.
The economic cost of the variation margin from one trading day to the next.
Specifies how the calculation will be made.
Automatic (default)
Manual
Specifies the number of miscellaneous fee sub-types.
Used to provide more granular fee types related to a value of MiscFeeType(139).
See http://www.fixtradingcommunity.org/codelists#Misc_Fee_Sub_Types for code list of applicable fees. Other fee sub-types may be used by mutual agreement of the counterparties.
Fee sub-types may include market or country specific fee.
The amount of the specified MiscFeeSubType(2634).
Can be used to provide an optional textual description of the fee sub-type.
Byte length of encoded (non-ASCII characters) EncodedMiscFeeSubTypeDesc(2638) field.
Encoded (non-ASCII characters) representation of the MiscFeeSubTypeDesc(2636) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the MiscFeeSubTypeDesc(2636) field.
The type of value in CurrentCollateralAmount(1704).
Market valuation (the default)
Portfolio value before processing pledge request
Value confirmed as "locked-up" for processing a pledge request
Credit value of collateral at CCP processing a pledge request
Unique identifier for a position entity. Refer to PosMaintRptID(721) for a unique identifier of a position report message.
A short descriptive name given to the payment, e.g. Premium, Upfront, etc. The description has no intrinsic meaning but should be arbitrarily chosen by the remitter as reference.
Number of commissions in the repeating group.
The commission amount.
Indicates what type of commission is being expressed in CommissionAmount(2640).
Unspecified
Acceptance
The bank's charge for issuing a Letter of Credit.
Broker
The executing broker's commission.
Clearing broker
The clearing broker's commission.
Retail
Commission charged by or related to retail sales.
Sales commission
The commission charged by the sales desk.
Local commission
Commission paid to local broker in a cross-border transaction.
Specifies the basis or unit used to calculate the commission.
Specifies the currency denomination of the commission amount if different from the trade's currency. Uses ISO 4217 currency codes.
The commission rate unit of measure.
Indicates the currency of the unit of measure. Conditionally required when CommissionUnitOfMeasure(2644) = Ccy (Amount of currency).
The commission rate when CommissionAmount(2640) is based on a percentage of quantity, amount per unit or a factor of "unit of measure". If the rate is a percentage or expressed in basis points, use the decimalized form, e.g. "0.05" for a 5% commission or "0.005" for 50 basis points.
Indicates whether the amount in CommissionAmount(2640) is to be shared with a third party, e.g. as part of a directed brokerage commission sharing arrangement.
Commission amount to be shared with a third party, e.g. as part of a directed brokerage commission sharing arrangement. If specified, this amount should not exceed the amount in CommissionAmount(2640).
Identifies the leg of the trade the entry applies to by referencing the leg's LegID(1788).
Description of the commission.
Byte length of the encoded (non-ASCII characters) EncodedCommissionDesc(2652) field.
Encoded (non-ASCII characters) representation of the CommissionDesc(2650) field in the encoded format specified via the MessageEncoding(347) field. If used, the ASCII (English) representation should also be specified in the CommissionDesc(2650) field.
Number of commissions in the repeating group.
The commission amount.
Indicates what type of commission is being expressed in AllocCommissionAmount(2654).
Specifies the basis or unit used to calculate the commission.
Specifies the currency denomination of the commission amount if different from the trade's currency. Uses ISO 4217 currency codes.
The commission rate unit of measure.
Indicates the currency of the unit of measure. Conditionally required when AllocCommissionUnitOfMeasure(2658) = Ccy (Currency).
The commission rate when AllocCommissionAmount(2654) is based on a percentage of quantity, amount per unit or a factor of "unit of measure". If the rate is a percentage or expressed in basis points, use the decimalized form, e.g. "0.05" for a 5% commission or "0.005" for 50 basis points.
Indicates whether the amount in AllocCommissionAmount(2654) is to be shared with a third party, e.g. as part of a directed brokerage commission sharing arrangement.
Commission amount to be shared with a third party, e.g. as part of a directed brokerage commission sharing arrangement. If specified, this amount should not exceed the amount in AllocCommissionAmount(2654).
Identifies the leg of the trade the entry applies to by referencing the leg's LegID(1788).
Description of the commission.
Byte length of the encoded (non-ASCII characters) EncodedAllocCommissionDesc(2666) field.
Encoded (non-ASCII characters) representation of the AllocCommissionDesc(2664) field in the encoded format specified via the MessageEncoding(347) field. If used, the ASCII (English) representation should also be specified in the AllocCommissionDesc(2664) field.
Indicates that the party has taken a position on both a put and a call on the same underlying asset.
The unadjusted cash settlement date.
The business day convention used to adjust the cash settlement provision's date. Used only to override the business day convention defined in the Instrument component.
Specifies the anchor date when the cash settlement date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative cash settlement date offset.
Time unit associated with the relative cash settlement date offset.
Specifies the day type of the relative cash settlement date offset.
The adjusted cash settlement date.
Number of business centers in the repeating group.
The business center calendar used for date adjustment of the cash settlement unadjusted or relative date, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
The source from which the settlement price is to be obtained.
See http://www.fpml.org/coding-scheme/settlement-price-source for values.
The default election for determining settlement price.
Close
Official closing price.
Hedge
Determined by the hedging party.
Indicates whether the official settlement price as announced by the related exchange is applicable, in accordance with the ISDA 2002 definitions. Applicable only to futures contracts.
Indicates whether the official settlement price as announced by the related exchange is applicable, in accordance with the ISDA 2002 definitions. Applicable only to options contracts.
Specifies the fallback provisions for the hedging party in the determination of the final settlement price.
Close
In respect of the "early final valuation date", the provisions for "future present value close" shall apply.
Hedge election
In respect of the "early final valuation date", the provisions for "future present value hedge execution" shall apply.
The dividend accrual floating rate index.
Time unit multiplier for the dividend accrual floating rate index curve.
Time unit associated with the dividend accrual floating rate index curve period.
A rate multiplier to apply to the floating rate. The multiplier can be less than or greater than 1 (one). This should only be included if the multiplier is not equal to 1 (one) for the term of the contract.
The basis points spread from the index specified in DividendFloatingRateIndex(42218).
Identifies whether the rate spread is applied to a long or short position.
Specifies the yield calculation treatment for the index.
The cap rate, if any, which applies to the floating rate. It is only required where the floating rate is capped at a certain level. The cap rate is assumed to be exclusive of any spread and is a per annum rate, expressed as a decimal. A cap rate of 5% would be represented as "0.05".
Reference to the buyer of the cap rate option through its trade side.
Reference to the seller of the cap rate option through its trade side.
The floor rate, if any, which applies to the floating rate. The floor rate (strike) is only required where the floating rate is floored at a certain strike level. The floor rate is assumed to be exclusive of any spread and is a per annum rate. The rate is expressed as a decimal, e.g. 5% is represented as "0.05".
Reference to the buyer of the floor rate option through its trade side.
Reference to the seller of the floor rate option through its trade side.
The initial floating rate reset agreed between the principal parties involved in the trade. This is assumed to be the first required reset rate for the first regular calculation period. It should only be included when the rate is not equal to the rate published on the source implied by the floating rate index. The initial rate is expressed in decimal form, e.g. 5% is represented as "0.05".
Specifies the rounding direction of the final rate.
Specifies the rounding precision of the final rate in terms of a number of decimal places. Note how a percentage rate rounding of 5 decimal places is expressed as a rounding precision of 7.
When averaging is applicable, used to specify whether a weighted or unweighted average method of calculation is to be used.
The specification of any provisions for calculating payment obligations when a floating rate is negative (either due to a quoted negative floating rate or by operation of a spread that is subtracted from the floating rate).
Number of entries in the DividendAccrualPaymentDateBusinessCenterGrp.
The business center calendar used for date adjustment of the instrument's dividend accrual payment date, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Specifies the anchor date when the accrual payment date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative accrual payment date offset.
Time unit associated with the relative accrual payment date offset.
Specifies the day type of the relative accrual payment date offset.
The unadjusted accrual payment date.
Accrual payment date adjustment business day convention.
The adjusted accrual payment date.
Indicates whether the dividend will be reinvested.
Defines the contract event which the receiver of the derivative is entitled to the dividend.
Ex-date
Dividend entitlement is on the dividend ex-date.
Record date
Dividend entitlement is on the dividend record date.
Indicates how the gross cash dividend amount per share is determined.
Record amount
100% of the gross cash dividend per share paid over record date during relevant dividend period.
Ex amount
100% of gross cash dividend per share paid after the ex-dividend date during relevant dividend period.
Paid amount
100% of gross cash dividend per share paid during relevant dividend period.
As specified in master confirmation
The amount is determined as provided in the relevant master confirmation.
References the dividend underlier through the instrument's UnderlyingSecurityID(309) which must be fully specified in an instance of the UnderlyingInstrument component.
Reference to the party through its side in the trade who makes the determination whether dividends are extraordinary in relation to normal levels.
Indicates how the extraordinary gross cash dividend per share is determined.
The currency in which the excess dividend is denominated. Uses ISO 4217 currency codes.
Specifies the method in which the excess amount is determined.
See http://www.fpml.org/coding-scheme/determination-method for values.
The dividend accrual fixed rate per annum expressed as a decimal.
A value of 5% would be represented as "0.05".
The compounding method to be used when more than one dividend period contributes to a single payment.
The number of index units applicable to dividends.
Declared cash dividend percentage.
A value of 5% would be represented as "0.05".
Declared cash-equivalent dividend percentage.
A value of 5% would be represented as "0.05".
Defines the treatment of non-cash dividends.
Potential adjustment event
The treatment of any non-cash dividend shall be determined in accordance with the potential adjustment event provisions.
Cash equivalent
Any non-cash dividend shall be treated as a declared cash equivalent dividend.
Defines how the composition of dividends is to be determined.
Equity amount receiver election
The equity amount receiver determines the composition of dividends (subject to conditions).
Calculation agent election
The calculation agent determines the composition of dividends (subject to conditions).
Indicates whether special dividends are applicable.
Indicates whether material non-cash dividends are applicable.
Indicates whether option exchange dividends are applicable.
Indicates whether additional dividends are applicable.
Represents the European Master Confirmation value of 'All Dividends' which, when applicable, signifies that, for a given Ex-Date, the daily observed share price for that day is adjusted (reduced) by the cash dividend and/or the cash value of any non-cash dividend per share (including extraordinary dividends) declared by the issuer.
Specifies the anchor date when the FX trigger date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative FX trigger date offset.
Time unit associated with the relative FX trigger date offset.
Specifies the day type of the relative FX trigger date offset.
The unadjusted FX trigger date.
The business day convention used for the FX trigger date adjustment.
The adjusted FX trigger date.
Number of entries in the DividendFXTriggerDateBusinessCenterGrp.
The business center calendar used for date adjustment of the instrument's FX trigger date, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Number of entries in the DividendPeriodGrp component.
Defines the ordinal dividend period. E.g. 1 = First period, 2 = Second period, etc.
The unadjusted date on which the dividend period will begin.
The unadjusted date on which the dividend period will end.
References the dividend underlier through the instrument's UnderlyingSecurityID(309) which must be fully specified in an instance of the UnderlyingInstrument component.
Specifies the fixed strike price of the dividend period.
The dividend period dates business day convention.
The unadjusted dividend period valuation date.
Specifies the anchor date when the dividend period valuation date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative dividend period valuation date offset.
Time unit associated with the relative dividend period valuation date offset.
Specifies the day type of the relative dividend period valuation date offset.
The adjusted dividend period valuation date.
The unadjusted dividend period payment date.
Specifies the anchor date when the dividend period payment date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative dividend period payment date offset.
Time unit associated with the relative dividend period payment date offset.
Specifies the day type of the relative dividend period payment date offset.
The adjusted dividend period payment date.
Identifier for linking this stream dividend period to an underlier through an instance of RelatedInstrumentGrp.
Number of entries in the DividendPeriodBusinessCenterGrp.
The business center calendar used for date adjustment of the instrument's dividend period date, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Number of extraordinary events in the repeating group.
Identifies the type of extraordinary or disruptive event applicable to the reference entity.
See http://www.fixtradingcommunity.org/codelists#Extraordinary_Event_Type for code list of extraordinary event types and values.
The extraordinary or disruptive event value appropriate to ExtraordinaryEventType(42297).
See http://www.fixtradingcommunity.org/codelists#Extraordinary_Event_Type for code list of extraordinary event types and values.
The point on the floating rate index curve. Sample values:
M = combination of a number between 1-12 and an "M" for month, e.g. 3M
Y = combination of number between 1-100 and a "Y" for year, e.g. 10Y
10Y-OLD = see above, then add "-OLD" when appropriate
INTERPOLATED = the point is mathematically derived
2/2031 5 3/8 = the point is stated via a combination of maturity month / year and coupon.
The quote side from which the index price is to be determined.
Bid
Mid
Offer
Defines how adjustments will be made to the contract should one or more of the extraordinary events occur.
Calculation agent
The Calculation Agent has the right to adjust the terms of the trade following a corporate action.
Options exchange
The trade will be adjusted in accordance with any adjustment made by the exchange on which options on the underlying are listed.
For a share option trade, indicates whether the instrument is to be treated as an 'exchange look-alike'.
This designation has significance for how share adjustments (arising from corporate actions) will be determined for the instrument. For an 'exchange look-alike' instrument the relevant share adjustments will follow that for a corresponding designated contract listed on the related exchange (referred to as Options Exchange Adjustment (ISDA defined term)), otherwise the share adjustments will be determined by the calculation agent (referred to as Calculation Agent Adjustment (ISDA defined term)).
The point on the floating rate index curve. Sample values:
M = combination of a number between 1-12 and an "M" for month, e.g. 3M
Y = combination of number between 1-100 and a "Y" for year, e.g. 10Y
10Y-OLD = see above, then add "-OLD" when appropriate
INTERPOLATED = the point is mathematically derived
2/2031 5 3/8 = the point is stated via a combination of maturity month / year and coupon.
The quote side from which the index price is to be determined.
Defines how adjustments will be made to the contract should one or more of the extraordinary events occur.
For a share option trade, indicates whether the instrument is to be treated as an 'exchange look-alike'.
This designation has significance for how share adjustments (arising from corporate actions) will be determined for the instrument. For an 'exchange look-alike' instrument the relevant share adjustments will follow that for a corresponding designated contract listed on the related exchange (referred to as Options Exchange Adjustment (ISDA defined term)), otherwise the share adjustments will be determined by the calculation agent (referred to as Calculation Agent Adjustment (ISDA defined term)).
The unadjusted cash settlement date.
The business day convention used to adjust the cash settlement provision's date. Used only to override the business day convention defined in the InstrumentLeg component.
Specifies the anchor date when the cash settlement date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative cash settlement date offset.
Time unit associated with the relative cash settlement date offset.
Specifies the day type of the relative cash settlement date offset.
The adjusted cash settlement date.
Number of business centers in the repeating group.
The business center calendar used for date adjustment of the cash settlement unadjusted or relative date, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
The source from which the settlement price is to be obtained.
See http://www.fpml.org/coding-scheme/settlement-price-source for values.
The default election for determining settlement price.
Indicates whether the official settlement price as announced by the related exchange is applicable, in accordance with the ISDA 2002 definitions. Applicable only to futures contracts.
Indicates whether the official settlement price as announced by the related exchange is applicable, in accordance with the ISDA 2002 definitions. Applicable only to options contracts.
Specifies the fallback provisions for the hedging party in the determination of the final settlement price
Number of entries in the LegDividendAccrualPaymentDateBusinessCenterGrp.
The business center calendar used for date adjustment of the instrument's dividend accrual payment date, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
The dividend accrual floating rate index.
Time unit multiplier for the dividend accrual floating rate index curve.
Time unit associated with the dividend accrual floating rate index curve period.
A rate multiplier to apply to the floating rate. The multiplier can be less than or greater than 1 (one). This should only be included if the multiplier is not equal to 1 (one) for the term of the contract.
The basis points spread from the index specified in LegDividendFloatingRateIndex(42312).
Identifies whether the rate spread is applied to a long or short position.
Specifies the yield calculation treatment for the index.
The cap rate, if any, which applies to the floating rate. It is only required where the floating rate is capped at a certain level. The cap rate is assumed to be exclusive of any spread and is a per annum rate, expressed as a decimal. A cap rate of 5% would be represented as "0.05".
Reference to the buyer of the cap rate option through its trade side.
Reference to the seller of the cap rate option through its trade side.
The floor rate, if any, which applies to the floating rate. The floor rate (strike) is only required where the floating rate is floored at a certain strike level. The floor rate is assumed to be exclusive of any spread and is a per annum rate. The rate is expressed as a decimal, e.g. 5% is represented as "0.05".
Reference to the buyer of the floor rate option through its trade side.
Reference to the seller of the floor rate option through its trade side.
The initial floating rate reset agreed between the principal parties involved in the trade. This is assumed to be the first required reset rate for the first regular calculation period. It should only be included when the rate is not equal to the rate published on the source implied by the floating rate index. The initial rate is expressed in decimal form, e.g. 5% is represented as "0.05".
Specifies the rounding direction of the final rate.
Specifies the rounding precision of the final rate in terms of a number of decimal places. Note how a percentage rate rounding of 5 decimal places is expressed as a rounding precision of 7.
When averaging is applicable, used to specify whether a weighted or unweighted average method of calculation is to be used.
The specification of any provisions for calculating payment obligations when a floating rate is negative (either due to a quoted negative floating rate or by operation of a spread that is subtracted from the floating rate).
Specifies the anchor date when the accrual payment date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative accrual payment date offset.
Time unit associated with the relative accrual payment date offset.
Specifies the day type of the relative accrual payment date offset.
The unadjusted accrual payment date.
Accrual payment date adjustment business day convention.
The adjusted accrual payment date.
Indicates whether the dividend will be reinvested.
Defines the contract event which the receiver of the derivative is entitled to the dividend.
Indicates how the gross cash dividend amount per share is determined.
References the dividend underlier through the instrument's UnderlyingSecurityID(309) which must be fully specified in an instance of the UnderlyingInstrument component.
Reference to the party through its side in the trade who makes the determination whether dividends are extraordinary in relation to normal levels.
Indicates how the extraordinary gross cash dividend per share is determined.
The currency in which the excess dividend is denominated. Uses ISO 4217 currency codes.
Specifies the method in which the excess amount is determined.
See http://www.fpml.org/coding-scheme/determination-method for values.
The dividend accrual fixed rate per annum expressed as a decimal.
A value of 5% would be represented as "0.05".
The compounding method to be used when more than one dividend period contributes to a single payment.
The number of index units applicable to dividends.
Declared cash dividend percentage.
A value of 5% would be represented as "0.05".
Declared cash-equivalent dividend percentage.
A value of 5% would be represented as "0.05".
Defines the treatment of non-cash dividends.
Defines how the composition of dividends is to be determined.
Indicates whether special dividends are applicable.
Indicates whether material non-cash dividends are applicable.
Indicates whether option exchange dividends are applicable.
Indicates whether additional dividends are applicable.
Represents the European Master Confirmation value of 'All Dividends' which, when applicable, signifies that, for a given Ex-Date, the daily observed share price for that day is adjusted (reduced) by the cash dividend and/or the cash value of any non-cash dividend per share (including extraordinary dividends) declared by the issuer.
Specifies the anchor date when the FX trigger date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative FX trigger date offset.
Time unit associated with the relative FX trigger date offset.
Specifies the day type of the relative FX trigger date offset.
The unadjusted FX trigger date.
The business day convention used for the FX trigger date adjustment.
The adjusted FX trigger date.
Number of entries in the LegDividendFXTriggerDateBusinessCenterGrp.
The business center calendar used for date adjustment of the instrument's FX trigger date, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Number of entries in the LegDividendPeriodGrp component.
Defines the ordinal dividend period. E.g. 1 = First period, 2 = Second period, etc.
The unadjusted date on which the dividend period will begin.
The unadjusted date on which the dividend period will end.
References the dividend underlier through the instrument's UnderlyingSecurityID(309) which must be fully specified in an instance of the UnderlyingInstrument component.
Specifies the fixed strike price of the dividend period.
The dividend period dates business day convention.
The unadjusted dividend period valuation date.
Specifies the anchor date when the dividend period valuation date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative dividend period valuation date offset.
Time unit associated with the relative dividend period valuation date offset.
Specifies the day type of the relative dividend period valuation date offset.
The adjusted dividend period valuation date.
The unadjusted dividend period payment date.
Specifies the anchor date when the dividend period payment date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative dividend period payment date offset.
Time unit associated with the relative dividend period payment date offset.
Specifies the day type of the relative dividend period payment date offset.
The adjusted dividend period payment date.
Identifier for linking this stream dividend period to an underlier through an instance of RelatedInstrumentGrp.
The number of entries in the LegDividendPeriodBusinessCentersGrp component.
The business center calendar used for date adjustment of the instrument's dividend period date, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Number of extraordinary events in the repeating group.
Identifies the type of extraordinary or disruptive event applicable to the reference entity.
See http://www.fixtradingcommunity.org/codelists#Extraordinary_Event_Type for code list of extraordinary event types and values.
The extraordinary or disruptive event value appropriate to LegExtraordinaryEventType(42389).
See http://www.fixtradingcommunity.org/codelists#Extraordinary_Event_Type for code list of extraordinary event types and values.
Side value of the party electing the settlement method.
The date through which option cannot be exercised without penalty.
Amount to be paid by the buyer of the option if the option is exercised prior to the LegMakeWholeDate(42392).
Identifies the benchmark floating rate index.
The point on the floating rate index curve.
Sample values:
M = combination of a number between 1-12 and an "M" for month, e.g. 3M
Y = combination of number between 1-100 and a "Y" for year, e.g. 10Y
10Y-OLD = see above, then add "-OLD" when appropriate
INTERPOLATED = the point is mathematically derived
2/2031 5 3/8 = the point is stated via a combination of maturity month / year and coupon.
Spread over the floating rate index.
The quote side of the benchmark to be used for calculating the "make whole" amount.
The method used when calculating the "make whole" amount. The most common is linear method.
Indicates whether cash settlement is applicable.
Reference to the stream which details the compounding fixed or floating rate.
The spread to be used for compounding. Used in scenarios where the interest payment is based on a compounding formula that uses a compounding spread in addition to the regular spread.
The method used when calculating the index rate from multiple points on the curve. The most common is linear method.
Defines applicable periods for interpolation.
The compounding fixed rate applicable to the payment stream.
Number of dates in the repeating group.
The compounding date. Type of date is specified in LegPaymentStreamCompoundingDateType(42407).
Specifies the type of payment compounding date (e.g. adjusted for holidays).
The compounding dates business day convention.
Specifies the anchor date when the compounding dates are relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative compounding date offset.
Time unit associated with the relative compounding date offset.
Specifies the day type of the relative compounding date offset.
The number of periods in the "RelativeTo" schedule that are between each date in the compounding schedule. A skip of 2 would mean that compounding dates are relative to every second date in the "RelativeTo" schedule. If present this should have a value greater than 1.
Time unit multiplier for the frequency at which compounding dates occur.
Time unit associated with the frequency at which compounding dates occur.
The convention for determining the sequence of compounding dates. It is used in conjunction with a specified frequency.
The unadjusted first date of the compounding schedule. This can be used to restrict the range of dates when they are relative.
The unadjusted last date of the compounding schedule. This can be used to restrict the range of dates when they are relative.
Number of business centers in the repeating group.
The business center calendar used for date adjustment of the payment stream compounding dates, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
The unadjusted compounding end date.
Specifies the anchor date when the compounding end date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative compounding end date offset.
Time unit associated with the relative compounding end date offset.
Specifies the day type of the relative compounding end date offset.
The adjusted compounding end date.
The payment stream's compounding floating rate index.
Time unit multiplier for the payment stream's compounding floating rate index curve period.
Time unit associated with the payment stream's compounding floating rate index curve period.
A rate multiplier to apply to the compounding floating rate. The multiplier can be less than or greater than 1 (one). This should only be included if the multiplier is not equal to 1 (one) for the term of the stream.
The basis points spread from the index specified in LegPaymentStreamCompoundingRateIndex(42427).
Identifies whether the rate spread is applied to a long or short position.
Specifies the yield calculation treatment for the index.
The cap rate, if any, which applies to the compounding floating rate. It is only required where the compounding floating rate on a swap stream is capped at a certain level. The cap rate is assumed to be exclusive of any spread and is a per annum rate, expressed as a decimal. A cap rate of 5% would be represented as "0.05".
Reference to the buyer of the compounding cap rate option through its trade side.
Reference to the seller of the compounding cap rate option through its trade side.
The floor rate, if any, which applies to the compounding floating rate. The floor rate (strike) is only required where the compounding floating rate on a swap stream is floored at a certain strike level. The floor rate is assumed to be exclusive of any spread and is a per annum rate. The rate is expressed as a decimal, e.g. 5% is represented as "0.05".
Reference to the buyer of the compounding floor rate option through its trade side.
Reference to the seller of the floor rate option through its trade side.
The initial compounding floating rate reset agreed between the principal parties involved in the trade. It should only be included when the rate is not equal to the rate published on the source implied by the floating rate index. The initial rate is expressed in decimal form, e.g. 5% is represented as "0.05".
Specifies the rounding direction for the compounding floating rate.
Specifies the compounding floating rate rounding precision in terms of a number of decimal places. Note how a percentage rate rounding of 5 decimal places is expressed as a rounding precision of 7.
Specifies the averaging method when compounding floating rate averaging is applicable (e.g. weighted or unweighted).
Specifies the method for calculating payment obligations when a compounding floating rate is negative (either due to a quoted negative floating rate or by operation of a spread that is subtracted from the floating rate).
The unadjusted compounding start date.
Specifies the anchor date when the compounding start date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative compounding start date offset.
Time unit associated with the relative compounding start date offset.
Specifies the day type of the relative compounding start date offset.
The adjusted compounding start date.
Length in bytes of the LegPaymentStreamFormulaImage(42452) field.
Image of the formula image when represented through an encoded clip in base64Binary.
The unadjusted final price payment date.
Specifies the anchor date when the final price payment date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative final price payment date offset.
Time unit associated with the relative final price payment date offset.
Specifies the day type of the relative final price payment date offset.
The adjusted final price payment date.
Number of fixing dates in the repeating group.
The fixing date. Type of date is specified in LegPaymentStreamFixingDateType(42461).
Specifies the type of fixing date (e.g. adjusted for holidays).
The unadjusted initial price observation date.
Specifies the anchor date when the initial price observation date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Specifies the day type of the initial price observation date offset.
The adjusted initial price observation date.
References the dividend underlier through the instrument's UnderlyingSecurityID(309) which must be fully specified in an instance of the UnderlyingInstrument component.
Indicates whether the term "Equity Notional Reset" as defined in the ISDA 2002 Equity Derivatives Definitions is applicable ("Y") or not.
Price level at which the correlation or variance swap contract will strike.
Indicates whether the correlation or variance swap contract will ("Y") strike off the closing level of the default exchange traded contract or not.
Indicates whether the correlation or variance swap contract will ("Y") strike off the expiring level of the default exchange traded contract or not.
The expected number of trading days in the variance or correlation swap stream.
The strike price of a correlation or variance swap stream.
For a variance swap specifies how LegPaymentStreamLinkStrikePrice(42472) is expressed.
Specifies the maximum or upper boundary for variance or strike determination.
For a variation swap stream all observations above this price level will be excluded from the variance calculation.
For a correlation swap stream the maximum boundary is a percentage of the strike price.
Specifies the minimum or lower boundary for variance or strike determination.
For a variation swap stream all observations below this price level will be excluded from the variance calculation.
For a correlation swap stream the minimum boundary is a percentage of the strike price.
Number of data series for a correlation swap. Normal market practice is that correlation data sets are drawn from geographic market areas, such as America, Europe and Asia Pacific. Each of these geographic areas will have its own data series to avoid contagion.
Indicates the scaling factor to be multiplied by the variance strike price thereby making variance cap applicable.
Indicates which price to use to satisfy the boundary condition.
Indicates whether the contract specifies that the notional should be scaled by the number of days in range divided by the estimate trading days or not. The number of "days in range" refers to the number of returns that contribute to the realized volatility.
References a contract listed on an exchange through the instrument's UnderlyingSecurityID(309) which must be fully specified in an instance of the UnderlyingInstrument component.
Vega Notional represents the approximate gain/loss at maturity for a 1% difference between RVol (realized volatility) and KVol (strike volatility). It does not necessarily represent the Vega risk of the trade.
The currency in which the formula amount is denominated. Uses ISO 4217 currency codes.
Specifies the method according to which the formula amount currency is determined.
See http://www.fpml.org/coding-scheme/determination-method for values.
Specifies the reference amount when this term either corresponds to the standard ISDA Definition (either the 2002 Equity Definition for the Equity Amount, or the 2000 Definition for the Interest Amount), or refers to a term defined elsewhere in the swap document.
See http://www.fixtradingcommunity.org/codelists#Payment_Amount_Relative_To for code list of reference amounts.
Number of formulas in the repeating group.
Contains an XML representation of the formula. Defined for flexibility in choice of language (MathML, OpenMath or text).
A description of the math formula in LegPaymentStreamFormula(42486).
The unadjusted stub end date.
The stub end date business day convention.
Specifies the anchor date when the stub end date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative stub end date offset.
Time unit associated with the relative stub end date offset.
Specifies the day type of the relative stub end date offset.
The adjusted stub end date.
Number of business centers in the repeating group.
The business center calendar used for date adjustment of the payment stub end date, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
The unadjusted stub start date.
The stub start date business day convention.
Specifies the anchor date when the stub start date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative stub start date offset.
Time unit associated with the relative stub start date offset.
Specifies the day type of the relative stub start date offset.
The adjusted stub start date.
Number of business centers in the repeating group.
The business center calendar used for date adjustment of the payment stub start date, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Type of fee elected for the break provision.
Break fee election rate when the break fee is proportional to the notional. A fee rate of 5% would be represented as "0.05".
Number of iterations in the return rate date repeating group.
Specifies the valuation type applicable to the return rate date.
Specifies the anchor date when the return rate valuation dates are relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative return rate valuation date offset.
Time unit associated with the relative return rate valuation date offset.
Specifies the day type of the relative return rate valuation date offset.
The unadjusted start date for return rate valuation. This can be used to restrict the range of dates when they are relative.
Specifies the anchor date when the return rate valuation start date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative return rate valuation start date offset.
Time unit associated with the relative return rate valuation start date offset.
Specifies the day type of the relative return rate valuation start date offset.
The adjusted start date for return rate valuation. This can be used to restrict the range of dates when they are relative.
The unadjusted end date for return rate valuation. This can be used to restrict the range of dates when they are relative.
Specifies the anchor date when the return rate valuation end date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative return rate valuation end date offset.
Time unit associated with the relative return rate valuation end date offset.
Specifies the day type of the relative return rate valuation end date offset.
The adjusted end date for return rate valuation. This can be used to restrict the range of dates when they are relative.
Time unit multiplier for the frequency at which return rate valuation dates occur.
Time unit associated with the frequency at which return rate valuation dates occur.
The convention for determining the sequence of return rate valuation dates. It is used in conjunction with a specified frequency.
The return rate valuation dates business day convention.
Number of iterations in the return rate FX conversion repeating group.
Specifies the currency pair for the FX conversion expressed using the CCY1/CCY2 convention. Uses ISO 4217 currency codes.
The rate of exchange between the two currencies specified in LegReturnRateFXCurrencySymbol(42531).
The rate of exchange between the two currencies specified in LegReturnRateFXCurrencySymbol(42531).
Number of iterations in the return rate repeating group.
Specifies the type of price sequence of the return rate.
Specifies the basis or unit used to calculate the commission.
The commission amount.
Specifies the currency the commission amount is denominated in. Uses ISO 4217 currency codes.
The total commission per trade.
Specifies the method by which the underlier prices are determined.
See http://www.fpml.org/coding-scheme/determination-method for values.
Specifies the reference amount when the return rate amount is relative to another amount in the trade.
See http://www.fixtradingcommunity.org/codelists#Amount_Relative_To for code list of relative amounts.
Specifies the type of the measure applied to the return rate's asset, e.g. valuation, sensitivity risk. This could be an NPV, a cash flow, a clean price, etc.
See http://www.fpml.org/coding-scheme/asset-measure for values.
Specifies the units that the measure is expressed in. If not specified, the default is a price/value in currency units.
See http://www.fpml.org/coding-scheme/price-quote-units for values.
Specifies the type of quote used to determine the return rate of the swap.
Specifies the currency the return rate quote is denominated in. Uses ISO 4217 Currency Code.
Specifies the type of currency, e.g. settlement currency, base currency, etc., that the quote is reported in.
See http://www.fpml.org/coding-scheme/reporting-currency-type for values.
Specifies how or the timing when the quote is to be obtained.
The time when the quote is to be generated.
The date when the quote is to be generated.
The time when the quote ceases to be valid.
The business center calendar used for adjustments associated with LegReturnRateQuoteTimeType(42547) or LegReturnRateQuoteTime(42548) and LegReturnRateQuoteDate(42549), e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Specifies the exchange (e.g. stock or listed futures/options exchange) from which the quote is obtained.
Specifies the pricing model used to evaluate the underlying asset price.
See http://www.fpml.org/coding-scheme/pricing-model for values.
Specifies the type of cash flows, e.g. coupon payment, premium fee, settlement fee, etc.
See http://www.fpml.org/coding-scheme/cashflow-type for values.
Specifies the timing at which the calculation agent values the underlying.
The time at which the calculation agent values the underlying asset.
The business center calendar used for adjustments associated with LegReturnRateValuationTimeType(42555) or LegReturnRateValuationTime(42556), e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Indicates whether an ISDA price option applies, and if applicable which type of price.
Specifies the fallback provision for the hedging party in the determination of the final price.
Number of iterations in the return rate information source repeating group.
Identifies the source of rate information. For FX the references source to be used for the FX spot rate.
Identifies the reference "page" from the rate source.
For FX, the reference page to the spot rate to be used for the reference FX spot rate.
When LegReturnRateInformationSource(42561) = 3 (ISDA Settlement Rate Option) this contains the value from the scheme that reflects the terms of the Annex A to the ISDA 1998 FX and Currency Option Definitions.
See: http://www.fpml.org/coding-scheme/settlement-rate-option.
Identifies the page heading from the rate source.
Number of iterations in the return rate price repeating group.
The basis of the return price.
Specifies the price of the underlying swap asset.
Specifies the currency of the price of the leg swap asset. Uses ISO 4217 currency codes.
Specifies whether the LegReturnRatePrice(42566) is expressed in absolute or relative terms.
Number of iterations in the return rate valuation date business center repeating group.
The business center calendar used for date adjustment of the return rate valuation unadjusted or relative dates, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Number of iterations in the return rate valuation date repeating group.
The return rate valuation date. The type of date is specified in LegReturnRateValuationDateType(42573).
Specifies the type of return rate valuation date (e.g. adjusted for holidays).
The unadjusted settlement method election date.
The settlement method election date adjustment business day convention.
Specifies the anchor date when the settlement method election date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative settlement method election date offset.
Time unit associated with the relative settlement method election date offset.
Specifies the day type of the relative settlement method election date offset.
The adjusted settlement method election date.
Number of business centers in the repeating group.
The business center calendar used for date adjustment of the settlement method election unadjusted or relative date, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
The stream version identifier when there have been modifications to the contract over time. Helps signal when there are embedded changes.
The effective date of the LegStreamVersion(42583).
Specifies the method for determining the floating notional value for equity swaps.
See http://www.fpml.org/coding-scheme/determination-method for values.
For equity swaps this specifies the conditions that govern the adjustment to the number of units of the swap.
Side value of the party electing the settlement method.
The date through which option cannot be exercised without penalty.
Amount to be paid by the buyer of the option if the option is exercised prior to the MakeWholeDate(42591).
Identifies the benchmark floating rate index.
The point on the floating rate index curve.
Sample values:
M = combination of a number between 1-12 and an "M" for month, e.g. 3M
Y = combination of number between 1-100 and a "Y" for year, e.g. 10Y
10Y-OLD = see above, then add "-OLD" when appropriate
INTERPOLATED = the point is mathematically derived
2/2031 5 3/8 = the point is stated via a combination of maturity month / year and coupon.
Spread over the floating rate index.
The quote side of the benchmark to be used for calculating the "make whole" amount.
The method used when calculating the "make whole" amount. The most common is linear method.
Specifies the reference amount when the payment amount is relative to another amount in the message.
See http://www.fixtradingcommunity.org/codelists#Payment_Amount_Relative_To for code list of relative amounts.
Specifies the method by which a payment amount is determined.
See http://www.fpml.org/coding-scheme/determination-method for values.
Indicates whether cash settlement is applicable.
Reference to the stream which details the compounding fixed or floating rate.
The spread to be used for compounding. Used in scenarios where the interest payment is based on a compounding formula that uses a compounding spread in addition to the regular spread.
The method used when calculating the index rate from multiple points on the curve. The most common is linear method.
Defines applicable periods for interpolation.
Initial
Interpolation is applicable to the initial period only.
Initial and final
Interpolation is applicable to the initial and final periods only.
Final
Interpolation is applicable to the final period only.
Any period
Interpolation is applicable to any non-standard period.
The compounding fixed rate applicable to the payment stream.
Number of dates in the repeating group.
The compounding date. The type of date is specified in PaymentStreamCompoundingDateType(42608).
Specifies the type of payment compounding date (e.g. adjusted for holidays).
The compounding dates business day convention.
Specifies the anchor date when the compounding dates are relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative compounding date offset.
Time unit associated with the relative compounding date offset.
Specifies the day type of the relative compounding date offset.
The number of periods in the "RelativeTo" schedule that are between each date in the compounding schedule. A skip of 2 would mean that compounding dates are relative to every second date in the "RelativeTo" schedule. If present this should have a value greater than 1.
Time unit multiplier for the frequency at which compounding dates occur.
Time unit associated with the frequency at which compounding dates occur.
The convention for determining the sequence of compounding dates. It is used in conjunction with a specified frequency.
The unadjusted first date of the compounding schedule. This can be used to restrict the range of dates when they are relative.
The unadjusted last date of the compounding schedule. This can be used to restrict the range of dates when they are relative.
Number of business centers in the repeating group.
The business center calendar used for date adjustment of the payment stream compounding dates, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
The unadjusted compounding end date.
Specifies the anchor date when the compounding end date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative compounding end date offset.
Time unit associated with the relative compounding end date offset.
Specifies the day type of the relative compounding end date offset.
The adjusted compounding end date.
The payment stream's compounding floating rate index.
Time unit multiplier for the payment stream's compounding floating rate index curve period.
Time unit associated with the payment stream's compounding floating rate index curve period.
A rate multiplier to apply to the compounding floating rate. The multiplier can be less than or greater than 1 (one). This should only be included if the multiplier is not equal to 1 (one) for the term of the stream.
The basis points spread from the index specified in PaymentStreamCompoundingRateIndex(42628).
Identifies whether the rate spread is applied to a long or short position.
Specifies the yield calculation treatment for the index.
The cap rate, if any, which applies to the compounding floating rate. It is only required where the compounding floating rate on a swap stream is capped at a certain level. The cap rate is assumed to be exclusive of any spread and is a per annum rate, expressed as a decimal. A cap rate of 5% would be represented as "0.05".
Reference to the buyer of the compounding cap rate option through its trade side.
Reference to the seller of the compounding cap rate option through its trade side.
The floor rate, if any, which applies to the compounding floating rate. The floor rate (strike) is only required where the compounding floating rate on a swap stream is floored at a certain strike level. The floor rate is assumed to be exclusive of any spread and is a per annum rate. The rate is expressed as a decimal, e.g. 5% is represented as "0.05".
Reference to the buyer of the compounding floor rate option through its trade side.
Reference to the seller of the floor rate option through its trade side.
The initial compounding floating rate reset agreed between the principal parties involved in the trade. It should only be included when the rate is not equal to the rate published on the source implied by the floating rate index. The initial rate is expressed in decimal form, e.g. 5% is represented as "0.05".
Specifies the rounding direction for the compounding floating rate.
Specifies the compounding floating rate rounding precision in terms of a number of decimal places. Note how a percentage rate rounding of 5 decimal places is expressed as a rounding precision of 7.
Specifies the averaging method when compounding floating rate averaging is applicable (e.g. weighted or unweighted).
Specifies the method for calculating payment obligations when a compounding floating rate is negative (either due to a quoted negative floating rate or by operation of a spread that is subtracted from the floating rate).
The unadjusted compounding start date.
Specifies the anchor date when the compounding start date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative compounding start date offset.
Time unit associated with the relative compounding start date offset.
Specifies the day type of the relative compounding start date offset.
The adjusted compounding start date.
Length in bytes of the PaymentStreamFormulaImage(42563) field.
Image of the formula image when represented through an encoded clip in base64Binary.
The unadjusted final price payment date.
Specifies the anchor date when the final price payment date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative final price payment date offset.
Time unit associated with the relative final price payment date offset.
Specifies the day type of the relative final price payment date offset.
The adjusted final price payment date.
Number of fixing dates in the repeating group.
The fixing date. The type of date is specified in PaymentStreamFixingDateType(42662).
Specifies the type of fixing date (e.g. adjusted for holidays).
The unadjusted initial price observation date.
Specifies the anchor date when the initial price observation date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Specifies the day type of the initial price observation date offset.
The adjusted initial price observation date.
References the dividend underlier through the instrument's UnderlyingSecurityID(309) which must be fully specified in an instance of the UnderlyingInstrument component.
Indicates whether the term "Equity Notional Reset" as defined in the ISDA 2002 Equity Derivatives Definitions is applicable ("Y") or not.
Price level at which the correlation or variance swap contract will strike.
Indicates whether the correlation or variance swap contract will ("Y") strike off the closing level of the default exchange traded contract or not.
Indicates whether the correlation or variance swap contract will ("Y") strike off the expiring level of the default exchange traded contract or not.
The expected number of trading days in the variance or correlation swap stream.
The strike price of a correlation or variance swap stream.
For a variance swap specifies how PaymentStreamLinkStrikePrice(42673) is expressed.
Volatility
Variance
Specifies the maximum or upper boundary for variance or strike determination.
For a variation swap stream all observations above this price level will be excluded from the variance calculation.
For a correlation swap stream the maximum boundary is a percentage of the strike price.
Specifies the minimum or lower boundary for variance or strike determination.
For a variation swap stream all observations below this price level will be excluded from the variance calculation.
For a correlation swap stream the minimum boundary is a percentage of the strike price.
Number of data series for a correlation swap. Normal market practice is that correlation data sets are drawn from geographic market areas, such as America, Europe and Asia Pacific. Each of these geographic areas will have its own data series to avoid contagion.
Indicates the scaling factor to be multiplied by the variance strike price thereby making variance cap applicable.
Indicates which price to use to satisfy the boundary condition.
Previous
For a return on day T, the observed price on T-1 must be in range.
Last
For a return on day T, the observed price on T must be in range.
Both
For a return on day T, the observed prices on both T and T-1 must be in range.
Indicates whether the contract specifies that the notional should be scaled by the number of days in range divided by the estimate trading days or not. The number of "days in range" refers to the number of returns that contribute to the realized volatility.
References a contract listed on an exchange through the instrument's UnderlyingSecurityID(309) which must be fully specified in an instance of the UnderlyingInstrument component.
"Vega Notional" represents the approximate gain/loss at maturity for a 1% difference between RVol (realised volatility) and KVol (strike volatility). It does not necessarily represent the Vega risk of the trade.
Number of formulas in the repeating group.
Contains an XML representation of the formula. Defined for flexibility in choice of language (MathML, OpenMath or text).
A description of the math formula in PaymentStreamFormula(42684).
The currency in which the formula amount is denominated. Uses ISO 4217 currency codes.
Specifies the method according to which the formula amount currency is determined.
See http://www.fpml.org/coding-scheme/determination-method for values.
Specifies the reference amount when this term either corresponds to the standard ISDA Definition (either the 2002 Equity Definition for the Equity Amount, or the 2000 Definition for the Interest Amount), or refers to a term defined elsewhere in the swap document.
See http://www.fixtradingcommunity.org/codelists#Payment_Amount_Relative_To for code list of reference amounts.
The unadjusted stub end date.
The stub end date business day convention.
Specifies the anchor date when the stub end date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative stub end date offset.
Time unit associated with the relative stub end date offset.
Specifies the day type of the relative stub end date offset.
The adjusted stub end date.
Number of business centers in the repeating group.
The business center calendar used for date adjustment of the payment stub end date, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
The unadjusted stub start date.
The stub start date business day convention.
Specifies the anchor date when the stub start date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative stub start date offset.
Time unit associated with the relative stub start date offset.
Specifies the day type of the relative stub start date offset.
The adjusted stub start date.
Number of business centers in the repeating group.
The business center calendar used for date adjustment of the payment stub start date, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Type of fee elected for the break provision.
Flat fee
Amortized fee
Funding fee
Flat fee and funding fee
Amortized fee and funding fee
Break fee election rate when the break fee is proportional to the notional. A fee rate of 5% would be represented as "0.05".
The DividendPeriodXID(42293) of the stream dividend period with which the related instrument has correlation.
Number of iterations in the return rate date repeating group.
Specifies the valuation type applicable to the return rate date.
Price valuation
Dividend valuation
Specifies the anchor date when the return rate valuation dates are relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative return rate valuation date offset.
Time unit associated with the relative return rate valuation date offset.
Specifies the day type of the relative return rate valuation date offset.
The unadjusted start date for return rate valuation. This can be used to restrict the range of dates when they are relative.
Specifies the anchor date when the return rate valuation start date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative return rate valuation start date offset.
Time unit associated with the relative return rate valuation start date offset.
Specifies the day type of the relative return rate valuation start date offset.
The adjusted start date for return rate valuation. This can be used to restrict the range of dates when they are relative.
The unadjusted end date for return rate valuation. This can be used to restrict the range of dates when they are relative.
Specifies the anchor date when the return rate valuation end date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative return rate valuation end date offset.
Time unit associated with the relative return rate valuation end date offset.
Specifies the day type of the relative return rate valuation end date offset.
The adjusted end date for return rate valuation. This can be used to restrict the range of dates when they are relative.
Time unit multiplier for the frequency at which return rate valuation dates occur.
Time unit associated with the frequency at which return rate valuation dates occur.
The convention for determining the sequence of return rate valuation dates. It is used in conjunction with a specified frequency.
The return rate valuation dates business day convention.
Number of iterations in the return rate FX conversion repeating group.
Specifies the currency pair for the FX conversion expressed using the CCY1/CCY2 convention. Uses ISO 4217 currency codes.
The rate of exchange between the two currencies specified in ReturnRateFXCurrencySymbol(42732).
Specifies whether ReturnRateFXRate(42733) should be multiplied or divided.
Number of iterations in the return rate repeating group.
Specifies the type of price sequence of the return rate.
Initial
Interim
Final
Specifies the basis or unit used to calculate the commission.
The commission amount.
Specifies the currency the commission amount is denominated in. Uses ISO 4217 currency codes.
The total commission per trade.
Specifies the method by which the underlier prices are determined.
See http://www.fpml.org/coding-scheme/determination-method for values.
Specifies the reference amount when the return rate amount is relative to another amount in the trade.
See http://www.fixtradingcommunity.org/codelists#Payment_Amount_Relative_To for code list of relative amounts.
Specifies the type of the measure applied to the return rate's asset, e.g. valuation, sensitivity risk. This could be an NPV, a cash flow, a clean price, etc.
See http://www.fpml.org/coding-scheme/asset-measure for values.
Specifies the units that the measure is expressed in. If not specified, the default is a price/value in currency units.
See http://www.fpml.org/coding-scheme/price-quote-units for values.
Specifies the type of quote used to determine the return rate of the swap.
Specifies the currency the return rate quote is denominated in. Uses ISO 4217 Currency Code.
Specifies the type of currency, e.g. settlement currency, base currency, etc., that the quote is reported in.
See http://www.fpml.org/coding-scheme/reporting-currency-type for values.
Specifies how or the timing when the quote is to be obtained.
Open
The official opening time of the exchange on valuation date.
Official settlement price time
The time at which the official settlement price is determined.
XETRA
The time at which the official settlement price (following the auction by the exchange) is determined by the exchange.
Close
The official closing time of the exchange on valuation date.
Derivatives close
The official closing time for derivative trading of the exchange on valuation date.
High
The high price for the day.
Low
The low price for the day.
As specified in the master confirmation
The time when the quote is to be generated.
The date when the quote is to be generated.
The time when the quote ceases to be valid.
The business center calendar used for adjustments associated with ReturnRateQuoteTimeType(42748) or ReturnRateQuoteTime(42749) and ReturnRateQuoteDate(42750), e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Specifies the exchange (e.g. stock or listed futures/options exchange) from which the quote is obtained.
Specifies the pricing model used to evaluate the underlying asset price.
See http://www.fpml.org/coding-scheme/pricing-model for values.
Specifies the type of cash flows, e.g. coupon payment, premium fee, settlement fee, etc.
See http://www.fpml.org/coding-scheme/cashflow-type for values.
Specifies the timing at which the calculation agent values the underlying.
The time at which the calculation agent values the underlying asset.
The business center calendar used for adjustments associated with ReturnRateValuationTimeType(42756) or ReturnRateValuationTime(42757), e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Indicates whether an ISDA price option applies, and if applicable which type of price.
None (the default)
Futures price
The official settlement price as announced by the related futures exchange is applicable.
Options price
The official settlement price as announced by the related options exchange is applicable.
Specifies the fallback provision for the hedging party in the determination of the final price.
Number of iterations in the return rate information source repeating group.
Identifies the source of rate information. For FX the references source to be used for the FX spot rate.
Identifies the reference "page" from the rate source.
For FX, the reference page to the spot rate to be used for the reference FX spot rate.
When ReturnRateInformationSource(42762) = 3 (ISDA Settlement Rate Option) this contains the value from the scheme that reflects the terms of the Annex A to the ISDA 1998 FX and Currency Option Definitions.
See: http://www.fpml.org/coding-scheme/settlement-rate-option
Identifies the page heading from the rate source.
Number of iterations in the return rate price repeating group.
The basis of the return price.
Gross
Net
Accrued
Clean net
Specifies the price of the underlying swap asset.
Specifies the currency of the price of the underlying swap asset. Uses ISO 4217 currency codes.
Specifies whether the ReturnRatePrice(42767) is expressed in absolute or relative terms.
Absolute terms
Percentage of notional
Number of iterations in the return rate valuation date business center repeating group.
The business center calendar used for date adjustment of the return rate valuation unadjusted or relative dates, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Number of iterations in the return rate valuation date repeating group.
The return rate valuation date. Type of date is specified in ReturnRateValuationDateType(42774).
Specifies the type of return rate valuation date (e.g. adjusted for holidays).
Number of business centers in the repeating group.
The business center calendar used for date adjustment of the settlement method election unadjusted or relative date, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
The unadjusted settlement method election date.
The settlement method election date adjustment business day convention.
Specifies the anchor date when the settlement method election date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative settlement method election date offset.
Time unit associated with the relative settlement method election date offset.
Specifies the day type of the relative settlement method election date offset.
The adjusted settlement method election date.
The stream version identifier when there have been modifications to the contract over time. Helps signal when there are embedded changes.
The effective date of the StreamVersion(42784).
Specifies the method for determining the floating notional value for equity swaps.
See http://www.fpml.org/coding-scheme/determination-method for values.
For equity swaps this specifies the conditions that govern the adjustment to the number of units of the swap.
Execution
The adjustments to the number of units are governed by an execution clause.
Portfolio rebalancing
The adjustments to the number of units are governed by a portfolio rebalancing clause.
Standard
The adjustments to the number of units are not governed by any specific clause.
Number of business centers in the repeating group.
The business center calendar used for date adjustment of the cash settlement unadjusted or relative date, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
The unadjusted cash settlement date.
The business day convention used to adjust the cash settlement provision's date. Used only to override the business day convention defined in the UnderlyingInstrument component.
Specifies the anchor date when the cash settlement date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative cash settlement date offset.
Time unit associated with the relative cash settlement date offset.
Specifies the day type of the relative cash settlement date offset.
The adjusted cash settlement date.
The source from which the settlement price is to be obtained.
See http://www.fpml.org/coding-scheme/settlement-price-source for values.
The default election for determining settlement price.
Indicates whether the official settlement price as announced by the related exchange is applicable, in accordance with the ISDA 2002 definitions. Applicable only to futures contracts.
Indicates whether the official settlement price as announced by the related exchange is applicable, in accordance with the ISDA 2002 definitions. Applicable only to options contracts.
Specifies the fallback provisions for the hedging party in the determination of the final settlement price
Number of entries in the UnderlyingDividendAccrualPaymentDateBusinessCenterGrp.
The business center calendar used for date adjustment of the instrument's dividend accrual payment date, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
The dividend accrual floating rate index.
Time unit multiplier for the dividend accrual floating rate index curve.
Time unit associated with the dividend accrual floating rate index curve period.
A rate multiplier to apply to the floating rate. The multiplier can be less than or greater than 1 (one). This should only be included if the multiplier is not equal to 1 (one) for the term of the contract.
The basis points spread from the index specified in UnderlyingDividendFloatingRateIndex(42801).
Identifies whether the rate spread is applied to a long or short position.
Specifies the yield calculation treatment for the index.
The cap rate, if any, which applies to the floating rate. It is only required where the floating rate is capped at a certain level. The cap rate is assumed to be exclusive of any spread and is a per annum rate, expressed as a decimal. A cap rate of 5% would be represented as "0.05".
Reference to the buyer of the cap rate option through its trade side.
Reference to the seller of the cap rate option through its trade side.
The floor rate, if any, which applies to the floating rate. The floor rate (strike) is only required where the floating rate is floored at a certain strike level. The floor rate is assumed to be exclusive of any spread and is a per annum rate. The rate is expressed as a decimal, e.g. 5% is represented as "0.05".
Reference to the buyer of the floor rate option through its trade side.
Reference to the seller of the floor rate option through its trade side.
The initial floating rate reset agreed between the principal parties involved in the trade. This is assumed to be the first required reset rate for the first regular calculation period. It should only be included when the rate is not equal to the rate published on the source implied by the floating rate index. The initial rate is expressed in decimal form, e.g. 5% is represented as "0.05".
Specifies the rounding direction of the final rate.
Specifies the rounding precision of the final rate in terms of a number of decimal places. Note how a percentage rate rounding of 5 decimal places is expressed as a rounding precision of 7.
When averaging is applicable, used to specify whether a weighted or unweighted average method of calculation is to be used.
The specification of any provisions for calculating payment obligations when a floating rate is negative (either due to a quoted negative floating rate or by operation of a spread that is subtracted from the floating rate).
Specifies the anchor date when the accrual payment date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative accrual payment date offset.
Time unit associated with the relative accrual payment date offset.
Specifies the day type of the relative accrual payment date offset.
The unadjusted accrual payment date.
Accrual payment date adjustment business day convention.
The adjusted accrual payment date.
Indicates whether the dividend will be reinvested.
Defines the contract event which the receiver of the derivative is entitled to the dividend.
Indicates how the gross cash dividend amount per share is determined.
References the dividend underlier through the instrument's UnderlyingSecurityID(309) which must be fully specified in a separate instance of the UnderlyingInstrument component.
Reference to the party through its side in the trade who makes the determination whether dividends are extraordinary in relation to normal levels.
Indicates how the extraordinary gross cash dividend per share is determined.
The currency in which the excess dividend is denominated. Uses ISO 4217 currency codes.
Specifies the method in which the excess amount is determined.
See http://www.fpml.org/coding-scheme/determination-method for values.
The dividend accrual fixed rate per annum expressed as a decimal.
A value of 5% would be represented as "0.05".
The compounding method to be used when more than one dividend period contributes to a single payment.
The number of index units applicable to dividends.
Declared cash dividend percentage.
A value of 5% would be represented as "0.05".
Declared cash-equivalent dividend percentage. A value of 5% would be represented as "0.05".
Defines the treatment of non-cash dividends.
Defines how the composition of dividends is to be determined.
Indicates whether special dividends are applicable.
Indicates whether material non-cash dividends are applicable.
Indicates whether option exchange dividends are applicable.
Indicates whether additional dividends are applicable.
Represents the European Master Confirmation value of 'All Dividends' which, when applicable, signifies that, for a given Ex-Date, the daily observed share price for that day is adjusted (reduced) by the cash dividend and/or the cash value of any non-cash dividend per share (including extraordinary dividends) declared by the issuer.
Specifies the anchor date when the FX trigger date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative FX trigger date offset.
Time unit associated with the relative FX trigger date offset.
Specifies the day type of the relative FX trigger date offset.
The unadjusted FX trigger date.
The business day convention used for the FX trigger date adjustment.
The adjusted FX trigger date.
Number of entries in the UnderlyingDividendFXTriggerDateBusinessCenterGrp.
The business center calendar used for date adjustment of the instrument's FX trigger date, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Number of entries in the repeating group.
Specifies the date that the dividend or coupon payment is due.
The amount of the dividend or coupon payment.
Specifies the currency the UnderlyingDividendPaymentAmount(42857) is denominated in. Uses ISO 4217 currency codes.
Accrued interest on the dividend or coupon payment.
Specifies the actual dividend payout ratio associated with the equity or bond underlier.
Specifies the dividend payout conditions that will be applied in the case where the actual ratio is not known, typically because of regulatory or legal uncertainties.
Number of entries in the UnderlyingDividendPeriodGrp component.
Defines the ordinal dividend period. E.g. 1 = First period, 2 = Second period, etc.
The unadjusted date on which the dividend period will begin.
The unadjusted date on which the dividend period will end.
References the dividend underlier through the instrument's UnderlyingSecurityID(309) which must be fully specified in an instance of the UnderlyingInstrument component.
Specifies the fixed strike price of the dividend period.
The dividend period dates business day convention.
The unadjusted dividend period valuation date.
Specifies the anchor date when the dividend period valuation date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative dividend period valuation date offset.
Time unit associated with the relative dividend period valuation date offset.
Specifies the day type of the relative dividend period valuation date offset.
The adjusted dividend period valuation date.
The unadjusted dividend period payment date.
Specifies the anchor date when the dividend period payment date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative dividend period payment date offset.
Time unit associated with the relative dividend period payment date offset.
Specifies the day type of the relative dividend period payment date offset.
The adjusted dividend period payment date.
Identifier for linking this stream dividend period to an underlier through an instance of RelatedInstrumentGrp.
Number of entries in UnderlyingDividendPeriodBusinessCenterGrp.
The business center calendar used for date adjustment of the instrument's dividend period date, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Number of extraordinary events in the repeating group.
Identifies the type of extraordinary or disruptive event applicable to UnderlyingExtraordinaryEventType(42885).
See http://www.fixtradingcommunity.org/codelists#Extraordinary_Event_Type for code list of extraordinary event types and values.
The extraordinary or disruptive event value appropriate to UnderlyingExtraordinaryEventType(42885).
See http://www.fixtradingcommunity.org/codelists#Extraordinary_Event_Type for code list of extraordinary event types and values.
Notional value for the equity or bond underlier.
Specifies the currency denomination of the notional value. Uses ISO 4217 currency codes.
Specifies the method of determining the notional amount.
See: http://www.fpml.org/coding-scheme/determination-method for values.
Specifies the conditions that govern the adjustment to the number of units of the return swap.
Execution
The adjustments to the number of units are governed by an execution clause.
Portfolio rebalancing
The adjustments to the number of units are governed by a portfolio rebalancing clause.
Standrd
The adjustments to the number of units are not governed by any specific clause.
Cross reference to another notional amount for duplicating its properties.
In the case of an index underlier specifies the unique identifier for the referenced futures contract.
Identifies the source of the UnderlyingFutureID(2620).
The point on the floating rate index curve. Sample values:
M = combination of a number between 1-12 and an "M" for month, e.g. 3M
Y = combination of number between 1-100 and a "Y" for year, e.g. 10Y
10Y-OLD = see above, then add "-OLD" when appropriate
INTERPOLATED = the point is mathematically derived
2/2031 5 3/8 = the point is stated via a combination of maturity month / year and coupon.
The quote side from which the index price is to be determined.
Defines how adjustments will be made to the contract should one or more of the extraordinary events occur.
For a share option trade, indicates whether the instrument is to be treated as an 'exchange look-alike'.
This designation has significance for how share adjustments (arising from corporate actions) will be determined for the instrument. For an 'exchange look-alike' instrument the relevant share adjustments will follow that for a corresponding designated contract listed on the related exchange (referred to as Options Exchange Adjustment (ISDA defined term)), otherwise the share adjustments will be determined by the calculation agent (referred to as Calculation Agent Adjustment (ISDA defined term)).
The limit of average percentage of individual securities traded in a day or a number of days.
Specifies the limitation period for average daily trading volume in number of days.
Indicates whether the underlier is a depository receipt.
A depository receipt is a negotiable certificate issued by a trust company or security depository.
The number of units (units of the index or number of securities, par amount of a bond) that constitute the underlier. In the case of a basket swap, this is used to reference both the number of basket units, and the number of each asset components of the basket when these are expressed in absolute terms.
Specifies the basket divisor amount. This value is normally used to adjust the constituent weight for pricing or to adjust for dividends, or other corporate actions.
Identifier for referencing this UnderlyingInstrument from a parent instrument or a convertible instrument.
Side value of the party electing the settlement method.
The date through which the option cannot be exercised without penalty.
Amount to be paid by the buyer of the option if the option is exercised prior to the UnderlyingMakeWholeDate(42888).
Identifies the benchmark floating rate index.
The point on the floating rate index curve.
Sample values:
M = combination of a number between 1-12 and an "M" for month, e.g. 3M
Y = combination of number between 1-100 and a "Y" for year, e.g. 10Y
10Y-OLD = see above, then add "-OLD" when appropriate
INTERPOLATED = the point is mathematically derived
2/2031 5 3/8 = the point is stated via a combination of maturity month / year and coupon.
Spread over the floating rate index.
The quote side of the benchmark to be used for calculating the "make whole" amount.
The method used when calculating the "make whole" amount. The most common is linear method.
Indicates whether cash settlement is applicable.
Reference to the stream which details the compounding fixed or floating rate.
The spread to be used for compounding. Used in scenarios where the interest payment is based on a compounding formula that uses a compounding spread in addition to the regular spread.
The method used when calculating the index rate from multiple points on the curve. The most common is linear method.
Defines applicable periods for interpolation.
The compounding fixed rate applicable to the payment stream.
Number of dates in the repeating group.
The compounding date. Type of date is specified in UnderlyingPaymentStreamCompoundingDateType(42903).
Specifies the type of payment compounding date (e.g. adjusted for holidays).
The compounding dates business day convention.
Specifies the anchor date when the compounding dates are relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative compounding date offset.
Time unit associated with the relative compounding date offset.
Specifies the day type of the relative compounding date offset.
The number of periods in the "RelativeTo" schedule that are between each date in the compounding schedule. A skip of 2 would mean that compounding dates are relative to every second date in the "RelativeTo" schedule. If present this should have a value greater than 1.
Time unit multiplier for the frequency at which compounding dates occur.
Time unit associated with the frequency at which compounding dates occur.
The convention for determining the sequence of compounding dates. It is used in conjunction with a specified frequency.
The unadjusted first date of the compounding schedule. This can be used to restrict the range of dates when they are relative.
The unadjusted last date of the compounding schedule. This can be used to restrict the range of dates when they are relative.
Number of business centers in the repeating group.
The business center calendar used for date adjustment of the payment stream compounding dates, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
The unadjusted compounding end date.
Specifies the anchor date when the compounding end date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative compounding end date offset.
Time unit associated with the relative compounding end date offset.
Specifies the day type of the relative compounding end date offset.
The adjusted compounding end date.
The payment stream's compounding floating rate index.
Time unit multiplier for the payment stream's compounding floating rate index curve period.
Time unit associated with the payment stream's compounding floating rate index curve period.
A rate multiplier to apply to the compounding floating rate. The multiplier can be less than or greater than 1 (one). This should only be included if the multiplier is not equal to 1 (one) for the term of the stream.
The basis points spread from the index specified in UnderlyingPaymentStreamCompoundingRateIndex(42923).
Identifies whether the rate spread is applied to a long or short position.
Specifies the yield calculation treatment for the index.
The cap rate, if any, which applies to the compounding floating rate. It is only required where the compounding floating rate on a swap stream is capped at a certain level. The cap rate is assumed to be exclusive of any spread and is a per annum rate, expressed as a decimal. A cap rate of 5% would be represented as "0.05".
Reference to the buyer of the compounding cap rate option through its trade side.
Reference to the seller of the compounding cap rate option through its trade side.
The floor rate, if any, which applies to the compounding floating rate. The floor rate (strike) is only required where the compounding floating rate on a swap stream is floored at a certain strike level. The floor rate is assumed to be exclusive of any spread and is a per annum rate. The rate is expressed as a decimal, e.g. 5% is represented as "0.05".
Reference to the buyer of the compounding floor rate option through its trade side.
Reference to the seller of the floor rate option through its trade side.
The initial compounding floating rate reset agreed between the principal parties involved in the trade. It should only be included when the rate is not equal to the rate published on the source implied by the floating rate index. The initial rate is expressed in decimal form, e.g. 5% is represented as "0.05".
Specifies the rounding direction for the compounding floating rate.
Specifies the compounding floating rate rounding precision in terms of a number of decimal places. Note how a percentage rate rounding of 5 decimal places is expressed as a rounding precision of 7.
Specifies the averaging method when compounding floating rate averaging is applicable (e.g. weighted or unweighted).
Specifies the method for calculating payment obligations when a compounding floating rate is negative (either due to a quoted negative floating rate or by operation of a spread that is subtracted from the floating rate).
The unadjusted compounding start date.
Specifies the anchor date when the compounding start date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative compounding start date offset.
Time unit associated with the relative compounding start date offset.
Specifies the day type of the relative compounding start date offset.
The adjusted compounding start date.
Length in bytes of the UnderlyingPaymentStreamFormulaImage(42948) field.
Image of the formula image when represented through an encoded clip in base64Binary.
The unadjusted final price payment date.
Specifies the anchor date when the final price payment date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative final price payment date offset.
Time unit associated with the relative final price payment date offset.
Specifies the day type of the relative final price payment date offset.
The adjusted final price payment date.
Number of fixing dates in the repeating group.
The fixing date. Type of date is specified in UnderlyingPaymentStreamFixingDateType(42957).
Specifies the type of fixing date (e.g. adjusted for holidays).
The unadjusted initial price observation date.
Specifies the anchor date when the initial price observation date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Specifies the day type of the initial price observation date offset.
The adjusted initial price observation date.
References the dividend underlier through the instrument's UnderlyingSecurityID(309) which must be fully specified in an instance of the UnderlyingInstrument component.
Indicates whether the term "Equity Notional Reset" as defined in the ISDA 2002 Equity Derivatives Definitions is applicable ("Y") or not.
Price level at which the correlation or variance swap contract will strike.
Indicates whether the correlation or variance swap contract will ("Y") strike off the closing level of the default exchange traded contract or not.
Indicates whether the correlation or variance swap contract will ("Y") strike off the expiring level of the default exchange traded contract or not.
The expected number of trading days in the variance or correlation swap stream.
The strike price of a correlation or variance swap stream.
For a variance swap specifies how UnderlyingPaymentStreamLinkStrikePrice(42968) is expressed.
Specifies the maximum or upper boundary for variance or strike determination.
For a variation swap stream all observations above this price level will be excluded from the variance calculation.
For a correlation swap stream the maximum boundary is a percentage of the strike price.
Specifies the minimum or lower boundary for variance or strike determination.
For a variation swap stream all observations below this price level will be excluded from the variance calculation.
For a correlation swap stream the minimum boundary is a percentage of the strike price.
Number of data series for a correlation swap. Normal market practice is that correlation data sets are drawn from geographic market areas, such as America, Europe and Asia Pacific. Each of these geographic areas will have its own data series to avoid contagion.
Indicates the scaling factor to be multiplied by the variance strike price thereby making variance cap applicable.
Indicates which price to use to satisfy the boundary condition.
Indicates whether the contract specifies that the notional should be scaled by the number of days in range divided by the estimate trading days or not. The number of "days in range" refers to the number of returns that contribute to the realized volatility.
References a contract listed on an exchange through the instrument's UnderlyingSecurityID(309) which must be fully specified in an instance of the UnderlyingInstrument component.
Vega Notional represents the approximate gain/loss at maturity for a 1% difference between RVol (realised volatility) and KVol (strike volatility). It does not necessarily represent the Vega risk of the trade.
The currency in which the formula amount is denominated. Uses ISO 4217 currency codes.
Specifies the method according to which the formula amount currency is determined.
See http://www.fpml.org/coding-scheme/determination-method for values.
Specifies the reference amount when this term either corresponds to the standard ISDA Definition (either the 2002 Equity Definition for the Equity Amount, or the 2000 Definition for the Interest Amount), or refers to a term defined elsewhere in the swap document.
See http://www.fixtradingcommunity.org/codelists#Payment_Amount_Relative_To for code list of reference amounts.
Number of formulas in the repeating group.
Contains an XML representation of the formula. Defined for flexibility in choice of language (MathML, OpenMath or text).
A description of the math formula in UnderlyingPaymentStreamFormula(42982).
The unadjusted stub end date.
The stub end date business day convention.
Specifies the anchor date when the stub end date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative stub end date offset.
Time unit associated with the relative stub end date offset.
Specifies the day type of the relative stub end date offset.
The adjusted stub end date.
Number of business centers in the repeating group.
The business center calendar used for date adjustment of the payment stub end date, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
The unadjusted stub start date.
The stub start date business day convention.
Specifies the anchor date when the stub start date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative stub start date offset.
Time unit associated with the relative stub start date offset.
Specifies the day type of the relative stub start date offset.
The adjusted stub start date.
Number of business centers in the repeating group.
The business center calendar used for date adjustment of the payment stub start date, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Type of fee elected for the break provision.
Break fee election rate when the break fee is proportional to the notional. A fee rate of 5% would be represented as "0.05".
Specifies the initial rate spread for a basket underlier.
Number of entries in the repeating group.
The date that the rate spread step takes affect.
The the value of the new rate spread as of the UnderlyingRateSpreadStepDate(43006).
Number of iterations in the return rate date repeating group.
Specifies the valuation type applicable to the return rate date.
Specifies the anchor date when the return rate valuation dates are relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative return rate valuation date offset.
Time unit associated with the relative return rate valuation date offset.
Specifies the day type of the relative return rate valuation date offset.
The unadjusted start date for return rate valuation. This can be used to restrict the range of dates when they are relative.
Specifies the anchor date when the return rate valuation start date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative return rate valuation start date offset.
Time unit associated with the relative return rate valuation start date offset.
Specifies the day type of the relative return rate valuation start date offset.
The adjusted start date for return rate valuation. This can be used to restrict the range of dates when they are relative.
The unadjusted end date for return rate valuation. This can be used to restrict the range of dates when they are relative.
Specifies the anchor date when the return rate valuation end date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative return rate valuation end date offset.
Time unit associated with the relative return rate valuation end date offset.
Specifies the day type of the relative return rate valuation end date offset.
The adjusted end date for return rate valuation. This can be used to restrict the range of dates when they are relative.
Time unit multiplier for the frequency at which return rate valuation dates occur.
Time unit associated with the frequency at which return rate valuation dates occur.
The convention for determining the sequence of return rate valuation dates. It is used in conjunction with a specified frequency.
The return rate valuation dates business day convention.
Number of iterations in the return rate FX conversion repeating group.
Specifies the currency pair for the FX conversion expressed using the CCY1/CCY2 convention. Uses ISO 4217 currency codes.
The rate of exchange between the two currencies specified in UnderlyingReturnRateFXCurrencySymbol(43031).
Specifies whether UnderlyingReturnRateFXRate(43032) should be multiplied or divided.
Number of iterations in the return rate repeating group.
Specifies the type of price sequence of the return rate.
Specifies the basis or unit used to calculate the commission.
The commission amount.
Specifies the currency the commission amount is denominated in. Uses ISO 4217 currency codes.
The total commission per trade.
Specifies the method by which the underlier prices are determined.
See http://www.fpml.org/coding-scheme/determination-method for values.
Specifies the reference amount when the return rate amount is relative to another amount in the trade.
See http://www.fixtradingcommunity.org/codelists#Payment_Amount_Relative_To for code list of relative amounts.
Specifies the type of the measure applied to the return rate's asset, e.g. valuation, sensitivity risk. This could be an NPV, a cash flow, a clean price, etc.
See http://www.fpml.org/coding-scheme/asset-measure for values.
Specifies the units that the measure is expressed in. If not specified, the default is a price/value in currency units.
See http://www.fpml.org/coding-scheme/price-quote-units for values.
Specifies the type of quote used to determine the return rate of the swap.
Specifies the currency the return rate quote is denominated in. Uses ISO 4217 Currency Code.
Specifies the type of currency, e.g. settlement currency, base currency, etc., that the quote is reported in.
See http://www.fpml.org/coding-scheme/reporting-currency-type for values.
Specifies how or the timing when the quote is to be obtained.
The time when the quote is to be generated.
The date when the quote is to be generated.
The time when the quote ceases to be valid.
The business center calendar used for adjustments associated with UnderlyingReturnRateQuoteTimeType(43047) or UnderlyingReturnRateQuoteTime(43048) and UnderlyingReturnRateQuoteDate(43049), e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Specifies the exchange (e.g. stock or listed futures/options exchange) from which the quote is obtained.
Specifies the pricing model used to evaluate the underlying asset price.
See http://www.fpml.org/coding-scheme/pricing-model for values.
Specifies the type of cash flows, e.g. coupon payment, premium fee, settlement fee, etc.
See http://www.fpml.org/coding-scheme/cashflow-type for values.
Specifies the timing at which the calculation agent values the underlying.
The time at which the calculation agent values the underlying asset.
The business center calendar used for adjustments associated with UnderlyingReturnRateValuationTimeType(43055) or UnderlyingReturnRateValuationTime(43056) , e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Indicates whether an ISDA price option applies, and if applicable which type of price.
Specifies the fallback provision for the hedging party in the determination of the final price.
Number of iterations in the return rate information source repeating group.
Identifies the source of rate information. For FX the references source to be used for the FX spot rate.
Identifies the reference "page" from the rate source.
For FX, the reference page to the spot rate to be used for the reference FX spot rate.
When UnderlyingReturnRateInformationSource(43061) = 3 (ISDA Settlement Rate Option) this contains the value from the scheme that reflects the terms of the Annex A to the ISDA 1998 FX and Currency Option Definitions.
See: http://www.fpml.org/coding-scheme/settlement-rate-option
Identifies the page heading from the rate source.
Number of iterations in the return rate price repeating group.
The basis of the return price.
Specifies the price of the underlying swap asset.
Specifies the currency of the price of the underlying swap asset. Uses ISO 4217 currency codes.
Specifies whether the UnderlyingReturnRatePrice(43066) is expressed in absolute or relative terms.
Number of iterations in the return rate valuation date business center repeating group.
The business center calendar used for date adjustment of the return rate valuation unadjusted or relative dates, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Number of iterations in the return rate valuation date repeating group.
The return rate valuation date. Type of date is specified in UnderlyingReturnRateValuationDateType(43073).
Specifies the type of return rate valuation date (e.g. adjusted for holidays).
Number of business centers in the repeating group.
The business center calendar used for date adjustment of the settlement method election unadjusted or relative date, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
The unadjusted settlement method election date.
The settlement method election date adjustment business day convention.
Specifies the anchor date when the settlement method election date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative settlement method election date offset.
Time unit associated with the relative settlement method election date offset.
Specifies the day type of the relative settlement method election date offset.
The adjusted settlement method election date.
The stream version identifier when there have been modifications to the contract over time. Helps signal when there are embedded changes.
The effective date of the UnderlyingStreamVersion(43083).
Specifies the method for determining the floating notional value for equity swaps.
See http://www.fpml.org/coding-scheme/determination-method for values.
For equity swaps this specifies the conditions that govern the adjustment to the number of units of the swap.
The Heartbeat monitors the status of the communication link and identifies when the last of a string of messages was not received.
MsgType = 0
Required when the heartbeat is the result of a Test Request message.
The test request message forces a heartbeat from the opposing application. The test request message checks sequence numbers or verifies communication line status. The opposite application responds to the Test Request with a Heartbeat containing the TestReqID.
MsgType = 1
The resend request is sent by the receiving application to initiate the retransmission of messages. This function is utilized if a sequence number gap is detected, if the receiving application lost a message, or as a function of the initialization process.
MsgType = 2
The reject message should be issued when a message is received but cannot be properly processed due to a session-level rule violation. An example of when a reject may be appropriate would be the receipt of a message with invalid basic data which successfully passes de-encryption, CheckSum and BodyLength checks.
MsgType = 3
MsgSeqNum of rejected message
The tag number of the FIX field being referenced.
The MsgType of the FIX message being referenced.
Recommended when rejecting an application message that does not explicitly provide ApplVerID ( 1128) on the message being rejected. In this case the value from the DefaultApplVerID(1137) or the default value specified in the NoMsgTypes repeating group on the logon message should be provided.
Recommended when rejecting an application message that does not explicitly provide ApplExtID(1156) on the rejected message. In this case the value from the DefaultApplExtID(1407) or the default value specified in the NoMsgTypes repeating group on the logon message should be provided.
Recommended when rejecting an application message that does not explicitly provide CstmApplVerID(1129) on the message being rejected. In this case the value from the DefaultCstmApplVerID(1408) or the default value specified in the NoMsgTypes repeating group on the logon message should be provided.
Code to identify reason for a session-level Reject message.
Where possible, message to explain reason for rejection
Must be set if EncodedText field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
The sequence reset message is used by the sending application to reset the incoming sequence number on the opposing side.
MsgType = 4
The logout message initiates or confirms the termination of a FIX session. Disconnection without the exchange of logout messages should be interpreted as an abnormal condition.
MsgType = 5
Session status at time of logout.
Must be set if EncodedText field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
Indication of interest messages are used to market merchandise which the broker is buying or selling in either a proprietary or agency capacity. The indications can be time bound with a specific expiration value. Indications are distributed with the understanding that other firms may react to the message first and that the merchandise may no longer be available due to prior trade.
Indication messages can be transmitted in various transaction types; NEW, CANCEL, and REPLACE. All message types other than NEW modify the state of the message identified in IOIRefID.
MsgType = 6
Required for Cancel and Replace IOITransType messages
Insert here the set of "Instrument" (symbology) fields defined in "Common Components of Application Messages"
Insert here the set of "Parties" (firm identification) fields defined in "Common Components of Application Messages".
Insert here the set of "FinancingDetails" (symbology) fields defined in "Common Components of Application Messages"
Number of underlyings
Side of Indication
Valid subset of values:
1 = Buy
2 = Sell
7 = Undisclosed
B = As Defined (for multilegs)
C = Opposite (for multilegs)
Insert here the set of "Instrument" (symbology) fields defined in "Common Components of Application Messages"
The value zero is used if NoLegs repeating group is used
Applicable if needed to express CashOrder Qty (tag 152)
The value zero is used if NoLegs repeating group is used
Insert here the set of "Stipulations" (symbology) fields defined in "Common Components of Application Messages"
Required for multileg IOIs
Required if any IOIQualifiers are specified. Indicates the number of repeating IOIQualifiers.
Must be set if EncodedText field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
A URL (Uniform Resource Locator) link to additional information (i.e. http://www.XYZ.com/research.html)
Required if any RoutingType and RoutingIDs are specified. Indicates the number within repeating group.
Insert here the set of "SpreadOrBenchmarkCurveData" (Fixed Income spread or benchmark curve) fields defined in "Common Components of Application Messages"
Advertisement messages are used to announce completed transactions. The advertisement message can be transmitted in various transaction types; NEW, CANCEL and REPLACE. All message types other than NEW modify the state of a previously transmitted advertisement identified in AdvRefID.
MsgType = 7
Required for Cancel and Replace AdvTransType messages
Insert here the set of "Instrument" (symbology) fields defined in "Common Components of Application Messages"
Number of legs
Identifies a Multi-leg Execution if present and non-zero.
Number of underlyings
Must be set if EncodedText field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
A URL (Uniform Resource Locator) link to additional information (i.e. http://www.XYZ.com/research.html)
The execution report message is used to:
1. confirm the receipt of an order
2. confirm changes to an existing order (i.e. accept cancel and replace requests)
3. relay order status information
4. relay fill information on working orders
5. relay fill information on tradeable or restricted tradeable quotes
6. reject orders
7. report post-trade fees calculations associated with a trade
MsgType = 8
For use in drop copy applications. NOT FOR USE in transactional applications.
OrderID is required to be unique for each chain of orders.
Required if provided on the order message. Echo back the value provided in the order message.
Can be used to link execution to the MassOrder(35=DJ) message.
Can be used to provide order id used by exchange or executing system. Can alternatively be used to convey implicit order priority.
Required when referring to orders that where electronically submitted over FIX or otherwise assigned a ClOrdID(11).
In the case of quotes can be mapped to:
- QuoteMsgID(1166) of a single Quote(35=S)
- QuoteID(117) of a MassQuote(35=i).
- MassOrderReportID(2424) of a MassOrderAck(35=DK)
In the case of quotes can be mapped to:
o QuoteMsgID(1166) of a single Quote(35=S)
o QuoteID(117) of a MassQuote(35=i)
Conditionally required for response to a Cancel or Cancel/Replace request (ExecType(150) = 6 (Pending Cancel, 5 (Replaced), or 4 (Canceled)) when referring to orders that where electronically submitted over FIX or otherwise assigned a ClOrdID(11). ClOrdID(11) of the previous accepted order (NOT the initial order of the day) when canceling or replacing an order.
Reference to the MDEntryID(278) of this order or quote in the market data.
Required if responding to a QuoteResponse(35=AJ) message. Echo back the Initiator's value specified in the message.
Required if responding to and if provided on the OrderStatusRequest(35=H) message. Echo back the value provided by the requester.
Required if responding to a OrderMassStatusRequest(35=AF). Echo back the value provided by the requester.
Host assigned entity ID that can be used to reference all components of a cross; sides + strategy + legs
Can be used when responding to an OrderMassStatusRequest(35=AF) to identify the total number of ExecutionReport(35=8) messages which will be returned.
Can be used when responding to an OrderMassStatusRequest(35=AF) to indicate that this is the last ExecutionReport(35=8) messages which will be returned as a result of the request.
Specifies party information related to the submitter.
Specifies parties not directly associated with or owning the order, who are to be informed to effect processing of the order.
Required for executions against orders which were submitted as part of a list.
CrossID for the replacement order
Must match original cross order. Same order chaining mechanism as ClOrdID(11)/OrigClOrdID(41) with OrderCancelReplaceRequest(35=G).
Conditionally required when RefRiskLimitCheckID(2334) is specified.
Unique identifier of execution message as assigned by sell-side (broker, exchange, ECN) (will be 0 (zero) for ExecType(150) = I (Order Status)).
Required for ExecType(150) = H (Trade Cancel) and ExecType(150) = G (Trade Correct).
Describes the purpose of the execution report.
Can be used to provide further detail for ExecType(150) field.
Describes the current state of a CHAIN of orders, same scope as OrderQty, CumQty, LeavesQty, and AvgPx
For optional use with OrdStatus = 0 (New)
For optional use with ExecType = 8 (Rejected)
Reason description for rejecting the transaction request.
Must be set if EncodedRejectText(1665) field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the RejectText(1328) field in the encoded format specified via the MessageEncoding(347) field.
Required for ExecType = D (Restated).
Required for executions against electronically submitted orders which were assigned an account by the institution or intermediary
Specifies type of account
Pre-trade allocation instructions.
Takes precedence over SettlType value and conditionally required/omitted for specific SettleType values.
Required for NDFs to specify the "value date".
Number of underlyings
Available for optional use when Side(54) = 6(Sell short exempt).
**IMPORTANT NOTE: OrderQty(38) field is required for single instrument orders unless rejecting or acknowledging an order with CashOrderQty(152) or OrderPercent(516). **
Required if specified on the order
Required if specified on the order
The current price the order is pegged at
The reference price of a pegged order.
The current discretionary price of the order
Required if specified on the order
The target strategy of the order
Strategy parameter block
For further specification of the TargetStrategy
Mandatory for a TargetStrategy=Participate order and specifies the target particpation rate.
For other order types optionally specifies a volume limit (i.e. do not be more than this percent of the market volume)
For communication of the performance of the order versus the target strategy
Must be set if EncodedComplianceText(2352) field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the ComplianceText(2404) field in the encoded format specified via the MessageEncoding(347) field.
Absence of this field indicates Day order
Time specified on the order at which the order should be considered valid
Conditionally required if TimeInForce(59) = 6 (GTD) and ExpireTime(126) is not specified.
Conditionally required if TimeInForce(59) = 6 (GTD) and ExpireDate(432) is not specified.
Conditionally required when TimeInForce(59)=10 (Good for Time)
Can contain multiple instructions, space delimited.
Applies to trades resulting from the order.
Quantity (e.g. shares) bought/sold on this (last) fill. Required if ExecType(150) = F (Trade) or ExecType(150) = G (Trade Correct) unless FillsGrp or OrderEventGrp is used.
If ExecType(150) = 7 (Stopped), represents the quantity stopped/guaranteed/protected for.
Used for FX trades to express the quantity or amount of the other side of the currency. Conditionally required if ExecType(150) = F (Trade) or G (Trade Correct) and is an FX trade.
Optionally used when ExecType(150) = F (Trade) or G (Trade Correct) and is a FX Swap trade. Used to express the swap points for the swap trade event.
Price of this (last) fill. Required if ExecType(150) = ExecType = F (Trade) or G (Trade Correct) unless FillsGrp or OrderEventGrp is used.
Should represent the "all-in" (LastSpotRate(194) + LastForwardPoints(195)) rate for F/X orders.).
If ExecType(150) = 7 (Stopped), represents the price stopped/guaranteed/protected at.
Not required for FX Swap when ExecType(150) = F (Trade) or G (Trade Correct) as there is no "all-in" rate that applies to both legs of the FX Swap.
Last price expressed in percent-of-par. Conditionally required for Fixed Income trades when LastPx(31) is expressed in Yield, Spread, Discount or any other price type that is not percent-of-par.
Applicable for F/X orders
Applicable for F/X orders
Upfront Price for CDS transactions. Conditionally required if TradePriceNegotiationMethod(1740) = 4(Percent of par and upfront amount), 5(Deal spread and upfront amount) or 6(Upfront points and upfront amount).
If ExecType(150) = F (Trade), indicates the market where the trade was executed. If ExecType(150) = 0 (New (0), indicates the market where the order was routed.
Insert here the set of "LimitAmts" fields defined in "Common Components"
Quantity open for further execution. If the OrdStatus(39) is = 4 (Canceled), 3 (Done For Day), C (Expired), B (Calculated), or 8 (Rejected) (in which case the order is no longer active) then LeavesQty(151) could be 0, otherwise LeavesQty(151) = OrderQty(38) - CumQty(14).
Currently executed quantity for chain of orders.
Can be used to specify the remaining quantity that was cancelled prior to order reaching terminal state (i.e. when LeavesQty(151)=0). If specified, OrderQty(38) = CumQty(14) + CxlQty(84).
Not required for markets where average price is not calculated by the market.
Conditionally required otherwise.
For GT orders on days following the day of the first trade.
For GT orders on days following the day of the first trade.
For GT orders on days following the day of the first trade.
Used to support fragmentation. Sum of NoFills(1362) across all messages with the same ExecID(17).
Indicates whether this is the last fragment in a sequence of message fragments. Only required where message has been fragmented.
Specifies the partial fills included in this ExecutionReport(35=8), mutually exclusive with OrderEventGrp component.
Specifies the order events included in this ExecutionReport(35=8), mutually exclusive with FillsGrp component.
States whether executions are booked out or accumulated on a partially filled GT order
Used when reporting other than current day trades.
Time the transaction represented by this ExecutionReport(35=8) occurred.
Note: On a fill/partial-fill message, it represents value for that fill/partial fill. On ExecType(150) = B (Calculated), it represents cumulative value for the order.
Use as an alternative to CommissionData component if multiple commissions or enhanced attributes are needed.
For fixed income products which pay lump-sum interest at maturity.
For repurchase agreements the accrued interest on termination.
For repurchase agreements the start (dirty) cash consideration.
For repurchase agreements the end (dirty) cash consideration.
On a fill/partial fill message, it represents value for that fill/partial fill. On a ExecType(150) = B (Calculated) message, it represents cumulative value for the order. Value expressed in the currency reflected by the Currency(15) field.
Used to report results of forex accommodation trade.
Used to report results of forex accommodation trade.
Required for Non-Deliverable Forwards.
Foreign exchange rate used to compute SettlCurrAmt(119) from Currency(15) to SettlCurrency(120).
Specifies whether the SettlCurrFxRate(155) should be multiplied or divided.
For use in derivatives omnibus accounting
Method for booking out this order. Used when notifying a broker that an order to be settled by that broker is to be booked out as an OTC derivative (e.g. CFD or similar). Absence of this field implies regular booking.
Must be set if EncodedText field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
Can be used with OrdType = "Forex - Swap" to specify the "value date" for the future portion of a F/X swap.
Can be used with OrdType = "Forex - Swap" to specify the order quantity for the future portion of a F/X swap.
Can be used with OrdType = "Forex - Swap" to specify the forward points (added to LastSpotRate) for the future portion of a F/X swap.
Default is a single security if not specified.
For contingency orders, the type of contingency as specified in the order.
For CIV - Optional
Reference to Registration Instructions message for this Order.
Supplementary registration information for this Order
For CIV - Optional
For CIV - Optional
For CIV - Optional
For CIV - Optional
Applicable only on OrdStatus(39) = 1 of (Partially filled) or 2(Filled).
Specifies the leg executions of a multi-leg order or quote.
Required if any miscellaneous fees are reported.
The order cancel reject message is issued by the broker upon receipt of a cancel request or cancel/replace request message which cannot be honored.
MsgType = 9
If CxlRejReason="Unknown order", specify "NONE".
Required if provided on the order cancel or cancel/replace request. Echo back the value provided by the requester.
Can be used to provide order id used by exchange or executing system.
Unique order id assigned by institution or by the intermediary with closest association with the investor. to the cancel request or to the replacement order.
ClOrdID(11) which could not be canceled/replaced. ClOrdID of the previous accepted order (NOT the initial order of the day) when canceling or replacing an order.
Required when referring to orders that were electronically submitted over FIX or otherwise assigned a ClOrdID.
OrdStatus value after this cancel reject is applied.
If CxlRejReason = "Unknown Order", specify Rejected.
For optional use with OrdStatus = 0 (New)
Required for rejects against orders which were submitted as part of a list.
Reason description for rejecting the transaction request.
Must be set if EncodedRejectText(1665) field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the RejectText(1328) field in the encoded format specified via the MessageEncoding(347) field.
Must be set if EncodedText field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
The logon message authenticates a user establishing a connection to a remote system. The logon message must be the first message sent by the application requesting to initiate a FIX session.
MsgType = A
(Always unencrypted)
Note same value used by both sides
Required for some authentication methods
Required for some authentication methods
Indicates both sides of a FIX session should reset sequence numbers
Optional, alternative via counterparty bi-lateral agreement message gap detection and recovery approach (see "Logon Message NextExpectedMsgSeqNum Processing" section)
Can be used to specify the maximum number of bytes supported for messages received
Can be used to specify that this FIX session will be sending and receiving "test" vs. "production" messages.
Note: minimal security exists without transport-level encryption.
Specifies a new password for the FIX Logon. The new password is used for subsequent logons.
Encrypted new password- encrypted via the method specified in the field EncryptedPasswordMethod(1400)
Session status at time of logon. Field is intended to be used when the logon is sent as an acknowledgement from acceptor of the FIX session.
The default version of FIX messages used in this session.
The default extension pack for FIX messages used in this session
The default custom application version (dictionary) for FIX messages used in this session
Available to provide a response to logon when used as a logon acknowledgement from acceptor back to the logon initiator.
Must be set if EncodedText field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
The news message is a general free format message between the broker and institution. The message contains flags to identify the news item's urgency and to allow sorting by subject company (symbol). The News message can be originated at either the broker or institution side, or exchanges and other marketplace venues.
MsgType = B
Unique identifer for News message
News items referenced by this News message
Used to optionally specify the national language used for the News item.
Specifies the headline text
Must be set if EncodedHeadline field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the Headline field in the encoded format specified via the MessageEncoding field.
Required if any RoutingType and RoutingIDs are specified. Indicates the number within repeating group.
Used to optionally specify the market to which this News applies.
Used to optionally specify the market segment to which this News applies.
Specifies the number of repeating symbols (instruments) specified
Number of underlyings
Specifies the number of repeating lines of text specified
A URL (Uniform Resource Locator) link to additional information (i.e. http://www.XYZ.com/research.html)
The email message is similar to the format and purpose of the News message, however, it is intended for private use between two parties.
MsgType = C
Unique identifier for the email message thread
Specifies the Subject text
Must be set if EncodedSubject field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the Subject field in the encoded format specified via the MessageEncoding field.
Required if any RoutingType and RoutingIDs are specified. Indicates the number within repeating group.
Specifies the number of repeating symbols (instruments) specified
Number of underlyings
Specifies the number of repeating lines of text specified
The new order message type is used by institutions wishing to electronically submit securities and forex orders to a broker for execution.
The New Order message type may also be used by institutions or retail intermediaries wishing to electronically submit Collective Investment Vehicle (CIV) orders to a broker or fund manager for execution.
MsgType = D
Unique identifier of the order as assigned by institution or by the intermediary (CIV term, not a hub/service bureau) with closest association with the investor.
This is party information related to the submitter of the request.
Identifies parties not directly associated with or owning the order, who are to be informed to effect processing of the order.
Type of account associated with the order (Origin)
Used to assign an overall allocation id to the block of preallocations
Number of repeating groups for pre-trade allocation
For NDFs either SettlType or SettlDate should be specified.
Takes precedence over SettlType value and conditionally required/omitted for specific SettlType values.
For NDFs either SettlType or SettlDate should be specified.
Can contain multiple instructions, space delimited. If OrdType=P, exactly one of the following values (ExecInst = L, R, M, P, O, T, W, a, d) must be specified.
Specifies instructions to disclose certain order level information in market data.
Specifies the number of repeating TradingSessionIDs
Used to identify soft trades at order entry.
Insert here the set of "Instrument" (symbology) fields defined in "Common Components of Application Messages"
Insert here the set of "FinancingDetails" (symbology) fields defined in "Common Components of Application Messages"
Number of underlyings
Useful for verifying security identification
Available for optional use when Side(54) = 6(Sell short exempt).
Required for short sell orders
Time this order request was initiated/released by the trader, trading system, or intermediary.
Insert here the set of "Stipulations" (repeating group of Fixed Income stipulations) fields defined in "Common Components of Application Messages"
Insert here the set of "OrderQtyData" fields defined in "Common Components of Application Messages"
Required for limit OrdTypes. For F/X orders, should be the "all-in" rate (spot rate adjusted for forward points). Can be used to specify a limit price for a pegged order, previously indicated, etc.
Required for OrdType = "Stop" or OrdType = "Stop limit".
Insert here the set of "TriggeringInstruction" fields defined in "common components of application messages"
Insert here the set of "SpreadOrBenchmarkCurveData" (Fixed Income spread or benchmark curve) fields defined in "Common Components of Application Messages"
Insert here the set of "YieldData" (yield-related) fields defined in "Common Components of Application Messages"
Upfront Price for CDS transactions. Conditionally required if TradePriceNegotiationMethod(1740) = 4(Percent of par and upfront amount), 5(Deal spread and upfront amount) or 6(Upfront points and upfront amount).
Must be set if EncodedComplianceText(2352) field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the ComplianceText(2404) field in the encoded format specified via the MessageEncoding(347) field.
Required for Previously Indicated Orders (OrdType=E)
Required for Previously Quoted Orders (OrdType=D)
Absence of this field indicates Day order
Can specify the time at which the order should be considered valid
Conditionally required if TimeInForce = GTD and ExpireTime is not specified.
Conditionally required if TimeInForce = GTD and ExpireDate is not specified.
States whether executions are booked out or accumulated on a partially filled GT order
Conditionally required when TimeInForce(59)=10 (Good for Time)
Use as an alternative to CommissionData component if multiple commissions or enhanced attributes are needed.
Applies to trades resulting from the order.
Indicates that broker is requested to execute a Forex accommodation trade in conjunction with the security trade.
Required if ForexReq=Y.
Required for NDFs.
Method for booking out this order. Used when notifying a broker that an order to be settled by that broker is to be booked out as an OTC derivative (e.g. CFD or similar). Absence of this field implies regular booking.
Must be set if EncodedText field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
Can be used with OrdType = "Forex - Swap" to specify the "value date" for the future portion of a F/X swap.
Can be used with OrdType = "Forex - Swap" to specify the order quantity for the future portion of a F/X swap.
Can be used with OrdType = "Forex - Swap" to specify the price for the future portion of a F/X swap which is also a limit order. For F/X orders, should be the "all-in" rate (spot rate adjusted for forward points).
For use in derivatives omnibus accounting
For use with derivatives, such as options
Insert here the set of "PegInstruction" fields defined in "Common Components of Application Messages"
Insert here the set of "DiscretionInstruction" fields defined in "Common Components of Application Messages"
The target strategy of the order
Strategy parameter block
For further specification of the TargetStrategy
Mandatory for a TargetStrategy=Participate order and specifies the target particpation rate.
For other order types optionally specifies a volume limit (i.e. do not be more than this percent of the market volume)
For CIV - Optional
Reference to Registration Instructions message for this Order.
Supplementary registration information for this Order
Required for counter-order selection / Hit / Take Orders. (OrdType = Q)
Conditionally required if RefOrderID is specified.
Conditionally required for auction orders
The NewOrderList Message can be used in one of two ways depending on which market conventions are being followed.
MsgType = E
Must be unique, by customer, for the day
Should refer to an earlier program if bidding took place.
e.g. Non Disclosed Model, Disclosed Model, No Bidding Process
For CIV - Optional
Reference to Registration Instructions message applicable to all Orders in this List.
Controls when execution should begin For CIV Orders indicates order of execution..
Free-form text.
Used for contingency orders.
Must be set if EncodedListExecInst field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the ListExecInst field in the encoded format specified via the MessageEncoding field.
The maximum percentage that execution of one side of a program trade can exceed execution of the other.
The maximum amount that execution of one side of a program trade can exceed execution of the other.
The currency that AllowableOneSidedness is expressed in if AllowableOneSidednessValue is used.
Used to support fragmentation. Sum of NoOrders across all messages with the same ListID.
Indicates whether this is the last fragment in a sequence of message fragments. Only required where message has been fragmented.
Insert here the set of "Root Parties" fields defined in "common components of application messages" Used for acting parties that applies to the whole message, not individual orders.
Number of orders in this message (number of repeating groups to follow)
The order cancel request message requests the cancellation of all of the remaining quantity of an existing order. Note that the Order Cancel/Replace Request should be used to partially cancel (reduce) an order).
MsgType = F
Required if provided on the order being cancelled. Echo back the value provided by the requester.
ClOrdID(11) of the previous non-rejected order (NOT the initial order of the day) when canceling or replacing an order.
Required when referring to orders that were electronically submitted over FIX or otherwise assigned a ClOrdID
Unique identifier of most recent order as assigned by sell-side (broker, exchange, ECN).
Unique ID of cancel request as assigned by the institution.
Required for List Orders
Insert here the set of "Parties" (firm identification) fields defined in "Common Components of Application Messages"
Insert here the set of "Instrument" (symbology) fields defined in "Common Components of Application Messages"
Insert here the set of "FinancingDetails" (symbology) fields defined in "Common Components of Application Messages"
Must match original order
Number of underlyings
Execution destination when referring to orders that were not electronically submitted over FIX and ClOrdID has not been assigned or is not available to the recipient of the request.
Time this order request was initiated/released by the trader or trading system.
Insert here the set of "OrderQtyData" fields defined in "Common Components of Application Messages"
Note: OrderQty = CumQty + LeavesQty (see exceptions above)
Must be set if EncodedComplianceText(2352) field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the ComplianceText(2404) field in the encoded format specified via the MessageEncoding(347) field.
Must be set if EncodedText field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
The order cancel/replace request is used to change the parameters of an existing order.
Do not use this message to cancel the remaining quantity of an outstanding order, use the Order Cancel Request message for this purpose.
MsgType = G
Unique identifier of most recent order as assigned by sell-side (broker, exchange, ECN).
Required if provided on the order being replaced (or cancelled). Echo back the value provided by the requester.
This is party information related to the submitter of the request.
Identifies parties not directly associated with or owning the order, who are to be informed to effect processing of the order.
ClOrdID(11) of the previous non rejected order (NOT the initial order of the day) when canceling or replacing an order.
Required when referring to orders that were electronically submitted over FIX or otherwise assigned a ClOrdID
Unique identifier of replacement order as assigned by institution or by the intermediary with closest association with the investor.. Note that this identifier will be used in ClOrdID field of the Cancel Reject message if the replacement request is rejected.
Required for List Orders
TransactTime of the last state change that occurred to the original order
Used to assign an overall allocation id to the block of preallocations
Number of repeating groups for pre-trade allocation
For NDFs either SettlType or SettlDate should be specified.
Takes precedence over SettlType value and conditionally required/omitted for specific SettlType values.
For NDFs either SettlType or SettlDate should be specified.
Can contain multiple instructions, space delimited. Replacement order must be created with new parameters (i.e. original order values will not be brought forward to replacement order unless redefined within this message).
Insert here the set of "DisplayInstruction" fields defined in "common components of application messages"
Specifies instructions to disclose certain order level information in market data.
Specifies the number of repeating TradingSessionIDs
Insert here the set of "Instrument" (symbology) fields defined in "Common Components of Application Messages"
Must match original order
Insert here the set of "FinancingDetails" (symbology) fields defined in "Common Components of Application Messages"
Must match original order
Number of underlyings
Should match original order's side, however, if bilaterally agreed to the following groups could potentially be interchanged:
Buy and Buy Minus
Sell, Sell Plus, Sell Short, and Sell Short Exempt
Cross, Cross Short, and Cross Short Exempt
Available for optional use when Side(54) = 6(Sell short exempt).
Time this order request was initiated/released by the trader or trading system.
Insert here the set of "OrderQtyData" fields defined in "Common Components of Application Messages"
Note: OrderQty value should be the "Total Intended Order Quantity" (including the amount already executed for this chain of orders)
Required for limit OrdTypes. For F/X orders, should be the "all-in" rate (spot rate adjusted for forward points). Can be used to specify a limit price for a pegged order, previously indicated, etc.
Required for OrdType = "Stop" or OrdType = "Stop limit".
Insert here the set of "TriggeringInstruction" fields defined in "common components of application messages"
Insert here the set of "SpreadOrBenchmarkCurveData" (Fixed Income spread or benchmark curve) fields defined in "Common Components of Application Messages"
Insert here the set of "YieldData" (yield-related) fields defined in "Common Components of Application Messages"
Insert here the set of "PegInstruction" fields defined in "Common Components of Application Messages"
Insert here the set of "DiscretionInstruction" fields defined in "Common Components of Application Messages"
The target strategy of the order
Strategy parameter block
For further specification of the TargetStrategy
Mandatory for a TargetStrategy=Participate order and specifies the target particpation rate.
For other order types optionally specifies a volume limit (i.e. do not be more than this percent of the market volume)
Must be set if EncodedComplianceText(2352) field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the ComplianceText(2404) field in the encoded format specified via the MessageEncoding(347) field.
Must match original order.
Absence of this field indicates Day order
Can specify the time at which the order should be considered valid
Conditionally required if TimeInForce = GTD and ExpireTime is not specified.
Conditionally required if TimeInForce = GTD and ExpireDate is not specified.
States whether executions are booked out or accumulated on a partially filled GT order
Conditionally required when TimeInForce(59)=10 (Good for Time)
Use as an alternative to CommissionData component if multiple commissions or enhanced attributes are needed.
Applies to trades resulting from the order.
Indicates that broker is requested to execute a Forex accommodation trade in conjunction with the security trade.
Required if ForexReq=Y.
Required for NDFs.
Method for booking out this order. Used when notifying a broker that an order to be settled by that broker is to be booked out as an OTC derivative (e.g. CFD or similar). Absence of this field implies regular booking.
Must be set if EncodedText field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
Can be used with OrdType = "Forex - Swap" to specify the "value date" for the future portion of a F/X swap.
Can be used with OrdType = "Forex - Swap" to specify the order quantity for the future portion of a F/X swap.
Can be used with OrdType = "Forex - Swap" to specify the price for the future portion of a F/X swap.
For use in derivatives omnibus accounting
For use with derivatives, such as options
Required for short sell orders
For CIV - Optional
Reference to Registration Instructions message for this Order.
Supplementary registration information for this Order
Conditionally required for auction orders.
The order status request message is used by the institution to generate an order status message back from the broker.
MsgType = H
Conditionally required if ClOrdID(11) is not provided. Either OrderID or ClOrdID must be provided.
The ClOrdID of the order whose status is being requested. Conditionally required if the OrderID(37) is not provided. Either OrderID or ClOrdID must be provided.
Insert here the set of "Parties" (firm identification) fields defined in "Common Components of Application Messages"
Optional, can be used to uniquely identify a specific Order Status Request message. Echoed back on Execution Report if provided.
Insert here the set of "Instrument" (symbology) fields defined in "Common Components of Application Messages"
Insert here the set of "FinancingDetails" (symbology) fields defined in "Common Components of Application Messages"
Must match original order
Number of underlyings
The Allocation Instruction message provides the ability to specify how an order or set of orders should be subdivided amongst one or more accounts. In versions of FIX prior to version 4.4, this same message was known as the Allocation message. Note in versions of FIX prior to version 4.4, the allocation message was also used to communicate fee and expense details from the Sellside to the Buyside. This role has now been removed from the Allocation Instruction and is now performed by the new (to version 4.4) Allocation Report and Confirmation messages.,The Allocation Report message should be used for the Sell-side Initiated Allocation role as defined in previous versions of the protocol.
MsgType = J
Unique identifier for this allocation instruction message
i.e. New, Cancel, Replace
Specifies the purpose or type of Allocation message
Optional second identifier for this allocation instruction (need not be unique)
Required for AllocTransType = Replace or Cancel
Required for AllocTransType = Replace or Cancel
Gives the reason for replacing or cancelling the allocation instruction
Required if AllocType = 8 (Request to Intermediary)
Indicates status that is requested to be transmitted to counterparty by the intermediary (i.e. clearing house)
Can be used to link two different Allocation messages (each with unique AllocID) together, i.e. for F/X "Netting" or "Swaps"
Can be used to link two different Allocation messages and identifies the type of link. Required if AllocLinkID is specified.
Group identifier assigned by the clearinghouse
Firm assigned entity identifier for the allocation
Can be used with AllocType=" Ready-To-Book "
Indicates how the orders being booked and allocated by an AllocationInstruction or AllocationReport message are identified, e.g. by explicit definition in the OrdAllocGrp or ExecAllocGrp components, or not identified explicitly.
Indicates number of orders to be combined for allocation. If order(s) were manually delivered set to 1 (one).Required when AllocNoOrdersType = 1
Indicates number of individual execution or trade entries. Absence indicates that no individual execution or trade entries are included. Primarily used to support step-outs.
Insert here the set of "Instrument" (symbology) fields defined in "Common Components of Application Messages".
For NDFs fixing date and time can be optionally specified using MaturityDate and MaturityTime.
Insert here the set of "InstrumentExtension" fields defined in "Common Components of Application Messages"
Insert here the set of "FinancingDetails" fields defined in "Common Components of Application Messages"
Total quantity (e.g. number of shares) allocated to all accounts, or that is Ready-To-Book
Market of the executions.
For FX orders, should be the "all-in" rate (spot rate adjusted for forward points), expressed in terms of Currency(15).
For 3rd party allocations used to convey either basic price or averaged price
Optional for average price allocations in the listed derivatives markets where the central counterparty calculates and manages average price across an allocation group.
Insert here the set of "SpreadOrBenchmarkCurveData" fields defined in "Common Components of Application Messages"
Currency of AvgPx. Should be the currency of the local market or exchange where the trade was conducted.
Absence of this field indicates that default precision arranged by the broker/institution is to be used
Insert here the set of "Parties" (firm identification) fields defined in "Common Components of Application Messages"
Date/time when allocation is generated
Takes precedence over SettlType value and conditionally required/omitted for specific SettlType values.
Required for NDFs to specify the "value date".
Method for booking. Used to provide notification that this is to be booked out as an OTC derivative (e.g. CFD or similar). Absence of this field implies regular booking.
Expressed in same currency as AvgPx(6). (Quantity(53) * AvgPx(6) or AvgParPx(860)) or sum of (AllocQty(80) * AllocAvgPx(153) or AllocPrice(366)). For Fixed Income, AvgParPx(860) is used when AvgPx(6) is not expressed as "percent of par" price.
Expressed in same currency as AvgPx. Sum of AllocNetMoney.
For FX, if specified, expressed in terms of Currency(15).
Indicates if Allocation has been automatically accepted on behalf of the Take-up Firm by the Clearing House
Must be set if EncodedText field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
Applicable for Convertible Bonds and fixed income
Applicable for Convertible Bonds and fixed income
Applicable for Convertible Bonds and fixed income
For repurchase agreements the accrued interest on termination.
For repurchase agreements the start (dirty) cash consideration
For repurchase agreements the end (dirty) cash consideration
Insert here here the set of "Position Amount Data" fields defined in "Common Components of Application Messages"
Indicates total number of allocation groups (used to support fragmentation). Must equal the sum of all NoAllocs values across all message fragments making up this allocation instruction.
Only required where message has been fragmented.
Indicates whether this is the last fragment in a sequence of message fragments. Only required where message has been fragmented.
Conditionally required except when AllocTransType = Cancel, or when AllocType = "Ready-to-book" or "Warehouse instruction"
Indicates if an allocation is to be average priced. Is also used to indicate if average price allocation group is complete or incomplete.
Firm designated group identifier for average pricing
Indicates Clearing Business Date for which transaction will be settled.
Indicates Trade Type of Allocation.
Indicates TradeSubType of Allocation. Necessary for defining groups.
Indicates CTI of original trade marked for allocation.
Indicates input source of original trade marked for allocation.
Indicates MultiLegReportType of original trade marked for allocation.
Used to identify the event or source which gave rise to a message.
Specifies the rounded price to quoted precision.
Used to identify on what kind of venue the trade originated when communicating with a party that may not have access to all trade details, e.g. a clearing organization.
Conditionally required when RefRiskLimitCheckIDType(2335) is specified.
Conditionally required when RefRiskLimitCheckID(2334) is specified.
The List Cancel Request message type is used by institutions wishing to cancel previously submitted lists either before or during execution.
MsgType = K
Insert here the set of "Parties" (firm identification) fields defined in "common components of application messages"
Time this order request was initiated/released by the trader or trading system.
Must be set if EncodedText field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
The List Execute message type is used by institutions to instruct the broker to begin execution of a previously submitted list. This message may or may not be used, as it may be mirroring a phone conversation.
MsgType = L
Must be unique, by customer, for the day
Used with BidType=Disclosed to provide the sell side the ability to determine the direction of the trade to execute.
Time this order request was initiated/released by the trader or trading system.
Must be set if EncodedText field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
The list status request message type is used by institutions to instruct the broker to generate status messages for a list.
MsgType = M
Must be set if EncodedText field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
The list status message is issued as the response to a List Status Request message sent in an unsolicited fashion by the sell-side. It indicates the current state of the orders within the list as they exist at the broker's site. This message may also be used to respond to the List Cancel Request.
MsgType = N
Total number of messages required to status complete list.
Sequence number of this report message.
Must be set if EncodedListStatusText field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the ListStatusText field in the encoded format specified via the MessageEncoding field.
Used to support fragmentation. Sum of NoOrders across all messages with the same ListID.
Indicates whether this is the last fragment in a sequence of message fragments. Only required where message has been fragmented.
Number of orders statused in this message, i.e. number of repeating groups to follow.
In versions of FIX prior to version 4.4, this message was known as the Allocation ACK message.
The Allocation Instruction Ack message is used to acknowledge the receipt of and provide status for an Allocation Instruction message.
MsgType = P
Optional second identifier for the allocation instruction being acknowledged (need not be unique)
Group identifier assigned by the clearinghouse
Firm assigned entity identifier for the allocation
Firm designated group identifier for average pricing
Date/Time Allocation Instruction Ack generated
Denotes the status of the allocation instruction; received (but not yet processed), rejected (at block or account level) or accepted (and processed).
Required for AllocStatus = 1 ( block level reject) and for AllocStatus 2 (account level reject) if the individual accounts and reject reasons are not provided in this message
Required if AllocType = 8 (Request to Intermediary)
Indicates status that is requested to be transmitted to counterparty by the intermediary (i.e. clearing house)
Denotes whether the financial details provided on the Allocation Instruction were successfully matched.
Can include explanation for AllocRejCode = 7 (other)
Must be set if EncodedText(355) field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the Text(58) field in the encoded format specified via the MessageEncoding(347) field.
Must be set if EncodedRejectText(1665) field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the RejectText(1328) field in the encoded format specified via the MessageEncoding(347) field.
This repeating group is optionally used for messages with AllocStatus = 2 (account level reject) to provide details of the individual accounts that caused the rejection, together with reject reasons. This group should not be populated when AllocStatus has any other value.
Indicates number of allocation groups to follow.
The Don’t Know Trade (DK) message notifies a trading partner that an electronically received execution has been rejected. This message can be thought of as an execution reject message.
MsgType = Q
Broker Order ID as identified on problem execution
Execution ID of problem execution
Insert here the set of "Instrument" (symbology) fields defined in "Common Components of Application Messages"
Number of underlyings
Number of Legs
Insert here the set of "OrderQtyData" fields defined in "Common Components of Application Messages"
Required if specified on the ExecutionRpt
Required if specified on the ExecutionRpt
Must be set if EncodedText field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
In some markets it is the practice to request quotes from brokers prior to placement of an order. The quote request message is used for this purpose. This message is commonly referred to as an Request For Quote (RFQ)
MsgType = R
For tradeable quote model - used to indicate to which RFQ Request this Quote Request is in response.
Required only in two party models when QuoteType(537) = '1' (Tradeable) and the OrdType(40) = '2' (Limit).
Used to indicate whether a private negotiation is requested or if the response should be public. Only relevant in markets supporting both Private and Public quotes. If field is not provided in message, the model used must be bilaterally agreed.
Insert here the set of "Root Parties" fields defined in "common components of application messages" Used for acting parties that applies to the whole message, not individual legs, sides, etc..
Number of related symbols (instruments) in Request
Must be set if EncodedComplianceText(2352) field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the ComplianceText(2404) field in the encoded format specified via the MessageEncoding(347) field.
Must be set if EncodedText field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
The Quote message is used as the response to a Quote Request or a Quote Response message in both indicative, tradeable, and restricted tradeable quoting markets.
MsgType = S
Required when quote is in response to a QuoteRequest(35=R) message.
Unique identifier for the bid side of the quote.
Unique identifier for the ask side of the quote.
Can be used when modifying an existing quote.
Optionally used to supply a message identifier for a quote.
Required when responding to the QuoteResponse(35=AJ) message. The counterparty specified ID of the QuoteResponse(35=AJ) message.
If not specified, the default is an indicative quote.
Used to indicate whether a private negotiation is requested or if the response should be public. Only relevant in markets supporting both Private and Public quotes. If field is not provided in message, the model used must be bilaterally agreed.
Required for Tradeable or Counter quotes of single instruments
Required for Tradeable quotes or Counter quotes of single instruments
Can be used with forex quotes to specify a specific "value date".
For NDFs this is required.
Can be used with OrdType = "Forex - Swap" to specify the "value date" for the future portion of a F/X swap.
Can be used with OrdType = "Forex - Swap" to specify the order quantity for the future portion of a F/X swap.
Can be used to specify the currency of the quoted prices. May differ from the 'normal' trading currency of the instrument being quoted
Required for NDFs to specify the settlement currency (fixing currency).
Required for multileg quotes
If F/X quote, should be the "all-in" rate (spot rate adjusted for forward points). Note that either BidPx, OfferPx or both must be specified.
If F/X quote, should be the "all-in" rate (spot rate adjusted for forward points). Note that either BidPx, OfferPx or both must be specified.
Can be used by markets that require showing the current best bid and offer
Can be used by markets that require showing the current best bid and offer
Used for markets that use a minimum and maximum bid size.
If MinBidSize(647) is specified, BidSize(134) is interpreted to contain the maximum bid size.
Used for markets that use a minimum and maximum offer size.
If MinOfferSize(648) is specified, OfferSize(135) is interpreted to contain the maximum offer size.
For use in private/directed quote negotiations.
The time when the quote will expire
Can be used to specify the type of order the quote is for
Bid F/X forward points of the future portion of a F/X swap quote added to spot rate. May be a negative value
Offer F/X forward points of the future portion of a F/X swap quote added to spot rate. May be a negative value
Can be used when the quote is provided in a currency other than the instrument's 'normal' trading currency. Applies to all bid prices contained in this quote message
Can be used when the quote is provided in a currency other than the instrument's 'normal' trading currency. Applies to all offer prices contained in this quote message
Can be used when the quote is provided in a currency other than the instruments trading currency.
Can be used to show the counterparty the commission associated with the transaction.
Used when routing quotes to multiple markets
SpreadOrBenchmarkCurveData component may be used to specify the benchmark.
SpreadOrBenchmarkCurveData component may be used to specify the benchmark.
Spread(218) may be used for a mid-spread value.
Must be set if EncodedComplianceText(2352) field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the ComplianceText(2404) field in the encoded format specified via the MessageEncoding(347) field.
Must be set if EncodedText field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
The Settlement Instructions message provides the broker’s, the institution’s, or the intermediary’s instructions for trade settlement. This message has been designed so that it can be sent from the broker to the institution, from the institution to the broker, or from either to an independent "standing instructions" database or matching system or, for CIV, from an intermediary to a fund manager.
MsgType = T
Unique identifier for this message
Only used when this message is used to respond to a settlement instruction request (to which this ID refers)
1=Standing Instructions, 2=Specific Allocation Account Overriding, 3=Specific Allocation Account Standing , 4=Specific Order, 5=Reject SSI request
Required for SettlInstMode = 5. Used to provide reason for rejecting a Settlement Instruction Request message.
Can be used to provide any additional rejection text where rejecting a Settlement Instruction Request message.
Required for SettlInstMode(160) = 4 and when referring to orders that where electronically submitted over FIX or otherwise assigned a ClOrdID.
Date/time this message was generated
Required except where SettlInstMode is 5=Reject SSI request
Some systems allow the transmission of real-time quote, order, trade, trade volume, open interest, and/or other price information on a subscription basis. A MarketDataRequest(35=V) is a general request for market data on specific securities or forex quotes. The values in the fields provided within the request will serve as further filter criteria for the result set.
MsgType = V
Must be unique, or the ID of previous Market Data Request to disable if SubscriptionRequestType(263) = 2(Disable previous Snapshot + Updates Request).
SubscriptionRequestType(263) indicates to the other party what type of response is expected. A snapshot request only asks for current information. A subscribe request asks for updates as the status changes. Unsubscribe will cancel any future update messages from the counter party.
Required if SubscriptionRequestType(263) = 1(Snapshot + Updates).
Can be used to clarify a request if MDEntryType(269) = 4 (Opening price), 5 (Closing price), or 6 (Settlement price).
Defines the scope(s) of the request
Can be used when MarketDepth(254) >= 2 and MDUpdateType(265) = 1(Incremental Refresh).
Can be used to limit the result set to the specified markets or market segments.
Action to take if application level queuing exists
Maximum application queue depth that must be exceeded before queuing action is taken.
The Market Data messages are used as the response to a Market Data Request message. In all cases, one Market Data message refers only to one Market Data Request. It can be used to transmit a 2-sided book of orders or list of quotes, a list of trades, index values, opening, closing, settlement, high, low, or VWAP prices, the trade volume or open interest for a security, or any combination of these.
MsgType = W
Total number or reports returned in response to a request.
Unique identifier for the market data report.
Describes the type of book for which the feed is intended. Can be used when multiple feeds are provided over the same connection
Can be used to define a subordinate book.
Can be used to define the current depth of the book.
Describes a class of service for a given data feed, ie Regular and Market Maker
Used to specify the trading date for which a set of market data applies
Conditionally required if this message is in response to a MarketDataRequest(35=V).
Required for multileg quotes
Depth of application messages queued for transmission as of delivery of this message
Action taken to resolve application queuing
The Market Data message for incremental updates may contain any combination of new, changed, or deleted Market Data Entries, for any combination of instruments, with any combination of trades, imbalances, quotes, index values, open, close, settlement, high, low, and VWAP prices, trade volume and open interest so long as the maximum FIX message size is not exceeded. All of these types of Market Data Entries can be changed and deleted.
MsgType = X
Describes the type of book for which the feed is intended. Can be used when multiple feeds are provided over the same connection
Describes a class of service for a given data feed, ie Regular and Market Maker
Used to specify the trading date for which a set of market data applies
Conditionally required if this message is in response to a Market Data Request.
Number of entries following.
Depth of application messages queued for transmission as of delivery of this message
Action taken to resolve application queuing
The Market Data Request Reject is used when the broker cannot honor the Market Data Request, due to business or technical reasons. Brokers may choose to limit various parameters, such as the size of requests, whether just the top of book or the entire book may be displayed, and whether Full or Incremental updates must be used.
MsgType = Y
Must refer to the MDReqID of the request.
Insert here the set of Parties (firm identification) fields defined in "Common Components of Application Messages
Must be set if EncodedText field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
The Quote Cancel message is used by an originator of quotes to cancel quotes.
The Quote Cancel message supports cancellation of:
• All quotes
• Quotes for a specific symbol or security ID
• All quotes for a security type
• All quotes for an underlying
MsgType = Z
Required when quote is in response to a Quote Request message
Conditionally required when QuoteCancelType(298) = 5 (Cancel specified single quote) and SecondarlyQuoteID(1751) is not specified. Maps to QuoteID(117) of a single Quote(35=S) or QuoteEntryID(299) of a MassQuote(35=i)
Conditionally required when QuoteCancelType(298) = 5 (Cancel specific single quote) and QuoteID(117) is not specified.
Optionally used to supply a message identifier for a quote cancel.
Identifies the type of Quote Cancel request.
Conditionally required when QuoteCancelType(298)=6(Cancel by type of quote).
Level of Response requested from receiver of quote messages.
Insert here the set of "Parties" (firm identification) fields defined in "Common Components of Application Messages"
Can be used to specify the parties to whom the Quote Cancel should be applied.
Type of account associated with the order (Origin)
The number of securities (instruments) whose quotes are to be canceled
Not required when cancelling all quotes.
The quote status request message is used for the following purposes in markets that employ tradeable or restricted tradeable quotes:
• For the issuer of a quote in a market to query the status of that quote (using the QuoteID to specify the target quote).
• To subscribe and unsubscribe for Quote Status Report messages for one or more securities.
MsgType = a (lowercase)
Maps to:
- QuoteID(117) of a single Quote
- QuoteEntryID(299) of a Mass Quote.
Conditionally required when requesting status of a single security quote.
Insert here the set of "FinancingDetails" (symbology) fields defined in "Common Components of Application Messages"
Number of underlyings
Required for multileg quotes
Insert here the set of "Parties" (firm identification) fields defined in "Common Components of Application Messages"
Can be used to specify the parties to whom the Quote Status Request should apply.
Type of account associated with the order (Origin)
Used to subscribe for Quote Status Report messages
Mass Quote Acknowledgement is used as the application level response to a Mass Quote message.
MsgType = b (lowercase)
Required when acknowledgment is in response to a Quote Request message
Required when acknowledgment is in response to a Mass Quote, mass Quote Cancel or mass Quote Status Request message. Maps to:
- QuoteID(117) of a Mass Quote
- QuoteMsgID(1166) of Quote Cancel
- QuoteStatusReqID(649) of Quote Status Request
Status of the mass quote acknowledgement.
Reason Quote was rejected.
Level of Response requested from receiver of quote messages. Is echoed back to the counterparty.
Type of Quote
Insert here the set of "Parties" (firm identification) fields defined in "Common Components of Application Messages"
Should be populated if the Mass Quote Acknowledgement is acknowledging a mass quote cancellation by party.
Type of account associated with the order (Origin)
Must be set if EncodedComplianceText(2352) field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the ComplianceText(2404) field in the encoded format specified via the MessageEncoding(347) field.
The number of sets of quotes in the message
The SecurityDefinitionRequest(35=c) message is used for the following:
1. Request a specific security to be traded with the second party. The requested security can be defined as a multileg security made up of one or more instrument legs.
2. Request a set of individual securities for a single market segment.
3. Request all securities, independent of market segment.
MsgType = c (lowercase)
Identifies the market for which the security definition request is being made.
Identifies the segment of the market for which the security definition request is being made.
Must be set if EncodedComplianceText(2352) field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the ComplianceText(2404) field in the encoded format specified via the MessageEncoding(347) field.
Must be set if EncodedText(355) field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the Text(58) field in the encoded format specified via the MessageEncoding(347) field.
Optional trading session identifier to specify a particular trading session for which you want to obtain a list of securities that are tradeable.
Subscribe or unsubscribe for security status to security specified in request.
The SecurityDefinition(35=d) message is used for the following:
1. Accept the security defined in a SecurityDefinition(35=d) message.
2. Accept the security defined in a SecurityDefinition(35=d) message with changes to the definition and/or identity of the security.
3. Reject the security requested in a SecurityDefinition(35=d) message.
4. Respond to a request for securities within a specified market segment.
5. Convey comprehensive security definition for all market segments that the security participates in.
6. Convey the security's trading rules that differ from default rules for the market segment.
MsgType = d (lowercase)
Used to identify the SecurityDefinition(35=d) message.
Used to identify the response to a SecurityDefinitionRequest(35=c) message.
Allow result of query request to be returned to requester
Used to specify a rejection reason when SecurityResponseType(323)=5 (Reject security proposal).
Used to specify forms of product classifications
Currency in which the price is denominated
Must be set if EncodedText(355) field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the Text(58) field in the encoded format specified via the MessageEncoding(347) field.
Contains all the security details related to listing and trading the security
Represents the time at which a security was last updated
The Security Status Request message provides for the ability to request the status of a security. One or more Security Status messages are returned as a result of a Security Status Request message.
MsgType = e (lowercase)
Must be unique, or the ID of previous Security Status Request to disable if SubscriptionRequestType = Disable previous Snapshot + Updates Request (2).
Insert here the set of "Instrument" (symbology) fields defined in "Common Components of Application Messages"
Insert here the set of "InstrumentExtension" fields defined in "Common Components of Application Messages"
Number of underlyings
Number of legs that make up the Security
SubscriptionRequestType indicates to the other party what type of response is expected. A snapshot request only asks for current information. A subscribe request asks for updates as the status changes. Unsubscribe will cancel any future update messages from the counter party.
The Security Status message provides for the ability to report changes in status to a security. The Security Status message contains fields to indicate trading status, corporate actions, financial status of the company. The Security Status message is used by one trading entity (for instance an exchange) to report changes in the state of a security.
MsgType = f (lowercase)
Business day that the state change applies to.
Set to 'Y' if message is sent as a result of a subscription request not a snapshot request
Used to relay changes in the book type
Used to relay changes in market depth.
Represents the last price for that security either on a consolidated or an individual participant basis at the time it is disseminated.
Time of status information.
Represents the price of the first fill of the trading session.
Must be set if EncodedText(355) field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the Text(58) field in the encoded format specified via the MessageEncoding(347) field.
The Trading Session Status Request is used to request information on the status of a market. With the move to multiple sessions occurring for a given trading party (morning and evening sessions for instance) there is a need to be able to provide information on what product is trading on what market.
MsgType = g (lowercase)
Must be unique, or the ID of previous Trading Session Status Request to disable if SubscriptionRequestType = Disable previous Snapshot + Updates Request (2).
Market for which Trading Session applies
Market Segment for which Trading Session applies
Trading Session for which status is being requested
Method of trading
Trading Session Mode
The Trading Session Status provides information on the status of a market. For markets multiple trading sessions on multiple-markets occurring (morning and evening sessions for instance), this message is able to provide information on what products are trading on what market during what trading session.
MsgType = h (lowercase)
Conditionally required when responding to a specific TradingSessionStatusRequest(35=g)
Market for which trading session applies
Market Segment for which trading session applies
Business day for which trading session applies to.
Identifier for trading session
Set to 'Y' if message is sent unsolicited as a result of a previous subscription request.
Identifies an event related to the trading status of a trading session
Indicates if trading session is in fast market.
Use with TradSesStatus(340) = 6(Request Rejected).
Starting time of the trading session
Time of the opening of the trading session
Time of the pre-close of the trading session
Closing time of the trading session
End time of the trading session
Indicates how control of trading session and subsession transitions are performed
Must be set if EncodedText(355) field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the Text(58) field in the encoded format specified via the MessageEncoding(347) field.
Use if status information applies only to a subset of all instruments. Use SecurityStatus(35=f) message instead for status on a single instrument.
The Mass Quote message can contain quotes for multiple securities to support applications that allow for the mass quoting of an option series. Two levels of repeating groups have been provided to minimize the amount of data required to submit a set of quotes for a class of options (e.g. all option series for IBM).
MsgType = i (lowercase)
Required when quote is in response to a Quote Request message
Type of Quote
Default is Indicative if not specified
Level of Response requested from receiver of quote messages.
Insert here the set of "Parties" (firm identification) fields defined in "Common Components of Application Messages"
Type of account associated with the order (Origin)
Default Bid Size for quote contained within this quote message - if not explicitly provided.
Default Offer Size for quotes contained within this quote message - if not explicitly provided.
The number of sets of quotes in the message
Must be set if EncodedComplianceText(2352) field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the ComplianceText(2404) field in the encoded format specified via the MessageEncoding(347) field.
The Business Message Reject message can reject an application-level message which fulfills session-level rules and cannot be rejected via any other means. Note if the message fails a session-level rule (e.g. body length is incorrect), a session-level Reject message should be issued.
MsgType = j (lowercase)
MsgSeqNum of rejected message
The MsgType of the FIX message being referenced.
Recommended when rejecting an application message that does not explicitly provide ApplVerID ( 1128) on the message being rejected. In this case the value from the DefaultApplVerID(1137) or the default value specified in the NoMsgTypes repeating group on the logon message should be provided.
Recommended when rejecting an application message that does not explicitly provide ApplExtID(1156) on the rejected message. In this case the value from the DefaultApplExtID(1407) or the default value specified in the NoMsgTypes repeating group on the logon message should be provided.
Recommended when rejecting an application message that does not explicitly provide CstmApplVerID(1129) on the message being rejected. In this case the value from the DefaultCstmApplVerID(1408) or the default value specified in the NoMsgTypes repeating group on the logon message should be provided.
The value of the business-level "ID" field on the message being referenced. Required unless the corresponding ID field (see list above) was not specified.
Code to identify reason for a Business Message Reject message.
Where possible, message to explain reason for rejection
Must be set if EncodedText field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
The BidRequest Message can be used in one of two ways depending on which market conventions are being followed.
In the "Non disclosed" convention (e.g. US/European model) the BidRequest message can be used to request a bid based on the sector, country, index and liquidity information contained within the message itself. In the "Non disclosed" convention the entry repeating group is used to define liquidity of the program. See " Program/Basket/List Trading" for an example.
In the "Disclosed" convention (e.g. Japanese model) the BidRequest message can be used to request bids based on the ListOrderDetail messages sent in advance of BidRequest message. In the "Disclosed" convention the list repeating group is used to define which ListOrderDetail messages a bid is being sort for and the directions of the required bids.
MsgType = k (lowercase)
Required to relate the bid response
Identifies the Bid Request message transaction type
e.g. "Non Disclosed", "Disclosed", No Bidding Process
Total number of tickets/allocations assuming fully executed
Used to represent the currency of monetary amounts.
Expressed in Currency
Expressed in Currency
Used if BidType="Non Disclosed"
Used if BidType="Disclosed"
Overall weighted average liquidity expressed as a % of average daily volume
% value of stocks outside main country in Currency
% of program that crosses in Currency
Time in minutes between each ListStatus report sent by SellSide. Zero means don't send status.
Net/Gross
Is foreign exchange required
Indicates the total number of bidders on the list
Used when BasisPxType = "C"
Must be set if EncodedText field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
The Bid Response message can be used in one of two ways depending on which market conventions are being followed.
In the "Non disclosed" convention the Bid Response message can be used to supply a bid based on the sector, country, index and liquidity information contained within the corresponding bid request message. See "Program/Basket/List Trading" for an example.
In the "Disclosed" convention the Bid Response message can be used to supply bids based on the List Order Detail messages sent in advance of the corresponding Bid Request message.
MsgType = l (lowercase L)
Number of bid repeating groups
The strike price message is used to exchange strike price information for principal trades. It can also be used to exchange reference prices for agency trades.
MsgType = m (lowercase)
Used to support fragmentation. Sum of NoStrikes across all messages with the same ListID.
Indicates whether this is the last fragment in a sequence of message fragments. Only required where message has been fragmented.
Number of strike price entries
The Registration Instructions message type may be used by institutions or retail intermediaries wishing to electronically submit registration information to a broker or fund manager (for CIV) for an order or for an allocation.
MsgType = o (lowercase O)
Required for Cancel and Replace RegistTransType messages
Unique identifier of the order as assigned by institution or intermediary to which Registration relates
Insert here the set of "Parties" (firm identification) fields defined in "Common Components of Application Messages"
Number of registration details in this message (number of repeating groups to follow)
Number of Distribution instructions in this message (number of repeating groups to follow)
The Registration Instructions Response message type may be used by broker or fund manager (for CIV) in response to a Registration Instructions message submitted by an institution or retail intermediary for an order or for an allocation.
MsgType = p (lowercase P)
Unique identifier of the original Registration Instructions details
Identifies original Registration Instructions transaction type
Required for Cancel and Replace RegistTransType messages
Unique identifier of the order as assigned by institution or intermediary.
Insert here the set of "Parties" (firm identification) fields defined in "Common Components of Application Messages"
The order mass cancel request message requests the cancellation of all of the remaining quantity of a group of orders matching criteria specified within the request. NOTE: This message can only be used to cancel order messages (reduce the full quantity).
MsgType = q (lowercase Q)
Unique ID of Order Mass Cancel Request as assigned by the institution.
Specifies the type of cancellation requested
Trading Session in which orders are to be canceled
Insert here the set of "Parties" (firm identification) fields defined in "common components of application messages"
Can be used to specify the parties to whom the Order Mass Cancel should apply.
Insert here the set of "Instrument" (symbology) fields defined in "Common Components of Application Messages"
Insert here the set of "UnderlyingInstrument" (underlying symbology) fields defined in "Common Components of Application Messages"
Required for MassCancelRequestType = 8 (Cancel orders for a market)
Required for MassCancelRequestType = 9 (Cancel orders for a market segment)
Optional qualifier used to indicate the side of the market for which orders are to be canceled. Absence of this field indicates that orders are to be canceled regardless of side.
Time this order request was initiated/released by the trader or trading system.
Must be set if EncodedText field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
The Order Mass Cancel Report is used to acknowledge an Order Mass Cancel Request. Note that each affected order that is canceled is acknowledged with a separate Execution Report or Order Cancel Reject message.
MsgType = r (lowercase R)
ClOrdID provided on the Order Mass Cancel Request. Unavailable in case of an unsolicited report, such as after a trading halt or a corporate action requiring the deletion of outstanding orders.
Unique Identifier for the Order Mass Cancel Request assigned by the recipient of the Order Mass Cancel Request.
Unique Identifier for the Order Mass Cancel Report assigned by the recipient of the Order Mass Cancel Request
Secondary Order ID assigned by the recipient of the Order Mass Cancel Request.
Order Mass Cancel Request Type accepted by the system
Indicates the action taken by the counterparty order handling system as a result of the Cancel Request
0 - Indicates Order Mass Cancel Request was rejected.
Indicates why Order Mass Cancel Request was rejected
Required if MassCancelResponse = 0
Optional field used to indicate the total number of orders affected by the Order Mass Cancel Request
List of orders affected by the Order Mass Cancel Request
List of orders not affected by Order Mass Cancel Request.
Trading Session in which orders are to be canceled
Insert here the set of "Parties" (firm identification) fields defined in "common components of application messages"
Should be populated with the values provided on the associated OrderMassCancelRequest(MsgType=Q).
Insert here the set of "Instrument" (symbology) fields defined in "Common Components of Application Messages"
Insert here the set of "UnderlyingInstrument" (underlying symbology) fields defined in "Common Components of Application Messages"
Side of the market specified on the Order Mass Cancel Request
Time this report was initiated/released by the sells-side (broker, exchange, ECN) or sell-side executing system.
Must be set if EncodedText field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
Used to submit a cross order into a market. The cross order contains two order sides (a buy and a sell). The cross order is identified by its CrossID.
MsgType = s (lowercase S)
Insert here the set of "Root Parties" fields defined in "common components of application messages" Used for acting parties that applies to the whole message, not individual sides.
Must be 1 or 2
1 or 2 if CrossType=1
2 otherwise
Insert here the set of "Instrument" (symbology) fields defined in "Common Components of Application Messages"
Number of underlyings
Number of Legs
Takes precedence over SettlType value and conditionally required/omitted for specific SettlType values.
Can contain multiple instructions, space delimited. If OrdType=P, exactly one of the following values (ExecInst = L, R, M, P, O, T, or W) must be specified.
Insert here the set of "DisplayInstruction" fields defined in "common components of application messages"
Specifies the number of repeating TradingSessionIDs
Used to identify soft trades at order entry.
Useful for verifying security identification
Required for short sell orders
Time this order request was initiated/released by the trader, trading system, or intermediary.
A date and time stamp to indicate when this order was booked with the agent prior to submission to the VMU
Insert here the set of "Stipulations" (repeating group of Fixed Income stipulations) fields defined in "Common Components of Application Messages"
Required for limit OrdTypes. For F/X orders, should be the "all-in" rate (spot rate adjusted for forward points). Can be used to specify a limit price for a pegged order, previously indicated, etc.
Required for OrdType = "Stop" or OrdType = "Stop limit".
Insert here the set of "TriggeringInstruction" fields defined in "common components of application messages"
Insert here the set of "SpreadOrBenchmarkCurveData" (Fixed Income spread or benchmark curve) fields defined in "Common Components of Application Messages"
Insert here the set of "YieldData" (yield-related) fields defined in "Common Components of Application Messages"
Required for Previously Indicated Orders (OrdType=E)
Required for Previously Quoted Orders (OrdType=D)
Absence of this field indicates Day order
Can specify the time at which the order should be considered valid
Conditionally required if TimeInForce = GTD and ExpireTime is not specified.
Conditionally required if TimeInForce = GTD and ExpireDate is not specified.
States whether executions are booked out or accumulated on a partially filled GT order
Conditionally required when TimeInForce(59)=10 (Good for Time)
Insert here the set of "PegInstruction" fields defined in "Common Components of Application Messages"
Insert here the set of "DiscretionInstruction" fields defined in "Common Components of Application Messages"
The target strategy of the order
Strategy parameter block
For further specification of the TargetStrategy
Mandatory for a TargetStrategy=Participate order and specifies the target particpation rate.
For other order types optionally specifies a volume limit (i.e. do not be more than this percent of the market volume)
For CIV - Optional
Reference to Registration Instructions message for this Order.
Supplementary registration information for this Order
Used to modify a cross order previously submitted using the New Order - Cross message. See Order Cancel Replace Request for details concerning message usage.
MsgType = t (lowercase T)
Unique identifier of most recent order as assigned by sell-side (broker, exchange, ECN).
Required if provided on the order being replaced (or cancelled). Echo back the value provided by the requester.
CrossID for the replacement order
Must match the CrossID of the previous cross order. Same order chaining mechanism as ClOrdID/OrigClOrdID with single order Cancel/Replace.
Host assigned entity ID that can be used to reference all components of a cross; sides + strategy + legs
Insert here the set of "Root Parties" fields defined in "common components of application messages" Used for acting parties that applies to the whole message, not individual sides.
Must be 1 or 2
Insert here the set of "Instrument" (symbology) fields defined in "Common Components of Application Messages"
Number of underlyings
Number of Legs
Takes precedence over SettlType value and conditionally required/omitted for specific SettlType values.
Can contain multiple instructions, space delimited. If OrdType=P, exactly one of the following values (ExecInst = L, R, M, P, O, T, or W) must be specified.
Insert here the set of "DisplayInstruction" fields defined in "common components of application messages"
Specifies the number of repeating TradingSessionIDs
Used to identify soft trades at order entry.
Useful for verifying security identification
Required for short sell orders
Time this order request was initiated/released by the trader, trading system, or intermediary.
A date and time stamp to indicate when this order was booked with the agent prior to submission to the VMU
Insert here the set of "Stipulations" (repeating group of Fixed Income stipulations) fields defined in "Common Components of Application Messages"
Required for limit OrdTypes. For F/X orders, should be the "all-in" rate (spot rate adjusted for forward points). Can be used to specify a limit price for a pegged order, previously indicated, etc.
Required for OrdType = "Stop" or OrdType = "Stop limit".
Insert here the set of "TriggeringInstruction" fields defined in "common components of application messages"
Insert here the set of "SpreadOrBenchmarkCurveData" (Fixed Income spread or benchmark curve) fields defined in "Common Components of Application Messages"
Insert here the set of "YieldData" (yield-related) fields defined in "Common Components of Application Messages"
Required for Previously Indicated Orders (OrdType=E)
Required for Previously Quoted Orders (OrdType=D)
Absence of this field indicates Day order
Can specify the time at which the order should be considered valid
Conditionally required if TimeInForce = GTD and ExpireTime is not specified.
Conditionally required if TimeInForce = GTD and ExpireDate is not specified.
States whether executions are booked out or accumulated on a partially filled GT order
Conditionally required when TimeInForce(59)=10 (Good for Time)
Insert here the set of "PegInstruction" fields defined in "Common Components of Application Messages"
Insert here the set of "DiscretionInstruction" fields defined in "Common Components of Application Messages"
The target strategy of the order
Strategy parameter block
For further specification of the TargetStrategy
Mandatory for a TargetStrategy=Participate order and specifies the target particpation rate.
For other order types optionally specifies a volume limit (i.e. do not be more than this percent of the market volume)
For CIV - Optional
Reference to Registration Instructions message for this Order.
Supplementary registration information for this Order
Used to fully cancel the remaining open quantity of a cross order.
MsgType = u (lowercase U)
Unique identifier of most recent order as assigned by sell-side (broker, exchange, ECN).
Required if provided on the order being cancelled. Echo back the value provided by the requester.
CrossID for the replacement order
Must match the CrossID of previous cross order. Same order chaining mechanism as ClOrdID/OrigClOrdID with single order Cancel/Replace.
Host assigned entity ID that can be used to reference all components of a cross; sides + strategy + legs
Insert here the set of "Root Parties" fields defined in "common components of application messages" Used for acting parties that applies to the whole message, not individual sides.
Must be 1 or 2
Insert here the set of "Instrument" (symbology) fields defined in "Common Components of Application Messages"
Number of underlyings
Number of Leg
Time this order request was initiated/released by the trader, trading system, or intermediary.
The Security Type Request message is used to return a list of security types available from a counterparty or market.
MsgType = v (lowercase V)
Comment, instructions, or other identifying information.
Must be set if EncodedText field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
Optional MarketID to specify a particular trading session for which you want to obtain a list of securities that are tradeable.
Optional Market Segment Identifier to specify a particular trading session for which you want to obtain a list of securities that are tradeable.
Optional Trading Session Identifier to specify a particular trading session for which you want to obtain a list of securities that are tradeable.
Used to qualify which security types are returned
Used to qualify which security type is returned
Used to qualify which security types are returned
The Security Type Request message is used to return a list of security types available from a counterparty or market.
MsgType = w (lowercase W)
Identifier for the security response message
The result of the security request identified by SecurityReqID
Indicates total number of security types in the event that multiple Security Type messages are used to return results
Indicates whether this is the last fragment in a sequence of message fragments. Only required where message has been fragmented.
Comment, instructions, or other identifying information.
Must be set if EncodedText field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
Optional MarketID to specify a particular trading session for which you want to obtain a list of securities that are tradeable.
Optional Market Segment Identifier to specify a particular trading session for which you want to obtain a list of securities that are tradeable.
Optional Trading Session Identifier to specify a particular trading session for which you want to obtain a list of securities that are tradeable.
Subscribe or unsubscribe for security status to security specified in request.
The Security List Request message is used to return a list of securities from the counterparty that match criteria provided on the request
MsgType = x (lowercase X)
Type of Security List Request being made
Identifies a specific list
Indentifies a list type
Identifies the source a list type
Identifies the market which lists and trades the instrument.
Identifies the segment of the market to which the specify trading rules and listing rules apply. The segment may indicate the venue, whether retail or wholesale, or even segregation by nationality.
Insert here the set of "Instrument" (symbology) fields defined in "Common Components of Application Messages"
of the requested Security
Insert here the set of "InstrumentExtension" fields defined in "Common Components of Application Messages"
Insert here the set of "FinancingDetails" fields defined in "Common Components of Application Messages"
Number of underlyings
Number of legs that make up the Security
Comment, instructions, or other identifying information.
Must be set if EncodedText field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
Optional Trading Session Identifier to specify a particular trading session for which you want to obtain a list of securities that are tradeable.
Subscribe or unsubscribe for security status to security specified in request.
The Security List message is used to return a list of securities that matches the criteria specified in a Security List Request.
MsgType = y (lowercase Y)
Identifies a specific Security List Entry
Provides a reference to another Security List
Identifies a list type
Identifies the source of a list type
Identifier for the Security List message
Result of the Security Request identified by the SecurityReqID
Used to specify a rejection reason when SecurityResponseType (323) is equal to 1 (Invalid or unsupported request) or 5 (Request for instrument data not supported).
Used to indicate the total number of securities being returned for this request. Used in the event that message fragmentation is required.
Identifies the market which lists and trades the instrument.
Identifies the segment of the market to which the specify trading rules and listing rules apply. The segment may indicate the venue, whether retail or wholesale, or even segregation by nationality.
Indicates whether this is the last fragment in a sequence of message fragments. Only required where message has been fragmented.
Specifies the number of repeating symbols (instruments) specified
The Derivative Security List Request message is used to return a list of securities from the counterparty that match criteria provided on the request
MsgType = z (lowercase Z)
Specifies the underlying instrument
Group block which contains all information for an option family.
Comment, instructions, or other identifying information.
Must be set if EncodedText field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
Optional Trading Session Identifier to specify a particular trading session for which you want to obtain a list of securities that are tradeable.
Subscribe or unsubscribe for security status to security specified in request.
The Derivative Security List message is used to return a list of securities that matches the criteria specified in a Derivative Security List Request.
MsgType = AA (2 A's)
Identifier for the Derivative Security List message
Result of the Security Request identified by SecurityReqID
Used to specify a rejection reason when SecurityResponseType (323) is equal to 1 (Invalid or unsupported request) or 5 (Request for instrument data not supported).
Underlying security for which derivatives are being returned
Group block which contains all information for an option family. If provided DerivativeSecurityDefinition qualifies the strikes specified in the Instrument block.
Represents the time at which a security was last updated
Used to indicate the total number of securities being returned for this request. Used in the event that message fragmentation is required.
Indicates whether this is the last fragment in a sequence of message fragments. Only required where message has been fragmented.
Specifies the number of repeating symbols (instruments) specified
The New Order - Multileg is provided to submit orders for securities that are made up of multiple securities, known as legs.
MsgType = AB
Unique identifier of the order as assigned by institution or by the intermediary with closest association with the investor.
This is party information related to the submitter of the request.
Identifies parties not directly associated with or owning the order, who are to be informed to effect processing of the order.
Used to assign an identifier to the block of individual preallocations
Number of repeating groups for pre-trade allocation
Takes precedence over SettlType value and conditionally required/omitted for specific SettlType values.
Can contain multiple instructions, space delimited. If OrdType=P, exactly one of the following values (ExecInst = L, R, M, P, O, T, or W) must be specified.
Insert here the set of "ReserveInstruction" fields defined in "common components of application messages"
Specifies instructions to disclose certain order level information in market data.
Specifies the number of repeating TradingSessionIDs
Used to identify soft trades at order entry.
Additional enumeration that indicates this is an order for a multileg order and that the sides are specified in the Instrument Leg component block.
Number of underlyings
Useful for verifying security identification
For FX Swaps. Used to express the differential between the far leg's bid/offer and the near leg's bid/offer.
Number of legs
Required for short sell orders
Time this order request was initiated/released by the trader, trading system, or intermediary.
Insert here the set of "OrderQtyData" fields defined in "Common Components of Application Messages" Conditionally required when the multileg order is not for a FX Swap, or any other swap transaction where having OrderQty is irrelevant as the amounts are expressed in the LegQty.
Required for limit OrdTypes. For F/X orders, should be the "all-in" rate (spot rate adjusted for forward points). Can be used to specify a limit price for a pegged order, previously indicated, etc.
Required for OrdType = "Stop" or OrdType = "Stop limit".
Insert here the set of "TriggeringInstruction" fields defined in "common components of application messages"
Upfront Price for CDS transactions. Conditionally required if TradePriceNegotiationMethod(1740) = 4(Percent of par and upfront amount), 5(Deal spread and upfront amount) or 6(Upfront points and upfront amount).
Must be set if EncodedComplianceText(2352) field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the ComplianceText(2404) field in the encoded format specified via the MessageEncoding(347) field.
Required for Previously Indicated Orders (OrdType=E)
Required for Previously Quoted Orders (OrdType=D)
Required for counter-order selection / Hit / Take Orders. (OrdType = Q)
Conditionally required if RefOrderID is specified.
Absence of this field indicates Day order
Can specify the time at which the order should be considered valid
Conditionally required if TimeInForce = GTD and ExpireTime is not specified.
Conditionally required if TimeInForce = GTD and ExpireDate is not specified.
States whether executions are booked out or accumulated on a partially filled GT order
Conditionally required when TimeInForce(59)=10 (Good for Time)
Use as an alternative to CommissionData component if multiple commissions or enhanced attributes are needed.
Indicates that broker is requested to execute a Forex accommodation trade in conjunction with the security trade.
Required if ForexReq = Y.
Method for booking out this order. Used when notifying a broker that an order to be settled by that broker is to be booked out as an OTC derivative (e.g. CFD or similar). Absence of this field implies regular booking.
Must be set if EncodedText field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
For use in derivatives omnibus accounting
For use with derivatives, such as options
Insert here the set of "PegInstruction" fields defined in "Common Components of Application Messages"
Insert here the set of "DiscretionInstruction" fields defined in "Common Components of Application Messages"
The target strategy of the order
Strategy parameter block
For further specification of the TargetStrategy
Mandatory for a TargetStrategy=Participate order and specifies the target particpation rate.
For other order types optionally specifies a volume limit (i.e. do not be more than this percent of the market volume)
For CIV - Optional
Reference to Registration Instructions message for this Order.
Supplementary registration information for this Order
Indicates the method of execution reporting requested by issuer of the order.
Conditionally required for auction orders.
Used to modify a multileg order previously submitted using the New Order - Multileg message. See Order Cancel Replace Request for details concerning message usage.
MsgType = AC
Unique identifier of most recent order as assigned by sell-side (broker, exchange, ECN).
Required if provided on the order being replaced (or cancelled). Echo back the value provided by the requester.
ClOrdID of the previous order (NOT the initial order of the day) when canceling or replacing an order. Required when referring to orders that were electronically submitted over FIX or otherwise assigned a ClOrdID.
Unique identifier of replacement order as assigned by institution or by the intermediary with closest association with the investor.. Note that this identifier will be used in ClOrdID field of the Cancel Reject message if the replacement request is rejected.
This is party information related to the submitter of the request.
Identifies parties not directly associated with or owning the order, who are to be informed to effect processing of the order.
Used to assign an identifier to the block of individual preallocations
Number of repeating groups for pre-trade allocation
Takes precedence over SettlType value and conditionally required/omitted for specific SettlType values.
Can contain multiple instructions, space delimited. If OrdType=P, exactly one of the following values (ExecInst = L, R, M, P, O, T, or W) must be specified.
Insert here the set of "DisplayInstruction" fields defined in "common components of application messages"
Specifies instructions to disclose certain order level information in market data.
Specifies the number of repeating TradingSessionIDs
Used to identify soft trades at order entry.
Additional enumeration that indicates this is an order for a multileg order and that the sides are specified in the Instrument Leg component block.
Number of underlyings
Useful for verifying security identification
Number of legs
Required for short sell orders
Time this order request was initiated/released by the trader, trading system, or intermediary.
Insert here the set of "OrderQtyData" fields defined in "Common Components of Application Messages"
Required for limit OrdTypes. For F/X orders, should be the "all-in" rate (spot rate adjusted for forward points). Can be used to specify a limit price for a pegged order, previously indicated, etc.
Required for OrdType = "Stop" or OrdType = "Stop limit".
Insert here the set of "TriggeringInstruction" fields defined in "common components of application messages"
Must be set if EncodedComplianceText(2352) field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the ComplianceText(2404) field in the encoded format specified via the MessageEncoding(347) field.
Required for Previously Indicated Orders (OrdType=E)
Required for Previously Quoted Orders (OrdType=D)
Absence of this field indicates Day order
Can specify the time at which the order should be considered valid
Conditionally required if TimeInForce = GTD and ExpireTime is not specified.
Conditionally required if TimeInForce = GTD and ExpireDate is not specified.
States whether executions are booked out or accumulated on a partially filled GT order
Conditionally required when TimeInForce(59)=10 (Good for Time)
Use as an alternative to CommissionData component if multiple commissions or enhanced attributes are needed.
Indicates that broker is requested to execute a Forex accommodation trade in conjunction with the security trade.
Required if ForexReq = Y.
Method for booking out this order. Used when notifying a broker that an order to be settled by that broker is to be booked out as an OTC derivative (e.g. CFD or similar). Absence of this field implies regular booking.
Must be set if EncodedText field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
For use in derivatives omnibus accounting
For use with derivatives, such as options
Insert here the set of "PegInstruction" fields defined in "Common Components of Application Messages"
Insert here the set of "DiscretionInstruction" fields defined in "Common Components of Application Messages"
The target strategy of the order
Strategy parameter block
For further specification of the TargetStrategy
Mandatory for a TargetStrategy=Participate order and specifies the target particpation rate.
For other order types optionally specifies a volume limit (i.e. do not be more than this percent of the market volume)
For CIV - Optional
Reference to Registration Instructions message for this Order.
Supplementary registration information for this Order
Indicates the method of execution reporting requested by issuer of the order.
Conditionally required for auction orders.
The Trade Capture Report Request can be used to:
• Request one or more trade capture reports based upon selection criteria provided on the trade capture report request
• Subscribe for trade capture reports based upon selection criteria provided on the trade capture report request.
MsgType = AD
Unique identifier for the trade request.
If the field is absent, SubscriptionRequestType(263)=0(Snapshot) will be the default.
Can be used to request a specific trade report.
To request a specific trade report
To request all trades based on secondary execution identifier
Can be used to request all trades of a specific execution type.
Can be used to request all trades of a specific trade type.
Can be used to request all trades of a specific trade sub type.
Can be used to request all trades for a specific transfer reason.
Can be used to request all trades of a specific secondary trade type.
Can be used to request all trades of a specific trade link identifier.
Can be used to request a trade matching a specific TrdMatchID(880).
Used to specify the parties for the trades to be returned (clearing firm, execution broker, trader id, etc.)
ExecutingBroker
ClearingFirm
ContraBroker
ContraClearingFirm
SettlementLocation - depository, CSD, or other settlement party
ExecutingTrader
InitiatingTrader
OrderOriginator
Number of date ranges provided (must be 1 or 2 if specified)
Can be used to request trades for a specific clearing business date.
Can be used to request trades for a specific trading session.
Can be used to request trades for a specific trading session.
Can be used to request trades within a specific time bracket.
Can be used to request trades for a specific side of a trade.
Used to indicate if trades are to be returned for the individual legs of a multileg instrument or for the overall instrument.
Can be used to requests trades that were submitted from a specific trade input source.
Can be used to request trades that were submitted from a specific trade input device.
Used to match specific values within Text(58) fields.
The Trade Capture Report message can be:
- Used to report trades between counterparties.
- Used to report trades to a trade matching system.
- Sent unsolicited between counterparties.
- Sent as a reply to a Trade Capture Report Request.
- Used to report unmatched and matched trades.
MsgType = AE
TradeReportID(571) is conditionally required in a message-chaining model in which a subsequent message may refer to a prior message via TradeReportRefID(572). The alternative to a message-chain model is an entity-based model in which TradeID(1003) is used to identify a trade. In this case, TradeID(1003) is required and TradeReportID(571) can be optionally specified.
Status of the trade report. In 3-party listed derivatives model, this is used to convey status of a trade to a counterparty. Used specifically in a "give-up" (also known as "claim") model.
Identifier for the trade capture report request associated with this trade capture report.
Type of execution being reported. Uses subset of ExecType(150) for trade capture reports.
Set to 'Y' if message is sent as a result of a subscription request or out of band configuration.
If the field is absent, SubscriptionRequestType(263)=0(Snapshot) will be the default.
The TradeReportID(571) that is being referenced for trade correction or cancelation.
Market (exchange) assigned execution identifier.
Can be used to indicate cabinet trade pricing.
Used for acting parties that applies to the whole message, not individual legs, sides, etc.
Conditionally required except when reporting trades to parties who will derive trade level quantity from the leg level information for multi-legged trades
Conditionally required except when reporting trades to parties who will derive trade level price from the leg level information for multi-legged trades
Used to specify the differential price when reporting the individual leg of a spread trade.
Primary currency of the specified currency pair. Used to qualify LastQty(32) and GrossTradeAmout(381).
Contra currency of the deal. Used to qualify CalculatedCcyLastQty(1056).
For FX trades expresses whether to multiply or divide LastPx(31) to arrive at GrossTradeAmt(381).
Applicable for F/X orders
Applicable for F/X orders
Used when clearing price differs from execution price.
Upfront Price for CDS transactions. Conditionally required if TradePriceNegotiationMethod(1740) = 4(Percent of par and upfront amount), 5(Deal spread and upfront amount) or 6(Upfront points and upfront amount).
Used when reporting other than current day trades.
If used then the LastPx(31) will contain the original price on the execution.
Type of report if multileg instrument.
Provided to support a scenario for trades of multileg instruments between two parties.
Reference to the leg of a multileg instrument to which this trade refers. Used when MultiLegReportingType(442) = 2 (Individual leg of a multileg security).
Identifies a multileg execution if present and non-zero.
Time the transaction represented by when this TradeCaptureReport(35=AE) occurred. Execution time of trade. Also describes the time of block trades.
Takes precedence over SettlType(63) value and conditionally required/omitted for specific SettlType(63) values.
The settlement date for the underlying instrument of a derivatives security.
Indicates the algorithm (tier) used to match a trade.
Used to indicate reports after a specific time.
Specifies the rounded price to quoted precision.
(LastQty(32) * LastPx(31) or LastParPx(669)). For Fixed Income, LastParPx(669) is used when LastPx(31) is not expressed as "percent of par" price.
Indicates the reason that a trade report was rejected.
Must be set if EncodedTradeContinuationText(2371) field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the TradeContinuationText(2374) field in the encoded format specified via the MessageEncoding(347) field.
The order mass status request message requests the status for orders matching criteria specified within the request.
MsgType = AF
Unique ID of mass status request as assigned by the institution.
Specifies the scope of the mass status request
Insert here the set of "Parties" (firm identification) fields defined in "Common Components of Application Messages"
Can be used to specify the parties to whom the Order Mass Status Request should apply.
Account
Trading Session
Insert here the set of "Instrument" (symbology) fields defined in "Common Components of Application Messages"
Insert here the set of "UnderlyingInstrument" (underlying symbology) fields defined in "Common Components of Application Messages"
Optional qualifier used to indicate the side of the market for which orders will be returned.
The Quote Request Reject message is used to reject Quote Request messages for all quoting models.
MsgType = AG
For tradeable quote model - used to indicate to which RFQ Request this Quote Request is in response.
Reason Quote was rejected
Used to indicate whether a private negotiation is requested or if the response should be public. Only relevant in markets supporting both Private and Public quotes.
Insert here the set of "Root Parties" fields defined in "common components of application messages" Used for acting parties that applies to the whole message, not individual legs, sides, etc..
Number of related symbols (instruments) in Request
Must be set if EncodedText field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
In tradeable and restricted tradeable quoting markets – Quote Requests are issued by counterparties interested in ascertaining the market for an instrument. Quote Requests are then distributed by the market to liquidity providers who make markets in the instrument. The RFQ Request is used by liquidity providers to indicate to the market for which instruments they are interested in receiving Quote Requests. It can be used to register interest in receiving quote requests for a single instrument or for multiple instruments
MsgType = AH
Insert here the set of Parties (firm identification) fields defined in COMMON COMPONENTS OF APPLICATION MESSAGES
Number of related symbols (instruments) in Request
Used to subscribe for Quote Requests that are sent into a market
Used to indicate whether a private negotiation is requested or if the response should be public. Only relevant in markets supporting both Private and Public quotes. If field is not provided in message, the model used must be bilaterally agreed.
The quote status report message is used:
• as the response to a Quote Status Request message
• as a response to a Quote Cancel message
• as a response to a Quote Response message in a negotiation dialog (see Volume 7 – PRODUCT: FIXED INCOME and USER GROUP: EXCHANGES AND MARKETS)
MsgType = AI
Required when quote is in response to a Quote Request message
Contains the QuoteID(117) of a single Quote(MsgType=S) or QuoteEntryID(299) of a MassQuote(MsgType=i).
Contains the BidID(390) of a single Quote(35=S).
Contains the QuoteID(1867) of a single Quote(35=S).
Contains the QuoteMsgID(1166) of a single Quote(MsgType=S) or QuoteID(117) of a MassQuote(MsgType=i).
Required when responding to a QuoteResponse(35=AJ) message.
If not specified, the default is an indicative quote.
Can be populated with the values provided on the associated QuoteStatusRequest(MsgType=A).
Conditionally required when reporting status of a single security quote.
Conditionally required for quotes of single instruments when QuoteType(537)=1(Tradeable).
Can be used with forex quotes to specify a specific "value date"
Can be used with OrdType = "Forex - Swap" to specify the "value date" for the future portion of a F/X swap.
Can be used with OrdType = "Forex - Swap" to specify the order quantity for the future portion of a F/X swap.
Can be used to specify the currency of the quoted prices. May differ from the 'normal' trading currency of the instrument being quoted
Conditionally required for multileg quote status reports.
If F/X quote, should be the "all-in" rate (spot rate adjusted for forward points). Note that either BidPx, OfferPx or both must be specified.
If F/X quote, should be the "all-in" rate (spot rate adjusted for forward points). Note that either BidPx, OfferPx or both must be specified.
Can be used by markets that require showing the current best bid and offer
Can be used by markets that require showing the current best bid and offer
Used for markets that use a minimum and maximum bid size.
If MinBidSize(647) is specified, BidSize(134) is interpreted to contain the maximum bid size.
Used for markets that use a minimum and maximum offer size.
If MinOfferSize(648) is specified, OfferSize(135) is interpreted to contain the maximum offer size.
Can be used to specify the type of order the quote is for
Bid F/X forward points of the future portion of a F/X swap quote added to spot rate. May be a negative value
Offer F/X forward points of the future portion of a F/X swap quote added to spot rate. May be a negative value
Can be used when the quote is provided in a currency other than the instrument's 'normal' trading currency. Applies to all bid prices contained in this message
Can be used when the quote is provided in a currency other than the instrument's 'normal' trading currency. Applies to all offer prices contained in this message
Can be used when the quote is provided in a currency other than the instruments trading currency.
Can be used to show the counterparty the commission associated with the transaction.
Used when routing quotes to multiple markets
Reason description for rejecting the quote.
Must be set if EncodedRejectText(1665) field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the RejectText(1328) field in the encoded format specified via the MessageEncoding(347) field.
The QuoteResponse(35=AJ) message is used for the following purposes:
1. Respond to an IOI(35=6) message
2. Respond to a Quote(35=S) message
3. Counter a Quote
4. End a negotiation dialog
5. Follow-up or end a QuoteRequest(35=R) dialog that did not receive a response.
For usage of this message in a negotiation or counter quote dialog for fixed income and exchanges/marketplace see Volume 7, Fixed Income and Exchanges and Markets sections respectively.
MsgType = AJ
Unique ID as assigned by the Initiator
Required only when responding to a Quote.
Optionally used when responding to a Quote.
Contains the QuoteReqID(131) of the QuoteRequest(35=R).
Unique ID as assigned by the Initiator. Required only in two-party models when QuoteRespType(694) = 1 (Hit/Lift) or 2 (Counter quote).
Required only when responding to an IOI.
Default is Indicative.
May be used by SEFs (Swap Execution Facilities) to indicate a block swap transaction.
Insert here the set of "Parties" (firm identification) fields defined in "Common Components of Application Messages"
Insert here the set of "Instrument" (symbology) fields defined in "Common Components of Application Messages"
For multilegs supply minimally a value for Symbol (55).
Insert here the set of "FinancingDetails" (symbology) fields defined in "Common Components of Application Messages"
For multilegs supply minimally a value for Symbol (55).
Number of underlyings
Required when countering a single instrument quote or "hit/lift" an IOI or Quote.
Insert here the set of "OrderQtyData" fields defined in "Common Components of Application Messages"
Required when countering a single instrument quote or "hit/lift" an IOI or Quote.
Can be used with forex quotes to specify a specific "value date"
Can be used with OrdType = "Forex - Swap" to specify the "value date" for the future portion of a F/X swap.
Can be used with OrdType = "Forex - Swap" to specify the order quantity for the future portion of a F/X swap.
Can be used to specify the currency of the quoted prices. May differ from the 'normal' trading currency of the instrument being quoted
Optional
Used to identify the source of the Account code.
Type of account associated with the order (Origin)
Required for multileg quote response
If F/X quote, should be the "all-in" rate (spot rate adjusted for forward points). Note that either BidPx, OfferPx or both must be specified.
If F/X quote, should be the "all-in" rate (spot rate adjusted for forward points). Note that either BidPx, OfferPx or both must be specified.
Can be used by markets that require showing the current best bid and offer
Can be used by markets that require showing the current best bid and offer
Specifies the minimum bid size. Used for markets that use a minimum and maximum bid size.
Specifies the bid size. If MinBidSize is specified, BidSize is interpreted to contain the maximum bid size.
Specifies the minimum offer size. If MinOfferSize is specified, OfferSize is interpreted to contain the maximum offer size.
Specified the offer size. If MinOfferSize is specified, OfferSize is interpreted to contain the maximum offer size.
The time when the QuoteResponse(35=AJ) will expire. Required for FI when the QuoteRespType(694) is either 1 (Hit/Lift) or 2 (Counter quote) to indicate to the respondent when the offer is valid until.
May be applicable for F/X quotes
May be applicable for F/X quotes
May be applicable for F/X quotes
May be applicable for F/X quotes
Can be used to specify the type of order the quote is for.
Bid F/X forward points of the future portion of a F/X swap quote added to spot rate. May be a negative value
Offer F/X forward points of the future portion of a F/X swap quote added to spot rate. May be a negative value
Can be used when the quote is provided in a currency other than the instrument's 'normal' trading currency. Applies to all bid prices contained in this quote message
Can be used when the quote is provided in a currency other than the instrument's 'normal' trading currency. Applies to all offer prices contained in this quote message
Can be used when the quote is provided in a currency other than the instruments trading currency.
Can be used to show the counterparty the commission associated with the transaction.
For Futures Exchanges
Used when routing quotes to multiple markets
Must be set if EncodedText field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
Insert here the set of "SpreadOrBenchmarkCurveData" fields defined in "Common Components of Application Messages"
Insert here the set of "YieldData" fields defined in "Common Components of Application Messages"
The Confirmation messages are used to provide individual trade level confirmations from the sell side to the buy side. In versions of FIX prior to version 4.4, this role was performed by the allocation message. Unlike the allocation message, the confirmation message operates at an allocation account (trade) level rather than block level, allowing for the affirmation or rejection of individual confirmations.
MsgType = AK
Unique ID for this message
Mandatory if ConfirmTransType is Replace or Cancel
Only used when this message is used to respond to a confirmation request (to which this ID refers)
New, Cancel or Replace
Denotes whether this message represents a confirmation or a trade status message
Denotes whether or not this message represents copy confirmation (or status message)
Absence of this field indicates message is not a drop copy.
Denotes whether this message represents the legally binding confirmation
Absence of this field indicates message is not a legal confirm.
Used to communicate the status of the central clearing workflow.
Insert here the set of "Parties" (firm identification) fields defined in "Common Components of Application Messages"
Required for fixed income
Also to be used in associated with ProcessCode for broker of credit (e.g. for directed brokerage trades)
Also to be used to specify party-specific regulatory details (e.g. full legal name of contracting legal entity, registered address, regulatory status, any registration details)
Indicates number of orders to be combined for allocation. If order(s) were manually delivered set to 1 (one).Required when AllocNoOrdersType = 1
Used to refer to an earlier Allocation Instruction.
Used to refer to an earlier Allocation Instruction via its secondary identifier
Used to refer to an allocation account within an earlier Allocation Instruction.
Represents the time this message was generated
Time of last execution being confirmed by this message
Insert here the set of "Instrument" (symbology) fields defined in "Common Components of Application Messages"
Insert here the set of "InstrumentExtension" fields defined in "Common Components of Application Messages"
Insert here the set of "FinancingDetails" fields defined in "Common Components of Application Messages"
If traded on Yield, price must be calculated "to worst" and the <Yield> component block must specify how calculated, redemption date and price (if not par). If traded on Price, the <Yield> component block must specify how calculated - "Worst", and include redemptiondate and price (if not par).
The quantity being confirmed by this message (this is at a trade level, not block or order level)
Account number for the trade being confirmed by this message
Gross price for the trade being confirmed
Always expressed in percent-of-par for Fixed Income
Absence of this field indicates that default precision arranged by the broker/institution is to be used
Price type for the AvgPx field
Insert here the set of "SpreadOrBenchmarkCurveData" fields defined in "Common Components of Application Messages"
Reported price (may be different to AvgPx in the event of a marked-up or marked-down principal trade)
Used to identify whether the trade was a soft dollar trade, step in/out etc. Broker of credit, where relevant, can be specified using the Parties nested block above.
AllocQty(80) * AvgPx(6)
Optional "next coupon date" for Fixed Income
Required for Fixed Income products that trade with accrued interest
Required for Fixed Income products that pay lump sum interest at maturity
For repurchase agreements the accrued interest on termination.
For repurchase agreements the start (dirty) cash consideration
For repurchase agreements the end (dirty) cash consideration
Net Money at maturity if Zero Coupon and maturity value is different from par value
Insert here the set of "SettlInstructionsData" fields defined in "Common Components of Application Messages"
Used to communicate settlement instructions for this Confirmation.
Used to identify any commission shared with a third party (e.g. directed brokerage)
Use as an alternative to CommissionData if multiple commissions or enhanced attributes are needed.
Required if any miscellaneous fees are reported.
The Position Maintenance Request message allows the position owner to submit requests to the holder of a position which will result in a specific action being taken which will affect the position. Generally, the holder of the position is a central counter party or clearing organization but can also be a party providing investment services.
MsgType = AL
Unique identifier for the position maintenance request as assigned by the submitter. Conditionally required when used in a request/reply scenario (i.e. not required in batch scenario)
Reference to the PosReqID of a previous maintenance request that is being replaced or canceled.
Reference to a PosMaintRptID from a previous Position Maintenance Report that is being replaced or canceled.
The Clearing Business Date referred to by this maintenance request
The Following PartyRoles can be specified:
ClearingOrganization
Clearing Firm
Position Account
Type of account associated with the order (Origin)
Specifies the number of legs that make up the Security
Specifies the number of underlying legs that make up the Security
Specifies the number of repeating TradingSessionIDs
Time this order request was initiated/released by the trader, trading system, or intermediary.
Type of adjustment to be applied, used for PCS & PAJ
Delta_plus, Delta_minus, Final, If Adjustment Type is null, the request will be processed as Margin Disposition
Boolean - if Y then indicates you are requesting a position maintenance that acting
Boolean - Y indicates you are requesting rollover of prior day's spread submissions
Must be set if EncodedText field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
The Position Maintenance Report message is sent by the holder of a positon in response to a Position Maintenance Request and is used to confirm that a request has been successfully processed or rejected.
MsgType = AM
Unique identifier for this position report
Unique identifier for this position entity.
Unique identifier for the position maintenance request associated with this report
Reference to the PosReqID of a previous maintenance request that is being replaced or canceled.
Status of PositionMaintenanceRequest. Condtionally required when responding to a PositionMaintenanceRequest.
The Clearing Business Date covered by this request
The business date previous to the clearing business date referred to by this maintenance request.
Valuation date of the position(s) in this report.
Valuation time of the position(s) in this report.
Business center of ValuationDate(2085) and ValuationTime(2086). Single value only.
For a forward position this is an appropriate value to discount the mark to market amount from the contract’s maturity date back to present value.
Position Account
Type of account associated with the order (Origin)
Reference to a PosMaintRptID (Tag 721) from a previous Position Maintenance Report that is being replaced or canceled
Can be set to true when a position maintenance request is being performed contrary to current money position, i.e. for an exercise of an out of the money position or an abandonement (do not exercise ) of an in the money position
Specifies the number of legs that make up the Security
Specifies the number of underlying legs that make up the Security
Specifies the number of repeating TradingSessionIDs
Time this order request was initiated/released by the trader, trading system, or intermediary. Conditionally required except when requests for reports are processed in batch, transaction time is not available, or when PosReqID is not present.
Conditionally required when PosMaintAction(712) = 1(New), 2(Replace) or 4(Reverse).
Insert here here the set of "Position Amount Data" fields defined in "Common Components of Application Messages"
The source, value and relationship of multiple trade identifiers for the same trade, e.g. Unique Swap Identifiers.
Additional payments or bullet payments.
Type of adjustment to be applied
Delta_plus, Delta_minus, Final. If Adjustment Type is null, the PCS request will be processed as Margin Disposition only
Must be set if EncodedText field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
The Request For Positions message is used by the owner of a position to request a Position Report from the holder of the position, usually the central counter party or clearing organization. The request can be made at several levels of granularity.
MsgType = AN
Unique identifier for the Request for Positions as assigned by the submitter
Used to subscribe / unsubscribe for trade capture reports
If the field is absent, the value 0 will be the default
Position Account
Type of account associated with the order (Origin)
Specifies the number of legs that make up the Security
Specifies the number of underlying legs that make up the Security
The Clearing Business Date referred to by this request
Specifies the number of repeating TradingSessionIDs
Time this order request was initiated/released by the trader, trading system, or intermediary.
Ability to specify whether the response to the request should be delivered inband or via pre-arranged out-of-band transport.
URI destination name. Used if ResponseTransportType is out-of-band.
Must be set if EncodedText field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
The Request for Positions Ack message is returned by the holder of the position in response to a Request for Positions message. The purpose of the message is to acknowledge that a request has been received and is being processed.
MsgType = AO
Unique identifier for this position report
Unique identifier for the Request for Position associated with this report
This field should not be provided if the report was sent unsolicited.
Total number of Position Reports being returned
Set to 'Y' if message is sent as a result of a subscription request or out of band configuration as opposed to a Position Request.
Position Account
Type of account associated with the order (Origin)
Specifies the number of legs that make up the Security
Specifies the number of underlying legs that make up the Security
Ability to specify whether the response to the request should be delivered inband or via pre-arranged out-of-band transport.
URI destination name. Used if ResponseTransportType is out-of-band.
Must be set if EncodedText field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
The Position Report message is returned by the holder of a position in response to a Request for Position message. The purpose of the message is to report all aspects of a position and may be provided on a standing basis to report end of day positions to an owner.
MsgType = AP
Unique identifier for this position report
Unique identifier for this position entity.
Unique identifier for the Request for Positions associated with this report
This field should not be provided if the report was sent unsolicited.
Will be 7=Net Position if the report contains net position information for margin requirements.
Unique identifier for the inquiry associated with this report. This field should not be provided if the report was sent unsolicited.
Used to subscribe / unsubscribe for trade capture reports
If the field is absent, the value 0 will be the default
Total number of Position Reports being returned
Result of a Request for Position
Set to 'Y' if message is sent as a result of a subscription request or out of band configuration as opposed to a Position Request.
The Clearing Business Date referred to by this maintenance request
The business date previous to the clearing business date referred to by this maintenance request.
Used to identify the event or source which gave rise to a message
Must be set if EncodedTradeContinuationText(2371) field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the TradeContinuationText(2374) field in the encoded format specified via the MessageEncoding(347) field.
Position Account
Account may also be specified through via Parties Block using Party Role 27 which signifies Account
Type of account associated with the order (Origin). Account may also be specified through via Parties Block using Party Role 27 which signifies Account
Position Settlement Date
Expresses whether to multiply or divide SettlPrice(730) to arrive at the amount reported in PosAmt(708).
Values = Final, Theoretical
For a forward position this is an appropriate value to discount the mark to market amount from the contract’s maturity date back to present value.
Valuation date of the position(s) in this report
Valuation time of the position(s) in this report
Business center of ValuationDate(2085) and ValuationTime(2086). Single value only.
Used to indicate if a Position Report is matched or unmatched
Specifies the number of legs that make up the Security
Specifies the number of underlying legs that make up the Security
Insert here the set of "Position Qty" fields defined in "Common Components of Application Messages"
Insert here the set of "Position Amount Data" fields defined in "Common Components of Application Messages"
RegNonRegInd
Must be set if EncodedText field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
The Trade Capture Request Ack message is used to:
- Provide an acknowledgement to a Trade Capture Report Request in the case where the Trade Capture Report Request is used to specify a subscription or delivery of reports via an out-of-band ResponseTransmissionMethod.
- Provide an acknowledgement to a Trade Capture Report Request in the case when the return of the Trade Capture Reports matching that request will be delayed or delivered asynchronously. This is useful in distributed trading system environments.
- Indicate that no trades were found that matched the selection criteria specified on the Trade Capture Report Request or the Trade Capture Request was invalid for some business reason, such as request is not authorized, invalid or unknown instrument, party, trading session, etc.
MsgType = AQ
Identifier for the trade request
Used to subscribe / unsubscribe for trade capture reports
If the field is absent, the value 0 will be the default
Number of trade reports returned
Result of Trade Request
Status of Trade Request
Insert here the set of "Instrument" (symbology) fields defined in "Common Components of Application Messages"
Number of legs
NoLegs > 0 identifies a Multi-leg Execution
Specify type of multileg reporting to be returned.
Ability to specify whether the response to the request should be delivered inband or via pre-arranged out-of-band transport.
URI destination name. Used if ResponseTransportType is out-of-band.
May be used by the executing market to record any execution Details that are particular to that market
Must be set if EncodedText field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
Used to identify the event or source which gave rise to a message
The Trade Capture Report Ack message can be:
- Used to acknowledge trade capture reports received from a counterparty.
- Used to reject a trade capture report received from a counterparty.
MsgType = AR
Indicates action to take on trade.
Type of execution being reported. Uses subset of ExecType(150) for trade capture reports.
The TradeReportID(571) that is being referenced for trade correction or cancelation.
The SecondaryTradeReportID that is being referenced for some action, such as correction or cancellation
Status of trade report.
Reason description for rejecting the TradeCaptureReport(35=AE).
Must be set if EncodedRejectText(1665) field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the RejectText(1328) field in the encoded format specified via the MessageEncoding(347) field.
If the field is absent, SubscriptionRequestType(263)=0(Snapshot) will be the default.
Exchanged assigned execution identifier (trade identifier).
Primary currency of the specified currency pair. Used to qualify LastQty(32) and GrossTradeAmout(381).
Contra currency of the deal. Used to qualify CalculatedCcyLastQty(1056).
Time this message was issued by matching system, trading system or counterparty.
Must be set if EncodedText(355) field is specified and must immediately precede it.
Indicates the algorithm (tier) used to match a trade.
Used to indicate reports after a specific time.
Specifies the rounded price to quoted precision.
(LastQty(32) * LastPx(31) or LastParPx(669)). For Fixed Income, LastParPx(669) is used when LastPx(31) is not expressed as "percent of par" price.
Sent from sell-side to buy-side, sell-side to 3rd-party or 3rd-party to buy-side, the Allocation Report (Claim) provides account breakdown of an order or set of orders plus any additional follow-up front-office information developed post-trade during the trade allocation, matching and calculation phase. In versions of FIX prior to version 4.4, this functionality was provided through the Allocation message. Depending on the needs of the market and the timing of "confirmed" status, the role of Allocation Report can be taken over in whole or in part by the Confirmation message.
MsgType = AS
Unique identifier for this message
i.e. New, Cancel, Replace
Required for AllocTransType = Replace or Cancel
Required for AllocTransType = Replace or Cancel
Gives the reason for replacing or cancelling the allocation report
Optional second identifier for this allocation instruction (need not be unique)
Group identifier assigned by the clearinghouse
Firm assigned entity identifier for the allocation
Specifies the purpose or type of Allocation Report message
Required for AllocStatus = 1 (rejected)
Required for AllocTransType = Replace or Cancel
Can be used for reporting on status of reversal transaction when AllocReportType(794) is 18 (Alleged reversal) or 17 (Reversal).
Required if AllocReportType = 8 (Request to Intermediary)
Indicates status that is requested to be transmitted to counterparty by the intermediary (i.e. clearing house)
Can be used to link two different Allocation messages (each with unique AllocID) together, i.e. for F/X "Netting" or "Swaps"
Can be used to link two different Allocation messages and identifies the type of link. Required if AllocLinkID is specified.
Indicates Clearing Business Date for which transaction will be settled.
Indicates Trade Type of Allocation.
Indicates TradeSubType of Allocation. Necessary for defining groups.
Indicates MultiLegReportType of original trade marked for allocation.
Indicates CTI of original trade marked for allocation.
Indicates input source of original trade marked for allocation.
Specifies the rounded price to quoted precision.
Used to identify the event or source which gave rise to a message.
Specific device number, terminal number or station where trade was entered
Indicates if an allocation is to be average priced. Is also used to indicate if average price allocation group is complete or incomplete.
Firm designated group identifier for average pricing
Indicates how the orders being booked and allocated by an AllocationInstruction or AllocationReport message are identified, e.g. by explicit definition in the OrdAllocGrp or ExecAllocGrp components, or not identified explicitly.
Indicates number of orders to be combined for allocation. If order(s) were manually delivered set to 1 (one).Required when AllocNoOrdersType = 1
Indicates number of individual execution or trade entries. Absence indicates that no individual execution or trade entries are included. Primarily used to support step-outs.
Components of Application Messages".
For NDFs, fixing date (specified in MaturityDate(541)) is required. Fixing time (specified in MaturityTime(1079)) is optional.
Insert here the set of "InstrumentExtension" fields defined in "Common Components of Application Messages"
Insert here the set of "FinancingDetails" fields defined in "Common Components of Application Messages"
Total quantity (e.g. number of shares) allocated to all accounts, or that is Ready-To-Book
Market of the executions.
For FX orders, should be the "all-in" rate (spot rate adjusted for forward points), expressed in terms of Currency(15).
Insert here the set of "SpreadOrBenchmarkCurveData" fields defined in "Common Components of Application Messages"
Currency of AvgPx. Should be the currency of the local market or exchange where the trade was conducted.
Absence of this field indicates that default precision arranged by the broker/institution is to be used
Insert here the set of "Parties" (firm identification) fields defined in "Common Components of Application Messages"
Date/time when allocation is generated
Takes precedence over SettlType value and conditionally required/omitted for specific SettlType values.
Required for NDFs to specify the "value date".
Method for booking. Used to provide notification that this is to be booked out as an OTC derivative (e.g. CFD or similar). Absence of this field implies regular booking.
Expressed in same currency as AvgPx(6). (Quantity(53) * AvgPx(6) or AvgParPx(860)) or sum of (AllocQty(80) * AllocAvgPx(153) or AllocPrice(366)). For Fixed Income, AvgParPx(860) is used when AvgPx(6) is not expressed as "percent of par" price.
Expressed in same currency as AvgPx. Sum of AllocNetMoney.
For FX expressed in terms of Currency(15).
Indicates if Allocation has been automatically accepted on behalf of the Carry Firm by the Clearing House
Must be set if EncodedText field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
Applicable for Convertible Bonds and fixed income
Applicable for Convertible Bonds and fixed income
Sum of AllocAccruedInterestAmt within repeating group.
For repurchase agreements the accrued interest on termination.
For repurchase agreements the start (dirty) cash consideration
For repurchase agreements the end (dirty) cash consideration
Insert here here the set of "Position Amount Data" fields defined in "Common Components of Application Messages"
Indicates total number of allocation groups (used to support fragmentation). Must equal the sum of all NoAllocs values across all message fragments making up this allocation instruction.
Only required where message has been fragmented.
Indicates whether this is the last fragment in a sequence of message fragments. Only required where message has been fragmented.
Conditionally required except when AllocTransType = Cancel, or when AllocType = "Ready-to-book" or "Warehouse instruction"
Used to identify on what kind of venue the trade originated when communicating with a party that may not have access to all trade details, e.g. a clearing organization.
Conditionally required when RefRiskLimitCheckIDType(2335) is specified.
Conditionally required when RefRiskLimitCheckID(2334) is specified.
The Allocation Report Ack message is used to acknowledge the receipt of and provide status for an Allocation Report message.
MsgType = AT
Indicates Clearing Business Date for which transaction will be settled.
Indicates if an allocation is to be average priced. Is also used to indicate if average price allocation group is complete or incomplete.
Optional second identifier for the allocation report being acknowledged (need not be unique)
Group identifier assigned by the clearinghouse
Firm assigned entity identifier for the allocation
Firm designated group identifier for average pricing
Date/Time Allocation Report Ack generated
Denotes the status of the allocation report; received (but not yet processed), rejected (at block or account level) or accepted (and processed).
AllocStatus will be conditionally required in a 2-party model when used by a counterparty to convey a change in status. It will be optional in a 3-party model in which only the central counterparty may issue the status of an allocation
Required for AllocStatus = 1 ( block level reject) and for AllocStatus 2 (account level reject) if the individual accounts and reject reasons are not provided in this message
Required if AllocReportType = 8 (Request to Intermediary)
Indicates status that is requested to be transmitted to counterparty by the intermediary (i.e. clearing house)
Denotes whether the financial details provided on the Allocation Report were successfully matched.
Can include explanation for AllocRejCode = 7 (other)
Must be set if EncodedText(355) field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the Text(58) field in the encoded format specified via the MessageEncoding(347) field.
EncodedRejectText(1665) field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the RejectText(1328) field in the encoded format specified via the MessageEncoding(347) field.
This repeating group is optionally used for messages with AllocStatus = 2 (account level reject) to provide details of the individual accounts that caused the rejection, together with reject reasons. This group should not be populated where AllocStatus has any other value.
Indicates number of allocation groups to follow.
The Confirmation Ack (aka Affirmation) message is used to respond to a Confirmation message.
MsgType = AU
Date/Time Allocation Instruction Ack generated
Required for ConfirmStatus = 1 (rejected)
Denotes whether the financial details provided on the Confirmation were successfully matched.
Can include explanation for AllocRejCode = 7 (other)
Must be set if EncodedText field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
The Settlement Instruction Request message is used to request standing settlement instructions from another party.
MsgType = AV
Unique message ID
Date/Time this request message was generated
Insert here the set of "Parties" (firm identification) fields defined in "Common Components of Application Messages"
Used here for party whose instructions this message is requesting and (optionally) for settlement location
Not required if database identifiers are being used to request settlement instructions. Required otherwise.
Should not be populated if StandInstDbType is populated
Required if AllocAccount populated
Should not be populated if StandInstDbType is populated
Should not be populated if StandInstDbType is populated
Should not be populated if StandInstDbType is populated
Should not be populated if StandInstDbType is populated
Should not be populated if StandInstDbType is populated
Should not be populated if StandInstDbType is populated
Should not be populated if StandInstDbType is populated
Should not be populated if StandInstDbType is populated
Should not be populated if StandInstDbType is populated
Should not be populated if any of AllocAccount through to LastUpdateTime are populated
Should not be populated if any of AllocAccount through to LastUpdateTime are populated
The identifier of the standing instructions within the database specified in StandInstDbType
Required if StandInstDbType populated
Should not be populated if any of AllocAccount through to LastUpdateTime are populated
Assignment Reports are sent from a clearing house to counterparties, such as a clearing firm as a result of the assignment process.
MsgType = AW
Unique identifier for the Assignment report
If specified,the identifier of the RequestForPositions(MsgType=AN) to which this message is sent in response.
Total Number of Assignment Reports being returned to a firm
Clearing Organization
Clearing Firm
Contra Clearing Organization
Contra Clearing Firm
Position Account
Customer Account
Type of account associated with the order (Origin)
CFI Code - Market Indicator (col 4) used to indicate Market of Assignment
Number of legs that make up the Security
Number of legs that make up the Security
"Insert here here the set of "Position Qty" fields defined in "Common Components of Application Messages"
Insert here here the set of "Position Amount Data" fields defined in "Common Components of Application Messages"
Settlement Price of Option
Values = Final, Theoretical
Settlement Price of Underlying
Expiration Date of Option
Method under which assignment was conducted
Quantity Increment used in performing assignment
Open interest that was eligible for assignment
Exercise Method used to in performing assignment
Values = Automatic, Manual
Business date of assignment
Must be set if EncodedText field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
An initiator that requires collateral from a respondent sends a Collateral Request. The initiator can be either counterparty to a trade in a two party model or an intermediary such as an ATS or clearinghouse in a three party model. A Collateral Assignment is expected as a response to a request for collateral.
MsgType = AX
Unique identifier for collateral request
Reason collateral assignment is being requested
Time until when Respondent has to assign collateral
Customer Account
Type of account associated with the order (Origin)
Identifier of order for which collateral is required
Identifier of order for which collateral is required
Identifier of order for which collateral is required
Identifier of order for which collateral is required
Executions for which collateral is required
Trades for which collateral is required
Instrument that was traded for which collateral is required
Details of the Agreement and Deal
Number of legs that make up the Security
Number of legs that make up the Security
Insert here the set of "TrdRegTimestamps" fields defined in "Common Components of Application Messages"
Required if any miscellaneous fees are reported.
Insert here the set of "SpreadOrBenchmarkCurveData" fields defined in "Common Components of Application Messages"
Insert here the set of "Stipulations" fields defined in "Common Components of Application Messages"
Trading Session in which trade occurred
Trading Session Subid in which trade occurred
Must be set if EncodedText field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
Used to assign collateral to cover a trading position. This message can be sent unsolicited or in reply to a Collateral Request message.
MsgType = AY
Unique Identifer for collateral assignment
Identifer of CollReqID to which the Collateral Assignment is in response
Reason for collateral assignment
Collateral Transaction Type
Collateral assignment to which this transaction refers
For an Initial assignment, time by which a response is expected
Customer Account
Type of account associated with the order (Origin)
Identifier of order for which collateral is required
Identifier of order for which collateral is required
Identifier of order for which collateral is required
Identifier of order for which collateral is required
Executions for which collateral is required
Trades for which collateral is required
Can be used to provide the value date of the collateral transaction where the deposit or withdrawal is for a specific future date.
Number of legs that make up the Security
Number of legs that make up the Security
Insert here the set of "TrdRegTimestamps" fields defined in "Common Components of Application Messages"
Required if any miscellaneous fees are reported.
Insert here the set of "SpreadOrBenchmarkCurveData" fields defined in "Common Components of Application Messages"
Insert here the set of "Stipulations" fields defined in "Common Components of Application Messages"
Insert here the set of "SettlInstructionsData" fields defined in "Common Components of Application Messages"
Trading Session in which trade occurred
Trading Session Subid in which trade occurred
The unique transaction entity identifier assigned by counterparty to the transaction receiving this message, if known.
The unique transaction entity identifier assigned by the firm sending the CollateralAssignment(35=AY).
The clearing business date of the collateral assignment.
Values are custom to a particular implementation and will be maintained externally.
Must be set if EncodedText(355) field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the Text(58) field in the encoded format specified via the MessageEncoding(347) field.
Used to respond to a Collateral Assignment message.
MsgType = AZ
Unique identifer for the collateral response
Conditionally required when responding to a Collateral Assignment message
Identifer of CollReqID to which the Collateral Assignment is in response
Conditionally required when responding to a Collateral Assignment message
Collateral Transaction Type - not recommended because it causes confusion
Collateral Assignment Response Type
Conditionally required when CollAsgnRespType(905) = 3 (Rejected).
Tells whether security has been restricted.
The clearing business date of the assignment. The date on which the transaction was entered.
Customer Account
Type of account associated with the order (Origin)
Identifier of order for which collateral is required
Identifier of order for which collateral is required
Identifier of order for which collateral is required
Identifier of order for which collateral is required
Executions for which collateral is required
Trades for which collateral is required
Can be used to specify the value date of the collateral transaction where the transaction is for a specific future date (e.g. to be "settled" on a future date).
Number of legs that make up the Security
Number of legs that make up the Security
Required if any miscellaneous fees are reported.
The unique transaction entity identifier assigned by the firm sending the CollateralResponse(35=AZ).
The unique transaction entity identifier assigned by the counterparty to the transaction, if known. Echoes the value from CollateralAssignment(35=AY) if provided.
Values are custom to a particular implementation and will be maintained externally.
Must be set if EncodedText(355) field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the Text(58) field in the encoded format specified via the MessageEncoding(347) field.
Conditionally required when CollAsgnRespType(905) = 5 (Completed with warning).
Must be set if EncodedWarningText(2521) field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the WarningText(2520) field in the encoded format specified via the MessageEncoding field.
Conditionally required when CollAsgnRespType(905) = 3 (Rejected).
Must be set if EncodedRejectText(1665) field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the RejectText(1328) field in the encoded format specified via the MessageEncoding(347) field.
Used to report collateral status when responding to a Collateral Inquiry message.
MsgType = BA
Unique Identifer for collateral report
Identifier for the collateral inquiry to which this message is a reply
Differentiates collateral pledged specifically against a position from collateral pledged against an entire portfolio on a valued basis.
Tells whether security has been restricted.
Collateral status
Customer Account
Type of account associated with the order (Origin)
Identifier of order for which collateral is required
Identifier of order for which collateral is required
Identifier of order for which collateral is required
Identifier of order for which collateral is required
Executions for which collateral is required
Trades for which collateral is required
Required if any miscellaneous fees are reported.
Insert here the set of "SpreadOrBenchmarkCurveData" fields defined in "Common Components of Application Messages"
Insert here the set of "Stipulations" fields defined in "Common Components of Application Messages"
Insert here the set of "SettlInstructionsData" fields defined in "Common Components of Application Messages"
Trading Session in which trade occurred
Trading Session Subid in which trade occurred
The clearing business date of the report.
The unique transaction entity identifier assigned by the firm sending the CollateralReport(35=BA).
The unique transaction entity identifier assigned by the counterparty to the transaction receiving this message, if known.
Must be set if EncodedText(355) field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the Text(58) field in the encoded format specified via the MessageEncoding(347) field.
Used to inquire for collateral status.
MsgType = BB
Unique identifier for this message.
Number of qualifiers to inquiry
Used to subscribe / unsubscribe for collateral status reports.
If the field is absent, the default will be snapshot request only - no subscription.
Ability to specify whether the response to the request should be delivered inband or via pre-arranged out-of-band transport.
URI destination name. Used if ResponseTransportType is out-of-band.
Customer Account
Type of account associated with the order (Origin)
Identifier of order for which collateral is required
Identifier of order for which collateral is required
Identifier of order for which collateral is required
Identifier of order for which collateral is required
Executions for which collateral is required
Trades for which collateral is required
Insert here the set of "Instrument" fields defined in "Common Components of Application Messages"
Insert here the set of "FinancingDetails" fields defined in "Common Components of Application Messages"
Number of legs that make up the Security
Number of legs that make up the Security
Insert here the set of "TrdRegTimestamps" fields defined in "Common Components of Application Messages"
Insert here the set of "SpreadOrBenchmarkCurveData" fields defined in "Common Components of Application Messages"
Insert here the set of "Stipulations" fields defined in "Common Components of Application Messages"
Insert here the set of "SettlInstructionsData" fields defined in "Common Components of Application Messages"
Trading Session in which trade occurred
Trading Session Subid in which trade occurred
Must be set if EncodedText field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
This message is send either immediately after logging on to inform a network (counterparty system) of the type of updates required or to at any other time in the FIX conversation to change the nature of the types of status updates required. It can also be used with a NetworkRequestType of Snapshot to request a one-off report of the status of a network (or counterparty) system. Finally this message can also be used to cancel a request to receive updates into the status of the counterparties on a network by sending a NetworkRequestStatusMessage with a NetworkRequestType of StopSubscribing.
MsgType = "BC"
Used to restrict updates/request to a list of specific CompID/SubID/LocationID/DeskID combinations.
If not present request applies to all applicable available counterparties. EG Unless one sell side broker was a customer of another you would not expect to see information about other brokers, similarly one fund manager etc.
This message is sent in response to a Network (Counterparty System) Status Request Message.
MsgType = "BD"
Required when NetworkStatusResponseType=2
Specifies the number of repeating CompId's
This message is used to initiate a user action, logon, logout or password change. It can also be used to request a report on a user's status.
MsgType = "BE"
Can be used to hand structures etc to other API's etc
This message is used to respond to a user request message, it reports the status of the user after the completion of any action requested in the user request message.
MsgType = "BF"
Reason a request was not carried out
Used to respond to a Collateral Inquiry in the following situations:
• When the CollateralInquiry will result in an out of band response (such as a file transfer).
• When the inquiry is otherwise valid but no collateral is found to match the criteria specified on the Collateral Inquiry message.
• When the Collateral Inquiry is invalid based upon the business rules of the counterparty.
MsgType = BG
Identifier for the collateral inquiry to which this message is a reply
Status of the Collateral Inquiry referenced by CollInquiryID
Result of the Collateral Inquriy referenced by CollInquiryID - specifies any errors or warnings
Number of qualifiers to inquiry
Total number of reports generated in response to this inquiry
Customer Account
Type of account associated with the order (Origin)
Identifier of order for which collateral is required
Identifier of order for which collateral is required
Identifier of order for which collateral is required
Identifier of order for which collateral is required
Executions for which collateral is required
Trades for which collateral is required
Insert here the set of "Instrument" fields defined in "Common Components of Application Messages"
Insert here the set of "FinancingDetails" fields defined in "Common Components of Application Messages"
Number of legs that make up the Security
Number of legs that make up the Security
Trading Session in which trade occurred
Trading Session Subid in which trade occurred
Ability to specify whether the response to the request should be delivered inband or via pre-arranged out-of-band transport.
URI destination name. Used if ResponseTransportType is out-of-band.
Must be set if EncodedText field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
The Confirmation Request message is used to request a Confirmation message.
MsgType = BH
Unique identifier for this message
Denotes whether this message is being used to request a confirmation or a trade status message
Indicates number of orders to be combined for allocation. If order(s) were manually delivered set to 1 (one).Required when AllocNoOrdersType = 1
Used to refer to an earlier Allocation Instruction.
Used to refer to an earlier Allocation Instruction via its secondary identifier
Used to refer to an allocation account within an earlier Allocation Instruction.
Represents the time this message was generated
Account number for the trade being confirmed by this message
The Contrary Intention Report is used for reporting of contrary expiration quantities for Saturday expiring options. This information is required by options exchanges for regulatory purposes.
MsgType = BO
Unique identifier for the Contrary Intention report
Time the contrary intention was received by clearing organization.
Indicates if the contrary intention was received after the exchange imposed cutoff time
Source of the contrary intention
Business date of contrary intention
Clearing Organization
Clearing Firm
Position Account
Expiration Quantities
Must be set if EncodedText field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
This message is used for reporting updates to a product security master file. Updates could be the result of corporate actions or other business events. Updates may include additions, modifications or deletions.
MsgType = BP
Used to identify the SecurityDefinitionUpdateReport(35=BP) message in a bulk message transfer. Not used in request/response messaging.
Conditionally required when responding to the SecurityDefinitionRequest(35=c) message.
Used to identify the SecurityDefinitionUpdateReport(35=BP) message.
Must be set if EncodedText(355) field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the Text(58) field in the encoded format specified via the MessageEncoding(347) field.
Contains all the security details related to listing and trading the security
Represents the time at which a security was last updated
The Security List Update Report is used for reporting updates to a Contract Security Masterfile. Updates could be due to Corporate Actions or other business events. Update may include additions, modifications and deletions.
MsgType = BK
Identifier for the Security List Update message in a bulk transfer environment (No Request/Response)
Identifies a specific Security List entity
Provides a reference to another Security List
Identifies a list type
Identifies the sourec as a listype
Identifier for the Security List message.
Result of the Security Request identified by the SecurityReqID.
Used to indicate the total number of securities being returned for this request. Used in the event that message fragmentation is required.
Identifies the type of Corporate Action that triggered the update
Identifies the market which lists and trades the instrument.
Identifies the segment of the market specified in MarketID(96)
Indicates whether this is the last fragment in a sequence of message fragments. Only required where message has been fragmented.
Specifies the number of repeating symbols (instruments) specified
Used to report changes in position, primarily in equity options, due to modifications to the underlying due to corporate actions
MsgType = BL
Unique identifier for this Adjusted Position report
The Clearing Business Date referred to by this maintenance request
Position Account
Insert here here the set of "Position Qty" fields defined in "Common Components of Application Messages"
Settlement Price
Prior Settlement Price
This message is used in a 3-party allocation model where notification of group creation and group updates to counterparties is needed. The mssage will also carry trade information that comprised the group to the counterparties.
MsgType = BM
Unique identifier for this allocation instruction alert message
i.e. New, Cancel, Replace
Specifies the purpose or type of Allocation message
Optional second identifier for this allocation instruction (need not be unique)
Required for AllocTransType = Replace or Cancel
Required for AllocTransType = Replace or Cancel
Gives the reason for replacing or cancelling the allocation instruction
Required if AllocType = 8 (Request to Intermediary)
Indicates status that is requested to be transmitted to counterparty by the intermediary (i.e. clearing house)
Can be used to link two different Allocation messages (each with unique AllocID) together, i.e. for F/X "Netting" or "Swaps"
Can be used to link two different Allocation messages and identifies the type of link. Required if AllocLinkID is specified.
Group identifier assigned by the clearinghouse
Firm assigned entity identifier for the allocation
Can be used with AllocType=" Ready-To-Book "
Indicates how the orders being booked and allocated by an Allocation Instruction or Allocation Report message are identified, e.g. by explicit definition in the OrdAllocGrp or ExecAllocGrp components , or not identified explicitly.
Indicates number of orders to be combined for allocation. If order(s) were manually delivered set to 1 (one).Required when AllocNoOrdersType = 1
Indicates number of individual execution or trade entries. Absence indicates that no individual execution or trade entries are included. Primarily used to support step-outs.
Insert here the set of "Instrument" (symbology) fields defined in "common components of application messages"
Insert here the set of "InstrumentExtension" fields defined in "common components of application messages"
Insert here the set of "FinancingDetails" fields defined in "common components of application messages"
When not using allocation groups, this is the total quantity (e.g. number of shares) allocated to all accounts, or that is Ready-To-Book. When using allocation groups, this is the quantity added or removed when trades are added to or removed from an allocation group. To remove quantity from the allocation group a negative value is specified in Quantity(53). When the allocation group quantity is unchanged, such as when AllocType(626) changes from 12(Incomplete group) to 13(Complete group) , the value for Quantity(53) should be zero (0).
Indicates the total quantity of an allocation group. Includes any allocated quantity.
Indicates the remaining quantity of an allocation group that has not yet been allocated.
Market of the executions.
For F/X orders, should be the "all-in" rate (spot rate adjusted for forward points).
For 3rd party allocations used to convey either basic price or averaged price
Optional for average price allocations in the listed derivatives markets where the central counterparty calculates and manages average price across an allocation group.
Insert here the set of "SpreadOrBenchmarkCurveData" fields defined in "common components of application messages"
Currency of AvgPx. Should be the currency of the local market or exchange where the trade was conducted.
Absence of this field indicates that default precision arranged by the broker/institution is to be used
Insert here the set of "Parties" (firm identification) fields defined in "common components of application messages"
Date/time when allocation is generated
Identifies status of allocation.
Takes precedence over SettlType value and conditionally required/omitted for specific SettlType values.
Method for booking. Used to provide notification that this is to be booked out as an OTC derivative (e.g. CFD or similar). Absence of this field implies regular booking.
Expressed in same currency as AvgPx. Sum of (AllocQty * AllocAvgPx or AllocPrice).
Expressed in same currency as AvgPx. Sum of AllocNetMoney.
Indicates if Allocation has been automatically accepted on behalf of the Carry Firm by the Clearing House
Must be set if EncodedText field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
Applicable for Convertible Bonds and fixed income
Applicable for Convertible Bonds and fixed income
Applicable for Convertible Bonds and fixed income (REMOVED FROM THIS LOCATION AS OF FIX 4.4, REPLACED BY AllocAccruedInterest)
(Deprecated) use AccruedInterestAmt Sum of AccruedInterestAmt within repeating group.
For repurchase agreements the accrued interest on termination.
For repurchase agreements the start (dirty) cash consideration
For repurchase agreements the end (dirty) cash consideration
Insert here here the set of "Position Amount Data" fields defined in "Common Components of Application Messages"
Indicates total number of allocation groups (used to support fragmentation). Must equal the sum of all NoAllocs values across all message fragments making up this allocation instruction.
Only required where message has been fragmented.
Indicates whether this is the last fragment in a sequence of message fragments. Only required where message has been fragmented.
Indicates number of allocation groups to follow.
Not required for AllocTransType=Cancel
Not required for AllocType=" Ready-To-Book " or "Warehouse instruction".
Indicates if an allocation is to be average priced. Is also used to indicate if average price allocation group is complete or incomplete.
Firm designated group identifier for average pricing.
Indicates Clearing Business Date for which transaction will be settled.
Indicates Trade Type of Allocation.
Indicates TradeSubType of Allocation. Necessary for defining groups.
Indicates CTI of original trade marked for allocation.
Indicates input source of original trade marked for allocation.
Indicates MultiLegReportType of original trade marked for allocation.
Used to identify the event or source which gave rise to a message.
Specifies the rounded price to quoted precision.
The Execution Report Acknowledgement message is an optional message that provides dual functionality to notify a trading partner that an electronically received execution has either been accepted or rejected (DK'd).
MsgType = BN
Conditionally required if the Execution Report message contains a ClOrdID.
Indicates the status of the execution acknowledgement. The "received, not yet processed" is an optional intermediary status that can be used to notify the counterparty that the Execution Report has been received.
The ExecID of the Execution Report being acknowledged.
Conditionally required when ExecAckStatus = 2 (Don't know / Rejected).
Conditionally required if specified on the Execution Report
Conditionally Required if specified on the Execution Report
Conditionally required if specified on the Execution Report
Conditionally required if specified on the Execution Report
Conditionally required if specified on the Execution Report
Conditionally required if specified on the Execution Report
Conditionally required if DKReason = "other"
The Trading Session List message is sent as a response to a Trading Session List Request. The Trading Session List should contain the characteristics of the trading session and the current state of the trading session.
MsgType = BJ
Provided for a response to a specific Trading Session List Request message (snapshot).
The Trading Session List Request is used to request a list of trading sessions available in a market place and the state of those trading sessions. A successful request will result in a response from the counterparty of a Trading Session List (MsgType=BJ) message that contains a list of zero or more trading sessions.
MsgType = BI
Must be unique, or the ID of previous Trading Session Status Request to disable if SubscriptionRequestType = Disable previous Snapshot + Update Request (2).
Market for which Trading Session applies
Market Segment for which Trading Session applies
Trading Session for which status is being requested
Method of Trading
Trading Session Mode
The Settlement Obligation Report message provides a central counterparty, institution, or individual counterparty with a capacity for reporting the final details of a currency settlement obligation.
MsgType = BQ
Settlement cycle in which the settlement obligation was generated
Unique identifier for this message
Used to identify the reporting mode of the settlement obligation which is either preliminary or final
Can be used to provide any additional rejection text where rejecting a Settlement Instruction Request message.
Time when the Settlemnt Obligation Report was created.
The Derivative Security List Update Report message is used to send updates to an option family or the strikes that comprise an option family.
MsgType = BR
Identifier for the Derivative Security List message
Result of the Security Request identified by SecurityReqID
Updates can be applied to Underlying or option class. If Series information provided, then Series has explicitly changed
Underlying security for which derivatives are being returned
Group block which contains all information for an option family. If provided DerivativeSecurityDefinition qualifies the strikes specified in the Instrument block. DerivativeSecurityDefinition contains the following components: DerivativeInstrument. DerivativeInstrumentExtension, MarketSegmentGrp
Represents the time at which a security was last updated
Used to indicate the total number of securities being returned for this request. Used in the event that message fragmentation is required.
Indicates whether this is the last fragment in a sequence of message fragments. Only required where message has been fragmented.
The Trading Session List Update Report is used by marketplaces to provide intra-day updates of trading sessions when there are changes to one or more trading sessions.
MsgType = BS
Provided for a response to a specific Trading Session List Request message (snapshot).
The Market Definition Request message is used to request for market structure information from the Respondent that receives this request.
MsgType = BT
Must be unique, or the ID of previous Market Segment Request to disable if SubscriptionRequestType = Disable previous Snapshot + Updates Request(2).
Conditionally required if MarketSegmentID(1300) is specified on the request
Specifies that the Market Segment is a sub segment of the Market Segment defined in this field.
The MarketDefinition(35=BU) message is used to respond to MarketDefinitionRequest(35=BT). In a subscription, it will be used to provide the initial snapshot of the information requested. Subsequent updates are provided by the MarketDefinitionUpdateReport(35=BV).
MsgType = BU
Unique identifier for each market definition message.
Must be set if EncodedMktSegmDesc(1398) field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the MarketSegmDesc(1396) field in the encoded format specified via the MessageEncoding(347) field.
Specifies that the market segment specified in this message is a sub-segment of the market segment defined in this field.
Used to specify the purpose of a special market segment identified by MarketSegmentID(1300).
Conditionally required if MarketSegmentSubType(2544) is specified.
Used to specify the types of securities that belong to the market segment.
Used to specify market segments that have a relationship to the market segment defined in this message.
The default trading currency
Used to specify the base trading rules for the identified market or market segment.
Used to specify the order types that are valid for trading on the identified market or market segment.
Used to specify the time in force rules that are valid for trading on the identified market or market segment.
Used to specify the execution instructions that are valid for trading on the identified market or market segment.
Used to specify the auction order types that are valid for trading on the identified market or market segment.
Used to specify the market data feed types that are valid for trading on the identified market or market segment.
Used to specify the matching rules that are valid for trading on the identified market or market segment.
Specifies the eligibility indicators for the creation of flexible securities.
Specifies parties relevant for the market or market segment, e.g. market makers.
Must be set if EncodedText(355) field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the Text(58) field in the encoded format specified via the MessageEncoding(347) field.
In a subscription for market structure information, this message is used once the initial snapshot of the information has been sent using the MarketDefinition(35=BU) message.
MsgType = BV
Unique identifier for each market definition message.
Specifies the action taken
Must be set if EncodedMktSegmDesc(1398) field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the MarketSegmDesc(1396) field in the encoded format specified via the MessageEncoding(347) field.
Specifies that the market segment specified in this message is a sub-segment of the market segment defined in this field.
Used to specify the purpose of a special market segment identified by MarketSegmentID(1300).
Conditionally required if MarketSegmentSubType(2544) is specified.
Used to specify the types of securities that belong to the market segment.
Used to specify market segments that have a relationship to the market segment defined in this message.
The default trading currency
Used to specify the valid base trading rules for the identified market or market segment.
Used to specify the order types that are valid for trading on the identified market or market segment.
Used to specify the time in force rules that are valid for trading on the identified market or market segment.
Used to specify the execution instructions that are valid for trading on the identified market or market segment.
Used to specify the auction order types that are valid for trading on the identified market or market segment.
Used to specify the market data feed types that are valid for trading on the identified market or market segment.
Used to specify the matching rules that are valid for trading on the identified market or market segment.
Specifies the eligibility indicators for the creation of flexible securities.
Specifies parties relevant for the market or market segment, e.g. market makers.
Must be set if EncodedText(355) field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the Text(58) field in the encoded format specified via the MessageEncoding(347) field.
The User Notification message is used to notify one or more users of an event or information from the sender of the message. This message is usually sent unsolicited from a marketplace (e.g. Exchange, ECN) to a market participant.
MsgType = CB
List of users to which the notification is directed
Reason for notification - when possible provide an explanation.
Explanation for user notification.
Must be set if EncodedText field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
The Order Mass Action Report is used to acknowledge an Order Mass Action Request. Note that each affected order that is suspended or released or canceled is acknowledged with a separate Execution Report for each order.
MsgType = BZ
ClOrdID provided on the Order Mass Action Request.
Unique Identifier for the Order Mass Action Report
Order Mass Action Request Type accepted by the system
Specifies the scope of the action
Indicates the action taken by the counterparty order handling system as a result of the Action Request
0 - Indicates Order Mass Action Request was rejected.
Indicates why Order Mass Action Request was rejected
Required if MassActionResponse = 0
Optional field used to indicate the total number of orders affected by the Order Mass Action Request
List of orders affected by the Order Mass Action Request.
List of orders not affected by the Order Mass Action Request.
List of market segments affected by the Order Mass Action Request. Should only be used when request uses TargetMarketSegmentGrp component.
List of market segments not affected by the Order Mass Action Request. Should only be used when request uses TargetMarketSegmentGrp component.
MarketID for which orders are to be affected
MarketSegmentID for which orders are to be affected. Mutually exclusive with TargetMarketSegmentGrp component.
Mutually exclusive with MarketSegmentID(1300).
TradingSessionID for which orders are to be affected
TradingSessionSubID for which orders are to be affected
Should be populated with the values provided on the associated OrderMassActionRequest(MsgType=CA).
Side of the market specified on the Order Mass Action Request
Time this report was initiated/released by the sells-side (broker, exchange, ECN) or sell-side executing system.
Must be set if EncodedComplianceText(2352) field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the ComplianceText(2404) field in the encoded format specified via the MessageEncoding(347) field.
Must be set if EncodedText field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
The Order Mass Action Request message can be used to request the suspension or release of a group of orders that match the criteria specified within the request. This is equivalent to individual Order Cancel Replace Requests for each order with or without adding "S" to the ExecInst values. It can also be used for mass order cancellation.
MsgType = CA
Unique ID of Order Mass Action Request as assigned by the institution.
Specifies the type of action requested
Specifies the scope of the action
MarketID for which orders are to be affected
MarketSegmentID for which orders are to be affected. Mutually exclusive with TargetMarketSegmentGrp component.
List of market segments for which orders are to be affected. Mutually exclusive with MarketSegmentID(1300).
Trading Session in which orders are to be affected
Can be used to specify the parties to whom the Order Mass Action should apply.
Must be set if EncodedComplianceText(2352) field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the ComplianceText(2404) field in the encoded format specified via the MessageEncoding(347) field.
Must be set if EncodedText field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
This message is used to request a retransmission of a set of one or more messages generated by the application specified in RefApplID (1355).
MsgType = BW
Unique identifier for request
Type of Application Message Request being made
Allows user to provide reason for request
This message is used to acknowledge an Application Message Request providing a status on the request (i.e. whether successful or not). This message does not provide the actual content of the messages to be resent.
MsgType = BX
Identifier for the Application Message Request Ack
Identifier of the request associated with this ACK message
Total number of messages included in transmission
This message is used for three difference purposes: to reset the ApplSeqNum (1181) of a specified ApplID (1180). to indicate that the last message has been sent for a particular ApplID, or as a keep-alive mechanism for ApplIDs with infrequent message traffic.
MsgType = BY
Identifier for the Application Message Report
If the application message report is generated in response to an ApplicationMessageRequest(MsgType=BW), then this tag contain the ApplReqID(1346) of that request.
Type of report
In certain markets where market data aggregators fan out to end clients the pricing streams provided by the price makers, the price maker may assign the clients to certain pricing streams that the price maker publishes via the aggregator. An example of this use is in the FX markets where clients may be assigned to different pricing streams based on volume bands and currency pairs.
MsgType = CC
Unique identifier of the request.
Type of assignment being requested.
Assignment requests
he StreamAssignmentReport message is in response to the StreamAssignmentRequest message. It provides information back to the aggregator as to which clients to assign to receive which price stream based on requested CCY pair. This message can be sent unsolicited to the Aggregator from the Price Maker.
MsgType = CD
Unique identifier of the Stream Assignment Report.
Required if report is being sent in response to a StreamAssignmentRequest. The value should be the same as the value in the corresponding request.
Conditionally required if Stream Assignment Report is being sent in response to a StreamAssignmentRequest(MsgType=CC). Not required for unsolicited stream assignments.
Stream assignments
This message is used to respond to the Stream Assignment Report, to either accept or reject an unsolicited assingment.
MsgType = CE
Can be used to provide additional information regarding the assignment report, such as reject description.
The purpose of this message is to initiate a margin requirement inquiry for a margin account. The inquiry may be submitted at the detail level or the summary level. It can also be used to inquire margin excess/deficit or net position information. Margin excess/deficit will provide information about the surplus or shortfall compared to the previous trading day or a more recent margin calculation. An inquiry for net position information will trigger one or more PositionReport messages instead of one or more MarginRequirementReport messages.
If the inquiry is made at the detail level, an Instrument block must be provided with the desired level of detail. If the inquiry is made at the summary level, the Instrument block is not provided, implying a summary request is being made. For example, if the inquiring firm specifies the Security Type of “FUT” in the Instrument block, then a detail report will be generated containing the margin requirements for all futures positions for the inquiring account. Similarly, if the inquiry is made at the summary level, the report will contain the total margin requirement aggregated to the margin account level.
MsgType = CH
Unique identifier for this message
Type of margin requirement inquiry
Used to subscribe / unsubscribe for margin requirement reports. If the field is absent, the default will be snapshot request only - no subscription.
Ability to specify whether the response to the request should be delivered inband or via pre-arranged out-of-band transport.
URI destination name. Used if ResponseTransportType is out-of-band.
Indicates the date for which the margin is to be calculated
Indicates the settlement session for which the margin is to be calculated – End Of Day or Intraday
Used to identify a group of instruments with similar risk profile.
Represents the time the inquiry was submitted
Must be set if EncodedText field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
Used to respond to a Margin Requirement Inquiry.
MsgType = CI
Unique identifier for this message
Type of margin requirement inquiry
Status of the Margin Requirement Inquiry referenced by MarginReqmtInqID
Result of the Margin Requirement Inquiry referenced by MarginReqmtInqID – specifies any errors or warnings
Total number of reports generated in response to this inquiry
Used to subscribe / unsubscribe for margin requirement reports. If the field is absent, the default will be snapshot request only - no subscription.
Ability to specify whether the response to the request should be delivered inband or via pre-arranged out-of-band transport.
URI destination name. Used if ResponseTransportType is out-of-band.
Indicates the date for which the margin is to be calculated
Indicates the settlement session for which the margin is to be calculated – End Of Day or Intraday
Used to identify a group of instruments with similar risk profile.
Represents the time this message was generated
Must be set if EncodedText field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
The Margin Requirement Report returns information about margin requirement either as on overview across all margin accounts or on a detailed level due to the inquiry making use of the optional Instrument component block. Application sequencing can be used to re-request a range of reports.
MsgType = CJ
Unique identifier for this margin requirement report
Unique identifier for the inquiry associated with this report. This field should not be provided if the report was sent unsolicited.
Type of report provided
Total number of reports generated in response to inquiry referenced by MarginReqmtInqID
Set to 'Y' if message is sent as a result of a subscription request or out of band configuration as opposed to a Margin Requirement Inquiry.
Indicates the date for which the margin is to be calculated
Indicates the settlement session for which the margin is to be calculated – End Of Day or Intraday
Used to identify a group of instruments with similar risk profile.
Base currency of the margin requirement
Margin requirement amounts
Represents the time this message was generated
Must be set if EncodedText field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
The PartyDetailsListRequest is used to request party detail information.
MsgType = CF
May be used to identify the party making the request and their role.
Scope of the query/request for specific party(-ies).
Scope of the query/request for specific party role(s)
Scope of the query/reqeust for specific party relationship(s)
The PartyDetailsListReport message is used to disseminate party details between counterparties. PartyDetailsListReport messages may be sent in response to a PartyDetailsListRequest message or sent unsolicited.
MsgType = CG
Conditionally required when responding to the PartyDetailsListRequest message.
Conditionally required when responding to the PartyDetailsListRequest message.
The PartyDetailsListUpdateReport(35=CK) is used to disseminate updates to party detail information.
MsgType = CK
Conditionally required when responding to the PartyDetailsListRequest(35=CF) message.
May be used to specify the requesting party in the event the request was made verbally or via other means.
Must be set if EncodedText(355) field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the Text(58) field in the encoded format specified via the MessageEncoding(347) field.
The PartyRiskLimitsRequest message is used to request for risk information for specific parties, specific party roles or specific instruments.
MsgType = CL
Scope of risk limit information.
May be used to identify the party making the request and their role.
Scope of the query/request for specific party(-ies)
Scope of the query/request for specific party role(s). For example, "all information for PartyRole=24."
Scope of the query/request for specific securities. Absence means all instruments for a given party or party role.
The PartyRiskLimitsReport message is used to communicate party risk limits. The message can either be sent as a response to the PartyRiskLimitsRequest message or can be published unsolicited.
MsgType = CM
Conditionally required when responding to PartyRiskLimitsRequest(35=CL).
Can be used when responding to a PartyRiskLimitsRequest(35=CL).
Conditionally required when responding to a PartyRiskLimitsRequest(35=CL).
Optionally includes utilization (consumption) information.
MsgType = CN
Must be unique, or the ID of previous Security Mass Status Request to disable if SubscriptionRequestType = Disable previous Snapshot + Updates Request (2).
SubcriptionRequestType indicates to the other party what type of response is expected. A snapshot request only asks for current information. A subscribe request asks for updates as the status changes. Unsubscribe will cancel any future update messages from the counter party.
MsgType = CO
Required when mass status is in response to a SecurityMassStatusRequest(35=CN) message.
Identifies all securities for a security list identifier.
Identifies all securities for a market.
Identifies all securities for a market segment.
Business day that the state change applies to.
Identifies all securities for a trading session.
Identifies all securities for a trading sub-session.
Set to "Y" if message is sent as a result of a subscription request not a snapshot request.
Used to relay changes in the book type.
Used to relay changes in Market Depth.
Time of state change for security list.
The AccountSummaryReport is provided by the clearinghouse to its clearing members on a daily basis. It contains margin, settlement, collateral and pay/collect data for each clearing member level account type. Clearing member account types will be described through use of the Parties component and PtysSubGrp sub-component.
In certain usages, the clearing members can send the AccountSummaryReport message to the clearinghouse as needed. For example, clearing members can send this message to the clearinghouse to identify the value of collateral for each customer (to satisfy CFTC Legally Segregated Operationally Commingled (LSOC) regulatory reporting obligations).
Clearing organizations can also send the AccountSummaryReport message to regulators to meet regulatory reporting obligations. For example, clearing organizations can use this message to submit daily reports for each clearing member (“CM”) by house origin and by each customer origin for all futures, options, and swaps positions, and all securities positions held in a segregated account or pursuant to a cross margining agreement, to a regulator (e.g. to the CFTC to meet Part 39, Section 39.19 reporting obligations).
The Parties component and PtysSubGrp sub-component are used to describe the clearing member number and account type for that report. Net settlement amount or amounts are provided using the SettlementAmountGrp component. Margin requirement amounts are provided using the MarginAmountData component.
The current collateral values for each valid collateral type is provided using the CollateralAmountGrp component. Likewise pay/collect information is provided using the PayCollectGrp component. Margin and pay/collect amounts can optionally be tied to markets and market segments for clearing houses that support multiple markets and market segments.
MsgType = CQ
Identifies the base reporting currency used in this report.
Used to identify the parties for the account (clearing organization, clearing firm, account type, etc.)
Can be used to identify mark to market information for the position.
The PartyRiskLimitsUpdateReport(35=CR) is used to convey incremental changes to risk limits. It is similar to the regular report but uses the PartyRiskLimitsUpdateGrp component instead of the PartyRiskLimitsGrp component to include an update action.
MsgType=CR
Conditionally required when sent as part of a subscription requested by a PartyRiskLimitsRequest(35=CL).
Can be used if sent as part of a subscription started by a PartyRiskLimitsRequest(35=CL).
May be used to specify the requesting party in the event the request was made verbally or via other means.
Must be set if EncodedText(355) field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the Text(58) field in the encoded format specified via the MessageEncoding(347) field.
PartyRiskLimitDefinitionRequest is used for defining new risk limits.
MsgType=CS
May be used to identify the party making the request and their role.
Risk limits to be enforced for given party(-ies) and related party(-ies).
PartyRiskLimitDefinitionRequestAck is used for accepting (with or without changes) or rejecting the definition of risk limits.
MsgType=CT
The PartyEntitlementsRequest message is used to request for entitlement information for one or more party(-ies), specific party role(s), or specific instruments(s).
MsgType=CU
May be used to identify the party making the request and their role.
Scope of the query/request for specific party(-ies).
Scope of the query/request for specific party roles. For example, "all information for PartyRole=24".
Scope of the query/request for specific securities.
The PartyEntitlementsReport is used to report entitlements for one or more parties, party role(s), or specific instrument(s).
MsgType=CV
Conditionally required when responding to PartyEntitlementsRequest(35=CU).
Conditionally required when responding to Party Entitlements Request.
The QuoteAck(35=CW) message is used to acknowledge a Quote(35=S) submittal or request to cancel an individual quote using the QuoteCancel(35=Z) message during a Quote/Negotiation dialog.
The QuoteAck(35=CW) is available for optional use to acknowledge the request to cancel an individual quote (QuoteCancel(35=Z) with QuoteCancelType(298) =5(Cancel specified sinqle quote)).
35=CW
Contains the QuoteID(117) of a single Quote(35=S).
Contains the QuoteMsgID(1166) of a single Quote(35=S) or QuoteCancel(35=Z).
Conditionally required when QuoteAckStatus(1865) = 2(Rejected).
The PartyDetailsDefinitionRequest(35=CX) is used for defining new parties and modifying or deleting existing parties information, including the relationships between parties.
The recipient of the message responds with a PartyDetailsDefinitionRequestAck(35=CY) to indicate whether the request was accepted or rejected.
MsgType=CX
Can be used to identify the party making the request and their role.
Specifies the parties and relationships between parties to be defined, modified, or deleted.
The PartyDetailsDefinitionRequestAck(35=CY) is used as a response to the PartyDetailsDefinitionRequest(35=CX) message. The request can be accepted (with or without changes) or rejected.
MsgType=CY
The PartyEntitlementsUpdateReport(35=CZ) is used to convey incremental changes to party entitlements. It is similar to the PartyEntitlementsReport(35=CV). This message uses the PartyEntitlementsUpdateGrp component which includes the ability to specify an update action using ListUpdateAction(1324).
MsgType=CZ
Conditionally required when responding to a PartyEntitlementsRequest(35=CU) message.
May be used to specify the requesting party in the event the request was made verbally or via other means.
Specifies the updated entitlements to be enforced for the given party(-ies) and related party(-ies).
Must be set if EncodedText(355) field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the Text(58) field in the encoded format specified via the MessageEncoding(347) field.
The PartyEntitlementsDefinitionRequest(35=DA) is used for defining new entitlements, and modifying or deleting existing entitlements for the specified party(-ies).
The PartyEntitlementsDefinitionRequestAck(35=DB) is the response message, used to indicate whether the request was accepted or rejected.
MsgType=DA
Can be used to identify the party making the request and their role.
Specifies the entitlements to be defined, modified or deleted for the given party(-ies) and related party(-ies).
The PartyEntitlementsDefinitionRequestAck(35=DB) is used as a response to the PartyEntitlemensDefinitionRequest(35=DA) to accept (with or without changes) or reject the definition of party entitlements.
MsgType=DB
The TradeMatchReport(35=DC) message is used by exchanges and ECN’s to report matched trades to central counterparties (CCPs) as an atomic event. The message is used to express the one-to-one, one-to-many and many-to-many matches as well as implied matches in which more complex instruments can match with simpler instruments.
MsgType=DC
Unique identifier common for all trades included in a match event.
Used when reporting other than current day trades.
Time of the match event or transaction that resulted in this match report.
Differentiates match events involving complex instruments (MultiLegReportingType(442)=3(multileg security)) from those only involving simple instruments (MultiLegReportingType(442)=1(single security)). MultiLegReportingType(442)=2(individual leg of multileg security) should not be used.
Conditionally required when TradeReportType(856) = Submit(0).
The TradeMatchReportAck(35=DD) is used to respond to theTradeMatchReport(35=DC) message. It may be used to report on the status of the request (e.g. accepting the request or rejecting the request).
MsgType=DD
Identifier of the TradeMatchReport(35=DC) being acknowledged.
Conditionally required when TradeMatchAckStatus(1896) = Rejected(2).
PartyRiskLimitsReportAck is an optional message used as a response to the PartyRiskLimitReport(35=CM) or PartyRiskLimitUpdateReport(35=CR) messages to acknowledge or reject those messages.
MsgType=DE
The identifier of the PartyRiskLimitReport(35=CM) or PartyRiskLimitUpdateReport(35=CR) message.
Conditionally required when RiskLimitReportStatus(2316)=1 (Rejected).
Must be set if EncodedRejectText(1665) field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the RejectText(1328) field in the encoded format specified via the MessageEncoding(347) field.
Must be set if EncodedText(355) field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the Text(58) field in the encoded format specified via the MessageEncoding(347) field.
PartyRiskLimitCheckRequest is used to request for approval of credit or risk limit amount intended to be used by a party in a transaction from another party that holds the information.
MsgType=DE
Either RiskLimitCheckRequestID(2318) or RiskLimitCheckID(2319) must be specified. RiskLimitCheckRequestID(2318) is conditionally required in a message-chaining model in which a subsequent message may refer to a prior message via RiskLimitCheckRequestRefID(2322). The alternative is an entity-based model in which RiskLimitCheckID(2319) is used to statically identify a given request. In this case RiskLimitCheckID(2319) is required and RiskLimitRequestID(1666) can be optionally specified.
Either RiskLimitCheckRequestID(2318) or RiskLimitCheckID(2319) must be specified.
Conditionally required when RiskLimitCheckTransType(2320) = 1 (Cancel) or 2 (Replace), and message-chaining model is used.
Used to specify the transaction reference for this limit check request.
Identifies the type of reference specified in RefOrderID(1080) for this limit check request.
Specifies the amount being requested or consumed, as indicated by RiskLimitCheckType(2321).
May be used to identify the party making the limit check request and their role.
May be used to specify the trading party on which the limit check request is for. Each request is for a single trading party and the specified transaction reference.
Must be set if EncodedText(355) field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the Text(58) field in the encoded format specified via the MessageEncoding(347) field.
PartyRiskLimitCheckRequestAck is used to acknowledge a PartyRiskLimitCheckRequest(35=DF) message and to respond whether the limit check request was approved or not. When used to accept the PartyRiskLimitCheckRequest(35=DF) message the Respondent may also include the limit amount that was approved.
MsgType=DG
Either RiskLimitCheckRequestID(2318) or RiskLimitCheckID(2319) must be provided from the request message
Either RiskLimitCheckRequestID(2318) or RiskLimitCheckID(2319) must be provided from the request message.
Identifies the RiskLimitCheckTransType(2320) this message is responding to as specified in the request message.
Identifies the RiskLimitCheckType(2321) this message is responding to as specified in the request message.
Conditionally required when RiskLimitCheckTransType(2320) = 1 (Cancel) or 2 (Replace)
Must be set if EncodedRejectText(1665) field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the RejectText(1328) field in the encoded format specified via the MessageEncoding(347) field.
Conditionally required when RiskLimitCheckRequestStatus(2325)=1 (Partially approved)
Optionally used to specify when the approved credit limit being reserved will expire.
The trading party identified in the limit check request.
Must be set if EncodedText(355) field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the Text(58) field in the encoded format specified via the MessageEncoding(347) field.
The PartyActionRequest message is used suspend or halt the specified party from further trading activities at the Respondent. The Respondent must respond with a PartyActionReport(35=DI) message.
MsgType=DH
Use to reduce the scope to a market
Use to reduce the scope to a market segment
Use to reduce the scope of instruments
May be used to identify the party making the request and their role.
Used to specify the trading party on which the action is applied to.
Must be set if EncodedText(355) field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the Text(58) field in the encoded format specified via the MessageEncoding(347) field.
Used to respond to the PartyActionRequest(35=DH) message, indicating whether the request has been received, accepted or rejected. Can also be used in an unsolicited manner to report party actions, e.g. reinstatements after a manual intervention out of band.
MsgType=DI
Conditionally required when responding to a PartyActionRequest(35=DH) message.
Conditionally required when PartyActionResponse(2332) = 2 (Rejected).
Conditionally required if present in the PartyActionRequest(35=DH) message.
Must be set if EncodedRejectText(1665) field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the RejectText(1328) field in the encoded format specified via the MessageEncoding(347) field.
May be used to identify the party making the request and their role.
Used to specify the trading party on which the action is applied to. If in response to PartyActionRequest(35=DH) message, this should echo back the values from the request.
Must be set if EncodedText(355) field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the Text(58) field in the encoded format specified via the MessageEncoding(347) field.
The MassOrder(35=DJ) message can be used to add, modify or delete multiple unrelated orders with a single message. Apart from clearing related attributes, only the key order attributes for high performance trading are available.
The behavior of individual orders within a MassOrder(35=DJ) may vary depending upon its attributes, e.g. OrdType(40) and TimeInForce(59). Individual orders may be modified or deleted/cancelled with single order messages such as OrderCancelReplaceRequest (35=G) and OrderCancelRequest(35=F). Each of the orders in the MassOrder(35=DJ) are to be treated as stand-alone individual orders.
MsgType=DJ
Unique identifier of MassOrder(35=DJ) message as assigned by the submitter of the request.
This is party information related to the submitter.
Must be set if EncodedText(355) field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the Text(58) field in the encoded format specified via the MessageEncoding(347) field.
Used to support fragmentation. Sum of NoOrderEntries(2428) within the OrderEntryGrp across all messages with the same MassOrderRequestID(2423).
Indicates whether this is the last fragment in a sequence of message fragments. Only required where message has been fragmented.
The mass order acknowledgement message is used to acknowledge the receipt of and the status for a MassOrder(35=DJ) message.
The content of the acknowledgement depends on the setting of the field OrderResponseLevel(2427) in the MassOrder(35=DJ) message. Only the order status is provided and not the immediate executions which would lead to ExecutionReport messages.
MsgType=DK
For use in drop copy applications. NOT FOR USE in transactional applications.
Unique identifier of MassOrder(35=DJ) message as assigned by the submitter of the request.
Unique identifier of MassOrder(35=DJ) message as assigned by the receiver
Message level request status
Message level request result
Level of response requested from receiver of MassOrder (35=DJ) message.
Must be set if EncodedRejectText(1665) field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the RejectText(1328) field in the encoded format specified via the MessageEncoding(347) field.
Must be set if EncodedRejectText(355) field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the RejectText(1328) field in the encoded format specified via the MessageEncoding(347) field.
Used to support fragmentation. Sum of NoOrderEntries(2428) within the OrderEntryAckGrp across all messages with the same MassOrderRequestID(2423).
Indicates whether this is the last fragment in a sequence of message fragments. Only required where message has been fragmented.
The PositionTransferInstruction(35=DL) is sent by clearing firms to CCPs to initiate position transfers, or to accept or decline position transfers.
MsgType = DL
Submitting, cancelling, changing, accepting, and declining a transfer are all considered separate instructions, and each must have a unique ID. Chaining of firm generated IDs is not supported; TransferID(2437) assigned by the CCP must be used when sending an instruction referencing a previously submitted transfer.
Conditionally required when responding to a PositionTransferReport(35=DN) message (e.g. when accepting or declining a transfer) or performing an action on a transfer (e.g. cancel or replace).
Specifies the source of the position transfer, e.g. the transferor.
Specifies the target of the position transfer.
Business date the transfer would clear.
Trade date associated with the position being transferred.
If not specified, indicates the transfer is for all instruments.
Position to transfer from the perspective of the source party prior to the transfer.
If not specified, indicates transfer of all positions for a specified instrument, if Instrument is specified, or transfer of all positions if Instrument is not specified.
Price at which the position is transferred.
Optionally used to include cash residuals, etc., from the perspective of the source party prior to the transfer.
Must be set if EncodedText(355) field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the Text(58) field in the encoded format specified via the MessageEncoding(347) field.
The PositionTransferInstructionAck(35=DM) is sent by CCPs to clearing firms to acknowledge position transfer instructions, and to report errors processing position transfer instructions.
The PositionTransferInstructionAck(35=DM) is intended to be a technical acknowledgment, not a business level acknowledgment which would instead be provided by the PositionTransferReport(35=DN) message. As such, TransferID(2437), a business level ID assigned by the CCP, need not be assigned when providing a technical acknowledgment to a new or rejected position transfer request.
MsgType=DM
The identifier of the PositionTransferInstruction(35=DL) this message is responding to.
Optional when responding to a "new" transfer. When responding to a PositionTransferInstruction(35=DM) accepting, declining, or cancelling a transfer already initiated, this field can echo the TransferID(2437) sent.
Conditionally required when TransferStatus(2442) = 1(Rejected by intermediary).
Specifies the source of the position transfer, e.g. the transferor.
Specifies the target of the position transfer.
Must be set if EncodedRejectText(1665) field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the RejectText(1328) field in the encoded format specified via the MessageEncoding(347) field.
Must be set if EncodedText(355) field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the Text(58) field in the encoded format specified via the MessageEncoding(347) field.
The PositionTransferReport(35=DN) is sent by CCPs to clearing firms indicating of positions that are to be transferred to the clearing firm, or to report on status of the transfer to the clearing firms involved in the transfer process.
MsgType = DN
Conditionally required when sent in response to a PositionTransferInstruction(35=DM).
Conditionally required when TransferStatus(2422) = 1(Rejected by intermediary).
Specifies the source of the position transfer, e.g. the transferor.
Specifies the target of the position transfer.
Business date the transfer would clear.
Trade date associated with the position being transferred.
If not specified, indicates the transfer is for all instruments.
Position to transfer from the perspective of the source party prior to the transfer.
If not specified, indicates transfer of all positions for a specified instrument, if Instrument is specified, or transfer of all positions if Instrument is not specified.
Price at which the position is transferred.
Optionally used to include cash residuals, etc., from the perspective of the source party prior to the transfer.
Must be set if EncodedRejectText(1665) field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the RejectText(1328) field in the encoded format specified via the MessageEncoding(347) field.
Must be set if EncodedText(355) field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the Text(58) field in the encoded format specified via the MessageEncoding(347) field.
The MarketDataStatisticsRequest(35=DO) is used to request for statistical data. The simple form is to use an identifier (MDStatisticID(2475)) assigned by the market place which would denote a pre-defined statistical report. Alternatively, or also in addition, the request can define a number of parameters for the desired statistical information.
The resulting data set can be restricted to a specific market, market segment or pre-defined security list for which a single set of statistics will be returned. It is also possible to specify individual instruments or group of instruments by means of the component blocks Instrument, UndInstrmtGrp and InstrmtLegGrp.
Fields specified in the request are used as filter criteria to restrict the resulting data returned.
MsgType=DO
Unique message identifier for the request or the identifier of a previous request when unsubscribing.
Used to subscribe / unsubscribe for market data statistics reports or to request a one-time snapshot of the current information.
Used to specify the business date.
Used to specify a single market.
Used to specify a single market segment.
Must be set if EncodedMktSegmDesc(1398) field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the MarketSegmentDesc(1396) field in the encoded format specified via the MessageEncoding(347) field.
Used to reference an entire group of instruments for which a single set of statistics is to be calculated.
Used to specify an individual instrument or instrument attributes for which a single set of statistics is to be calculated.
Used to specify the parameters for the calculation of statistics.
Time that the request was submitted.
Must be set if EncodedText(355) field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the Text(58) field in the encoded format specified via the MessageEncoding(347) field.
The MarketDataStatisticsReport(35=DP) is used to provide unsolicited statistical information or in response to a specific request. Each report contains a set of statistics for a single entity which could be a market, a market segment, a security list or an instrument.
MsgType = DP
Unique message identifier for the report.
Unique message identifier for the request. Conditionally required if report is sent in response to a MarketDataStatisticsRequest(35=DO) message.
Conditionally required if report is sent in response to a MarketDataStatisticsRequest(35=DO) message.
Set to 'Y' if message is sent as a result of a subscription request not a snapshot request
Must be set if EncodedMktSegmDesc(1398) field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the MarketDesgmentDesc(1396) field in the encoded format specified via the MessageEncoding(347) field.
Specifies the resulting statistics information and corresponding statistical parameters.
Time that the report was provided.
Must be set if EncodedText(355) field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the Text(58) field in the encoded format specified via the MessageEncoding(347) field.
CollateralReportAck(35=DQ) is used as a response to the CollateralReport(35=BA). It can be used to reject a CollateralReport(35=BA) when the content of the report is invalid based on the business rules of the receiver. The message may also be used to acknowledge receipt of a valid CollateralReport(35=BA).
Identifer of the CollateralReport(35=BA) being acknowledged.
Conditionally required when CollRptStatus(2488) = 2 (Rejected).
Conditionally required when CollRptStatus(2488) = 2 (Rejected).
Must be set if EncodedRejectText(1665) field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the RejectText(1328) field in the encoded format specified via the MessageEncoding(347) field.
Must be set if EncodedText(355) field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the Text(58) field in the encoded format specified via the MessageEncoding(347) field.
The MarketDataReport(35=DR) message is used to provide delimiting references (e.g. start and end markers in a continuous broadcast) and details about the number of market data messages sent in a given distribution cycle.
The message can be used when distributing reference and market data on an ongoing basis to convey start and end points for synchronization. The report contains multiple message counters that are provided at the beginning or end of a cycle.
MsgType = DR
Unique identifier for MarketDataReport(35=DR).
The CommissionData component block is used to carry commission information such as the type of commission and the rate. Use the CommissionDataGrp component as an alternative if multiple commissions or enhanced attributes are needed.
This component may be used to provide aggregated commission data of a given CommType(13) where the CommissionDataGrp maybe used to include the detail splits provided the commission is of the same commission basis type. For example, CommissionData may contain CommType(13) of 3 (Absolute) and a Commission(12) value of "15". CommissionDataGrp may be used to show how this Commission(12) value of "15" is split up as long as the CommissionBasis(2642) is also 3 (Absolute) for each of the instances added together. This method of aggregated commission data may also be applied to this component to provide a total when the instances of the detail splits in CommissionDataGrp contain leg level information (indicated by the usage of CommissionLegRefID(2649) in CommissionDataGrp). Note that it is only possible to aggregate values for a single commission basis type.
The presence of DiscretionInstructions component block on an order indicates that the trader wishes to display one price but will accept trades at another price.
What the discretionary price is related to (e.g. primary price, display price etc)
Amount (signed) added to the "related to" price specified via DiscretionInst, in the context of DiscretionOffsetType
Describes whether discretion price is static/fixed or floats
Type of Discretion Offset (e.g. price offset, tick offset etc)
Specifies the nature of the resulting discretion price (e.g. or better limit, strict limit etc)
If the calculated discretion price is not a valid tick price, specifies how to round the price (e.g. to be more or less aggressive)
The scope of "related to" price of the discretion (e.g. local, global etc)
Component block is optionally used for financial transaction where legal contracts, master agreements or master confirmations is to be referenced. This component identifies the legal agreement under which the deal was made and other unique characteristics of the transaction. For example, the AgreementDesc(913) field refers to base standard documents such as MRA 1996 Repurchase Agreement, GMRA 2000 Bills Transaction (U.K.), MSLA 1993 Securities Loan – Amended 1998, for example.
The full name of the base standard agreement, annexes and amendments in place between the principals and applicable to this deal
A common reference to the applicable standing agreement between the principals
A reference to the date the underlying agreement was executed.
Currency of the underlying agreement.
Must be set if EncodedDocumentationText(1527) field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the DocumentationText(1513) field in the encoded format specified via the MessageEncoding(347) field.
For Repos the timing or method for terminating the agreement.
Settlement date of the beginning of the deal
Repayment / repurchase date
Delivery or custody arrangement for the underlying securities
Percentage of cash value that underlying security collateral must meet.
The Instrument component block contains all the fields commonly used to describe a security or instrument. Typically the data elements in this component block are considered the static data of a security, data that may be commonly found in a security master database. The Instrument component block can be used to describe any asset type supported by FIX.
Common, "human understood" representation of the security. SecurityID value can be specified if no symbol exists (e.g. non-exchange traded Collective Investment Vehicles)
Use "[N/A]" for products which do not have a symbol.
Used in Fixed Income with a value of "WI" to indicate "When Issued" for a security to be reissued under an old CUSIP or ISIN or with a value of "CD" to indicate a EUCP with lump-sum interest rather than discount price.
Takes precedence in identifying security to counterparty over SecurityAltID block. Requires SecurityIDSource if specified.
Conditionally required when SecurityID(48) is specified.
Number of alternate Security Identifiers
Indicates the type of product the security is associated with (high-level category)
Identifies an entire suite of products for a given market. In Futures this may be "interest rates", "agricultural", "equity indexes", etc
An exchange specific name assigned to a group of related securities which may be concurrently affected by market events and actions.
Indicates the type of security using ISO 10962 standard, Classification of Financial Instruments (CFI code) values. It is recommended that CFICode be used instead of SecurityType for non-Fixed Income instruments.
It is recommended that CFICode be used instead of SecurityType for non-Fixed Income instruments.
Required for Fixed Income. Refer to Volume 7 - Fixed Income
Futures and Options should be specified using the CFICode[461] field instead of SecurityType[167] (Refer to Volume 7 - Recommendations and Guidelines for Futures and Options Markets.)
Sub-type qualification/identification of the SecurityType (e.g. for SecurityType="MLEG"). If specified, SecurityType is required.
Specifies the month and year of maturity. Applicable for standardized derivatives which are typically only referenced by month and year (e.g. S&P futures). Note MaturityDate (a full date) can also be specified.
Specifies date of maturity (a full date). Note that standardized derivatives which are typically only referenced by month and year (e.g. S&P futures).may use MaturityMonthYear and/or this field.
When using MaturityMonthYear, it is recommended that markets and sell sides report the MaturityDate on all outbound messages as a means of data enrichment.
For NDFs this represents the fixing date of the contract.
For NDFs this represents the fixing time of the contract. It is optional to specify the fixing time.
Indicator to determine if Instrument is Settle on Open.
Gives the current state of the instrument
Date interest is to be paid. Used in identifying Corporate Bond issues.
Conditionally required when MthToDefault(1943) is specified.
Conditionally required when CouponFrequencyUnit(1949) is specified.
Conditionally required when CouponFrequencyPeriod(1948) is specified.
Conditionally required when ConvertibleBondEquityID(1951) is specified.
Must be set if EncodedOptionExpirationDesc(1697) field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the OptionExpirationDesc(1581) field in the encoded format specified via the MessageEncoding(347) field.
Date instrument was issued. For Fixed Income IOIs for new issues, specifies the issue date.
For Fixed Income: Amortization Factor for deriving Current face from Original face for ABS or MBS securities, note the fraction may be greater than, equal to or less than 1. In TIPS securities this is the Inflation index.
Qty * Factor * Price = Gross Trade Amount
For Derivatives: Contract Value Factor by which price must be adjusted to determine the true nominal value of one futures/options contract.
(Qty * Price) * Factor = Nominal Value
The location at which records of ownership are maintained for this instrument, and at which ownership changes must be recorded. Can be used in conjunction with ISIN to address ISIN uniqueness issues.
ISO Country code of instrument issue (e.g. the country portion typically used in ISIN). Can be used in conjunction with non-ISIN SecurityID (e.g. CUSIP for Municipal Bonds without ISIN) to provide uniqueness.
A two-character state or province abbreviation.
The three-character IATA code for a locale (e.g. airport code for Municipal Bonds).
Used for derivatives, such as options and covered warrants
Used for derivatives
Used for derivatives. Multiplier applied to the strike price for the purpose of calculating the settlement value.
Used for derivatives. The number of shares/units for the financial instrument involved in the option trade.
Used for derivatives, such as options and covered warrants to indicate a versioning of the contract when required due to corporate actions to the underlying. Should not be used to indicate type of option - use the CFICode[461] for this purpose.
For Fixed Income, Convertible Bonds, Derivatives, etc. Note: If used, quantities should be expressed in the "nominal" (e.g. contracts vs. shares) amount.
Minimum price increment for the instrument. Could also be used to represent tick value.
Minimum price increment amount associated with the MinPriceIncrement [969]. For listed derivatives, the value can be calculated by multiplying MinPriceIncrement by ContractValueFactor [231]
0
Conditionally required if SettlSubMethod(2579) is specified.
Type of exercise of a derivatives security
Conditionally required if OptPayoutType(1482) = 3 (Binary).
Method for price quotation
Indicates type of valuation method used.
Indicates whether the instruments are pre-listed only or can also be defined via user request
Used to express the ceiling price of a capped call
Used to express the floor price of a capped put
Used to express option right
Used to indicate if a security has been defined as flexible according to "non-standard" means. Analog to CFICode Standard/Non-standard indicator
Used to indicate if a product or group of product supports the creation of flexible securities
Used to indicate a time unit for the contract (e.g., days, weeks, months, etc.)
For Fixed Income.
Can be used to identify the security.
Position Limit for the instrument.
Near-term Position Limit for the instrument.
Must be set if EncodedIssuer field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the Issuer field in the encoded format specified via the MessageEncoding field.
Must be set if EncodedSecurityDesc field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the SecurityDesc field in the encoded format specified via the MessageEncoding field.
Embedded XML document describing the instrument.
Identifies MBS / ABS pool
Must be present for MBS/TBA
The program under which a commercial paper is issued
The registration type of a commercial paper issuance
Number of repeating EventType group entries.
If different from IssueDate
If different from IssueDate and DatedDate
Used to identify the parties related to a specific instrument.
Spread table code referred by the security or symbol.
The InstrumentExtension component block identifies additional security attributes that are more commonly found for Fixed Income securities.
Identifies the form of delivery.
Percent at risk due to lowest possible call.
Number of repeating InstrAttrib group entries.
The InstrumentLeg component block, like the Instrument component block, contains all the fields commonly used to describe a security or instrument. In the case of the InstrumentLeg component block it describes a security used in multileg-oriented messages.
Used for unique identification of the leg that can subsequently be used whenever a simple leg identification is sufficient. It can also serve as input value for LegRefID(654) whenever only a simple leg reference is allowed or needed.
Conditionally required when LegMthToDefault(2158) is specified.
Conditionally required when LegCouponFreqUnit(2164) is specified.
Conditionally required when LegCouponFreqPeriod(2163) is specified.
Conditionally required when LegConvertibleBondEquityID(2166) is specified.
Must be set if EncodedLegOptionExpirationDesc(2180) field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the LegOptionExpirationDesc(2178) field in the encoded format specified via the MessageEncoding(347) field.
Used to indicate a time unit for the contract (e.g., days, weeks, months, etc.)
Conditionally required if LegOptPayoutTyp(2193) = 3 (Binary).
Embedded XML document describing the leg instrument.
Specific to the <InstrumentLeg> (not in <Instrument>)
Specific to the <InstrumentLeg> (not in <Instrument>)
Specific to the <InstrumentLeg> (not in <Instrument>)
Identifies MBS / ABS pool
Used to express option right
LegOptionRatio is provided on covering leg to create a delta neutral spread. In Listed Derivatives, the delta of the leg is multiplied by LegOptionRatio and OrderQty to determine the covering quantity.
Used to specify an anchor price for a leg as part of the definition or creation of the strategy - not used for execution price.
The LegBenchmarkCurveData is used to convey the benchmark information used for pricing in a multi-legged Fixed Income security.
The LegStipulations component block has the same usage as the Stipulations component block, but for a leg instrument in a multi-legged security.
Required if NoLegStipulations >0
The NestedParties component block is identical to the Parties Block. It is used in other component blocks and repeating groups when nesting will take place resulting in multiple occurrences of the Parties block within a single FIX message.. Use of NestedParties under these conditions avoids multiple references to the Parties block within the same message which is not allowed in FIX tag/value syntax.
Repeating group below should contain unique combinations of NestedPartyID, NestedPartyIDSource, and NestedPartyRole
Used to identify source of NestedPartyID. Required if NestedPartyIDSource is specified. Required if NoNestedPartyIDs > 0.
Used to identify class source of NestedPartyID value (e.g. BIC). Required if NestedPartyID is specified. Required if NoNestedPartyIDs > 0.
Identifies the type of NestedPartyID (e.g. Executing Broker). Required if NoNestedPartyIDs > 0.
Repeating group of NestedParty sub-identifiers.
The OrderQtyData component block contains the fields commonly used for indicating the amount or quantity of an order. Note that when this component block is marked as "required" in a message either one of these three fields must be used to identify the amount: OrderQty, CashOrderQty or OrderPercent (in the case of CIV).
One of CashOrderQty, OrderQty, or (for CIV only) OrderPercent is required. Note that unless otherwise specified, only one of CashOrderQty, OrderQty, or OrderPercent should be specified.
One of CashOrderQty, OrderQty, or (for CIV only) OrderPercent is required. Note that unless otherwise specified, only one of CashOrderQty, OrderQty, or OrderPercent should be specified. Specifies the approximate "monetary quantity" for the order. Broker is responsible for converting and calculating OrderQty in tradeable units (e.g. shares) for subsequent messages.
For CIV - Optional. One of CashOrderQty, OrderQty or (for CIV only) OrderPercent is required. Note that unless otherwise specified, only one of CashOrderQty, OrderQty, or OrderPercent should be specified.
For CIV - Optional
For CIV - Optional
The Parties component block is used to identify and convey information on the entities both central and peripheral to the financial transaction represented by the FIX message containing the Parties Block. The Parties block allows many different types of entites to be expressed through use of the PartyRole field and identifies the source of the PartyID through the the PartyIDSource.
Repeating group below should contain unique combinations of PartyID, PartyIDSource, and PartyRole
Required if NoPartyIDs(453) > 0.
Identification of the party.
Required if NoPartyIDs(453) > 0.
Used to identify classification source.
Required if NoPartyIDs(453) > 0.
Identifies the type of PartyID(448).
Repeating group of Party sub-identifiers.
The Peg Instructions component block is used to tie the price of a security to a market event such as opening price, mid-price, best price. The Peg Instructions block may also be used to tie the price to the behavior of a related security.
Amount (signed) added to the peg for a pegged order in the context of the PegOffsetType
Defines the type of peg.
Describes whether peg is static/fixed or floats
Type of Peg Offset (e.g. price offset, tick offset etc)
Specifies nature of resulting pegged price (e.g. or better limit, strict limit etc)
If the calculated peg price is not a valid tick price, specifies how to round the price (e.g. be more or less aggressive)
The scope of the "related to" price of the peg (e.g. local, global etc)
Required if PegSecurityID is specified.
Requires PegSecurityIDSource if specified.
The PositionAmountData component block is used to report netted amounts associated with position quantities. In the listed derivatives market the amount is generally expressing a type of futures variation or option premium. In the equities market this may be the net pay or collect on a given position.
Number of Position Amount entries
Used when the PosAmt(708) value corresponds to a specific stream in of a swap.
The PositionQty component block specifies the various types of position quantity in the position life-cycle including start-of-day, intraday, trade, adjustments, and end-of-day position quantities. Quantities are expressed in terms of long and short quantities.
Required if NoPositions > 1
Short quantity that is considered covered, e.g. used for short option position
Date associated with the quantity being reported
Optional repeating group - used to associate or distribute position to a specific party other than the party that currently owns the position.
The SettlInstructionsData component block is used to convey key information regarding standing settlement and delivery instructions. It also provides a reference to standing settlement details regarding the source, delivery instructions, and settlement parties
Required if AllocSettlInstType = 1 or 2
Required if AllocSettlInstType = 3 (should not be populated otherwise)
Required if AllocSettlInstType = 3 (should not be populated otherwise)
Identifier used within the StandInstDbType
Required if AllocSettlInstType = 3 (should not be populated otherwise)
Required (and must be > 0) if AllocSettlInstType = 2 (should not be populated otherwise)
The SettlParties component block is used in a similar manner as Parties Block within the context of settlement instruction messages to distinguish between parties involved in the settlement and parties who are expected to execute the settlement process.
Repeating group below should contain unique combinations of SettlPartyID, SettlPartyIDSource, and SettlPartyRole
Used to identify source of SettlPartyID. Required if SettlPartyIDSource is specified. Required if NoSettlPartyIDs > 0.
Used to identify class source of SettlPartyID value (e.g. BIC). Required if SettlPartyID is specified. Required if NoSettlPartyIDs > 0.
Identifies the type of SettlPartyID (e.g. Executing Broker). Required if NoSettlPartyIDs > 0.
Repeating group of SettlParty sub-identifiers.
The SpreadOrBenchmarkCurveData component block is primarily used for Fixed Income to convey spread to a benchmark security or curve.
For Fixed Income
Must be present if BenchmarkPrice is used.
The identifier of the benchmark security, e.g. Treasury against Corporate bond.
Source of BenchmarkSecurityID. If not specified, then ID Source is understood to be the same as that in the Instrument block.
The Stipulations component block is used in Fixed Income to provide additional information on a given security. These additional information are usually not considered static data information.
Required if NoStipulations >0
The TrdRegTimestamps component block is used to express timestamps for an order or trade that are required by regulatory agencies These timesteamps are used to identify the timeframes for when an order or trade is received on the floor, received and executed by the broker, etc.
Required if NoTrdRegTimestamps > 1
Required if NoTrdRegTimestamps > 1
Type of Trading desk
The UnderlyingInstrument component block, like the Instrument component block, contains all the fields commonly used to describe a security or instrument. In the case of the UnderlyingInstrument component block it describes an instrument which underlies the primary instrument Refer to the Instrument component block comments as this component block mirrors Instrument, except for the noted fields.
Embedded XML document describing the underlying instrument.
Used to indicate a time unit for the contract (e.g., days, weeks, months, etc.)
Specific to the < UnderlyingInstrument > Percent of the Strike Price that this underlying represents. Necessary for derivatives that deliver into more than one underlying instrument.
Specific to the <UnderlyingInstrument> (not in <Instrument>)
Specific to the <UnderlyingInstrument> (not in <Instrument>)
Unit amount of the underlying security (par, shares, currency, etc.)
Specific to the < UnderlyingInstrument > Indicates order settlement period for the underlying deliverable component.
Specific to the < UnderlyingInstrument > Cash amount associated with the underlying component. Necessary for derivatives that deliver into more than one underlying instrument and one of the underlying's is a fixed cash value.
Specific to the < UnderlyingInstrument > Used for derivatives that deliver into cash underlying. Indicates that the cash is either fixed or difference value (difference between strike and current underlying price)
Specific to the <UnderlyingInstrument> (not in <Instrument>)
In a financing deal clean price (percent-of-par or per unit) of the underlying security or basket.
Specific to the <UnderlyingInstrument> (not in <Instrument>)
In a financing deal price (percent-of-par or per unit) of the underlying security or basket. "Dirty" means it includes accrued interest
Specific to the <UnderlyingInstrument> (not in <Instrument>)
In a financing deal price (percent-of-par or per unit) of the underlying security or basket at the end of the agreement.
Specific to the <UnderlyingInstrument> (not in <Instrument>)
Currency value attributed to this collateral at the start of the agreement
Specific to the <UnderlyingInstrument> (not in <Instrument>)
Currency value currently attributed to this collateral
Specific to the <UnderlyingInstrument> (not in <Instrument>)
Currency value attributed to this collateral at the end of the agreement
Specific to the <UnderlyingInstrument> (not in <Instrument>)
Insert here the contents of the <UnderlyingStipulations> Component Block
Specific to the <UnderlyingInstrument> (not in <Instrument>). For listed derivatives margin management, this is the number of shares adjusted for upcoming corporate action. Used only for securities which are optionable and are between ex-date and settlement date (4 days).
Specific to the <UnderlyingInstrument> (not in <Instrument>). Foreign exchange rate used to compute UnderlyingCurrentValue (885) (or market value) from UnderlyingCurrency (318) to Currency (15).
Specific to the <UnderlyingInstrument> (not in <Instrument>). Specified whether UnderlyingFxRate (1045) should be multiplied or divided to derive UnderlyingCurrentValue (885).
Used to express option right
Conditionally required when UnderlyingCouponFrequencyUnit(1992) is specified.
Conditionally required when UnderlyingCouponFrequencyPeriod(1991) is specified.
Conditionally required when UnderlyingObligationID(1994) is specified.
Conditionally required when UnderlyingEquityID(1996) is specified.
Required if UnderlyingFutureID(2620) is specified.
Must be set if EncodedUnderlyingOptionExpirationDesc(2288) field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the UnderlyingOptionExpirationDesc(2286) field in the encoded format specified via the MessageEncoding(347) field.
Conditionally required when UnderlyingMthToDefault(2018) is specified.
Conditionally required if UnderlyingOptPayoutType(2028) = 3 (Binary).
The YieldData component block conveys yield information for a given Fixed Income security.
The UnderlyingStipulations component block has the same usage as the Stipulations component block, but for an underlying security.
Required if NoUnderlyingStips >0
The standard FIX message header
FIXT.1.1 (Always unencrypted, must be first field in message)
(Always unencrypted, must be second field in message)
(Always unencrypted, must be third field in message)
Indicates application version using a service pack identifier. The ApplVerID applies to a specific message occurrence.
Used to support bilaterally agreed custom functionality
(Always unencrypted)
(Always unencrypted)
Trading partner company ID used when sending messages via a third party (Can be embedded within encrypted data section.)
Trading partner company ID used when sending messages via a third party (Can be embedded within encrypted data section.)
Required to identify length of encrypted section of message. (Always unencrypted)
Required when message body is encrypted. Always immediately follows SecureDataLen field.
(Can be embedded within encrypted data section.)
(Can be embedded within encrypted data section.)
Sender's LocationID (i.e. geographic location and/or desk) (Can be embedded within encrypted data section.)
"ADMIN" reserved for administrative messages not intended for a specific user. (Can be embedded within encrypted data section.)
Trading partner LocationID (i.e. geographic location and/or desk) (Can be embedded within encrypted data section.)
Trading partner SubID used when delivering messages via a third party. (Can be embedded within encrypted data section.)
Trading partner LocationID (i.e. geographic location and/or desk) used when delivering messages via a third party. (Can be embedded within encrypted data section.)
Trading partner SubID used when delivering messages via a third party. (Can be embedded within encrypted data section.)
Trading partner LocationID (i.e. geographic location and/or desk) used when delivering messages via a third party. (Can be embedded within encrypted data section.)
Always required for retransmitted messages, whether prompted by the sending system or as the result of a resend request. (Can be embedded within encrypted data section.)
Required when message may be duplicate of another message sent under a different sequence number. (Can be embedded within encrypted data section.)
(Can be embedded within encrypted data section.)
Required for message resent as a result of a ResendRequest. If data is not available set to same value as SendingTime (Can be embedded within encrypted data section.)
Required when specifying XmlData to identify the length of a XmlData message block. (Can be embedded within encrypted data section.)
Can contain a XML formatted message block (e.g. FIXML). Always immediately follows XmlDataLen field. (Can be embedded within encrypted data section.)
See Volume 1: FIXML Support
Type of message encoding (non-ASCII characters) used in a message's "Encoded" fields. Required if any "Encoding" fields are used.
The last MsgSeqNum value received by the FIX engine and processed by downstream application, such as trading system or order routing system. Can be specified on every message sent. Useful for detecting a backlog with a counterparty.
Number of repeating groups of historical "hop" information. Only applicable if OnBehalfOfCompID is used, however, its use is optional. Note that some market regulations or counterparties may require tracking of message hops.
The standard FIX message trailer
Required when trailer contains signature. Note: Not to be included within SecureData field
Note: Not to be included within SecureData field
(Always unencrypted, always last field in message)
The NestedParties2 component block is identical to the Parties Block. It is used in other component blocks and repeating groups when nesting will take place resulting in multiple occurrences of the Parties block within a single FIX message.. Use of NestedParties2 under these conditions avoids multiple references to the Parties block within the same message which is not allowed in FIX tag/value syntax.
Repeating group below should contain unique combinations of Nested2PartyID, Nested2PartyIDSource, and Nested2PartyRole
Used to identify source of Nested2PartyID. Required if Nested2PartyIDSource is specified. Required if NoNested2PartyIDs > 0.
Used to identify class source of Nested2PartyID value (e.g. BIC). Required if Nested2PartyID is specified. Required if NoNested2PartyIDs > 0.
Identifies the type of Nested2PartyID (e.g. Executing Broker). Required if NoNested2PartyIDs > 0.
Repeating group of Nested2Party sub-identifiers.
The NestedParties3 component block is identical to the Parties Block. It is used in other component blocks and repeating groups when nesting will take place resulting in multiple occurrences of the Parties block within a single FIX message.. Use of NestedParties3 under these conditions avoids multiple references to the Parties block within the same message which is not allowed in FIX tag/value syntax.
Repeating group below should contain unique combinations of Nested3PartyID, Nested3PartyIDSource, and Nested3PartyRole
Used to identify source of Nested3PartyID. Required if Nested3PartyIDSource is specified. Required if NoNested3PartyIDs > 0.
Used to identify class source of Nested3PartyID value (e.g. BIC). Required if Nested3PartyID is specified. Required if NoNested3PartyIDs > 0.
Identifies the type of Nested3PartyID (e.g. Executing Broker). Required if NoNested3PartyIDs > 0.
Repeating group of Nested3Party sub-identifiers.
Required if NoAffectedOrders(534) > 0.
Indicates the client order id of an order affected by this request. If order(s) were manually delivered (or otherwise not delivered over FIX and not assigned a ClOrdID(11)) this field should contain string "MANUAL".
Contains the OrderID(37) assigned by the counterparty of an affected order. Conditionally required when AffectedOrigClOrdID(1824) = "MANUAL".
Contains the SecondaryOrderID(198) assigned by the counterparty of an affected order.
This repeating group is optionally used for messages with AllocStatus(87) = 2 (Account level reject), to provide details of the individual accounts that were accepted or rejected. In the case of a reject, the reasons for the rejection should be specified.
Indicates number of allocation groups to follow.
Required if NoAllocs(78) > 0.
Must be first field in repeating group.
Used when performing "executed price" vs. "average price" allocations (e.g. Japan). AllocAccount(79) plus AllocPrice(366) form a unique Allocs entry. Used in lieu of AllocAvgPx(153).
Used to communicate the status of central clearing workflow.
Required if NoAllocs(78) > 0 and AllocStatus(87) = 2 (Account level reject).
Can be used here to hold text relating to the rejection of this AllocAccount(366))
Must be set if EncodedAllocText(361) field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the AllocText(161) field in the encoded format specified via the MessageEncoding(347) field.
Must be set if EncodedFirmAllocText(1734) field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the FirmAllocText(1732) field in the encoded format specified via the MessageEncoding(347) field.
Only used for specific lot trades.
Only used for specific lot trades. If this field is used, either VersusPurchasePrice(1754) or CurrentCostBasis(1755) should be specified.
Only used for specific lot trades. If this field is used, VersusPurchaseDate(1753) should be specified.
Only used for specific lot trades. If this field is used, VersusPurchaseDate(1753) should be specified
This repeating group is optionally used for messages with AllocStatus(87) = 2 (account level reject), AllocStatus(87) = 0 (accepted), to provide details of the individual accounts that were accepted or rejected. In the case of a reject, the reasons for the rejection should be specified. This group should not be populated where AllocStatus(87) has any other value.
May specify the broker of credit if ProcessCode(81) is step-out or soft-dollar step-out and Institution does not wish to disclose individual account breakdowns to the executing broker.
Required if NoAllocs(78) > 0.
Must be first field in repeating group.
Conditionally required except when for AllocTransType(71) = 2 (Cancel), or when AllocType(626) = 5 (Ready-To-Book single order) or 7 (Warehouse instruction).
Used when performing "executed price" vs. "average price" allocations (e.g. Japan). AllocAccount(79) plus AllocPrice(366) form a unique Allocs entry. Used in lieu of AllocAvgPx(153).
Conditionally required except when for AllocTransType="Cancel", or when AllocType= "Ready-To-Book" or "Warehouse instruction".
Only used for specific lot trades.
Only used for specific lot trades. If this field is used, either VersusPurchasePrice(1754) or CurrentCostBasis(1755) should be specified.
Only used for specific lot trades. If this field is used, VersusPurchaseDate(1753) should be specified.
Only used for specific lot trades. If this field is used, VersusPurchaseDate(1753) should be specified
Allocation identifier assigned by the Firm submitting the allocation for an individual allocation instruction (as opposed to the overall message level identifier).
Can be used by an intermediary to specify an allocation ID assigned by the intermediary's system.
Specifies the method under which a trade quantity was allocated.
An indicator to override the normal procedure to roll up allocations for the same Carry Firm.
Can be used for granular reporting of separate allocation detail within a single trade report or allocation message.
Insert here the set of "Nested Parties" (firm identification "nested" within additional repeating group) fields defined in "Common Components of Application Messages"
Used for NestedPartyRole=BrokerOfCredit, ClientID, Settlement location (PSET), etc.
Note: this field can be used for settlement location (PSET) information.
Free format text field related to this AllocAccount
Must be set if EncodedAllocText field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the AllocText field in the encoded format specified via the MessageEncoding field.
Use as an alternative to CommissionData component if multiple commissions or enhanced attributes are needed.
AvgPx for this AllocAccount. For F/X orders, should be the "all-in" rate (spot rate adjusted for forward points) for this allocation, expressed in terms of Currency(15). For Fixed Income always express value as "percent of par".
NetMoney for this AllocAccount
((AllocQty * AllocAvgPx) - Commission - sum of MiscFeeAmt + AccruedInterestAmt) if a Sell.
((AllocQty * AllocAvgPx) + Commission + sum of MiscFeeAmt + AccruedInterestAmt) if a Buy.
For FX, if specified, expressed in terms of Currency(15).
Replaced by AllocSettlCurrAmt
AllocNetMoney in AllocSettlCurrency for this AllocAccount if AllocSettlCurrency is different from "overall" Currency
Replaced by AllocSettlCurrency
SettlCurrency for this AllocAccount if different from "overall" Currency. Required if SettlCurrAmt is specified.
AllocSettlCurrency for this AllocAccount if different from "overall" Currency.
Required if AllocSettlCurrAmt is specified.
Required for NDFs.
Foreign exchange rate used to compute AllocSettlCurrAmt from Currency to AllocSettlCurrency
Specifies whether the SettlCurrFxRate should be multiplied or divided
Applicable for Convertible Bonds and fixed income
Applicable for securities that pay interest in lump-sum at maturity
Used to indicate whether settlement instructions are provided on this message, and if not, how they are to be derived.
Absence of this field implies use of default instructions.
Insert here the set of "SettlInstructionsData" fields defined in "Common Components of Application Messages"
Used to communicate settlement instructions for this AllocAccount detail. Required if AllocSettlInstType = 2 or 3.
Conditionally required when AllocRefRiskLimitCheckIDType(2393) is specified.
Conditionally required when AllocRefRiskLimitCheckID(2392) is specified.
Used if BidType="Disclosed"
Required if NoBidComponents > 0. Must be first field in repeating group.
When used in request for a "Disclosed" bid indicates that bid is required on assumption that SideValue1 is Buy or Sell. SideValue2 can be derived by inference.
Indicates off-exchange type activities for Detail.
Indicates Net or Gross for selling Detail.
Takes precedence over SettlType value and conditionally required/omitted for specific SettlType values.
Number of bid repeating groups
First element Commission required if NoBidComponents > 0.
ISO Country Code
When used in response to a "Disclosed" request indicates whether SideValue1 is Buy or Sell. SideValue2 can be derived by inference.
Second element of price
The difference between the value of a future and the value of the underlying equities after allowing for the discounted cash flows associated with the underlying stocks (E.g. Dividends etc).
Net/Gross
Takes precedence over SettlType value and conditionally required/omitted for specific SettlType values.
Must be set if EncodedText field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
Used if BidType="Non Disclosed"
Required if NoBidDescriptors > 0. Must be first field in repeating group.
Refers to the SideValue1 or SideValue2. These are used as opposed to Buy or Sell so that the basket can be quoted either way as Buy or Sell.
Value between LiquidityPctLow and LiquidityPctHigh in Currency
Number of Securites between LiquidityPctLow and LiquidityPctHigh in Currency
Liquidity indicator or lower limit if LiquidityNumSecurities > 1
Upper liquidity indicator if LiquidityNumSecurities > 1
Eg Used in EFP (Exchange For Physical) trades 12%
Used in EFP trades
Used in EFP trades
Used in EFP trades
Required if NoClearingInstructions > 0
Number of qualifiers to inquiry
Required if NoCollInquiryQualifier > 0
Type of collateral inquiry
Used to restrict updates/request to a list of specific CompID/SubID/LocationID/DeskID combinations.
If not present request applies to all applicable available counterparties. EG Unless one sell side broker was a customer of another you would not expect to see information about other brokers, similarly one fund manager etc.
Used to restrict updates/request to specific CompID
Used to restrict updates/request to specific SubID
Used to restrict updates/request to specific LocationID
Used to restrict updates/request to specific DeskID
Specifies the number of repeating CompId's
CompID that status is being report for. Required if NoCompIDs > 0,
SubID that status is being report for.
LocationID that status is being report for.
DeskID that status is being report for.
Additional Information, i.e. "National Holiday"
Number of contract details in this message (number of repeating groups to follow)
Must be first field in the repeating group.
Number of ContraBrokers repeating group instances.
First field in repeating group. Required if NoContraBrokers > 0.
Specifies the capacity of the firm executing the order(s)
The quantity that was executed under this capacity (e.g. quantity executed as agent, as principal etc.). If any are specified, all entries in the component must have OrderCapacityQty specified and the sum of OrderCapacityQty values must equal this message's AllocQty.
Indicates number of individual execution or trade entries. Absence indicates that no individual execution or trade entries are included. Primarily used to support step-outs.
Amount of quantity (e.g. number of shares) in individual execution. Required if NoExecs > 0
Price of individual execution. Required if NoExecs > 0.
For FX, if specified, expressed in terms of Currency(15).
Last price expressed in percent-of-par. Conditionally required for Fixed Income trades when LastPx is expressed in Yield, Spread, Discount or any other price type
Used to identify whether the trade was executed on an agency or principal basis.
Executions for which collateral is required
Required if NoExecs > 0
Specifies the number of repeating symbols (instruments) specified
Insert here the set of "Instrument" (symbology) fields defined in "Common Components of Application Messages"
Number of leg executions.
Required if NoLegs(555) > 0.
Quantity ordered for this leg as provided during order entry.
The LegQty(687) field is deprecated. The use of LegOrderQty(685) is recommended instead.
Instead of LegOrderQty(685) requests that the sellside calculate LegOrderQty(685) based on opposite Leg.
Provide if different from the value specified for the overall multileg security in PositionEffect(77) in the Instrument component.
Provide if different from the value specified for the overall multileg security in CoveredOrUncovered(203) in the Instrument component.
Use of LegRefID(654) in this component is deprecated. Recommend the use of LegID(1788) in the InstrumentLeg component.
Takes precedence over a calculated LegSettlType(587) when specified regardless of LegSettlType(587) value.
Conditionally required when LegSettlType(587) = B(Broken date).
Used to report the execution price assigned to the leg of the multileg instrument.
For FX Futures can be used to express the notional value of a trade when LegLastQty(1418) and other quantity fields are expressed in terms of number of contracts - LegContractMultiplier(231) is required in this case.
Available for optional use when LegSide(624) = 6 (Sell short exempt) in InstrumentLeg component.
Quantity executed for this leg.
Use to reference the partial execution of a multi-leg order to which this leg execution belongs.
Number of legs
Required if NoLegs(555) > 0.
Required for multileg IOIs
Required for multileg IOIs
For Swaps one leg is Buy and other leg is Sell
Required for multileg IOIs and for each leg.
Number of legs that make up the Security
Insert here the set of "Instrument Legs" (leg symbology) fields defined in "Common Components of Application Messages"
Required if NoLegs > 0
Insert here the set of "LegStipulations" (leg symbology) fields defined in "Common Components of Application Messages"
Required if NoLegs > 0
Insert here the set of "LegBenchmarkCurveData" (leg symbology) fields defined in "Common Components of Application Messages"
Required if NoLegs > 0
Number of symbols (instruments) requested.
Insert here the set of "Instrument" (symbology) fields defined in "Common Components of Application Messages"
For NDFs either SettlType (specifying the tenor) or SettlDate must be specified.
SettlType (specifying the tenor) or SettlDate must be specified.
Quantity or volume represented by the Market Data Entry. In the context of the Market Data Request this allows the Initiator to indicate the quantity of the market data request. Specific to FX this field indicates the ceiling amount the customer is seeking prices for.
Number of strike price entries
Insert here the set of "Instrument" (symbology) fields defined in "Common Components of Application Messages"
Required if NoStrikes > 0. Must be first field in repeating group.
Underlying Instruments
Useful for verifying security identification
Can use client order identifier or the symbol and side to uniquely identify the stock in the list.
Must be set if EncodedText field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
Required if any IOIQualifiers are specified. Indicates the number of repeating IOIQualifiers.
Required if NoIOIQualifiers > 0
Required if NoLegs(555) > 0.
Quantity ordered for this leg as provided during order entry.
The LegQty(687) field is deprecated. The use of LegOrderQty(685) is recommended instead.
Provide if different from the value specified for the overall multileg security in ClearingAccountType(1816) in the Instrument component.
Provide if different from the value specified for the overall multileg security in PositionEffect(77) in the Instrument component.
Provide if different from the value specified for the overall multileg security in CoveredOrUncovered(203) in the Instrument component
Use of LegRefID(654) in this component is deprecated. Recommend the use of LegID(1788) in the InstrumentLeg component.
Available for optional use when LegSide(624) = 6 (Sell short exempt) in InstrumentLeg component.
Only used for specific lot trades.
Only used for specific lot trades. If this field is used, either LegVersusPurchasePrice(1758) or LegCurrentCostBasis(1759) should be specified.
Only used for specific lot trades. If this field is used, LegVersusPurchaseDate(1757) should be specified.
Only used for specific lot trades. If this field is used, LegVersusPurchaseDate(1757) should be specified
Required if NoLegs(555) > 0.
The LegQty(687) field is deprecated. The use of LegOrderQty(685) is recommended instead.
Code to represent type of price presented in LegBidPx(681) and LegOfferPx(684).
Conditionally required when LegBidPx(681) or PegOfferPx(684) is present.
Use of LegRefID(654) in this component is deprecated. Recommend the use of LegID(1788) in the InstrumentLeg component.
Required if NoLegs(555) > 0.
The LegQty(687) field is deprecated. The use of LegOrderQty(685) is recommended instead.
Specifies the number of repeating lines of text specified
Repeating field, number of instances defined in LinesOfText
Must be set if EncodedText field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
Number of orders in this message (number of repeating groups to follow)
Must be the first field in the repeating group.
Order number within the list
Insert here the set of "Parties" (firm identification) fields defined in "Common Components of Application Messages"
Use to assign an ID to the block of individual preallocations
Takes precedence over SettlType value and conditionally required/omitted for specific SettlType values.
Can contain multiple instructions, space delimited. If OrdType=P, exactly one of the following values (ExecInst = L, R, M, P, O, T, or W) must be specified.
Insert here the set of "DisplayInstruction" fields defined in "common components of application messages"
Insert here the set of "Instrument" (symbology) fields defined in "Common Components of Application Messages"
Useful for verifying security identification
Note: to indicate the side of SideValue1 or SideValue2, specify Side=Undisclosed and SideValueInd=either the SideValue1 or SideValue2 indicator.
Available for optional use when Side(54) = 6(Sell short exempt).
Refers to the SideValue1 or SideValue2. These are used as opposed to Buy or Sell so that the basket can be quoted either way as Buy or Sell.
Required for short sell orders
Insert here the set of "Stipulations" (repeating group of Fixed Income stipulations) fields defined in "Common Components of Application Messages"
Insert here the set of "OrderQtyData" fields defined in "Common Components of Application Messages"
Insert here the set of "TriggeringInstruction" fields defined in "common components of application messages"
Insert here the set of "SpreadOrBenchmarkCurveData" (Fixed Income spread or benchmark curve) fields defined in "Common Components of Application Messages"
Insert here the set of "YieldData" (yield-related) fields defined in "Common Components of Application Messages"
Must be set if EncodedComplianceText(2352) field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the ComplianceText(2404) field in the encoded format specified via the MessageEncoding(347) field.
Required for Previously Indicated Orders (OrdType=E)
Required for Previously Quoted Orders (OrdType=D)
Required for counter-order selection / Hit / Take Orders (OrdType = Q)
Conditionally required if RefOrderID is specified.
Conditionally required if TimeInForce = GTD and ExpireTime is not specified.
Conditionally required if TimeInForce = GTD and ExpireDate is not specified.
States whether executions are booked out or accumulated on a partially filled GT order
Conditionally required when TimeInForce(59)=10 (Good for Time)
Use as an alternative to CommissionData if multiple commissions or enhanced attributes are needed.
Method for booking out this order. Used when notifying a broker that an order to be settled by that broker is to be booked out as an OTC derivative (e.g. CFD or similar). Absence of this field implies regular booking.
Must be set if EncodedText field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
Can be used with OrdType = "Forex - Swap" to specify the "value date" for the future portion of a F/X swap.
Can be used with OrdType = "Forex - Swap" to specify the order quantity for the future portion of a F/X swap.
Can be used with OrdType = "Forex - Swap" to specify the price for the future portion of a F/X swap which is also a limit order. For F/X orders, should be the "all-in" rate (spot rate adjusted for forward points).
Insert here the set of "PegInstruction" fields defined in "Common Components of Application Messages"
Insert here the set of "DiscretionInstruction" fields defined in "Common Components of Application Messages"
The target strategy of the order
Strategy parameter block
For further specification of the TargetStrategy
Mandatory for a TargetStrategy=Participate order and specifies the target particpation rate.
For other order types optionally specifies a volume limit (i.e. do not be more than this percent of the market volume)
Supplementary registration information for this Order within the List
Number of entries following.
Required if NoMDEntries(268) > 0.
Conditionally required when maintaining an order-depth book (AggregatedBook(266) is "N"). Allows subsequent Incremental changes to be applied using MDEntryID(278).
Conditionally required if MDEntryType(269) is not A (Imbalance), B (Trade Volume), or C (Open Interest); Conditionally required when MDEntryType(269) = Q (Auction clearing price).
Used to support market mechanism type; limit order, market order, committed principal order
Can be used to specify the currency of the quoted price.
Required for NDFs to specify the settlement currency (fixing currency).
Conditionally required when MDUpdateAction(279) = 0 (New) and MDEntryType(269) = 0 (Bid), 1 (Offer), 2 (Trade), B (Trade volume), or C (Open interest).
Can be used to specify the lot type of the quoted size in order depth books.
Market posting quote / trade. Valid values: See Volume 6: Appendix 6-C
Space-delimited list of conditions describing a quote.
Space-delimited list of conditions describing a trade
Used if MDEntryType(269) = 4 (Opening price), 5 (Closing price), or 6 (Settlement price).
For optional use when this Bid or Offer represents an order
For optional use when this Bid or Offer represents an order. ExpireDate(432) and ExpireTime(126) cannot both be specified in one Market Data Entry.
For optional use when this Bid or Offer represents an order. ExpireDate(432) and ExpireTime(126) cannot both be specified in one Market Data Entry.
Conditionally required when TimeInForce(59) = A (Good for Time).
For optional use when this Bid or Offer represents an order
Can contain multiple instructions, space delimited.
For optional use when this Bid, Offer, or Trade represents an order
For optional use to support Hit/Take (selecting a specific order from the feed) without disclosing a private order id.
For optional use when this Bid, Offer, or Trade represents a quote
For optional use in reporting Trades.
For optional use in reporting Trades.
May be used to link together trades that are reported separately but are part of the same overall trade, e.g. spread trade and their constituent trades.
For optional use in reporting Trades
For optional use in reporting Trades
For optional use in reporting trades.
For optional use in reporting trades.
In an Aggregated Book, used to show how many individual orders make up an MDEntry
Display position of a bid or offer, numbered from most competitive to least competitive, per market side, beginning with 1
Specifies trade type when a trade is being reported. For optional use in reporting trades.
For optional use in reporting trades.
For optional use in reporting trades.
For optional use in reporting trades.
For optional use when reporting trades. Lists trades related to the current market data entry, e.g. leg trades of a multi-leg trade.
Text to describe the Market Data Entry. Part of repeating group.
Must be set if EncodedText(355) field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the Text(58) field in the encoded format specified via the MessageEncoding(347) field.
Display position of a bid or offer, numbered from most competitive to least competitive, per market side, beginning with 1
Used to report high price in association with trade, bid or ask rather than a separate entity
Used to report low price in association with trade, bid or ask rather than a separate entity.
Indicates the first price of a trading session; can be a bid, ask, or trade price.
Indicates the last price of a trading session; can be a bid, ask, or trade price.
Used to report trade volume in association with trade, bid or ask rather than a separate entity
Indicates date on which instrument will settle.
For NDFs required for specifying the "value date".
Used to identify the sequence number within a feed type
May be specified for an MDEntryType(269)=2 (Trade) entry to indicate that MDEntryPx(270), PriceType(423) and MDEntrySize(271) apply to the instance of the InstrmtLegGrp component with matching LegID(1788).
Number of entries following.
Must be first field in this repeating group.
If MDUpdateAction = Delete(2), can be used to specify a reason for the deletion.
Can be used to define a subordinate book.
Can be used to define the current depth of the book.
Conditionally required if MDUpdateAction(279) = 0 (New). Cannot be changed.
If specified, must be unique among currently active entries if MDUpdateAction(279) = 0 (New);
must be the same as a previous MDEntryID(278) if MDUpdateAction(279) = 2 (Delete);
must be the same as a previous MDEntryID(278) if MDUpdateAction(279) = 1 (Change) and MDEntryRefID(280) is not specified; or
must be unique among currently active entries if MDUpdateAction(279) = 1 (Change) and MDEntryRefID(280) is specified.
If MDUpdateAction(279) = 0 (New), for the first market data entry in a message, either this field or a security symbol must be specified.
If MDUpdateAction(279) = 1 (Change), this must refer to a previous MDEntryID(278).
Conditionally required when MDUpdateAction(279) = 0 (New) and MDEntryType(269) is not A (Imbalance), B (Trade volume), or C (Open interest).
Conditionally required when MDEntryType(269) = Q (Auction clearing price).
Insert here the set of YieldData (yield-related) fields defined in Common Components of Application Messages
Insert here the set of SpreadOrBenchmarkCurveData (Fixed Income spread or benchmark curve) fields defined in Common Components of Application Messages
Used to support market mechanism type; limit order, market order, committed principal order
Can be used to specify the currency of the quoted price.
Required for NDFs to specify the settlement currency (fixing currency).
Conditionally required when MDUpdateAction(279) = 0 (New) and MDEntryType(269) = 0 (Bid), 1 (Offer), 2 (Trade), B (Trade volume), or C (Open interest).
Can be used to specify the lot type of the quoted size in order depth books.
Market posting quote / trade. Valid values: See Volume 6: Appendix 6-C
Space-delimited list of conditions describing a quote.
Space-delimited list of conditions describing a trade
For optional use in reporting trades.
For optional use in reporting trades.
For optional use in reporting trades.
For optional use in reporting trades.
For optional use when reporting trades. List of trades related to the current market data entry, e.g. leg trades of a multi-leg trade.
Used if MDEntryType(269) = 4 (Opening Price), 5 (Closing Price), or 6 (Settlement Price).
For optional use when this Bid or Offer represents an order
For optional use when this Bid or Offer represents an order. ExpireDate(432) and ExpireTime(126) cannot both be specified in one Market Data Entry.
For optional use when this Bid or Offer represents an order. ExpireDate(432) and ExpireTime(126) cannot both be specified in one Market Data Entry.
Conditionally required when TimeInForce(59)= 10 (Good for Time).
For optional use when this Bid or Offer represents an order
Can contain multiple instructions, space delimited.
For optional use when this Bid, Offer, or Trade represents an order
For optional use to support Hit/Take (selecting a specific order from the feed) without disclosing a private order id.
For optional use when this Bid, Offer, or Trade represents a quote
For optional use in reporting Trades
For optional use in reporting Trades.
May be used to link together trades that are reported separately but are part of the same overall trade, e.g. spread trade and their constituent trades.
For optional use in reporting Trades
For optional use in reporting Trades
For optional use when reporting trades
For optional use when reporting trades
In an Aggregated Book, used to show how many individual orders make up an MDEntry
Display position of a bid or offer, numbered from most competitive to least competitive, per market side, beginning with 1
Text to describe the Market Data Entry. Part of repeating group.
Must be set if EncodedText(355) field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the Text(58) field in the encoded format specified via the MessageEncoding(347) field.
Indicates the first price of a trading session; can be a bid, ask, or a trade price.
Indicates the last price of a trading session; can be a bid, ask, or a trade price.
Indicates date on which instrument will settle.
For NDFs required for specifying the "value date".
For optional use in reporting Trades. Used to specify the time of trade agreement for privately negotiated trades.
For optional use in reporting Trades. Used to specify the time of matching.
Entry time of the incoming order that triggered the trade
Allows sequence number to be specified within a feed type
Number of MDEntryType fields requested.
Must be the first field in this repeating group. This is a list of all the types of Market Data Entries that the firm requesting the Market Data is interested in receiving.
Alternative Market Data Source
Required if any miscellaneous fees are reported. Indicates number of repeating entries.
Required if NoMiscFees(136) > 0.
Required if NoMiscFees(136) > 0.
Indicates number of orders to be combined for allocation. If order(s) were manually delivered set to 1 (one).Required when AllocNoOrdersType = 1
Order identifier assigned by client if order(s) were electronically delivered over FIX (or otherwise assigned a ClOrdID) and executed. If order(s) were manually delivered (or otherwise not delivered over FIX) this field should contain string "MANUAL". Note where an order has undergone one or more cancel/replaces, this should be the ClOrdID of the most recent version of the order.
Required when NoOrders(73) > 0 and must be the first repeating field in the group.
Can be used to provide order id used by exchange or executing system.
Required for List Orders.
Insert here the set of "NestedParties2" fields defined in "Common Components of Application Messages"
This is used to identify the executing broker for step in/give in trades
Average price for this order.
For FX, if specified, expressed in terms of Currency(15).
Quantity of this order that is being booked out by this message (will be equal to or less than this order's OrderQty)
Note that the sum of the OrderBookingQty values in this repeating group must equal the total quantity being allocated (in Quantity (53) field)
Number of orders statused in this message, i.e. number of repeating groups to follow.
Required when referring to orders that were electronically submitted over FIX or otherwise assigned a ClOrdID.
For optional use with OrdStatus = 0 (New)
Quantity open for further execution. LeavesQty = OrderQty - CumQty.
Used if the order is rejected
Must be set if EncodedText field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
Insert here the set of "Underlying Instrument" (underlying symbology) fields defined in "Common Components of Application Messages"
Required if NoUnderlyings > 0
Values = Final, Theoretical
Insert here the set of "Underlying Amount" fields defined in "Common Components of Application Messages"
Number of repeating groups for pre-trade allocation
Required if NoAllocs > 0. Must be first field in repeating group.
Insert here the set of "Nested Parties" (firm identification "nested" within additional repeating group) fields defined in "Common Components of Application Messages"
Used for NestedPartyRole=Clearing Firm
Only used for specific lot trades.
Only used for specific lot trades. If this field is used, either VersusPurchasePrice(1754) or CurrentCostBasis(1755) should be specified.
Only used for specific lot trades. If this field is used, VersusPurchaseDate(1753) should be specified.
Only used for specific lot trades. If this field is used, VersusPurchaseDate(1753) should be specified
Number of repeating groups for pre-trade allocation
Required if NoAllocs > 0. Must be first field in repeating group.
Insert here the set of "NestedParties3" (firm identification "nested" within additional repeating group) fields defined in "Common Components of Application Messages"
Only used for specific lot trades.
Only used for specific lot trades. If this field is used, either VersusPurchasePrice(1754) or CurrentCostBasis(1755) should be specified.
Only used for specific lot trades. If this field is used, VersusPurchaseDate(1753) should be specified.
Only used for specific lot trades. If this field is used, VersusPurchaseDate(1753) should be specified
The number of securities (instruments) whose quotes are to be canceled
Not required when cancelling all quotes.
Insert here the set of "Instrument" (symbology) fields defined in "Common Components of Application Messages"
Insert here the set of "FinancingDetails" (symbology) fields defined in "Common Components of Application Messages"
The number of quotes for this Symbol (QuoteSet) that follow in this message.
Uniquely identifies the quote across the complete set of all quotes for a given quote provider.
First field in repeating group. Required if NoQuoteEntries > 0.
Insert here the set of "Instrument" (symbology) fields defined in "Common Components of Application Messages"
If F/X quote, should be the "all-in" rate (spot rate adjusted for forward points). Note that either BidPx, OfferPx or both must be specified.
If F/X quote, should be the "all-in" rate (spot rate adjusted for forward points). Note that either BidPx, OfferPx or both must be specified.
May be applicable for F/X quotes
May be applicable for F/X quotes
May be applicable for F/X quotes
May be applicable for F/X quotes
Can be used with forex quotes to specify a specific "value date"
Can be used to specify the type of order the quote is for
Can be used with OrdType = "Forex - Swap" to specify the "value date" for the future portion of a F/X swap.
Can be used with OrdType = "Forex - Swap" to specify the order quantity for the future portion of a F/X swap.
Bid F/X forward points of the future portion of a F/X swap quote added to spot rate. May be a negative value
Offer F/X forward points of the future portion of a F/X swap quote added to spot rate. May be a negative value
Can be used to specify the currency of the quoted price.
Reason Quote Entry was rejected.
The number of quotes for this Symbol (instrument) (QuoteSet) that follow in this message.
Uniquely identifies the quote across the complete set of all quotes for a given quote provider.
Insert here the set of "Instrument" (symbology) fields defined in "Common Components of Application Messages"
If F/X quote, should be the "all-in" rate (spot rate adjusted for forward points). Note that either BidPx, OfferPx or both must be specified.
If F/X quote, should be the "all-in" rate (spot rate adjusted for forward points). Note that either BidPx, OfferPx or both must be specified.
May be applicable for F/X quotes
May be applicable for F/X quotes
May be applicable for F/X quotes
May be applicable for F/X quotes
Can be used with forex quotes to specify a specific "value date"
Can be used to specify the type of order the quote is for
Can be used with OrdType = "Forex - Swap" to specify the "value date" for the future portion of a F/X swap.
Can be used with OrdType = "Forex - Swap" to specify the order quantity for the future portion of a F/X swap.
Bid F/X forward points of the future portion of a F/X swap quote added to spot rate. May be a negative value
Offer F/X forward points of the future portion of a F/X swap quote added to spot rate. May be a negative value
Can be used to specify the currency of the quoted price.
Required if NoQuoteQualifiers > 1
Number of related symbols (instruments) in Request
Insert here the set of "Instrument" (symbology) fields defined in "Common Components of Application Messages"
Insert here the set of "FinancingDetails" (symbology) fields defined in "Common Components of Application Messages"
Useful for verifying security identification
Indicates the type of Quote Request (e.g. Manual vs. Automatic) being generated.
Can be used when QuoteRequestType(303) = 3(Confirm Quote).
Can be used when QuoteRequestType(303) = 3(Confirm Quote).
Type of quote being requested from counterparty or market (e.g. Indicative, Firm, or Restricted Tradeable)
Valid values used by FX in the request: 0 = Indicative, 1 = Tradeable; Absence implies a request for an indicative quote.
If OrdType = "Forex - Swap", should be the side of the future portion of a F/X swap. The absence of a side implies that a two-sided quote is being requested.
For single instrument use. FX values, 1 = Buy, 2 = Sell; This is from the perspective of the Initiator. If absent then a two-sided quote is being requested for spot or forward.
Type of quantity specified in a quantity field.
For FX, if used, should be "0".
Required for single instrument quoting.
Required for Fixed Income if QuoteType is Tradeable.
For NDFs either SettlType (specifying the tenor) or SettlDate must be specified.
Can be used (e.g. with forex quotes) to specify the desired "value date".
For NDFs either SettlType (specifying the tenor) or SettlDate must be specified.
Can be used with OrdType = "Forex - Swap" to specify the "value date" for the future portion of a F/X swap.
Can be used with OrdType = "Forex - Swap" to specify the order quantity for the future portion of a F/X swap.
Can be used to specify the desired currency of the quoted price. May differ from the 'normal' trading currency of the instrument being quote requested.
Required for NDFs to specify the settlement currency (fixing currency).
Insert here the set of "Stipulations" (repeating group of Fixed Income stipulations) fields defined in "Common Components of Application Messages"
May be used by SEFs (Swap Execution Facilities) to indicate a block swap transaction.
Initiator can specify the price type the quote needs to be quoted at. If not specified, the Respondent has option to specify how quote is quoted.
Can be used to specify the type of order the quote request is for
Used by the quote initiator to indicate the period of time the resulting Quote must be valid until
The time when the request for quote or negotiation dialog will expire.
The (minimum or suggested) period of time a quote price is tradable before it becomes indicative (i.e. off-the-wire).
Time transaction was entered
Insert here the set of "SpreadOrBenchmarkCurveData" (Fixed Income spread or benchmark curve) fields defined in "Common Components of Application Messages"
Quoted or target price
For OTC swaps, may be used to provide the estimated mid-market-mark.
Can be used with OrdType = "Forex - Swap" to specify the Quoted or target price for the future portion of a F/X swap.
Insert here the set of "YieldData" (yield-related) fields defined in "Common Components of Application Messages"
Required if NoLegs(555) > 0.
The LegQty(687) field is deprecated. The use of LegOrderQty(685) is recommended instead.
For OTC swaps, may be used to provide the estimated mid-market mark.
Use of LegRefID(654) in this component is deprecated. Recommend the use of LegID(1788) in the InstrumentLeg component.
Number of related symbols (instruments) in Request
Insert here the set of "Instrument" (symbology) fields defined in "Common Components of Application Messages"
Insert here the set of "FinancingDetails" (symbology) fields defined in "Common Components of Application Messages"
Useful for verifying security identification
Indicates the type of Quote Request (e.g. Manual vs. Automatic) being generated.
Type of quote being requested from counterparty or market (e.g. Indicative, Firm, or Restricted Tradeable)
If OrdType = "Forex - Swap", should be the side of the future portion of a F/X swap. The absence of a side implies that a two-sided quote is being requested.
Required if specified in Quote Request message.
Insert here the set of "OrderQytData" fields defined in "Common Components of Application Messages"
Required if component is specified in Quote Request message.
Can be used (e.g. with forex quotes) to specify the desired "value date"
Can be used with OrdType = "Forex - Swap" to specify the "value date" for the future portion of a F/X swap.
Can be used with OrdType = "Forex - Swap" to specify the order quantity for the future portion of a F/X swap.
Can be used to specify the desired currency of the quoted price. May differ from the 'normal' trading currency of the instrument being quote requested.
Insert here the set of "Stipulations" (repeating group of Fixed Income stipulations) fields defined in "Common Components of Application Messages"
Initiator can specify the price type the quote needs to be quoted at. If not specified, the Respondent has option to specify how quote is quoted.
Can be used to specify the type of order the quote request is for
The time when Quote Request will expire.
Time transaction was entered
Insert here the set of "SpreadOrBenchmarkCurveData" (Fixed Income spread or benchmark curve) fields defined in "Common Components of Application Messages"
Quoted or target price
Can be used with OrdType = "Forex - Swap" to specify the Quoted or target price for the future portion of a F/X swap.
Insert here the set of "YieldData" (yield-related) fields defined in "Common Components of Application Messages"
Insert here the set of "Parties" (firm identification) fields defined in "Common Components of Application Messages"
The number of sets of quotes in the message
First field in repeating group. Required if NoQuoteSets > 0
Insert here the set of "UnderlyingInstrument" (underlying symbology) fields defined in "Common Components of Application Messages"
Required if NoQuoteSets > 0
Total number of quotes for the quote set across all messages. Should be the sum of all NoQuoteEntries in each message that has repeating quotes that are part of the same quote set.
Required if NoQuoteEntries > 0
Total number of quotes canceled for the quote set across all messages.
Total number of quotes accepted for the quote set across all messages.
Total number of quotes rejected for the quote set across all messages.
Indicates whether this is the last fragment in a sequence of message fragments. Only required where message has been fragmented.
The number of sets of quotes in the message
Sequential number for the Quote Set. For a given QuoteID - assumed to start at 1.
Must be the first field in the repeating group.
Insert here the set of "UnderlyingInstrument" (underlying symbology) fields defined in "Common Components of Application Messages"
Total number of quotes for the quote set across all messages. Should be the sum of all NoQuoteEntries in each message that has repeating quotes that are part of the same quote set.
Indicates whether this is the last fragment in a sequence of message fragments. Only required where message has been fragmented.
Specifies the number of repeating symbols (instruments) specified
Secondary price limit rules
Identifies the type of Corporate Action
Number of simple instruments.
Comment, instructions, or other identifying information.
Must be set if EncodedText field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
Number of related symbols (instruments) in Request
Insert here the set of "Instrument" (symbology) fields defined in "Common Components of Application Messages"
Useful for verifying security identification
Indicates the type of Quote Request (e.g. Manual vs. Automatic) being generated.
Type of quote being requested from counterparty or market (e.g. Indicative, Firm, or Restricted Tradeable)
Number of Distribution instructions in this message (number of repeating groups to follow)
Must be first field in the repeating group if NoDistribInsts > 0.
Number of registration details in this message (number of repeating groups to follow)
Must be first field in the repeating group
Insert here the set of "Nested Parties" (firm identification "nested" within additional repeating group) fields defined in "Common Components of Application Messages"
Used for NestedPartyRole=InvestorID
Required if any RoutingType and RoutingIDs are specified. Indicates the number within repeating group.
Indicates type of RoutingID. Required if NoRoutingIDs is > 0.
Identifies routing destination. Required if NoRoutingIDs is > 0.
Specifies the number of repeating symbols (instruments) specified
Insert here the set of "Instrument" (symbology) fields defined in "Common Components of Application Messages"
of the requested Security
Insert here the set of "InstrumentExtension" fields defined in "Common Components of Application Messages"
Used to specify forms of product classifications
Insert here the set of "FinancingDetails" fields defined in "Common Components of Application Messages"
Used to provide listing rules
Used to provide listing rules
Insert here the set of "Stipulations" fields defined in "Common Components of Application Messages"
Insert here the set of "SpreadOrBenchmarkCurveData" fields defined in "Common Components of Application Messages"
Insert here the set of "YieldData" fields defined in "Common Components of Application Messages"
Number of simple instruments.
Comment, instructions, or other identifying information.
Must be set if EncodedText field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
Required if NoSecurityTypes > 0
Required except where SettlInstMode is 5=Reject SSI request
Unique ID for this settlement instruction.
Required except where SettlInstMode is 5=Reject SSI request
New, Replace, Cancel or Restate
Required except where SettlInstMode is 5=Reject SSI request
Required where SettlInstTransType is Cancel or Replace
Insert here the set of "Parties" (firm identification) fields defined in "Common Components of Application Messages"
Used here for settlement location.
Also used for executing broker for CIV settlement instructions
Can be used for SettleInstMode 1 if SSIs are being provided for a particular side.
Can be used for SettleInstMode 1 if SSIs are being provided for a particular product.
Can be used for SettleInstMode 1 if SSIs are being provided for a particular security type (as alternative to CFICode).
Can be used for SettleInstMode 1 if SSIs are being provided for a particular security type (as identified by CFI code).
Can be used for SettleInstMode 1 if SSIs are being provided for a particular settlement currency
Effective (start) date/time for this settlement instruction.
Required except where SettlInstMode is 5=Reject SSI request
Termination date/time for this settlement instruction.
Date/time this settlement instruction was last updated (or created if not updated since creation).
Required except where SettlInstMode is 5=Reject SSI request
Insert here the set of "SettlInstructionsData" fields defined in "Common Components of Application Messages"
For use with CIV settlement instructions
For use with CIV settlement instructions
For use with CIV settlement instructions
For use with CIV settlement instructions
For use with CIV settlement instructions
For use with CIV settlement instructions
For use with CIV settlement instructions
For use with CIV settlement instructions
For use with CIV settlement instructions
Must be 1 or 2
Required when referring to orders that were electronically submitted over FIX or otherwise assigned a ClOrdID(11).
Unique identifier of the order as assigned by institution or by the intermediary with closest association with the investor.
Insert here the set of "Parties" (firm identification) fields defined in "Common Components of Application Messages"
Insert here the set of "OrderQtyData" fields defined in "Common Components of Application Messages"
Must be set if EncodedComplianceText(2352) field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the ComplianceText(2404) field in the encoded format specified via the MessageEncoding(347) field.
Must be set if EncodedText field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
Must be 1 or 2 if CrossType(549)=1(All-or-none Cross), 2 otherwise.
Required if NoSides(552) > 0.
Required when referring to orders that were electronically submitted over FIX or otherwise assigned a ClOrdID(11)
Unique identifier of the order as assigned by institution or by the intermediary with closest association with the investor.
Available for optional use when Side(54) = 6 (Sell short exempt).
Use to assign an identifier to the block of preallocations
Use as an alternative to CommissionData if multiple commissions or enhanced attributes are needed.
Indicates that broker is requested to execute a Forex accommodation trade in conjunction with the security trade.
Conditionally required when ForexReq(121) = "Y".
Method for booking out this order. Used when notifying a broker that an order to be settled by that broker is to be booked out as an OTC derivative (e.g. CFD or similar). Absence of this field implies regular booking.
Must be set if EncodedText field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
For use in derivatives omnibus accounting
For use with derivatives, such as options
Specifies how long the order as specified in the side stays in effect. Absence of this field indicates Day order.
Required if NoAllocs(78) > 0.
Only used for specific lot trades.
Only used for specific lot trades. If this field is used, either VersusPurchasePrice(1754) or CurrentCostBasis(1755) should be specified.
Only used for specific lot trades. If this field is used, VersusPurchaseDate(1753) should be specified.
Only used for specific lot trades. If this field is used, VersusPurchaseDate(1753) should be specified
Can be used for granular reporting of separate allocation detail within a single trade report or allocation message.
Required when NoSides(552) > 0.
Used to indicate a side specific alternate clearing price.
Used to indicate the Price Differential between the first and second leg of a complex instrument.
Used to indicate whether the trade is clearing using execution price (LastPx) or alternate clearing price (ClrTrdPx)
Required for executions against electronically submitted orders which were assigned an account by the institution or intermediary.
Insert here the set of "LimitAmts" fields defined in "Common Components"
Used to specify Step-out trades.
Must be set if EncodedComplianceText(2352) field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the ComplianceText(2404) field in the encoded format specified via the MessageEncoding(347) field.
The customer capacity for this trade
Usually the same for all sides of a trade, if reported only on the first side the same TradingSessionID(336) then applies to all sides of the trade.
Usually the same for all sides of a trade, if reported only on the first side the same TradingSessionSubID(625) then applies to all sides of the trade.
Use as an alternative to CommissionData if multiple commissions or enhanced attributes are needed.
For repurchase agreements the accrued interest on termination.
For repurchase agreements the start (dirty) cash consideration.
For repurchase agreements the end (dirty) cash consideration.
Value expressed in the currency reflected by the Currency(15) field.
Can be used for derivatives omnibus accounting.
Can be used by the executing market to record any execution details that are particular to that market.
Must be set if EncodedText field is specified and must immediately precede it.
Can be used to support the scenario where a single leg instrument trades against an individual leg of a multileg instrument.
Used to assign an ID to the block of preallocations.
Conveys settlement account details reported as part of obligation.
Optional when Side (54) = 6 (Sell short exempt)
Order details for the order associated with this side of the trade.
In the context of regulatory trade reporting, this specifies the trading capacity of the reporting party.
Trades for which collateral is required
Required if NoTrades > 0
Required if NoLegs(555) > 0.
Quantity ordered for this leg as provided during order entry.
The LegQty(687) field is deprecated. The use of LegOrderQty(685) is recommended instead.
Instead of LegOrderQty(685) requests that the sellside calculate LegOrderQty(685) based on opposite Leg.
Additional attribute to store the trade or trade report identifier of the leg.
Allow sequencing of legs for a strategy to be captured.
Provide if different from the value specified for the overall multileg security in PositionEffect(77) in the Instrument component.
Provide if different from the value specified for the overall multileg security in CoveredOrUncovered(203) in the Instrument component.
Use of LegRefID(654) in this component is deprecated. Recommend the use of LegID(1788) in the InstrumentLeg component.
Takes precedence over a calculated LegSettlType(587) when specified regardless of LegSettlType(587) value.
Conditionally required when LegSettlType(587) = B(Broken date).
Used to report the execution price assigned to the leg of the multileg instrument.
Indicates the price type provided with each leg of a multi-leg trade
For FX Futures can be used to express the notional value of a trade when LegLastQty(1418) and other quantity fields are expressed in terms of number of contracts - LegContractMultiplier(231) is required in this case.
Available for optional use when LegSide(624) = 6 (Sell short exempt) in InstrumentLeg component.
Quantity executed for this leg.
Leg quantity type to be specified at the leg level. Can be different for each leg.
Specifies the number of repeating TradingSessionIDs
Required if NoTradingSessions is > 0.
Number of legs that make up the Security
Insert here the set of "Underlying Instrument" fields defined in "Common Components of Application Messages"
Required if NoUnderlyings > 0
Required if NoUnderlyings > 0
Number of underlyings
Required if NoUnderlyings(711) > 0.
Number of date ranges provided (must be 1 or 2 if specified)
Used when reporting other than current day trades.
Conditionally required if NoDates > 0
To request trades for a specific time.
The EvntGrp is a repeating subcomponent of the Instrument component used to specify straightforward events associated with the instrument. Examples include put and call dates for bonds and options; first exercise date for options; inventory and delivery dates for commodities; start, end and roll dates for swaps. Use ComplexEvents for more advanced dates such as option, futures, commodities and equity swap observation and pricing events.
The EvntGrp contains three different methods to express a "time" associated with the event using the EventDate(866) and EventTime(1145) pair of fields or the EventTimeUnit(1827) and EventTimePeriod(1826) pair of fields or EventMonthYear(2340).
The EventDate(866), and optional EventTime(1145), may be used to specify an exact date and optional time for the event. The EventTimeUnit(1827) and EventTimePeriod(1826) may be used to express a time period associated with the event, e.g. 3-month, 4-years, 2-weeks. The EventMonthYear(2340), and optional EventTime(1145), may be used to express the event as a month of year, with optional day of month or week of month.
Either EventDate(866) or EventMonthYear(2340), and the optional EventTime(1145), must be specified or EventTimeUnit(1827) and EventTimePeriod(1826) must be specified.
The EventMonthYear(2340) may be used instead of EventDate(866) when month-year, with optional day of month or week of month, is required instead of a date.
Required if NoEvents(864) > 0.
Conditionally required when EventTime(1145) is specified.
Conditionally required when EventTimePeriod(1826) is specified.
Conditionally required when EventTimeUnit(1827) is specified.
Must be set if EncodedEventText(1579) field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the EventText(868) field in the encoded format specified via the MessageEncoding(347) field.
Indicates number of strategy parameters
Name of parameter
Datatype of the parameter.
Value of the parameter
Specifies the number of repeating symbols (instruments) specified
Insert here the set of "Instrument" (symbology) fields defined in "common components of application messages" of the requested Security
Insert here the set of " InstrumentExtension " fields defined in " COMMON COMPONENTS OF APPLICATION MESSAGES "
Insert here the set of " FinancingDetails " fields defined in " COMMON COMPONENTS OF APPLICATION MESSAGES "
Insert here the set of " SpreadOrBenchmarkCurveData " fields defined in " COMMON COMPONENTS OF APPLICATION MESSAGES "
Insert here the set of " YieldData " fields defined in " COMMON COMPONENTS OF APPLICATION MESSAGES "
Comment, instructions, or other identifying information.
Must be set if EncodedText field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
Number of legs that make up the Security
Insert here the set of "Instrument Legs" (leg symbology) fields defined in "common components of application messages" Required if NoLegs > 0
Insert here the set of "LegStipulations" (leg symbology) fields defined in "common components of application messages" Required if NoLegs > 0
Insert here the set of "LegBenchmarkCurveData" (leg symbology) fields defined in "common components of application messages" Required if NoLegs > 0
The UnderlyingAmount component block is used to supply the underlying amounts, dates, settlement status and method for derivative positions.
Amount to pay in order to receive the underlying instrument.
Amount to collect in order to deliver the underlying instrument.
Date the underlying instrument will settle. Used for derivatives that deliver into more than one underlying instrument. Settlement dates can vary across underlying instruments.
Settlement status of the underlying instrument. Used for derivatives that deliver into more than one underlying instrument. Settlement can be delayed for an underlying instrument.
The ExpirationQty component block identified the expiration quantities and type of expiration.
Required if NoExpiration > 1
The use of this component block is restricted to instrument definition only and is not permitted to contain transactional information. Only a specified subset of party roles will be supported within the InstrumentParty block.
Repeating group below should contain unique combinations of InstrumentPartyID(1019), InstrumentPartyIDSource(1050) and InstrumentPartyRole(1051).
Required if NoInstrumentParties(1018) > 0.
Identification of the party.
Required if NoInstrumentParties(1018) > 0.
Used to identify classification source.
Required if NoInstrumentParties(1018) > 0.
Identifies the type of InstrumentPartyID(1019).
Repeating group of party sub-identifiers.
The SideTrdRegTS component block is used to convey trading or regulatory timestamps associated with one side of a multi-sided trade event.
Required when NoSides(552) > 0.
Insert here the set of "LimitAmts" field defined in "Common Components"
Must be set if EncodedComplianceText(2352) field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the ComplianceText(2404) field in the encoded format specified via the MessageEncoding(347) field.
Use as an alternative to CommissionData if multiple commissions or enhanced attributes are needed.
Conveys settlement account details reported as part of obligation.
Details of the order associated with this side of the trade.
The use of this component block is restricted to instrument definition only and is not permitted to contain transactional information. Only a specified subset of party roles will be supported within the InstrumentParty block.
Repeating group below should contain unique combinations of UnderlyingInstrumentPartyID(1059), UnderlyingInstrumentPartyIDSource(1060) and UnderlyingInstrumentPartyRole(1061).
Used to identify the source of PartyID. Required if UnderlyingInstrumentPartyIDSource(1060) is specified. Required if NoUndlyInstrumentParties(1058) > 0.
Used to identify class source of UnderlyingInstrumentPartyID(1059) value (e.g. BIC). Required if UnderlyingInstrumentPartyID(1059) is specified. Required if NoUndlyInstrumentParties(1058) > 0.
Identifies the type of UnderlyingInstrumentPartyID(1059) (e.g. Executing Broker). Required if NoUndlyInstrumentParties(1058) > 0.
Repeating group of party sub-identifiers.
The DisplayInstruction component block is used to convey instructions on how a reserved order is to be handled in terms of when and how much of the order quantity is to be displayed to the market.
Only to be used in the ExecutionReport
Required when DisplayMethod = 3
Required when DisplayMethod = 3
Can be used to specify larger increments than the standard increment provided by the market. Optionally used when DisplayMethod = 3
Required when DisplayMethod = 2
The TriggeringInstruction component block specifies the conditions under which an order will be triggered by related market events as well as the behavior of the order in the market once it is triggered.
Required if any other Triggering tags are specified.
Conditionally required when TriggerAction(1101)=3 (Cancel).
Only relevant and required for TriggerAction = 1
Only relevant and required for TriggerAction = 1
Requires TriggerSecurityIDSource if specified. Only relevant and required for TriggerAction = 1
Requires TriggerSecurityIDSource if specified. Only relevant and required for TriggerAction = 1
Only relevant for TriggerAction = 1
Only relevant for TriggerAction = 1
Only relevant for TriggerAction = 1
Should be specified if the order changes Price.
Should be specified if the order changes type.
Required if the order should change quantity
Only relevant and required for TriggerType = 2.
Requires TriggerTradingSessionID if specified. Relevant for TriggerType = 2 only.
The RootParties component block is a version of the Parties component block used to provide root information regarding the owning and entering parties of a transaction.
Repeating group below should contain unique combinations of RootPartyID, RootPartyIDSource, and RootPartyRole
Used to identify source of RootPartyID. Required if RootPartyIDSource is specified. Required if NoRootPartyIDs > 0.
Used to identify class source of RootPartyID value (e.g. BIC). Required if RootPartyID is specified. Required if NoRootPartyIDs > 0.
Identifies the type of RootPartyID (e.g. Executing Broker). Required if NoRootPartyIDs > 0.
Repeating group of RootParty sub-identifiers.
Repeating group of RootParty sub-identifiers.
Sub-identifier (e.g. Clearing Acct for PartyID=Clearing Firm) if applicable. Required if
NoRootPartySubIDs > 0.
Type of Sub-identifier. Required if NoRootPartySubIDs > 0.
Identifier for Trading Session
Market for which Trading Session applies
Market Segment for which Trading Session applies
Method of Trading
Trading Session Mode
"Y" if message is sent unsolicited as a result of a previous subscription request.
State of trading session.
Used with TradSesStatus = "Request Rejected"
Starting time of trading session
Time of the opening of the trading session
Time of pre-close of trading session
Closing time of trading session
End time of trading session
Insert here the set of "TradingSessionRules" fields defined in "common components of application messages"
Must be set if EncodedText field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
Specifies the number of repeating RefMsgTypes specified
Specifies a specific, supported MsgType. Required if NoMsgTypes is > 0. Should be specified from the point of view of the sender of the Logon message
Indicates direction (send vs. receive) of a supported MsgType. Required if NoMsgTypes is > 0. Should be specified from the point of view of the sender of the Logon message
Specifies the service pack release being applied to an application message.
Specified the extension pack being applied to a message.
Specifies a custom extension to a message being applied at the session level.
Indicates that this Application Version (RefApplVerID(1130), RefApplExtID(1406),RefCstmApplVerID(1131)) is the default for the RefMsgType(372) field.
Ths SecurityTradingRules component block is used as part of security definition to specify the specific security's standard trading parameters such as trading session eligibility and other attributes of the security.
This block contains the base trading rules
This block contains the trading rules specific to a trading session
Number of settlement parties
Indicates the Source of the Settlement Instructions
Carries settlement account information
Number of Settlement Obligations
Unique ID for this settlement instruction
New, Replace, Cancel, or Restate
Required where SettlObligTransType(1162) is Cancel or Replace. The SettlObligID(1161) of the settlement obligation being canceled or replaced.
Net flow of currency 1
Net flow of currency 2
Currency 1 in the stated currency pair, the dealt currency
Currency 2 in the stated currency pair, the contra currency
Derived rate of Ccy2 per Ccy1 based on netting
Value Date
Used to express the instrument in which settlement is taking place
Effective (start) date/time for this settlement instruction
Termination date/time for this settlement instruction.
Date/time this settlement instruction was last updated (or created if not updated since creation).
Conveys settlement account details reported as part of obligation
Number of entries following. Conditionally required when MDUpdateAction = New(0) and MDEntryType = Bid(0) or Offer(1).
Defines the type of secondary size specified in MDSecSize(1179). Must be first field in this repeating group
Number of statistics indicators
Indicates that the MD Entry is eligible for inclusion in the type of statistic specified by the StatsType. Must be provided if NoStatsIndicators greater than 0.
The SecurityXML component is used to provide a definition in an XML format for the instrument.
See "Specifying an FpML product specification from within the FIX Instrument Block" in Volume 1 of the FIX Specification for more information on using this component block with FpML as a guideline.
Must be provided if SecurityXML(1185) field is specified and must immediately precede it.
The TickRules component specifies the rules for determining how a security ticks, i.e. the price increments which it can be quoted, traded, and for certain cases settled, depending on the current price of the security.
Required if NoTickRules(1205) > 0.
Can be used to limit tick rule to specific product suite.
Number of strike rule entries. This block specifies the rules for determining how new strikes should be listed within the stated price range of the underlying instrument
Allows strike rule to be referenced via an identifier so that rules do not need to be explicitly enumerated
Starting price for the range to which the StrikeIncrement applies. Price refers to the price of the underlying
Ending price of the range to which the StrikeIncrement applies. Price refers to the price of the underlying
Value by which strike price should be incremented within the specified price
Enumeration that represents the exercise style for a class of options
Same values as ExerciseStyle
Describes the maturity rules for a given set of strikes as defined by StrikeRules
Number of maturity rule entries. This block specifies the rules for determining how new strikes should be listed within the stated price range of the underlying instrument
Allows maturity rule to be referenced via an identifier so that rules do not need to be explicitly enumerated
Format used to generate the MMY for each option contract:
enumeration specifying the increment unit:
Starting maturity for the range to which the StrikeIncrement applies. Price refers to the price of the underlying
Ending maturity monthy year to which the StrikeIncrement applies. Price refers to the price of the underlying
Value by which maturity month year should be incremented within the specified price range.
Describes the how the price limits are expressed
Allowable low limit price for the trading day. A key parameter in validating order price. Used as the lower band for validating order prices. Orders submitted with prices below the lower limit will be rejected
Allowable high limit price for the trading day. A key parameter in validating order price. Used as the upper band for validating order prices. Orders submitted with prices above the upper limit will be rejected
Reference price for the current trading price range usually representing the mid price between the HighLimitPrice and LowLimitPrice. The value may be the settlement price or closing price of the prior trading day.
The MarketDataFeedTypes component is used to specify the different available feed types and sub-types, and additional market data feed related attributes, such as the market depth of the specified feed type.
Required if NoMDFeedTypes(1141) > 0.
Specifies the depth of book (or levels of market depth) for the feed type.
Conditionally required when MarketDepthTimeIntervalUnit(2564) is specified.
Conditionally required when MarketDataTimeInterval(2563) is specified.
Conditionally required when MDRecoveryTimeIntervalUnit(2566) is specified.
Conditionally required when MDRecoveryTimeInterval(2565) is specified.
Number of Lot Types
Defines the lot type assigned to the order. Use as an alternate to RoundLot(561). To be used with MinLotSize(1231). LotType + MinLotSize ( max is next level minus 1)
Minimum lot size allowed based on lot type specified in LotType(1093)
The MatchRules component is used to specify the details of order matching rules for specified product group or complex.
Required if NoMatchRules(1235) > 0.
Can be used to limit match rule to specific product suite.
Can be used to give customer orders priority for the given matching algorithm.
Number of execution instructions
Indicates execution instructions that are valid for the specified market segment
Number of time in force techniques
Indicates time in force techniques that are valid for the specified market segment
Number of order types
Indicates order types that are valid for the specified market segment.
Specifies the order types that are valid for trading. The scope of the rule is determined by the context in which the component is used. In this case, the scope is trading session.
specifies the time in force rules that are valid for trading. The scope of the rule is determined by the context in which the component is used. In this case, the scope is trading session
specifies the execution instructions that are valid for trading. The scope of the rule is determined by the context in which the component is used. In this case, the scope is trading session
specifies the matching rules that are valid for trading. The scope of the rule is determined by the context in which the component is used. In this case, the scope is trading session
specifies the market data feed types that are valid for trading. The scope of the rule is determined by the context in which the component is used. In this case, the scope is trading session
Allows trading rules to be expressed by trading session
Identifier for the trading session
Must be provided if NoTradingSessions > 0
Set to [N/A] if values are not specific to trading session
Identifier for the trading session
Set to [N/A] if values are not specific to trading session sub id
Contains trading rules specified at the trading session level
Trading rules that are applicable to a market, market segment or individual security independent of a trading session.
Specifies price tick rules for the security.
Specifies the lot types that are valid for trading.
Specifies the price limits that are valid for trading.
Specifies the valid price range tables for trading.
Specifies the valid quote sizes for trading.
For listed derivatives this indicates the minimum quantity necessary for an order or trade to qualify as a block trade.
Used for multileg security only.
Used for multileg security only.
Defines the default price type used for trading.
Can be used as a factor to be applied to other base trading rules during a fast market, e.g. to widen price or size ranges by the specified percentage factor.
Number of Market Segments on which a security may trade.
Identifies the market which lists and trades the instrument.
Identifies the segment of the market to which the specify trading rules and listing rules apply.
This block specifies the rules for determining how new strikes should be listed within the stated price range of the underlying instrument.
Should contain unique combinations of DerivativeInstrumentPartyID, DerivativeInstrumentPartyIDSource, and DerivativeInstrumentPartyRole
Used to identify party id related to instrument series
Used to identify source of instrument series party id
Used to identify the role of instrument series party id
Code to represent the type of instrument attribute
Attribute value appropriate to the NestedInstrAttribType field
Common, "human understood" representation of the security. SecurityID value can be specified if no symbol exists (e.g. non-exchange traded Collective Investment Vehicles)
Use "[N/A]" for products which do not have a symbol.
Used in Fixed Income with a value of "WI" to indicate "When Issued" for a security to be reissued under an old CUSIP or ISIN or with a value of "CD" to indicate a EUCP with lump-sum interest rather than discount price.
Takes precedence in identifying security to counterparty over SecurityAltID block. Requires SecurityIDSource if specified.
Required if SecurityID is specified.
Indicates the type of product the security is associated with (high-level category)
Identifies an entire suite of products for a given market. In Futures this may be "interest rates", "agricultural", "equity indexes", etc
Used to indicate if a product or group of product supports the creation of flexible securities
An exchange specific name assigned to a group of related securities which may be concurrently affected by market events and actions.
Indicates the type of security using ISO 10962 standard, Classification of Financial Instruments (CFI code) values. It is recommended that CFICode be used instead of SecurityType for non-Fixed Income instruments.
It is recommended that CFICode be used instead of SecurityType for non-Fixed Income instruments.
Required for Fixed Income. Refer to Volume 7 - Fixed Income
Futures and Options should be specified using the CFICode[461] field instead of SecurityType[167] (Refer to Volume 7 - Recommendations and Guidelines for Futures and Options Markets.)
Sub-type qualification/identification of the SecurityType (e.g. for SecurityType=MLEG). If specified, SecurityType is required.
Specifies the month and year of maturity. Applicable for standardized derivatives which are typically only referenced by month and year (e.g. S and P futures). Note MaturityDate (a full date) can also be specified.
Specifies date of maturity (a full date). Note that standardized derivatives which are typically only referenced by month and year (e.g. S and P futures).may use MaturityMonthYear and or this field.
When using MaturityMonthYear, it is recommended that markets and sell sides report the MaturityDate on all outbound messages as a means of data enrichment.
Indicator to determine if Instrument is Settle on Open.
Gives the current state of the instrument
Date instrument was issued. For Fixed Income IOIs for new issues, specifies the issue date.
The location at which records of ownership are maintained for this instrument, and at which ownership changes must be recorded. Can be used in conjunction with ISIN to address ISIN uniqueness issues.
ISO Country code of instrument issue (e.g. the country portion typically used in ISIN). Can be used in conjunction with non-ISIN SecurityID (e.g. CUSIP for Municipal Bonds without ISIN) to provide uniqueness.
A two-character state or province abbreviation.
The three-character IATA code for a locale (e.g. airport code for Municipal Bonds).
Used for derivatives, such as options and covered warrants
Used for derivatives
Used for derivatives. Multiplier applied to the strike price for the purpose of calculating the settlement value.
Used for derivatives. The number of shares/units for the financial instrument involved in the option trade.
Used for derivatives, such as options and covered warrants to indicate a versioning of the contract when required due to corporate actions to the underlying. Should not be used to indicate type of option - use the CFICode[461] for this purpose.
For Fixed Income, Convertible Bonds, Derivatives, etc. Note: If used, quantities should be expressed in the "nominal" (e.g. contracts vs. shares) amount.
Minimum price increment for the instrument. Could also be used to represent tick value.
Minimum price increment amount associated with the MinPriceIncrement [969]. For listed derivatives, the value can be calculated by multiplying MinPriceIncrement by ContractValueFactor [231]
Settlement method for a contract. Can be used as an alternative to CFI Code value
Method for price quotation
For futures, indicates type of valuation method applied
Indicates whether strikes are pre-listed only or can also be defined via user request
Used to express the ceiling price of a capped call
Used to express the floor price of a capped put
Type of exercise of a derivatives security
Cash amount indicating the pay out associated with an option. For binary options this is a fixed amount
Used to indicate a time unit for the contract (e.g., days, weeks, months, etc.)
Can be used to identify the security.
Position Limit for the instrument.
Near-term Position Limit for the instrument.
Must be set if EncodedIssuer field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the Issuer field in the encoded format specified via the MessageEncoding field.
Must be set if EncodedSecurityDesc field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the SecurityDesc field in the encoded format specified via the MessageEncoding field.
Embedded XML document describing security.
Must be present for MBS or TBA
Indicates type of event describing security
Specific time of event. To be used in combination with EventDate [1288]
Optional block which can be used to to summarize common attributes shared across a set of option instruments which belong to the same series.
Additional attribution for the instrument series
Security trading and listing attributes for the series level
Used to specify forms of product classifications
If provided, then Instrument occurrence has explicitly changed
Secondary price limit rules
Comment, instructions, or other identifying information.
Must be set if EncodedText field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
Must be set if SecurityXML field is specified andd must immediately precede it.
XML Data Stream describing the Security.
XML Schema used to validate the XML used to describe the Security.
Number of legs for the underlying instrument
Number of usernames
Recipient of the notification
Required if NoNotAffectedOrders(1370) > 0 and must be the first repeating field in the group. Indicates the client order identifier of an order not affected by the request. If order(s) were manually delivered (or otherwise not delivered over FIX and not assigned a ClOrdID(11)) this field should contain string "MANUAL".
Contains the OrderID(37) assigned by the counterparty of an unaffected order. Not required as part of the repeating group if NotAffOrigClOrdID(1372) has a value other than "MANUAL".
Contains the SecondaryOrderID(198) assigned by the counterparty of an unaffected order. Not required as part of the repeating group.
Specifies the number of partial fills included in this Execution Report
Unique identifier of execution as assigned by sell-side (broker, exchange, ECN). Must not overlap ExecID(17). Required if NoFills > 0
Price of this partial fill. Conditionally required if NoFills > 0. Refer to LastPx(31).
Quantity (e.g. shares) bought/sold on this partial fill. Required if NoFills > 0.
Contraparty information
Number of trade publication indicators following
The ApplicationSequenceControl is used for application sequencing and recovery. Consisting of ApplSeqNum (1181), ApplID (1180), ApplLastSeqNum (1350), and ApplResendFlag (1352), FIX application messages that carries this component block will be able to use application level sequencing. ApplID, ApplSeqNum and ApplLastSeqNum fields identify the application id, application sequence number and the previous application sequence number (in case of intentional gaps) on each application message that carries this block.
Identifies the application with which a message is associated. Used only if application sequencing is in effect.
Application sequence number assigned to the message by the application generating the message. Used only if application sequencing is in effect. Conditionally required if ApplID has been specified.
The previous sequence number in the application sequence stream. Permits an application to publish messages with sequence gaps where it cannot be avoided. Used only if application sequencing is in effect. Conditionally required if ApplID has been specified
Used to indicate that a message is being sent in response to an Application Message Request. Used only if application sequencing is in effect. It is possible for both ApplResendFlag and PossDupFlag to be set on the same message if the Sender's cache size is greater than zero and the message is being resent due to a session level resend request.
Specifies number of application id occurrences
Message sequence number of first message in range to be resent
Message sequence number of last message in range to be resent. If request is for a single message ApplBeginSeqNo = ApplEndSeqNo. If request is for all messages subsequent to a particular message, ApplEndSeqNo = "0" (representing infinity).
Number of applications
Number of applications
The NestedParties4 component block is identical to the Parties Block. It is used in other component blocks and repeating groups when nesting will take place resulting in multiple occurrences of the Parties block within a single FIX message. Use of NestedParties4 under these conditions avoids multiple references to the Parties block within the same message which is not allowed in FIX tag/value syntax.
Repeating group below should contain unique combinations of Nested4PartyID, Nested4PartyIDSource, and Nested4PartyRole.
Used to identify source of Nested4PartyID. Required if Nested4PartyIDSource is specified. Required if NoNested4PartyIDs > 0.
Used to identify class source of Nested4PartyID value (e.g. BIC). Required if Nested4PartyID is specified. Required if NoNested4PartyIDs > 0.
Identifies the type of Nested4PartyID (e.g. Executing Broker). Required if NoNested4PartyIDs > 0.
In the case of quotes can be mapped to QuoteMsgID(1166) of a single Quote(MsgType=S) or QuoteID(117) of a MassQuote(MsgType=i).
In the case of quotes can be mapped to QuoteID(117) of a single Quote(MsgType=S) or QuoteEntryID(299) of a MassQuote(MsgType=i).
Some hosts assign an order a new order id under special circumstances. The RefOrdID field will connect the same underlying order across changing OrderIDs.
The reason for updating the RefOrdID
Order type from the order associated with the trade
Order price at time of trade
Stop/Limit order price
Execution Instruction from the order associated with the trade
Status of order as of this trade report
Order quantity at time of trade
The order expiration date/time in UTC
The (minimum or suggested) period of time a quoted price is to be tradable before it becomes indicative. (i.e. quoted price becomes off-the-wire).
Required if NoRateSource(1445) > 0
Required if NoRateSources(1445) > 0
Conditionally required when RateSource(1446) = 99 (Other).
Repeating group below should contain unique combinations of TargetPartyID, TargetPartyIDSource, and TargetPartyRole.
Required if NoTargetPartyIDs(1461) > 0.
Used to identify the party targeted for the action specified in the message.
Used to identify source of target party identifier.
Used to identify the role of source party identifier.
Used to further qualify the role of the target party role.
Repeating group of target party sub-identifiers.
Number of news item references
Required if NoNewsRefIDs(2144) > 0.
News item being referenced.
Type of reference.
The ComplexEvent Group is a repeating block which allows specifying an unlimited number and types of advanced events, such as observation and pricing over the lifetime of an option, futures, commodities or equity swap contract. Use EvntGrp to specify more straightforward events.
Required if NoComplexEvents(1483) > 0.
Conditionally required when there are more than one ComplexEvents occurrences. A chain of ComplexEvents must be linked together through use of the ComplexEventCondition(1490) in which the relationship between any two events is described. For any two ComplexEvents the first occurrence will specify the ComplexEventCondition(1490) which links it with the second event.
The ComplexEventDate and ComplexEventTime components are used to constrain a complex event to a specific date range or time range. If specified the event is only effective on or within the specified dates and times.
Required if NoComplexEventDates(1491) > 0.
Required if NoComplexEventDates(1491) > 0.
The ComplexEventTime component is nested within the ComplexEventDate in order to further qualify any dates placed on the event and is used to specify time ranges for which a complex event is effective. It is always provided within the context of start and end dates. The time range is assumed to be in effect for the entirety of the date or date range specified.
Required if NoComplexEventTimes(1494) > 0.
Required if NoComplexEventTimes(1494) > 0.
Stream Assignment Requests.
Stream Assignment Reports.
Required if NoMatchInst > 0.
Required if NoMatchInst > 0.
Required if NoMatchInst > 0.
Number of limit amount occurences.
Required when NoLimitAmts > 0
Either LastLimitAmt(1632) or LimitAmtRemaining(1633) or LimitUtilizationAmt(2394) must be specified when NoLimitAmts > 0.
Either LastLimitAmt(1632) or LimitAmtRemaining(1633) or LimitUtilizationAmt(2394) must be specified when NoLimitAmts > 0.
Either LastLimitAmt(1632) or LimitAmtRemaining(1633) or LimitUtilizationAmt(2394) must be specified when NoLimitAmts > 0.
Number of qualifier entries
Number of margin amount entries
Total margin requirement if not provided
Can be used to specify the base settlement currency if Currency(15) is not specified.
The RelatedInstrumentGrp is a repeating component at the same hierarchical level as the Instrument component, describing relationships and linkages between the Instrument, UnderlyingInstrument and InstrumentLeg entries. If all instances of the UnderlyingInstrument in the message are true underliers of the Instrument then the RelatedInstrumentGrp component is not needed. If any instance of the UnderlyingInstrument has a different relationship, e.g. underlier of an InstrumentLeg, stream, equity equivalent or nearest exchange-traded contract or there are multiple instances of InstrumentLeg, then an entry for every relationship should be included in this component. When the RelatedInstrumentGrp appears within a repeating group, each entry only apply to the Instrument component at the same hierarchical level.
In messages, such as Email(35=C) and News(35=B), where Instrument and the InstrumentLeg are within their repeating groups, the RelatedInstrumentGrp component may be used to link legs and underliers to their appropriate base Instrument.
For simple relationships such as identifying a "hedges for" security the entry simply defines the symbol or identifier of an externally known security. For relationships within strategies and swaps the entry refers up through one of the "related to" fields to the Instrument, InstrumentLeg, UnderlyingInstrument, stream or dividend period with which the related security has correlation. It then points down through RelatedSecurityID(1650) or RelatedSymbol(1649) to an UnderlyingInstrument instance in the current message defining the related security. The nature of the relationship is given in RelatedInstrumentType(1648).
Conditionally required when NoRelatedInstruments > 0
Either RelatedSymbol(1649) or RelatedSecurityID(1650) must be specified.
For RelatedInstrumentType(1648)=1 ("hedges for" instrument) this would be the instrument being used to offset the option Instrument.
If one of the "related to" fields is specified, this is the UnderlyingSymbol(311) of an underlying instrument defining the related security in the current message.
Either RelatedSymbol(1649) or RelatedSecurityID(1650) must be specified.
If one of the "related to" fields is specified, this is the UnderlyingSecurityID(309) of an underlying instrument defining the related security in the current message.
Conditionally required when RelatedSecurityID(1650) is specified.
May be omitted if RelatedSecurityID(1650) or RelatedSymbol(1649) refers to an underlying instrument in the current message.
May be omitted if RelatedSecurityID(1650) or RelatedSymbol(1649) refers to an underlying instrument in the current message.
Mutually exclusive with RelatedToStreamXIDRef(2415) and RelatedToDividendPeriodXIDRef(2417). If correlation is with the security in Instrument component then all "related to" fields may be omitted.
Conditionally required when RelatedToSecurityID(2413) is specified.
Mutually exclusive with RelatedToSecurityID(2413) and RelatedToDividendPeriodXIDRef(2417). If correlation is with the security in Instrument component then all "related to" fields may be omitted.
Mutually exclusive with RelatedToSecurityID(2413) and RelatedToStreamXIDRef(2415). If correlation is with the security in Instrument component then all "related to" fields may be omitted.
Used to specify one or more PartyRoles as part of a request.
Identifies the type of party role requested. Required if NoRequestedPartyRoles > 0.
Repeating group of party relationships.
Identifies the type of party relationship requested. Required if NoPartyRelationships > 0.
Contains details for a party, including related parties and alternative party identifiers.
The identification of the party. Required when NoPartyDetails(1671) > 0.
Used to identify source of PartyID value (e.g. BIC). Required when NoPartyDetails(1671) > 0.
Identifies the type of PartyID (e.g. Executing Broker). Required when NoPartyDetails(1671) > 0.
Optionally used to specify alternate IDs to identify the party specified.
May not be specified in PartyDetailsListUpdateReport(35=CK) if ListUpdateAction(1324) = D(Delete)
Alternative identifiers for a party.
Required when NoPartyDetailAltID > 0.
Required when NoPartyDetailAltID > 0.
Alternate sub-identifiers for a party.
Required when NoPartyDetailAltSubIDs > 0.
Required when NoPartyDetailAltSubIDs > 0.
Repeating group of risk limit types and values.
Required if NoRiskLimitTypes(1529) > 0.
Not applicable in a request.
Not applicable in a request.
Conditionally required when RiskLimitType(1530) = 10 (Clip size)
Used to specify the instrument
Can be used to specify FX tenors.
Alternative SecurityIDs for an instrument specified in the InstrumentScope.
Required when NoInstrumentScopeSecurityAltID > 0.
Required when NoInstrumentScopeSecurityAltID > 0.
Risk warning levels.
Required if NoRiskWarningLevels(1559) > 0.
Conditionally required when RiskWarningLevelAmount(1768) is not provided.
Conditionally required when RiskWarningLevelPercent(1560) is not provided.
Party details for parties related to the Party specified in the PartyDetailGrp.
Required if NoRelatedPartyDetails > 0.
Required if NoRelatedPartyDetails > 0.
Required if NoRelatedPartyDetails > 0.
PartySubGrp for related parties.
Required when NoRelatedPartyDetailSubIDs > 0.
Required when NoRelatedPartyDetailSubIDs > 0.
Alternative identifiers for parties related to the party specified in the PartyDetailGrp.
Required when NoRelatedPartyDetailAltID > 0.
Required when NoRelatedPartyDetailAltID > 0.
Sub identifiers for related parties alternate identifiers.
Required when NoRelatedPartyDetailAltSubIDs > 0.
Required when NoRelatedPartyDetailAltSubIDs > 0.
Repeating group of InstrumentScope Components. Used to specify the instruments to which a request applies.
Required when NoInstrumentScopes > 0.
Repeating group of InstrumentScope Components. Used to specify the instruments to which a request applies.
Required when NoRiskInstrumentScopes > 0.
Identifies the party making the request.
Required when NoRequestingPartyIDs > 0.
Required when NoRequestingPartyIDs > 0.
Required when NoRequestingPartyIDs > 0.
Sub identifiers for the requesting party.
Required when NoRequestingPartySubIDs > 0.
Required when NoRequestingPartySubIDs > 0.
Party details component that includes an update action.
Required if NoPartyUpdates > 0.
List of risk limit types being requested.
Required if NoRequestedRiskLimitType > 0.
Repeating group of parties (specified using PartyDetails) and the risk limits for the party.
Required if NoPartyRiskLimits(1677) > 0.
Required if NoPartyRiskLimits(1677) > 0. Omit to implicitly report removal of risk limits.
Repeating group of risk limits.
Required if NoRiskLimits(1669) > 0.
Additional party sub-identifiers
Required when NoPartyDetailSubIDs > 0.
Required when NoPartyDetailSubIDs > 0.
Number of exceptions with a trading status different from SecurityMassTradingStatus (1679).
Insert here the set of "Instrument" (symbology) fields defined in "Common Components of Application Messages". Conditionally required if NoRelatedSym > 0.
Insert here the set of "InstrumentExtension" fields defined in "Common Components of Application Messages".
Conditionally required if NoRelatedSym > 0.
Comment, instructions, or other identifying information.
Must be set if EncodedText field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
Number of Position Amount entries
Conditionally required if NoLegPosAmt > 0.
Conditionally required if NoSecurityClassifications > 0.
Indicates number of throttles to follow.
Required when NoThrottles > 0.
Required when NoThrottles > 0.
Number of messages per time interval, or number of outstanding requests. Required when NoThrottles > 0.
Can be used only when ThrottleType = Inbound Rate. Indicates, along with ThrottleTimeUnit, the interval of time in which ThrottleNoMsgs may be sent. Default is 1.
Can be used only when ThrottleType = Inbound Rate. Indicates, along with ThrottleTimeUnit, the interval of time in which ThrottleNoMsgs may be sent. Default is Seconds.
Indicates MsgType values that this throttle counts. If not specified, the definition is implicit based upon bilateral agreement.
Required when NoThrottleMsgType > 0.
The Settlement Amount Group component block is a repeating group of settlement amounts for an account
Required if NoSettlementAmounts > 0.
The Collateral Amount Group component block is a repeating group that provides the current value of the collateral type on deposit. The currency of the collateral value may be optionally included.
Required if NoCollateralAmounts(1703) > 0.
Can be used to specify the currency of CollateralAmount(1704) if Currency(15) is not specified or is not the same.
The Pay Collect Group component block is a repeatable block intended to report individual pay/collect items to be considered when calculating net settlement.
A Pay/Collect is a payment or collection of funds by the clearing house to/from a clearing firm for a specific reason. Pay/Collects are typically netted to a single amount and factored into the firm’s daily net settlement. Values are to be maintained by an external code list. The currency of the pay/collect amount may be optionally included.
Required if NoPayCollects > 0.
Can be used to specify the base settlement currency if Currency(15) is not specified.
This new block is a repeating group based on the existing block <PartyRiskLimitsGrp> with an additional field ListUpdateAction(1324) to support incremental changes of risk limit definitions. The group is part of the definition request as well as part of the update report for risk limits.
Required if NoPartyRiskLimits(1677) > 0.
Conditionally required when ListUpdateAction(1324) = A(Add).
Conditionally required when ListUpdateAction(1324) = M(Modify) or D(Delete) and RiskLimitID(1670) is not provided.
Conditionally required when ListUpdateAction(1324) = A(Add) or M(Modify).
Conditionally required when PartyDetailGrp component is not provided.
This new block is a repeating group based on the existing block <PartyRiskLimitsGrp> with an additional field RiskLimitStatus(1763) to accept (with or without changes) or reject individual risk limits. It is only used in PartyRiskLimitDefinitionRequestAck, the response to the request to define risk limits. An approval with changes requires to send <RiskLimitsGrp> with the complete set of risk limits that have been accepted for the party defined.
Required if NoPartyRiskLimits(1677) > 0.
Required if NoPartyRiskLimits(1677) > 0.
Conditionally required when RiskLimitID(1670) is not provided.
Changes to party or related party(-ies) defined in the request are not permitted.
Conditionally required when RiskLimitStatus(1763) = 1(Accepted with changes) and must then be complete, i.e. omissions compared to the request represent risk limits that were removed, additional risk limits are possible.
Conditionally required when PartyDetailGrp component is not provided.
Must be set if EncodedRejectText(1665) field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the RejectText(1328) field in the encoded format specified via the MessageEncoding(347) field.
Conveys a list of parties (optionally including related parties) and the entitlements for each.
Required if NoPartyEntitlements(1772) > 0.
Required unless omitted to indicate the removal of entitlements for the party(-ies) specified in the PartyDetailGrp component.
Conveys a list of entitlements for one specific party, or relationship between two parties. Each entitlement may be further limited or clarified using optional fields and components.
Required if NoEntitlements(1773) > 0.
Absence of this field indicates the meaning of the entitlement is implicit.
conveys a list of one or more attributes related to an entitlement. An entitlement may contain an EntitlementType, which states what can be done at a gross level, e.g. that a party can make markets. It may be limited further within EntitlementGrp, e.g. that such market making is allowed only for a list of stocks. The EntitlementAttribGrp contains fine details clarifying or limiting the EntitlementType, e.g. that such market making must be conducted with a specific minimum quote size and a specific maximum spread.
Required if NoEntitlementAttrib(1777) > 0.
If specified, and this is an attribute published by FPL in the external code list, this must agree with the published datatype.
Required if NoEntitlementAttrib(1777) > 0.
Conveys a list of markets and, optionally, their market segments. Note that the component MarketSegmentGrp exists, but is not useful for this purpose, as it conveys additional information not appropriate in this context.
Required if NoMarketSegments(1310) > 0.
Convey a list of market segments upon which an action is to be taken.
Required when NoTargetMarketSegments(1789) > 0.
List of market segments that have been affected by a mass action.
Required when NoAffectedMarketSegments(1791) > 0.
List of market segments that were not affected by a mass action.
Required when NoNotAffectedMarketSegments(1793) > 0.
List the different types of events affecting orders. These can include entry, modification and deletion of orders as well as executions (fills). Modifications can be solicited or unsolicited, e.g. triggering of stop orders, replenishment of reserve orders, orders being suspended (locked) or released from suspension.
Required when NoOrderEvents(1795) > 0.
Repeating group of instructions, each of which relates to one or more elements of an order. The instruction itself conveys whether the information should be disclosed, e.g. in market data, or not.
Required when NoDisclosureInstructions(1812) > 0.
Repeating group that is similar to LegOrdGrp component in order to support leg level information per side of cross orders and is part of SideCrossOrdModGrp component. LegOrdGrp component cannot be re-used for this purpose as it contains the component blocks InstrumentLeg component and NestedParties component which are already part of the cross messages. The difference to LegOrdGrp component is that SideCrossLegGrp component does not have an InstrumentLeg component to describe the legs, it only has a single reference field to identify the leg which can be defined by the InstrumentLeg component which is present on a higher level of the message and outside of the side group.
Required if NoCrossLegs(1829) > 0.
Quantity ordered for this leg as provided during order entry.
Provide if different from the value specified for the overall multileg security in ClearingAccountType(1816) in the Instrument component.
Provide if different from the value specified for the overall multileg security in PositionEffect(77) in the Instrument component.
Provide if different from the value specified for the overall multileg security in CoveredOrUncovered(203) in the Instrument component.
Available for optional use when LegSide(624) = 6(Sell short exempt) in InstrumentLeg component.
The TradeAllocAmtGrp component is used to communicate the monetary amounts associated with allocated positions. This is the per-allocation portion of the per-trade amount specified in PositionAmountData component.
Required if NoTradeAllocAmts(1844) > 0.
Required if NoTradeAllocAmts(1844) > 0.
Price conditions associated with a trade that impact trade price.
Required if NoTradePriceConditions(1838) > 0.
Quantities of the trade that have been processed and the type of processing that has occurred for that trade quantity.
Required if NoTradeQty(1841) > 0.
Required if NoTradeQty(1841) > 0.
The TradePositionQty component block specifies, for a single trade side, the various types of position quantity in the position life-cycle including start-of-day, intraday, trade, adjustments, and end-of-day position quantities.
Required if NoPositions > 0.
This component is used to identify trades that are related to each other for a business purpose, such as netting of forwards. This component should not be used in lieu of explicit FIX fields that denote specific semantic relationships, but rather should be used when no such fields exist.
Required if NoRelatedTrades(1855) > 0.
Optionally used for RelatedTradeIDSource(1857)=6(Regulatory trade ID) when RelatedTradeID(1856) is not unique across multiple reporting entities.
Optionally used to help identify the trade when RelatedTradeID(1856) is not unique across multiple days.
Optionally used to help identify the trade when RelatedTradeID(1856) is not unique across multiple markets.
This component is used to identify positions that are related to each other or to other trades. This should not be used in lieu of explicit FIX fields that denote specific semantic relationships, but rather should be used when no such fields exist.
Required if NoRelatedPositions(1861) > 0.
This component can be used by the message submitter to provide a list of value types to be checked by the counterparty or message recipient.
Required if NoValueChecks(1868) > 0.
Required if NoValueChecks(1868) > 0.
The LegSecurityXML component is used to provide a definition in an XML format for the leg instrument.
See "Specifying an FpML product specification from within the FIX Instrument Block" in Volume 1 of the FIX Specification for more information on using this component block with FpML as a guideline.
Must be provided if LegSecurityXML(1872) field is specified and must immediately precede it.
The UnderlyingSecurityXML component is used to provide a definition in an XML format for the underlying instrument.
See "Specifying an FpML product specification from within the FIX Instrument Block" in Volume 1 of the FIX Specification for more information on using this component block with FpML as a guideline.
Must be provided if UnderlyingSecurityXML(1875) field is specified and must immediately precede it.
The PartyDetailAckGrp component is used in the PartyDetailsDefinitionRequestAck(35=CY) message to provide the status of each action (add, modify or delete) requested by the PartyDetailsDefinitionRequest(35=CX) message. The PartyDetailStatus(1880) field is used to indicate the status. In the case where an add or modify request is accepted with changes, the PartyDetailGrp component is required, with the complete set of party details that have been accepted for the party included.
Required if NoPartyUpdates(1676) > 0.
Required if NoPartyUpdates(1676) > 0.
The PartyEntitlementUpdateGrp component is used to supply incremental entitlement definitions changes for the party(-ies) specified in the PartyDetailGrp component. The update action type is specified using ListUpdateAction(1324).
Required if NoPartyEntitlements(1772).
Optional when ListUpdateAction(1324) = M(Modify) or D(Delete) and EntitlementRefID(1885) is provided.
Optional when ListUpdateAction(1324) = M(Modify) or D(Delete) and EntitlementRefID(1885) is provided.
Optional when PartyDetailGrp is provided or ListUpdateAction(1324) = A(Add).
The PartyEntitlementAckGrp component is used in the PartyEntitlementsDefinitionRequestAck(35=DB) message to provide the status of each action (add, modify or delete) requested by the PartyEntitlementsDefinitionRequest(35=DA) message.
The EntitlementStatus(1883) field is used to indicate the status. In the case where an add or modify request is accepted with changes, the EntitlementGrp component is required, with the complete set of entitlements that have been accepted for the party included.
Required if NoPartyEntitlements(1772).
Required if NoPartyEntitlements(1772).
Optional when ListUpdateAction(1324) = M(Modify) or D(Delete) and EntitlementRefID(1885) is provided.
Optional when ListUpdateAction(1324) = M(Modify) or D(Delete) and EntitlementRefID(1885) is provided.
Optional when PartyDetailGrp is provided or ListUpdateAction(1324) = A(Add).
The InstrmtMatchSideGrp component is used to convey all trades for a given match event reported by instrument and trade side.
Each trade match report can contain any number of trades for any number of instruments. This component contains all instruments together with all of the trade sides (possibly more than two) that occurred for each instrument within the same match event.
Required if NoInstrmtMatchSides(1889) > 0.
LegID(1788) in the InstrmtLegGrp component can be used to reference individual leg executions referenced in the TrdInstrmtLegExecGrp component with LegRefID(654).
Total quantity for this instrument in this match event. This is the cumulative sum of LastQty(32) for all match steps for this instrument.
Required if NoInstrmtMatchSides(1889) > 0.
Trade quantity for this instrument within this match step. The value is the greater of the sum of SideLastQty(1009) of each side (i.e. buy or sell) for each TrdMatchSideGrp instance within the current InstrmtMatchSideGrp instance.
Required if NoInstrmtMatchSides(1889) > 0.
Required if NoInstrmtMatchSides(1889) > 0.
The TrdMatchSideGrp component conveys all trade sides for a single instance of the InstrmtMatchSideGrp component.
Required if NoTrdMatchSides(1890) > 0.
Required if NoTrdMatchSides(1890) > 0.
Used to indicate the matched quantity for this trade side as a result of the match event.
Required if NoTrdMatchSides(1890) > 0.
Must be set if EncodedComplianceText(2352) field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the ComplianceText(2404) field in the encoded format specified via the MessageEncoding(347) field.
For use in derivatives omnibus accounting.
Can be used if the match event results in matches across different market segments for this side.
Can be used if the match event results in matches across different venue types for this side.
Can be used to include text included in the order submission.
The TrdInstrmtLegExecGrp component comprises individual executions for legs of the trade side of a trade match report for a specific instrument.
Required if NoLegExecs(1892) > 0.
Can be used to specify the position effect for the leg if it is different from the position effect of the overall multileg security.
Can be used to specify whether the option is a cover, if it is different from the overall multileg security.
The PriceMovementGrp component is a repeatable block intended to contain theoretical profit and loss data at various price movement points account type(s) for which the price movement may apply to.
Required if NoPriceMovements(1919) > 0.
This PriceMovementValueGrp component is a repeatable block that will be utilized to represent a value relative to a specific price movement point.
Required if NoPriceMovementValues(1919) > 0.
The ClearingAccountTypeGrp component is used specify the type of clearing account types.
When used within the PriceMovementGrp, the ClearingAccountTypeGrp specifies the type of account the price movement data is applicable for.
Required if NoClearingAccountTypes(1918) > 0.
The AdditionalTermBondRefGrp is a repeating group subcomponent of the AdditionalTermGrp component used to identify an underlying reference bond for a swap.
Required if NoAdditionalTermBondRefs(40000) > 0.
Conditionally required when AdditionalTermBondSecurityID(40001) is specified.
Must be set if EncodedAdditionalTermBondDesc(40005) field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the AdditionalTermBondDesc(40003) field in the encoded format specified via the MessageEncoding(347) field.
Must be set if EncodedAdditionalTermBondIssuer(40009) field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the AdditionalTermBondIssuer(40007) field in the encoded format specified via the MessageEncoding(347) field.
Conditionally required when AdditionalTermBondCouponFrequencyUnit(40017) is specified.
Conditionally required when AdditionalTermBondCouponFrequencyPeriod(40016) is specified.
The AdditionalTermGrp is a repeating subcomponent of the Instrument component used to report additional contract terms.
Required if NoAdditionalTerms(40019) > 0.
The AllocRegulatoryTradeIDGrp is a repeating component within the TrdAllocGrp component used to report the source, value and relationship of multiple trade identifiers for the same trade allocation instance.
This component can be used to meet regulatory trade reporting requirements where identifiers such as the Unique Swaps Identifier (USI) are required to be reported, showing the chaining of these identifiers as needed.
Required if NoAllocRegulatoryTradeIDs(1908) > 0.
This field may be is used for multi-leg trades sent as a single message to indicate that the entry applies only to a specific leg.
The CashSettlTermGrp is a repeating component within the Instrument component used to report cash settlement terms referenced from UnderlyingInstruments.
Usage of CashSettlTermGrp must either include a known CashSettlAmount(40034) or provide the cash settlement term parameters needed to derive the cash settlement amount.
CashSettlTermXID(40039) is provided for cross-referencing from an instance of the UnderlyingInstrument component through the UnderlyingSettlTermXIDRef(41315) field.
Required if NoCashSettlTerms(40022) > 0.
The FinancingContractualDefinitionGrp is a repeating component within the FinancingDetails component used to report the definitions published by ISDA that define the terms of a derivative trade.
Required if NoContractualDefinitions(40040) > 0.
The FinancingContractualMatrixGrp is a repeating component within the FinancingDetails component used to report the ISDA Physical Settlement Matrix Transaction Type.
Required if NoContractualMatrices(40042) > 0.
The FinancingTermSupplementGrp is a repeating component within the FinancingDetails component used to report contractual terms supplements of derivative trades.
Required if NoFinancingTermSupplements(40046) > 0.
The LegEvntGrp is a repeating subcomponent of the InstrumentLeg component used to specify straightforward events associated with the instrument. Examples include put and call dates for bonds and options; first exercise date for options; inventory and delivery dates for commodities; start, end and roll dates for swaps. Use LegComplexEvents for more advanced dates such as option, futures, commodities and equity swap observation and pricing events.
The LegEvntGrp contains three different methods to express a "time" associated with the event using the LegEventDate(2061) and LegEventTime(2062) pair of fields or the LegEventTimeUnit(2063) and LegEventTimePeriod(2064) pair of fields or LegEventMonthYear(2341).
The LegEventDate(2061), and optional LegEventTime(2062), may be used to express an exact date and optional time for the event. The LegEventTimeUnit(2063) and LegEventTimePeriod(2064) may be used to express a time period associated with the event, e.g. 3-month, 4-years, 2-weeks. The LegEventMonthYear(2341), and optional LegEventTime(2062), may be used to express the event as a month of year, with optional day of month or week of month.
Either LegEventDate(2061) or LegEventMonthYear(2341), and the optional LegEventTime(2062), must be specified or LegEventTimeUnit(2063) and LegEventTimePeriod(2064) must be specified.
The LegEventMonthYear(2341) may be used instead of LegEventDate(2061) when month-year, with optional day of month or week of month, is required instead of a date.
Required if NoLegEvents(2059) > 0.
Conditionally required when LegEventTime(2062) is specified.
Conditionally required when LegEventTimePeriod(2064) is specified.
Conditionally required when LegEventTimeUnit(2063) is specified.
Must be set if EncodedLegEventText(2075) field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the LegEventText(2066) field in the encoded format specified via the MessageEncoding(347) field.
The LegPaymentScheduleGrp is a repeating subcomponent of the LegPaymentStream component used to specify notional and rate steps in the payment stream.
The Fixing Lag Interval (LegPaymentScheduleFixingLagPeriod(41545) and LegPaymentScheduleFixingLagUnit(41546)) and the First Observation Offset Duration (LegPaymentScheduleFixingFirstObservationOffsetPeriod(41547) and LegPaymentScheduleFixingFirstObservationOffsetUnit(41548)) are used together. If the First Observation Offset Duration is specified, the observation starts the Fixing Lag Interval prior to each calculation. If the First Observation Offset Duration is not specified, the observation starts immediately preceeding each calculation.
Required if NoLegPaymentSchedules(40374) > 0.
Conditionally required when LegPaymentScheduleStepFrequencyUnit(40391) is specified.
Conditionally required when LegPaymentScheduleStepFrequencyPeriod(40390) is specified.
When specified, this overrides the business day convention defined in the LegDateAdjustment component in InstrumentLeg. The specified value would be specific to this instance of the leg payment schedule.
When specified, this overrides the business centers defined in the LegDateAdjustment component in InstrumentLeg. The specified values would be specific to this instance of the leg payment schedule.
Conditionally required when LegPaymentScheduleFixingDatesOffsetUnit(40402) is specified.
Conditionally required when LegPaymentScheduleFixingDatesOffsetPeriod(40401) is specified.
Conditionally required when LegPaymentScheduleFixingLagUnit(41546) is specified.
Conditionally required when LegPaymentScheduleFixingLagPeriod(41545) is specified.
Conditionally required when LegPaymentScheduleFixingFirstObservationDateOffsetUnit(41548) is specified.
Conditionally required when LegPaymentScheduleFixingFirstObservationDateOffsetPeriod(41547) is specified.
When specified, this overrides the business day convention defined in the LegDateAdjustment component in InstrumentLeg. The specified value would be specific to this instance of the leg payment schedule.
When specified, this overrides the business centers defined in the LegDateAdjustment component in InstrumentLeg. The specified values would be specific to this instance of the leg payment schedule.
Conditionally required when LegPaymentScheduleInterimExchangeDatesOffsetUnit(40411) is specified.
Conditionally required when LegPaymentScheduleInterimExchangeDatesOffsetPeriod(40410) is specified.
LegPaymentScheduleRateSourceGrp is a repeating component within the LegPaymentScheduleGrp component used to identify primary and secondary rate sources.
Required if NoLegPaymentScheduleRateSources(40414) > 0.
Required if NoLegPaymentScheduleRateSources(40414) > 0.
Conditionally required when LegPaymentScheduleRateSource(40415) = 99 (Other).
The LegPaymentStream component is a subcomponent of the LegStreamGrp used to detail the attributes of a payment stream in a swap.
Mutually exclusive with LegPaymentStreamCompoundingFixedRate(42404) or the LegPaymentStreamCompoundingFloatingRate component.
Mutually exclusive with LegPaymentStreamCompoundingXIDRef(42400) or the LegPaymentStreamCompoundingFloatingRate component.
Mutually exclusive with LegPaymentStreamCompoundingFixedRate(42404) or the LegPaymentStreamCompoundingXIDRef(42400).
LegPaymentStreamFixedRate is a subcomponent of the LegPaymentStream component used to report the fixed rate or fixed payment amount of the payment stream.
Mutually exclusive with LegPaymentStreamFixedAmount(40327).
Mutually exclusive with LegPaymentStreamRate(40326).
LegPaymentStreamFloatingRate is a subcomponent of the LegPaymentStream component used to report the floating rate attributes of the payment stream.
Note that if the floating rate index or the rate calculation goes negative for a calculation period and LegPaymentStreamNegativeRateTreatment(40349)=1 (Negative interest rate method) the Receiver pays the Payer the absolute floating rate, i.e. the Receiver pays the cash flow amount to the Payer.
The Calculation Lag Interval (LegPaymentStreamCalculationLagPeriod(41578) and LegPaymentStreamCalculationLagUnit(41579)) and the First Observation Offset Duration (LegPaymentStreamFirstObservationOffsetPeriod(41580) and LegPaymentStreamFirstObservationOffsetUnit(41581)) are used together. If the First Observation Offset Duration is specified, the observation starts the Fixing Lag Interval prior to each calculation. If the First Observation Offset Duration is not specified, the observation starts immediately preceeding each calculation.
Conditionally required when LegPaymentStreamRateIndexCurvePeriod(40334) is specified.
Conditionally required when LegPaymentStreamRateIndexCurveUnit(40333) is specified.
Conditionally required when LegPaymentStreamRateIndexCurvePeriod2(41564) is specified.
Conditionally required when LegPaymentStreamRateIndexCurveUnit2(41563) is specified.
Conditionally required when LegPaymentStreamCalculationLagUnit(41579) is specified.
Conditionally required when LegPaymentStreamCalculationLagPeriod(41578) is specified.
Conditionally required when LegPaymentStreamFirstObservationOffsetUnit(41581) is specified.
Conditionally required when LegPaymentStreamFirstObservationOffsetPeriod(41580) is specified.
When specified, this overrides the business day convention defined in the LegDateAdjustment component in InstrumentLeg. The specified values would be specific to the payment stream pricing date.
When specified, this overrides the business centers defined in the LegDateAdjustment component in InstrumentLeg. The specified values would be specific to the the payment stream pricing date.
Conditionally required when LegPaymentStreamInflationLagUnit(40351) is specified.
Conditionally required when LegPaymentStreamInflationLagPeriod(40350) is specified.
LegPaymentStreamNonDeliverableFixingDate is a subcomponent of the LegPaymentStreamNonDeliverableSettlTerms component used to specify predetermined fixing dates.
For the purpose of optimization, the LegNonDeliverableFixingDateType(40369) field may optionally be omitted after the first instance provided the instance(s) which immediately follow is of the same date type. When the next instance requires a different date type from the prior instance, the LegNonDeliverableFixingDateType(40369) is required to specify the date type.
Required if NoLegNonDeliverableFixingDates(40367) > 0.
When specified it applies not only to the current date but to all subsequent dates in the group until overridden with a new type.
LegPaymentStreamNonDeliverableSettl is a subcomponent of the LegPaymentStream component used to specify the non-deliverable settlement terms of the payment stream.
When specified, this overrides the business day convention defined in the LegDateAdjustment component in InstrumentLeg. The specified value would be specific to this instance of the non-deliverable currency's fixing date.
When specified, this overrides the business centers defined in the LegDateAdjustment component in InstrumentLeg. The specified values would be specific to this instance of the non-deliverable currency's fixing date.
Conditionally required when LegPaymentStreamNonDeliverableFixingDateOffsetUnit(40364) is specified.
Conditionally required when LegPaymentStreamNonDeliverableFixingDateOffsetPeriod(40363) is specified.
The LegPaymentStreamPaymentDates component is a subcomponent of the LegPaymentStream component used to specify the payment dates of the stream.
For equity return swaps this component is used to specify the interim price payment dates and the LegPaymentStreamFinalPricePaymentDate component is used to specify the final price payment date.
When specified, this overrides the business day convention defined in the LegDateAdjustment component in InstrumentLeg. The specified value would be specific to this instance of the leg payment stream.
When specified, this overrides the business centers defined in the LegDateAdjustment component in InstrumentLeg. The specified values would be specific to this instance of the leg payment stream.
Conditionally required when LegPaymentStreamPaymentFrequencyUnit(40295) is specified.
Conditionally required when LegPaymentStreamFrequencyPeriod(40294) is specified.
When specified, this overrides the date roll convention defined in the LegDateAdjustment component in InstrumentLeg. The specified values would be specific to this instance of the stream payment dates.
Conditionally required when LegPaymentStreamPaymentDateOffsetUnit(40301) is specified.
Conditionally required when LegPaymentStreamPaymentDateOffsetPeriod(40300) is specified.
The LegPaymentStreamResetDates component is a subcomponent of the LegPaymentStream component used to specify the floating rate reset dates of the stream.
When specified, this overrides the business day convention defined in the LegDateAdjustment component in InstrumentLeg. The specified value would be specific to this instance of the leg payment stream reset dates.
When specified, this overrides the business centers defined in the LegDateAdjustment component in InstrumentLeg. The specified values would be specific to this instance of the leg payment stream reset dates.
Conditionally required when LegPaymentStreamResetFrequencyUnit(40307) is specified.
Conditionally required when LegPaymentStreamResetFrequencyPeriod(40306) is specified.
When specified, this overrides the date roll convention defined in the LegDateAdjustment component in InstrumentLeg. The specified values would be specific to this instance of the stream payment dates.
When specified, this overrides the business day convention defined in the LegDateAdjustment component in InstrumentLeg. The specified value would be specific to this instance of the leg payment stream reset dates.
When specified, this overrides the business centers defined in the LegDateAdjustment component in InstrumentLeg. The specified values would be specific to this instance of the leg payment stream reset dates.
Conditionally required when LegPaymentStreamInitialFixingDateOffsetUnit(40313) is specified.
Conditionally required when LegPaymentStreamInitialFixingDateOffsetPeriod(40312) is specified.
When specified, this overrides the business day convention defined in the LegDateAdjustment component in InstrumentLeg. The specified value would be specific to this instance of the leg payment stream reset dates.
When specified, this overrides the business centers defined in the LegDateAdjustment component in InstrumentLeg. The specified values would be specific to this instance of the leg payment stream reset dates.
Conditionally required when LegPaymentStreamFixingDateOffsetUnit(40320) is specified.
Conditionally required when LegPaymentStreamFixingDateOffsetPeriod(40319) is specified.
Conditionally required when LegPaymentStreamRateCutoffDateOffsetUnit(40324) is specified.
Conditionally required when LegPaymentStreamRateCutoffDateOffsetPeriod(40323) is specified.
The LegPaymentStubGrp is a repeating subcomponent of the LegPaymentStream component used to specify front and back stubs in the payment stream.
Required if NoLegPaymentStubs(40418) > 0.
Conditionally required when LegPaymentStubIndexCurveUnit(40427) is specified.
Copnditionally required when LegPaymentStubIndexCurvePeriod(40426) is specified.
Conditionally required when LegPaymentStubIndex2CurveUnit(40441) is specified.
Conditionally required when LegPaymentStubIndex2CurvePeriod(40440) is specified.
The LegProvisionCashSettlPaymentDates component is a sub-component within the LegProvisionGrp component used to report the cash settlement payment dates defined in the provision.
When specified, this overrides the business day convention defined in the LegDateAdjustment component in InstrumentLeg. The specified value would be specific to this instance of the leg provision cash settlement payment dates.
When specified, this overrides the business centers defined in the LegDateAdjustment component in InstrumentLeg. The specified values would be specific to this instance of the leg provision cash settlement payment dates.
Conditionally required when LegProvisionCashSettlPaymentDateOffsetUnit(40520) is specified.
Conditionally required when LegProvisionCashSettlPaymentDateOffsetPeriod(40519) is specified.
The ProvisionCashSettlPaymentFixedDateGrp is a repeating component within the ProvisionCashSettlPaymentDates component used to report fixed cash settlement payment dates defined in the provision.
For the purpose of optimization, the LegProvisionCashSettlPaymentDateType(40475) field may optionally be omitted after the first instance provided the instance(s) which immediately follow is of the same date type. When the next instance requires a different date type from the prior instance, the LegProvisionCashSettlPaymentDateType(40475) is required to specify the date type.
Required if NoLegProvisionCashSettlPaymentDates (40473) > 0.
When specified it applies not only to the current date but to all subsequent dates in the group until overridden with a new type.
The LegProvisionCashSettlValueDates component is a subcomponent within the LegProvisionGrp component used to report the cash settlement value date and time defined in the provision.
When specified, this overrides the business day convention defined in the LegDateAdjustment component in InstrumentLeg. The specified value would be specific to this instance of the leg provision cash settlement value date.
When specified, this overrides the business centers defined in the LegDateAdjustment component in InstrumentLeg. The specified values would be specific to this instance of the leg provision cash settlement value date.
Conditionally required when LegProvisionCashSettlValueDateOffsetUnit(40530) is specified.
Conditionally required when LegProvisionCashSettlValueDateOffsetPeriod(40529) is specified.
The LegProvisionOptionExerciseFixedDateGrp is a repeating component within the LegProvisionOptionExerciseDates component used to report an array of unadjusted or adjusted fixed exercise dates.
For the purpose of optimization, the LegProvisionOptionExerciseFixedDateType(40497) field may optionally be omitted after the first instance provided the instance(s) which immediately follow is of the same date type. When the next instance requires a different date type from the prior instance, the LegProvisionOptionExerciseFixedDateType(40497) is required to specify the date type.
Required if NoLegProvisionOptionExerciseFixedDates(40495) > 0.
When specified it applies not only to the current date but to all subsequent dates in the group until overridden with a new type.
The LegProvisionOptionExerciseDates is a subcomponent within the LegProvisionGrp component used to report the option exercise dates and times defined in the provision.
When specified, this overrides the business day convention defined in the LegDateAdjustment component in InstrumentLeg. The specified value would be specific to this instance of the leg provision option exercise dates.
When specified, this overrides the business centers defined in the LegDateAdjustment component in InstrumentLeg. The specified values would be specific to this instance of the leg provision option exercise dates.
Conditionally required when LegProvisionOptionExerciseEarliestDateUnit(40479) is specified.
Conditionally required when LegProvisionOptionExerciseEarliestDatePeriod(40478) is specified.
Conditionally required when LegProvisionOptionExerciseFrequencyUnit(40481) is specified.
Conditionally required when LegProvisionOptionExerciseFrequencyPeriod(40480) is specified.
Conditionally required when LegProvisionOptionExerciseStartDateOffsetUnit(40485) is specified.
Conditionally required when LegProvisionOptionExerciseStartDateOffsetPeriod(40484) is specified.
The LegProvisionOptionExerciseDate is a subcomponent within the LegProvisionGrp component used to report the option expiration date and times defined in the provision.
When specified, this overrides the business day convention defined in the LegDateAdjustment component in InstrumentLeg. The specified value would be specific to this instance of the leg provision option expiration date.
When specified, this overrides the business centers defined in the LegDateAdjustment component in InstrumentLeg. The specified values would be specific to this instance of the leg provision option expiration date.
Conditionally required when LegProvisionOptionExpirationDateOffsetUnit(40503) is specified.
Conditionally required when LegProvisionOptionExpirationDateOffsetPeriod(40502) is specified.
The LegProvisionOptionRelevantUnderlyingDate is a subcomponent within the LegProvisionGrp component used to report the option relevant underlyingdate defined in the provision.
When specified, this overrides the business day convention defined in the LegDateAdjustment component in InstrumentLeg. The specified value would be specific to this instance of the leg provision option relevant underlying date.
When specified, this overrides the business centers defined in the LegDateAdjustment component in InstrumentLeg. The specified values would be specific to this instance of the leg provision option relevant underlying date.
Conditionally required when LegProvisionOptionRelevantUnderlyingDateOffsetUnit(40513) is specified.
Conditionally required when LegProvisionOptionRelevantUnderlyingDateOffsetPeriod(40512) is specified.
The LegProvisionGrp is a repeating subcomponent of the InstrumentLeg component used to detail the provisions associated with the instrument.
A swap may have one or more provisions.
Required if NoLegProvisions(40448) > 0.
When specified, this overrides the business day convention defined in the LegDateAdjustment component in InstrumentLeg. The specified value would be specific to this instance of the instrument's leg provision.
When specified, this overrides the business centers defined in the LegDateAdjustment component in InstrumentLeg. The specified values would be specific to this instance of the instrument's leg provision.
Conditionally required when LegProvisionDateTenorUnit(40455) is specified.
Conditionally required when LegProvisionDateTenorPeriod(40454) is specified.
Must be set if EncodedLegProvisionText(40981) field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the LegProvisionText(40472) field in the encoded format specified via the MessageEncoding(347) field.
LegProvisionParties is a repeating component within the LegProvision component used to report the parties identified in the contract provision.
The fields LegProvisionPartyID(40534), LegProvisionPartyIDSource(40535) and LegProvisionPartyIDRole(40536) are conditionally required when any one these fields is specified.
Required if NoLegProvisionPartyIDs(40533) > 0.
Required if NoLegProvisionPartyIDs(40533) > 0.
Required if NoLegProvisionPartyIDs(40533) > 0.
LegProvisionSubParties is a repeating component within the LegProvisionParties component used to extend information to be reported for the party.
Required if NoLegProvisionPartySubIDs(40537) > 0.
Required if NoLegProvisionPartySubIDs(40537) > 0.
LegSecondaryAssetGrp is a repeating subcomponent of the InstrumentLeg component used to specify secondary assets of a multi-asset swap.
Required if NoLegSecondaryAssetClasses(2076) > 0.
The LegSettlRateDisruptionsFallbackGrp is a repeating subcomponent of the LegPaymentStreamNonDeliverableSettlTerms component used to specify the method, prioritized by the order it is listed, to get a replacement rate for a disrupted settlement rate option for a non-deliverable settlement currency.
Required if NoLegSettlRateFallbacks(40902) > 0.
LegStreamCalculationPeriodDates is a subcomponent of the LegStreamGrp component used to specify the calculation period dates of the stream.
When specified, this overrides the business day convention defined in the LegDateAdjustment component in InstrumentLeg. The specified value would be specific to this instance of the leg stream calculation period dates.
When specified, this overrides the business centers defined in the LegDateAdjustment component in InstrumentLeg. The specified values would be specific to this instance of the leg stream calculation period dates.
When specified, this overrides the business day convention defined in the LegDateAdjustment component in InstrumentLeg. The specified value would be specific to this instance of the leg stream calculation period dates.
When specified, this overrides the business centers defined in the LegDateAdjustment component in InstrumentLeg. The specified values would be specific to this instance of the leg stream calculation period dates.
Conditionally required when LegStreamCalculationFrequencyUnit(40275) is specified.
Conditionally required when LegStreamCalculationFrequencyPeriod(40274) is specified.
When specified, this overrides the date roll convention defined in the LegDateAdjustment component in InstrumentLeg. The specified values would be specific to this instance of the stream calculation period dates.
Conditionally required when LegStreamCalculationCorrectionUnit(41645) is specified.
Conditionally required when LegStreamCalculationCorrectionPeriod(41644) is specified.
LegStreamEffectivedDate is a subcomponent of the LegStreamGrp component used to specify the effective date of the stream.
When specified, this overrides the business day convention defined in the LegDateAdjustment component in InstrumentLeg. The specified value would be specific to this instance of the leg stream effective date.
When specified, this overrides the business centers defined in the LegDateAdjustment component in InstrumentLeg. The specified values would be specific to this instance of the leg stream stream effective date.
Conditionally required when LegPaymentStreamEffectiveDateOffsetUnit(40254) is specified.
Conditionally required when LegPaymentStreamEffectiveDateOffsetPeriod(40253) is specified.
The LegStreamGrp is a repeating subcomponent of the InstrumentLeg component used to detail the swap streams associated with the instrument.
A swap will ordinarily have one or two streams. Each one may contain a LegStreamDesc(40243) with a descriptive string such as "Float" or "Fixed". However the choice of description should have no effect on the stream's purpose.
LegStreamPaySide(40244) and LegStreamReceiveSide(40245) link the appropriate swap parties to their role in the stream. In pre-trade messages the side value (e.g. Side(54) field) of the request or order should be "1" (Buy) or "2" (Sell), and LegStreamPaySide(40244) and LegStreamReceiveSide(40245) should be set to the same side value indicating the aggressor's desired role. On fills and post-trade messages, the executing firm takes the opposite side and indicates its role by setting LegStreamPaySide(40244) and LegStreamReceiveSide(40245) to the opposite side of the aggressor's role.
Required if NoLegStreams(40241) > 0.
Conditionally required when LegStreamNotionalFrequencyUnit(41704) is specified.
Conditionally required when LegStreamNotionalFrequencyPeriod(41703) is specified.
Must be set if EncodedLegStreamText(40979) field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the LegStreamText(40248) field in the encoded format specified via the MessageEncoding(347) field.
LegStreamTerminationDate is a subcomponent of the LegStreamGrp component used to specify the termination date of the stream.
When specified, this overrides the business day convention defined in the LegDateAdjustment component in InstrumentLeg. The specified value would be specific to this instance of the leg stream termination date.
When specified, this overrides the business centers defined in the LegDateAdjustment component in InstrumentLeg. The specified values would be specific to this instance of the leg stream termination date.
Conditionally required when LegStreamTerminationDateOffsetUnit(40262) is specified.
Conditionally required when LegStreamTerminationDateOffsetPeriod(40261) is specified.
The PaymentGrp is a repeating component used to report additional payments or bullet payments.
Required if NoPayments(40212) > 0.
When specified, this overrides the business day convention defined in the DateAdjustment component in Instrument. The specified value would be specific to this instance of the payment information.
When specified, this overrides the business centers defined in the DateAdjustment component in Instrument. The specified values would be specific to this instance of the payment information.
Conditionally required when PaymentDateOffsetUnit(41158) is specified.
Conditionally required when PaymentDateOffsetPeriod(41157) is specified.
Used to link a payment back to its parent InstrumentLeg by using the same value as the parent’s LegID(1788).
Must be set if EncodedPaymentText(40985) field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the PaymentText(40229) field in the encoded format specified via the MessageEncoding(347) field.
The PaymentScheduleGrp is a repeating subcomponent of the StreamGrp component used to specify notional and rate steps of the payment stream.
The Fixing Lag Interval (PaymentScheduleFixingLagPeriod(41176) and PaymentScheduleFixingLagUnit(41177)) and the First Observation Offset Duration (PaymentScheduleFixingFirstObservationOffsetPeriod(41178) and PaymentScheduleFixingFirstObservationOffsetUnit(41179)) are used together. If the First Observation Offset Duration is specified, the observation starts the Fixing Lag Interval prior to each calculation. If the First Observation Offset Duration is not specified, the observation starts immediately preceeding each calculation.
Required if NoPaymentSchedules(40828) > 0.
Conditionally required when PaymentScheduleStepFrequencyUnit(40845) is specified.
Conditionally required when PaymentScheduleStepFrequencyPeriod(40844) is specified.
When specified, this overrides the business day convention defined in the DateAdjustment component in Instrument. The specified value would be specific to this instance of the payment schedule.
When specified, this overrides the business centers defined in the DateAdjustment component in Instrument. The specified values would be specific to this instance of the payment schedule.
Conditionally required when PaymentScheduleFixingDateOffsetUnit(40856) is specified.
Conditionally required when PaymentScheduleFixingDateOffsetPeriod(40855) is specified.
Conditionally required when PaymentScheduleFixingLagUnit(41177) is specified.
Conditionally required when PaymentScheduleFixingLagPeriod(41176) is specified.
Conditionally required when PaymentScheduleFixingFirstObservationDateOffsetUnit(41179) is specified.
Conditionally required when PaymentScheduleFixingFirstObservationDateOffsetPeriod(41178) is specified.
When specified, this overrides the business day convention defined in the DateAdjustment component in Instrument. The specified value would be specific to this instance of the payment schedule.
When specified, this overrides the business centers defined in the DateAdjustment component in Instrument. The specified values would be specific to this instance of the payment schedule.
Conditionally required when PaymentScheduleInterimExchangeDatesOffsetUnit(40865) is specified.
Conditionally required when PaymentScheduleInterimExchangeDatesOffsetPeriod(40864) is specified.
PaymentScheduleRateSourceGrp is a repeating component within the PaymentScheduleGrp component used to identify primary and secondary rate sources.
Required if NoPaymentScheduleRateSources(40868) > 0.
Required if NoPaymentScheduleRateSources(40868) > 0.
Conditionally required when PaymentScheduleRateSource(40869) = 99 (Other)
The PaymentSettlGrp is a repeating subcomponent of the PaymentGrp component used to report payment settlement as a single or split payment.
Required if NoPaymentSettls(40230) > 0.
PaymentSettlParties is a repeating subcomponent of the PaymentSettlGrp component used to report payment settlement routing.
The fields PaymentSettlPartyID(40233), PaymentSettlPartyIDSource(40234) and PaymentSettlPartyIDRole(40235) are conditionally required when any one these fields is specified.
Required if NoPaymentSettlPartyIDs(40233) > 0.
Required if NoPaymentSettlPartyIDs(40233) > 0.
Required if NoPaymentSettlPartyIDs(40233) > 0.
PaymentSettlSubParties is a repeating component within the PaymentSettlParties component used to extend information to be reported for the party.
Required if NoPaymentSettlPartySubIDs(40238) > 0.
Required if NoPaymentSettlPartySubIDs(40238) > 0.
The PaymentStream component is a subcomponent of the Stream used to detail the attributes of a payment stream in a swap.
Mutually exclusive with PaymentStreamCompoundingFixedRate(42605) or the PaymentStreamCompoundingFloatingRate component.
Mutually exclusive with PaymentStreamCompoundingXIDRef(42601) or the PaymentStreamCompoundingFloatingRate component.
Mutually exclusive with PaymentStreamCompoundingFixedRate(42605) or the PaymentStreamCompoundingXIDRef(42601).
PaymentStreamFixedRate is a subcomponent of the PaymentStream component used to report the fixed rate or fixed payment amount of the stream.
Mutually exclusive with PaymentStreamFixedAmount(40785).
Mutually exclusive with PaymentStreamRate(40784).
PaymentStreamFloatingRate is a subcomponent of the PaymentStream component used to report the floating rate attributes of the stream.
Note that if the floating rate index or the rate calculation goes negative for a calculation period and PaymentStreamNegativeRateTreatment(40807)=1 (Negative interest rate method) the Receiver pays the Payer the absolute floating rate, i.e. the Receiver pays the cash flow amount to the Payer.
The Calculation Lag Interval (PaymentStreamCalculationLagPeriod(41209) and PaymentStreamCalculationLagUnit(41210)) and the First Observation Offset Duration (PaymentStreamFirstObservationOffsetPeriod(41211) and PaymentStreamFirstObservationOffsetUnit(41212)) are used together. If the First Observation Offset Duration is specified, the observation starts the Fixing Lag Interval prior to each calculation. If the First Observation Offset Duration is not specified, the observation starts immediately preceeding each calculation.
Conditionally required when PaymentStreamRateIndexCurvePeriod(40792) is specified.
Conditionally required when PaymentStreamRateIndexCurveUnit(40791) is specified.
Conditionally required when PaymentStreamRateIndexCurveUnit2(41195) is specified.
Conditionally required when PaymentStreamRateIndexCurvePeriod2(41194) is specified.
Conditionally required when PaymentStreamCalculationLagUnit(41210) is specified.
Conditionally required when PaymentStreamCalculationLagPeriod(41209) is specified.
Conditionally required when PaymentStreamFirstObservationOffsetUnit(41212) is specified.
Conditionally required when PaymentStreamFirstObservationOffsetPeriod(41211) is specified.
When specified, this overrides the business day convention defined in the DateAdjustment component in Instrument. The specified value would be specific to this instance of pricing dates.
When specified, this overrides the business centers defined in the DateAdjustment component in Instrument. The specified values would be specific to this instance of pricing dates.
Conditionally required when PaymentStreamInflationLagUnit(40809) is specified.
Conditionally required when PaymentStreamInflationLagPeriod(40808) is specified.
PaymentStreamNonDeliverableFixingDate is a subcomponent of the PaymentStreamNonDeliverableSettlTerms component used to specify predetermined fixing dates.
For the purpose of optimization, the NonDeliverableFixingDateType(40827) field may optionally be omitted after the first instance provided the instance(s) which immediately follow is of the same date type. When the next instance requires a different date type from the prior instance, the NonDeliverableFixingDateType(40827) is required to specify the date type.
Required if NoNonDeliverableFixingDates(40825) > 0.
When specified it applies not only to the current date but to all subsequent dates in the group until overridden with a new type.
PaymentStreamNonDeliverableSettlTerms is a subcomponent of the PaymentStream component used to specify the non-deliverable settlement terms of the payment stream.
When specified, this overrides the business day convention defined in the DateAdjustment component in Instrument. The specified value would be specific to this instance of the payment stream's non-deliverable fixing dates.
When specified, this overrides the business centers defined in the DateAdjustment component in Instrument. The specified values would be specific to this instance of the payment stream's non-deliverable fixing dates.
Conditionally required when PaymentStreamNonDeliverableFixingDatesOffsetUnit(40822) is specified.
Conditionally required when PaymentStreamNonDeliverableFixingDatesOffsetPeriod(40821) is specified.
PaymentStreamPaymentDates is a subcomponent of the PaymentStream component used to specify the payment dates of the stream.
For equity return swaps this component is used to specify the interim price payment dates and the PaymentStreamFinalPricePaymentDate component is used to specify the final price payment date.
When specified, this overrides the business day convention defined in the DateAdjustment component in Instrument. The specified value would be specific to this instance of the payment stream's payment dates.
When specified, this overrides the business centers defined in the DateAdjustment component in Instrument. The specified values would be specific to this instance of the payment stream's payment dates.
Conditionally required when PaymentStreamPaymentFrequencyUnit(40754) is specified.
Conditionally required when PaymentStreamPaymentFrequencyPeriod(40753) is specified.
When specified, this overrides the date roll convention defined in the DateAdjustment component in Instrument. The specified values would be specific to this instance of the stream payment dates
Conditionally required when PaymentStreamPaymentDateOffsetUnit(40760) is specified.
Conditionally required when PaymentStreamPaymentDateOffsetPeriod(40759) is specified.
PaymentStreamResetDates is a subcomponent of the PaymentStream component used to specify the floating rate reset dates of the stream.
When specified, this overrides the business day convention defined in the DateAdjustment component in Instrument. The specified value would be specific to this instance of the payment stream's reset dates.
When specified, this overrides the business centers defined in the DateAdjustment component in Instrument. The specified values would be specific to this instance of the payment stream's reset dates.
Conditionally required when PaymentStreamResetFrequencyUnit(40765) is specified.
Conditionally required when PaymentStreamResetFrequencyPeriod(40764) is specified.
When specified, this overrides the date roll convention defined in the DateAdjustment component in Instrument. The specified values would be specific to this instance of the stream floating rate reset dates.
When specified, this overrides the business day convention defined in the DateAdjustment component in Instrument. The specified value would be specific to this instance of the payment stream's reset dates.
When specified, this overrides the business centers defined in the DateAdjustment component in Instrument. The specified values would be specific to this instance of the payment stream's reset dates.
Conditionally required when PaymentStreamInitialFixingDateOffsetUnit(40771) is specified.
Conditionally required when PaymentStreamInitialFixingDateOffsetPeriod(40770) is specified.
When specified, this overrides the business day convention defined in the DateAdjustment component in Instrument. The specified value would be specific to this instance of the payment stream's reset dates.
When specified, this overrides the business centers defined in the DateAdjustment component in Instrument. The specified values would be specific to this instance of the payment stream's reset dates.
Conditionally required when PaymentStreamFixingDateOffsetUnit(40778) is specified.
Conditionally required when PaymentStreamFixingDateOffsetPeriod(40777) is specified.
Conditionally required when PaymentStreamRateCutoffDateOffsetUnit(40782) is specified.
Conditionally required when PaymentStreamRateCutoffDateOffsetPeriod(40783) is specified.
The PaymentStubGrp is a repeating subcomponent of the StreamGrp component used to specify front and back stubs of the payment stream.
Required if NoPaymentStubs(40872) > 0.
Conditionally required when PaymentStubIndexCurveUnit(40881) is specified.
Conditionally required when PaymentStubIndexCurvePeriod(40880) is specified.
Conditionally required when PaymentStubIndex2CurveUnit(40895) is specified.
Conditionally required when PaymentStubIndex2CurvePeriod(40894) is specified.
The PhysicalSettlTermGrp is a repeating component within the Instrument component used to report physical settlement terms referenced from UnderlyingInstrument component.
Required if NoPhysicalSettlTerms(40204) > 0.
The PhysicalSettlDeliverableObligationGrp is a repeating component within the PhysicalSettlTermGrp component used to report CDS physical settlement delivery obligations.
Required if NoPhysicalSettlDeliverableObligations (40209) > 0.
The ProtectionTermGrp is a repeating component within the Instrument component used to report protection term details referenced from UnderlyingInstrument component.
Required if NoProtectionTerms(40181) > 0.
The ProtectionTermEventGrp is a repeating component within the ProtectionTermGrp component used to report applicable CDS credit events.
Required if NoProtectionTermEvents(40191) > 0.
Conditionally required when ProtectionTermEventUnit(40196) is specified.
Conditionally required when ProtectionTermEventPeriod(40195) is specified.
The ProtectionTermEventQualifierGrp is a repeating component within the ProtectionTermEventGrp component used to specify qualifying attributes to the event.
Required if NoProtectionTermEventQualifiers(40199) > 0.
The ProtectionTermObligationGrp is a repeating component within the ProtectionTermGrp component used to report applicable CDS obligations.
Required if NoProtectionTermObligations(40201) > 0.
The ProvisionCashSettlPaymentDates component is a sub-component within the ProvisionGrp component used to report the cash settlement payment dates defined in the provision.
When specified, this overrides the business day convention defined in the DateAdjustment component in Instrument. The specified value would be specific to this instance of the provisional cash settlement payment dates.
When specified, this overrides the business centers defined in the DateAdjustment component in Instrument. The specified values would be specific to this instance of the provisional cash settlement payment dates.
Conditionally required when ProvisionCashSettlPaymentDateOffsetUnit(40167) is specified.
Conditionally required when ProvisionCashSettlPaymentDateOffsetPeriod(40166) is specified.
The ProvisionCashSettlPaymentFixedDateGrp is a repeating component within the ProvisionCashSettlPaymentDates component used to report fixed cash settlement payment dates defined in the provision.
For the purpose of optimization, the ProvisionCashSettlPaymentDateType(40173) field may optionally be omitted after the first instance provided the instance(s) which immediately follow is of the same date type. When the next instance requires a different date type from the prior instance, the ProvisionCashSettlPaymentDateType(40173) is required to specify the date type.
Required if NoProvisionCashSettlPaymentDates (40171) > 0.
When specified it applies not only to the current date but to all subsequent dates in the group until overridden with a new type.
The ProvisionCashSettlValueDates component is a subcomponent within the ProvisionGrp component used to report the cash settlement value date and time defined in the provision.
When specified, this overrides the business day convention defined in the DateAdjustment component in Instrument. The specified value would be specific to this instance of the provisional cash settlement value date.
When specified, this overrides the business centers defined in the DateAdjustment component in Instrument. The specified values would be specific to this instance of the provisional cash settlement value date.
Conditionally required when ProvisionCashSettlValueDateOffsetUnit(40120) is specified.
Conditionally required when ProvisionCashSettlValueDateOffsetPeriod(40119) is specified.
The ProvisionOptionExerciseFixedDateGrp is a repeating component within the ProvisionOptionExerciseDates component used to report an array of unadjusted or adjusted fixed exercise dates.
For the purpose of optimization, the ProvisionOptionExerciseFixedDateType(40144) field may optionally be omitted after the first instance provided the instance(s) which immediately follow is of the same date type. When the next instance requires a different date type from the prior instance, the ProvisionOptionExerciseFixedDateType(40144) is required to specify the date type.
Required if NoProvisionOptionExerciseFixedDates (40142) > 0.
When specified it applies not only to the current date but to all subsequent dates in the group until overridden with a new type.
The ProvisionOptionExerciseDates is a subcomponent within the ProvisionGrp component used to report the option exercise dates and times defined in the provision.
When specified, this overrides the business day convention defined in the DateAdjustment component in Instrument. The specified value would be specific to this instance of the provisional option exercise dates.
When specified, this overrides the business centers defined in the DateAdjustment component in Instrument. The specified values would be specific to this instance of the provisional option exercise dates.
Conditionally required when ProvisionOptionExerciseEarliestDateUnit(40126) is specified.
Conditionally required when ProvisionOptionExerciseEasrliestDatePeriod(40125) is specified.
Conditionally required when ProvisionOptionExerciseFrequencyUnit(40128) is specified.
Conditionally required when ProvisionOptionExerciseFrequencyPeriod(40127) is specified.
Conditionally required when ProvisionOptionExerciseStartDateOffsetUnit(40132) is specified.
Conditionally required when ProvisionOptionExerciseStartDateOffsetPeriod(40131) is specified.
The ProvisionOptionExerciseDate is a subcomponent within the ProvisionGrp component used to report the option expiration date and times defined in the provision.
When specified, this overrides the business day convention defined in the DateAdjustment component in Instrument. The specified value would be specific to this instance of the provisional option expiration date.
When specified, this overrides the business centers defined in the DateAdjustment component in Instrument. The specified values would be specific to this instance of the provisional option expiration date.
Conditionally required when ProvisionOptionExpirationDateOffsetUnit(40150) is specified.
Conditionally required when ProvisionOptionExpirationDateOffsetPeriod(40149) is specified.
The ProvisionOptionRelevantUnderlyingDate is a subcomponent within the ProvisionGrp component used to report the option relevant underlying date defined in the provision.
When specified, this overrides the business day convention defined in the DateAdjustment component in Instrument. The specified value would be specific to this instance of the provisional option relevant underlying date.
When specified, this overrides the business centers defined in the DateAdjustment component in Instrument. The specified values would be specific to this instance of the provisional option relevent underlying date.
Conditionally required when ProvisionOptionRelevantUnderlyingDateOffsetUnit(40160) is specified.
Conditionally required when ProvisionOptionRelevantUnderlyingDateOffsetPeriod(40159) is specified.
The ProvisionGrp is a repeating subcomponent of the Instrument component used to detail the additional terms and conditions associated with the instrument.
A swap may have one or more provisions defined.
Required if NoProvisions(40090) > 0.
When specified, this overrides the business day convention defined in the DateAdjustment component in Instrument. The specified value would be specific to this instance of the instrument provisions.
When specified, this overrides the business centers defined in the DateAdjustment component in Instrument. The specified values would be specific to this instance of the instrument provisions.
Conditionally required when ProvisionDateTenorUnit(40097) is specified.
Conditionally required when ProvisionDateTenorPeriod(40096) is specified.
Must be set if EncodedProvisionText(40987) field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the ProvisionText(40113) field in the encoded format specified via the MessageEncoding(347) field.
ProvisionParties is a repeating component within the Provision component used to report the parties identified in the contract provision.
The fields ProvisionPartyID(40175), ProvisionPartyIDSource(40176) and ProvisionPartyIDRole(40177) are conditionally required when any one these fields is specified.
Required if NoProvisionPartyIDs(40174) > 0.
Required if NoProvisionPartyIDs(40174) > 0.
Required if NoProvisionPartyIDs(40174) > 0.
ProvisionPtysSubGrp is a repeating component within the ProvisionParties component used to extend information to be reported for the party.
Required if NoProvisionPartySubIDs(40178) > 0.
Required if NoProvisionPartySubIDs(40178) > 0.
The RegulatoryTradeIDGrp is a repeating component within the TradeCaptureReport message used to report the source, value and relationship of multiple identifiers for the same trade or position.
This component can be used to meet regulatory trade reporting requirements where identifiers such as the Unique Swaps Identifier (USI) in the US or the Unique Trade Identifier (UTI) in Europe and Canada are required to be reported, showing the chaining of these identifiers as needed.
Required if NoRegulatoryTradeIDs(1907) > 0.
This field may be is used for multi-leg trades sent as a single message to indicate that the entry applies only to a specific leg.
SecondaryAssetGrp is a repeating subcomponent of the Instrument component used to specify secondary assets of a multi-asset swap.
Required if NoSecondaryAssetClasses(1976) > 0.
The SettlRateDisruptionsFallbackGrp is a repeating subcomponent of the PaymentStreamNonDeliverableSettlTermGrp component used to specify the method, prioritized by the order it is listed, to get a replacement rate for a disrupted settlement rate option for a non-deliverable settlement currency.
Required if NoSettlRateFallbacks(40085) > 0.
The SideRegulatoryTradeIDGrp is a repeating component within the TrdCapRptSideGrp component used to report the source, value and relationship of multiple trade identifiers for the same trade side.
This component can be used to meet regulatory trade reporting requirements where identifiers such as the Unique Swaps Identifier (USI) are required to be reported, showing the chaining of these identifiers as needed.
Required if NoSideRegulatoryTradeIDs(1971) > 0.
This field may be is used for multi-leg trades sent as a single message to indicate that the entry applies only to a specific leg.
StreamCalculationPeriodDates is a subcomponent of the StreamGrp component used to specify the calculation period dates of the stream.
When specified, this overrides the business day convention defined in the DateAdjustment component in Instrument. The specified value would be specific to this instance of the calculation period dates of the stream.
When specified, this overrides the business centers defined in the DateAdjustment component in Instrument. The specified values would be specific to this instance of the calculation period dates of the stream.
When specified, this overrides the business day convention defined in the DateAdjustment component in Instrument. The specified value would be specific to this instance of the calculation period dates of the stream.
When specified, this overrides the business centers defined in the DateAdjustment component in Instrument. The specified values would be specific to this instance of the calculation period dates of the stream.
Conditionally required when StreamCalculationFrequencyUnit(40083) is specified.
Conditionally required when StreamCalculationFrequencyPeriod(40082) is specified.
When specified, this overrides the date roll convention defined in the DateAdjustment component in Instrument. The specified values would be specific to this instance of the stream calculation dates.
Conditionally required when StreamCalculationCorrectionUnit(41248) is specified.
Conditionally required when StreamCalculationCorrectionPeriod(41247) is specified.
StreamEffectivedDate is a subcomponent of the StreamGrp component used to specify the effective date of the stream.
When specified, this overrides the business day convention defined in the DateAdjustment component in Instrument. The specified value would be specific to this instance of the effective date of the stream.
When specified, this overrides the business centers defined in the DateAdjustment component in Instrument. The specified values would be specific to this instance of the effective date of the stream.
Conditionally required when StreamEffectiveDateOffsetUnit(40912) is specified.
Conditionally required when StreamEffectiveDateOffsetPeriod(40911) is specified.
The StreamGrp is a repeating subcomponent of the Instrument component used to detail the swap streams associated with the instrument.
A swap will ordinarily have one or two streams. Each one may contain a StreamDesc(40051) with a descriptive string such as "Float" or "Fixed". However the choice of description should have no effect on the stream's purpose.
StreamPaySide(40052) and StreamReceiveSide(40053) link the appropriate swap parties to their role in the stream. In pre-trade messages the side value (e.g. Side(54) field) of the request or order should be set to the same side value indicating the aggressor's desired role. On fills and post-trade messages the executing firm takes the opposite side and indicates its role by setting
StreamPaySide(40052) and StreamReceiveSide(40053) to the opposite side of the aggressor's role.
Required if NoStreams(40049) > 0.
Conditionally required when StreamNotionalFrequencyUnit(41307) is specified.
Conditionally required when StreamNotionalFrequencyPeriod(41306) is specified.
Must be set if EncodedStreamText(40983) field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the StreamText(40056) field in the encoded format specified via the MessageEncoding(347) field.
StreamTerminationDate is a subcomponent of the StreamGrp component used to specify the termination date of the stream.
When specified, this overrides the business day convention defined in the DateAdjustment component in Instrument. The specified value would be specific to this instance of the termination date of the stream.
When specified, this overrides the business centers defined in the DateAdjustment component in Instrument. The specified values would be specific to this instance of the termination date of the stream.
Conditionally required when StreamTerminationDateOffsetUnit(40070) is specified.
Conditionally required when StreamTerminationDateOffsetPeriod(40069) is specified.
The UnderlyingComplexEvent Group is a repeating block which allows specifying an unlimited number and types of advanced events, such as observation and pricing in over the lifetime of an option, futures, commodities or equity swap contract. Use UnderlyingEvntGrp to specify more straightforward events.
Required if NoUnderlyingComplexEvents(2045) > 0.
Conditionally required when there are more than one UnderlyingComplexEvent occurrences. A chain of events must be linked together through use of the UnderlyingComplexEventCondition(2052) in which the relationship between any two events is described. For any two occurances of events the first occurrence will specify the UnderlyingComplexEventCondition(2052) which links it with the second event.
The UnderlyingComplexEventDates and subcomponent UnderlyingComplexEventTimes components are used to constrain a complex event to a specific date range, and optional time range. If specified the event is only effective on or within the specified dates and times.
Required if NoUnderlyingComplexEventDates(2054) > 0.
Required if NoUnderlyingComplexEventDates(2054) > 0.
The UnderlyingComplexEventTimes is a repeating subcomponent of the UnderlyingComplexEventDates component. It is used to further qualify any dates placed on the event and is used to specify time ranges for which a complex event is effective. It is always provided within the context of start and end dates. The time range is assumed to be in effect for the entirety of the date or date range specified.
Required if NoUnderlyingComplexEventTimes(2056) > 0.
Required if NoUnderlyingComplexEventTimes(2056) > 0.
The UnderlyingEvntGrp is a repeating subcomponent of the UnderlyingInstrument component used to specify straightforward events associated with the instrument. Examples include put and call dates for bonds and options; first exercise date for options; inventory and delivery dates for commodities; start, end and roll dates for swaps. Use UnderlyingComplexEvents for more advanced dates such as option, futures, commodities and equity swap observation and pricing events.
The UnderlyingEvntGrp contains three different methods to express a "time" associated with the event using the UnderlyingEventDate(1983) and UnderlyingEventTime(1984) pair of fields or the UnderlyingEventTimeUnit(1985) and UnderlyingEventTimePeriod(1986) pair of fields or UnderlyingEventMonthYear(2342).
The UnderlyingEventDate(1983), and optional UnderlyingEventTime(1984), may be used to specify an exact date and optional time for the event. The UnderlyingEventTimeUnit(1985) and UnderlyingEventTimePeriod(1986) may be used to express a time period associated with the event, e.g. 3-month, 4-years, 2-weeks. The UnderlyingEventMonthYear(2342), and optional UnderlyingEventTime(1984), may be used to express the event as a month of year, with optional day of month or week of month.
Either UnderlyingEventDate(1983) or UnderlyingEventMonthYear(2342), and the optional UnderlyingEventTime(1984), must be specified or UnderlyingEventTimeUnit(1985) and UnderlyingEventTimePeriod(1986) must be specified.
The UnderlyingEventMonthYear(2342) may be used instead of UnderlyingEventDate(1983) when month-year, with optional day of month or week of month, is required instead of a date.
Required if NoUnderlyingEvents(1982) > 0.
Conditionally required when UnderlyingEventTime(1984) is specified.
Conditionally required when UnderlyingEventTimePeriod(1986) is specified.
Conditionally required when UnderlyingEventTimeUnit(1985) is specified.
Must be set if EncodedUnderlyingEventText(2073) field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the UnderlyingEventText(2071) field in the encoded format specified via the MessageEncoding(347) field.
The UnderlyingPaymentScheduleGrp is a repeating subcomponent of the UnderlyingPaymentStream component used to specify notional and rate steps in the payment stream.
The Fixing Lag Interval (UnderlyingPaymentScheduleFixingLagPeriod(41893) and UnderlyingPaymentScheduleFixingLagUnit(41894)) and the First Observation Offset Duration (UnderlyingPaymentScheduleFixingFirstObservationOffsetPeriod(41895) and UnderlyingPaymentScheduleFixingFirstObservationOffsetUnit(41896)) are used together. If the First Observation Offset Duration is specified, the observation starts the Fixing Lag Interval prior to each calculation. If the First Observation Offset Duration is not specified, the observation starts immediately preceeding each calculation.
Required if NoUnderlyingPaymentScheules(40664) > 0.
Conditionally required when UnderlyingPaymentScheduleStepFrequeencyUnit(40681) is specified.
Conditionally required when UnderlyingPaymentScheduleStepFrequeencyPeriod(40680) is specified.
When specified, this overrides the business day convention defined in the UnderlyingDateAdjustment component in UnderlyingInstrument. The specified value would be specific to this instance of the underlying instrument's payment schedule.
When specified, this overrides the business centers defined in the UnderlyingDateAdjustment component in UnderlyingInstrument. The specified values would be specific to this instance of the underlying instrument's payment schedule.
Conditionally required when UnderlyingPaymentScheduleFixingDateOffsetUnit(40692) is specified.
Conditionally required when UnderlyingPaymentScheduleFixingDateOffsetPeriod(40691) is specified.
Conditionally required when UnderlyingPaymentScheduleFixingLagUnit(41894) is specified.
Conditionally required when UnderlyingPaymentScheduleFixingLagPeriod(41893) is specified.
Conditionally required when UnderlyingPaymentScheduleFixingFirstObservationDateOffsetUnit(41896) is specified.
Conditionally required when UnderlyingPaymentScheduleFixingFirstObservationDateOffsetPeriod(41895) is specified.
When specified, this overrides the business day convention defined in the UnderlyingDateAdjustment component in UnderlyingInstrument. The specified value would be specific to this instance of the underlying instrument's payment schedule.
When specified, this overrides the business centers defined in the UnderlyingDateAdjustment component in UnderlyingInstrument. The specified values would be specific to this instance of the underlying instrument's payment schedule.
Conditionally required when UnderlyingPaymentScheduleInterimExchangeDatesOffsetUnit(40701) is specified.
Conditionally required when UnderlyingPaymentScheduleInterimExchangeDatesOffsetPeriod(40700) is specified.
UnderlyingPaymentScheduleRateSourceGrp is a repeating component within the UnderlyingPaymentScheduleGrp component used to identify primary and secondary rate sources.
Required if NoUnderlyingPaymentScheduleRates(40704) > 0.
Required if NoUnderlyingPaymentScheduleRates(40704) > 0.
Conditionally required when UnderlyingPaymentScheduleRateSource(40705) = 99 (Other).
The UnderlyingPaymentStream component is a subcomponent of the UnderlyingStream used to detail the attributes of a payment stream in a swap.
Mutually exclusive with UnderlyingPaymentStreamCompoundingFixedRate(42900) or the UnderlyingPaymentStreamCompoundingFloatingRate component.
Mutually exclusive with UnderlyingPaymentStreamCompoundingXIDRef(42896) or the UnderlyingPaymentStreamCompoundingFloatingRate component.
Mutually exclusive with UnderlyingPaymentStreamCompoundingFixedRate(42900) or the UnderlyingPaymentStreamCompoundingXIDRef(42896).
UnderlyingPaymentStreamFixedRate is a subcomponent of the UnderlyingPaymentStream component used to report the fixed rate or fixed payment amount of the stream.
Mutually exclusive with UnderlyingPaymentStreamFixedAmount(40616).
Mutually exclusive with UnderlyingPaymentStreamRate(40615).
UnderlyingPaymentStreamFloatingRate is a subcomponent of the UnderlyingPaymentStream component used to report the floating rate attributes of the stream.
Note that if the floating rate index or the rate calculation goes negative for a calculation period and UnderlyingPaymentStreamNegativeRateTreatment(40638)=1 (Negative interest rate method) the Receiver pays the Payer the absolute floating rate, i.e. the Receiver pays the cash flow amount to the Payer.
The Calculation Lag Interval (UnderlyingPaymentStreamCalculationLagPeriod(41926) and UnderlyingPaymentStreamCalculationLagUnit(41927)) and the First Observation Offset Duration (UnderlyingPaymentStreamFirstObservationOffsetPeriod(41928) and UnderlyingPaymentStreamFirstObservationOffsetUnit(41929)) are used together. If the First Observation Offset Duration is specified, the observation starts the Fixing Lag Interval prior to each calculation. If the First Observation Offset Duration is not specified, the observation starts immediately preceeding each calculation.
Conditionally required when UnderlyingPaymentStreamRateIndexCurvePeriod(40623) is specified.
Conditionally required when UnderlyingPaymentStreamRateIndexCurveUnit(40622) is specified.
Conditionally required when UnderlyingPaymentStreamRateIndexCurvePeriod2(41912) is specified.
Conditionally required when UnderlyingPaymentStreamRateIndexCurveUnit2(41911) is specified.
Conditionally required when UnderlyingPaymentStreamCalculationLagUnit(41927) is specified.
Conditionally required when UnderlyingPaymentStreamCalculationLagPeriod(41926) is specified.
Conditionally required when UnderlyingPaymentStreamFirstObservationOffsetUnit(41929) is specified.
Conditionally required when UnderlyingPaymentStreamFirstObservationOffsetPeriod(41928) is specified.
When specified, this overrides the business day convention defined in the UnderlyingDateAdjustment component in UnderlyingInstrument. The specified value would be specific to this instance of pricing dates.
Conditionally required when UnderlyingPaymentStreamInflationLagUnit(40640) is specified.
Conditionally required when UnderlyingPaymentStreamInflationLagPeriod(40639) is specified.
UnderlyingPaymentStreamNonDeliverableFixingDate is a subcomponent of the UnderlyingPaymentStreamNonDeliverableSettlTerms component used to specify predetermined fixing dates.
For the purpose of optimization, the UnderlyingNonDeliverableFixingDateType(40658) field may optionally be omitted after the first instance provided the instance(s) which immediately follow is of the same date type. When the next instance requires a different date type from the prior instance, the UnderlyingNonDeliverableFixingDateType(40658) is required to specify the date type.
Required if NoUnderlyingNonDeliverableFixingDates(40656) > 0.
When specified it applies not only to the current date but to all subsequent dates in the group until overridden with a new type.
UnderlyingPaymentStreamNonDeliverableSettlTerms is a subcomponent of the UnderlyingPaymentStream component used to specify the non-deliverable settlement terms of the stream.
When specified, this overrides the business day convention defined in the UnderlyingDateAdjustment component in UnderlyingInstrument. The specified value would be specific to this instance of the underlying instrument's non-deliverable settlement terms.
When specified, this overrides the business centers defined in the UnderlyingDateAdjustment component in UnderlyingInstrument. The specified values would be specific to this instance of the underlying instrument's non-deliverable settlement terms.
Conditionally required when UnderlyingPaymentStreamNonDeliverableFixingDatesOffsetUnit(40653) is specified.
Conditionally required when UnderlyingPaymentStreamNonDeliverableFixingDatesOffsetPeriod(40652) is specified.
UnderlyingPaymentStreamPaymentDates is a subcomponent of the UnderlyingPaymentStream component used to specify the payment dates of the stream.
For equity return swaps this component is used to specify the interim price payment dates and the UnderlyingPaymentStreamFinalPricePaymentDate component is used to specify the final price payment date.
When specified, this overrides the business day convention defined in the UnderlyingDateAdjustment component in UnderlyingInstrument. The specified value would be specific to this instance of the underlying instrument's payment stream's payment dates.
When specified, this overrides the business centers defined in the UnderlyingDateAdjustment component in UnderlyingInstrument. The specified values would be specific to this instance of the underlying instrument's payment stream's payment dates.
Conditionally required when UnderlyingPaymentStreamPaymentFrequencyUnit(40584) is specified.
Conditionally required when UnderlyingPaymentStreamPaymentFrequencyPeriod(40583) is specified.
When specified, this overrides the date roll convention defined in the UnderlyingDateAdjustment component in UnderlyingInstrument. The specified values would be specific to this instance of the stream payment dates.
Conditionally required when UnderlyingPaymentStreamPaymentOffsetUnit(40590) is specified.
Conditionally required when UnderlyingPaymentStreamPaymentOffsetPeriod(40589) is specified.
UnderlyingPaymentStreamResetDates is a subcomponent of the UnderlyingPaymentStream component used to specify the floating rate reset dates of the stream.
When specified, this overrides the business day convention defined in the UnderlyingDateAdjustment component in UnderlyingInstrument. The specified value would be specific to this instance of the underlying instrument's payment stream's reset dates.
When specified, this overrides the business centers defined in the UnderlyingDateAdjustment component in UnderlyingInstrument. The specified values would be specific to this instance of the underlying instrument's payment stream's reset dates.
Conditionally required when UnderlyingPaymentStreamResetFrequencyUnit(40596) is specified.
Conditionally required when UnderlyingPaymentStreamResetFrequencyPeriod(40595) is specified.
When specified, this overrides the date roll convention defined in the UnderlyingDateAdjustment component in UnderlyingInstrument. The specified values would be specific to this instance of the reset dates.
When specified, this overrides the business day convention defined in the UnderlyingDateAdjustment component in UnderlyingInstrument. The specified value would be specific to this instance of the underlying instrument's payment stream's reset dates.
When specified, this overrides the business centers defined in the UnderlyingDateAdjustment component in UnderlyingInstrument. The specified values would be specific to this instance of the underlying instrument's payment stream's reset dates.
Conditionally required when UnderlyingPaymentStreamInitialFixingDateOffsetUnit(40602) is specified.
Conditionally required when UnderlyingPaymentStreamInitialFixingDateOffsetPeriod(40601) is specified.
When specified, this overrides the business day convention defined in the UnderlyingDateAdjustment component in UnderlyingInstrument. The specified value would be specific to this instance of the underlying instrument's payment stream's reset dates.
When specified, this overrides the business centers defined in the UnderlyingDateAdjustment component in UnderlyingInstrument. The specified values would be specific to this instance of the underlying instrument's payment stream's reset dates.
Conditionally required when UnderlyingPaymentStreamFixingDateOffsetUnit(40609) is specified.
Conditionally required when UnderlyingPaymentStreamFixingDateOffsetPeriod(40608) is specified.
Conditionally required when UnderlyingPaymentStreamRateCutoffDateOffsetUnit(40613) is specified.
Conditionally required when UnderlyingPaymentStreamRateCutoffDateOffsetPeriod(40612) is specified.
The UnderlyingPaymentStubGrp is a repeating subcomponent of the UnderlyingPaymentStream component used to specify front and back stubs in the payment stream.
Required if NoUnderlyingPaymentStubs(40708) > 0.
Conditionally required when UnderlyingPaymentStubIndexCurveUnit(40717) is specified.
Conditionally required when UnderlyingPaymentStubIndexCurvePeriod(40716) is specified.
Conditionally required when UnderlyingPaymentStubIndex2CurveUnit(40731) is specified.
Conditionally required when UnderlyingPaymentStubIndex2CurvePeriod(40730) is specified.
UnderlyingSecondaryAssetGrp is a repeating subcomponent of the UnderlyingInstrument component used to specify secondary assets of a multi-asset swap.
Required if NoUnderlyingSecondaryAssetClasses(2080) > 0.
The UnderlyingSettlRateDisruptionFallbackGrp is a repeating subcomponent of the UnderlyingPaymentStreamNonDeliverableSettlTermGrp component used to specify the method, prioritized by the order it is listed, to get a replacement rate for a disrupted settlement rate option for a non-deliverable settlement currency.
Required if NoUnderlyingSettlRateFallbacks(40659) > 0.
UnderlyingStreamCalculationPeriodDates is a subcomponent of the UnderlyingStreamGrp component used to specify the calculation period dates of the stream.
When specified, this overrides the business day convention defined in the UnderlyingDateAdjustment component in UnderlyingInstrument. The specified value would be specific to this instance of the underlying instrument's calculation period dates.
When specified, this overrides the business centers defined in the UnderlyingDateAdjustment component in UnderlyingInstrument. The specified values would be specific to this instance of the underlying instrument's calculation period dates.
When specified, this overrides the business day convention defined in the UnderlyingDateAdjustment component in UnderlyingInstrument. The specified value would be specific to this instance of the underlying instrument's calculation period dates.
When specified, this overrides the business centers defined in the UnderlyingDateAdjustment component in UnderlyingInstrument. The specified values would be specific to this instance of the underlying instrument's calculation period dates.
Conditionally required when UnderyingStreamCalculationFrequencyUnit(40566) is specified.
Conditionally required when UnderlyingStreamCalculationFrequencyPeriod(40565) is specified.
When specified, this overrides the date roll convention defined in the UnderlyingDateAdjustment component in UnderlyingInstrument. The specified values would be specific to this instance of the stream payment dates.
Conditionally required when UnderlyingStreamCalculationCorrectionUnit(41961) is specified.
Conditionally required when UnderlyingStreamCalculationCorrectionPeriod(41960) is specified.
UnderlyingStreamEffectivedDate is a subcomponent of the UnderlyingStreamGrp component used to specify the effective date of the stream.
When specified, this overrides the business day convention defined in the UnderlyingDateAdjustment component in UnderlyingInstrument. The specified value would be specific to this instance of the underlying instrument's stream effective dates.
When specified, this overrides the business centers defined in the UnderlyingDateAdjustment component in UnderlyingInstrument. The specified values would be specific to this instance of the underlying instrument's stream effective dates.
Conditionally required when UnderlyingStreamEffectiveDateOffsetUnit(40062) is specified.
Conditionally required when UnderlyingStreamEffectiveDateOffsetPeriod(40061) is specified.
The UnderlyingStreamGrp is a repeating subcomponent of the UnderlyingInstrument component used to detail the swap streams associated with the instrument.
A swap will ordinarily have one or two payment streams. Each one may contain an UnderlyingStreamDesc(40542) with a descriptive string such as "Float" or "Fixed". However the choice of description should have no effect on the stream's purpose.
UnderlyingStreamPaySide(40543) and UnderlyingStreamReceiveSide(40544) link the appropriate swap parties to their role in the stream. In pre-trade messages the side value (e.g. Side(54) field) of the request or order should be "1" (Buy) or "2" (Sell), and UnderlyingStreamPaySide(40543) and UnderlyingStreamReceiveSide(40544) should be set to the same side value indicating the aggressor's desired role. On fills and post-trade messages, the executing firm takes the opposite side and indicates its role by setting UnderlyingStreamPaySide(40543) and UnderlyingStreamReceiveSide(40544) to the opposite side of the aggressor's role.
Required if NoUnderlyingStreams(40540) > 0.
Conditionally required when UnderlyingStreamNotionalFrequencyUnit(42020) is specified.
Conditionally required when UnderlyingStreamNotionalFrequencyPeriod(42019) is specified.
Must be set if EncodedUnderlyingStreamText(40989) field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the UnderlyingStreamText(40547) field in the encoded format specified via the MessageEncoding(347) field.
UnderlyingStreamTerminationDate is a subcomponent of the UnderlyingStreamGrp component used to specify the termination date of the stream.
When specified, this overrides the business day convention defined in the UnderlyingDateAdjustment component in UnderlyingInstrument. The specified value would be specific to this instance of the underlying instrument's termination date of the stream.
When specified, this overrides the business centers defined in the UnderlyingDateAdjustment component in UnderlyingInstrument. The specified values would be specific to this instance of the underlying instrument's termination date of the stream.
Conditionally required when UnderlyingStreamTerminationDateOffsetUnit(40553) is specified.
Conditionally required when UnderlyingPaymentTerminationDateOffsetPeriod(40552) is specified.
CashSettlDealerGrp is a repeating subcomponent within the CashSettlTermGrp component. It is used to specify the dealers from whom price quotations for the reference obligation are obtained for the purpose of cash settlement valuation.
Required if NoCashSettlDealers(40277) > 0.
BusinessCenterGrp is a repeating subcomponent within the DateAdjustment component. It is used to specify the set of business centers whose calendars drive the date adjustment. The business centers defined here apply to all adjustable dates in the instrument unless specifically overridden in the respective specified components elsewhere.
Required if NoBusinessCenters(40278) > 0.
DateAdjustment is a subcomponent in the Instrument component. It is used to specify date adjustment parameters and rules. The date adjustments specified here applies to all adjustable dates for the instrument, unless specifically overridden in the respective specified components elsewhere.
LegBusinessCenterGrp is a repeating subcomponent within the LegDateAdjustment component. It is used to specify the set of business centers whose calendars drive the date adjustment. The business centers defined here apply to all adjustable dates in the instrument leg unless specifically overridden elsewhere in the respective specified components further within the InstrumentLeg component.
Required if NoLegBusinessCenters(40923) > 0.
LegDateAdjustment is a subcomponent within the InstrumentLeg component. It is used to specify date adjustment parameters and rules. The date adjustments specified here applies to all adjustable dates for the instrument leg, unless specifically overridden elsewhere in the respective specified components further within the InstrumentLeg component.
LegPaymentScheduleFixingDateBusinessCenterGrp is a repeating subcomponent within the LegPaymentScheduleGrp component. It is used to specify the set of business centers whose calendars drive the date adjustment. Used only to override the business centers defined in the LegDateAdjustment component in InstrumentLeg.
Required if NoLegPaymentScheduleFixingDateBusinessCenters(40927) > 0.
LegPaymentScheduleInterimExchangeDateBusinessCenterGrp is a repeating subcomponent within the LegPaymentScheduleGrp component. It is used to specify the set of business centers whose calendars drive the date adjustment. Used only to override the business centers defined in the LegDateAdjustment component in InstrumentLeg.
Required if NoLegPaymentScheduleInterimExchangeDateBusinessCenters(40928) > 0.
LegPaymentStreamNonDeliverableFixingDatesBusinessCenterGrp is a repeating subcomponent within the LegPaymentStreamNonDeliverableSettlTerms component. It is used to specify the set of business centers whose calendars drive the date adjustment. Used only to override the business centers defined in the LegDateAdjustment component in InstrumentLeg.
Required if NoLegPaymentStreamNonDeliverableFixingDatesBusinessCenters(40929) > 0.
LegPaymentStreamPaymentDateBusinessCenterGrp is a repeating subcomponent of the LegPaymentStreamPaymentDates component used to specify the set of business centers whose calendars drive date adjustment. Used only to override the business centers defined in the LegDateAdjustment component in InstrumentLeg.
Requirend if NoLegPaymentStreamPaymentDateBusinessCenters(40930) > 0.
LegPaymentStreamResetDateBusinessCenterGrp is a repeating subcomponent within the LegPaymentStreamResetDates component. It is used to specify the set of business centers whose calendars drive the date adjustment. Used only to override the business centers defined in the LegDateAdjustment component in InstrumentLeg.
Required if NoLegPaymentStreamResetDateBusinessCenters(40931) > 0.
LegPaymentStreamInitialFixingDateBusinessCenterGrp is a repeating subcomponent within the LegPaymentStreamResetDates component used to specify the set of business centers whose calendars drive the date adjustment. Used only to override the business centers defined in the LegDateAdjustment component in InstrumentLeg.
Required if NoLegPaymentStreamInitialFixingDateBusinessCenters(40932) > 0.
LegPaymentStreamFixingDateBusinessCenterGrp is a repeating subcomponent within the LegPaymentStreamResetDates component. It is used to specify the set of business centers whose calendars drive the date adjustment. Used only to override the business centers defined in the LegDateAdjustment component in InstrumentLeg.
Required if NoLegPaymentStreamFixingDateBusinessCenters(40933) > 0.
LegProvisionCashSettlPaymentDateBusinessCenterGrp is a repeating subcomponent within the LegProvisionCashSettlPaymentDates component. It is used to specify the set of business centers whose calendars drive the date adjustment. Used only to override the business centers defined in the LegDateAdjustment component in InstrumentLeg.
Required if NoLegProvisionCashSettlPaymentDateBusinessCenters(40934) > 0.
LegProvisionCashSettlValueDateBusinessCenterGrp is a repeating subcomponent within the LegProvisionCashSettlValueDate component. It is used to specify the set of business centers whose calendars drive the date adjustment. Used only to override the business centers defined in the LegDateAdjustment component in InstrumentLeg.
Required if NoLegProvisionCashSettlValueDateBusinessCenters(40935) > 0.
LegProvisionOptionExerciseBusinessCenterGrp is a repeating subcomponent within the LegProvisionOptionExerciseDates component. It is used to specify the set of business centers whose calendars drive the date adjustment. Used only to override the business centers defined in the LegDateAdjustment component in InstrumentLeg.
Required if NoLegProvisionOptionExerciseBusinessCenters(40936) > 0.
LegProvisionOptionExpirationDateBusinessCenterGrp is a repeating subcomponent within the LegProvisionOptionExpirationDate component. It is used to specify the set of business centers whose calendars drive the date adjustment. Used only to override the business centers defined in the LegDateAdjustment component in InstrumentLeg.
Required if NoLegProvisionOptionExpirationDateBusinessCenters(40937) > 0.
LegProvisionOptionRelevantUnderlyingDateBusinessCenterGrp is a repeating subcomponent within the LegProvisionOptionRelevantUnderlyingDate component. It is used to specify the set of business centers whose calendars drive the date adjustment. Used only to override the business centers defined in the LegDateAdjustment component in InstrumentLeg.
Required if NoLegProvisionOptionRelevantUnderlyingDateBusinessCenters(40938) > 0.
LegProvisionDateBusinessCenterGrp is a repeating subcomponent within the LegProvisionGrp component. It is used to specify the set of business centers whose calendars drive the date adjustment. Used only to override the business centers defined in the LegDateAdjustment component in InstrumentLeg.
Required if NoLegProvisionDateBusinessCenters(40939) > 0.
LegStreamCalculationPeriodBusinessCenterGrp is a repeating subcomponent within the LegStreamCalculationPeriodDates component. It is used to specify the set of business centers whose calendars drive the date adjustment. Used only to override the business centers defined in the LegDateAdjustment component in InstrumentLeg.
Required if NoLegStreamCalculationPeriodBusinessCenters(40940) > 0.
LegStreamFirstPeriodStartDateBusinessCenterGrp is a repeating subcomponent within the LegStreamCalculationPeriodDates component. It is used to specify the set of business centers whose calendars drive the date adjustment. Used only to override the business centers defined in the LegDateAdjustment component in InstrumentLeg.
Required if NoLegStreamFirstPeriodStartDateBusinessCenters(40941) > 0.
LegStreamEffectiveDateBusinessCenterGrp is a repeating subcomponent within the LegStreamEffectiveDate component. It is used to specify the set of business centers whose calendars drive the date adjustment. Used only to override the business centers defined in the LegDateAdjustment component in InstrumentLeg.
Required if NoLegStreamEffectiveDateBusinessCenters(40942) > 0.
LegStreamTerminationDateBusinessCenterGrp is a repeating subcomponent within the LegStreamTerminationDate component. It is used to specify the set of business centers whose calendars drive the date adjustment. Used only to override the business centers defined in the LegDateAdjustment component in InstrumentLeg.
Required if NoLegStreamTerminationDateBusinessCenters(40943) > 0.
PaymentBusinessCenterGrp is a repeating subcomponent within the PaymentGrp component. It is used to specify the set of business centers whose calendars drive the date adjustment. Used only to override the business centers defined in the DateAdjustment component in Instrument.
Required if NoPaymentBusinessCenters(40944) > 0.
PaymentScheduleFixingDateBusinessCenterGrp is a repeating subcomponent within the PaymentScheduleGrp component. It is used to specify the set of business centers whose calendars drive the date adjustment. Used only to override the business centers defined in the DateAdjustment component in Instrument.
Required if NoPaymentScheduleFixingDateBusinessCenters(40944) > 0.
PaymentScheduleInterimExchangeDateBusinessCenterGrp is a repeating subcomponent within the PaymentScheduleGrp component. It is used to specify the set of business centers whose calendars drive the date adjustment. Used only to override the business centers defined in the DateAdjustment component in Instrument.
Required if NoPaymentScheduleInterimExchangeDateBusinessCenters(40945) > 0.
PaymentStreamNonDeliverableFixingDatesBusinessCenterGrp is a repeating subcomponent within the PaymentStreamNonDeliverableSettlTerms component. It is used to specify the set of business centers whose calendars drive the date adjustment. Used only to override the business centers defined in the DateAdjustment component in Instrument.
Required if NoPaymentStreamNonDeliverableFixingDatesBusinessCenters(40946) > 0.
PaymentStreamPaymentDateBusinessCenterGrp is a repeating subcomponent within the PaymentStreamPaymentDates component. It is used to specify the set of business centers whose calendars drive the date adjustment. Used only to override the business centers defined in the DateAdjustment component in Instrument.
Required if NoPaymentStreamPaymentDateBusinessCenters(40947) > 0.
PaymentStreamResetDateBusinessCenterGrp is a repeating subcomponent within the PaymentStreamResetDates component. It is used to specify the set of business centers whose calendars drive the date adjustment. Used only to override the business centers defined in the DateAdjustment component in Instrument.
Required if NoPaymentStreamResetDateBusinessCenters(40948) > 0.
PaymentStreamInitialFixingDateBusinessCenterGrp is a repeating subcomponent within the PaymentStreamResetDates component. It is used to specify the set of business centers whose calendars drive the date adjustment. Used only to override the business centers defined in the DateAdjustment component in Instrument.
Required if NoPaymentStreamInitialFixindDateBusinessCenters(40949) > 0.
PaymentStreamFixingDateBusinessCenterGrp is a repeating subcomponent within the PaymentStreamResetDates component. It is used to specify the set of business centers whose calendars drive the date adjustment. Used only to override the business centers defined in the DateAdjustment component in Instrument.
Required if NoPaymentStreamFixingDateBusinessCenters(40950) > 0.
ProtectionTermEventNewsSourceGrp is a repeating subcomponent within the ProtectionTermGrp component. It is used to specify the particular newspapers or electronic news services and sources that may publish relevant information used in the determination of whether or not a credit event has occurred.
Required if NoProtectionTermEventNewsSources(40951) > 0.
ProvisionCashSettlPaymentDateBusinessCenterGrp is a repeating subcomponent within the ProvisionCashSettlPaymentDates component. It is used to specify the set of business centers whose calendars drive the date adjustment. Used only to override the business centers defined in the DateAdjustment component in Instrument.
Required if NoProvisionCashSettlPaymentDateBusinessCenters(40952) > 0.
ProvisionCashSettlValueDateBusinessCenterGrp is a repeating subcomponent within the ProvisionCashSettlValueDate component. It is used to specify the set of business centers whose calendars drive the date adjustment. Used only to override the business centers defined in the DateAdjustment component in Instrument.
Required if NoProvisionCashSettlValueDatBusinessCenters(40953) > 0.
ProvisionOptionExerciseBusinessCenterGrp is a repeating subcomponent within the ProvisionOptionExerciseDates component. It is used to specify the set of business centers whose calendars drive the date adjustment. Used only to override the business centers defined in the DateAdjustment component in Instrument.
Required if NoProvisionOptionExerciseBusinessCenters(40954) > 0.
ProvisionOptionExpirationDateBusinessCenterGrp is a repeating subcomponent within the ProvisionOptionExpirationDate component. It is used to specify the set of business centers whose calendars drive the date adjustment. Used only to override the business centers defined in the DateAdjustment component in Instrument.
Required if NoProvisionOptionExpirationDateBusinessCenters(40955) > 0.
ProvisionOptionRelevantUnderlyingDateBusinessCenterGrp is a repeating subcomponent within the ProvisionOptionRelevantUnderlyingDate component. It is used to specify the set of business centers whose calendars drive date adjustment. Used only to override the business centers defined in the DateAdjustment component in Instrument.
Required if NoProvisionOptionRelevantUnderlyingDateBusinessCenters(40956) > 0.
ProvisionDateBusinessCenterGrp is a repeating subcomponent within the ProvisionGrp component. It is used to specify the set of business centers whose calendars drive the date adjustment. Used only to override the business centers defined in the DateAdjustment component in Instrument.
Required if NoProvisionDateBusinessCenters(40957) > 0.
StreamCalculationPeriodBusinessCenterGrp is a repeating subcomponent within the StreamCalculationPeriodDates component. It is used to specify the set of business centers whose calendars drive the date adjustment. Used only to override the business centers defined in the DateAdjustment component in Instrument.
Required if NoStreamCalculationPeriodBusinessCenters(40958) > 0.
StreamFirstPeriodStartDateBusinessCenterGrp is a repeating subcomponent within the StreamCalculationPeriodDates component. It is used to specify the set of business centers whose calendars drive the date adjustment. Used only to override the business centers defined in the DateAdjustment component in Instrument.
Required if NoStreamFirstPeriodStartDateBusinessCenters(40959) > 0.
StreamEffectiveBusinessCenterGrp is a repeating subcomponent of the StreamEffectiveDate component used to specify the set of business centers whose calendars drive date adjustment. Used only to override the business centers defined in the DateAdjustment component in Instrument.
Required if NoStreamEffectiveBusinessCenters(40960) > 0.
StreamTerminationDateBusinessCenterGrp is a repeating subcomponent within the StreamTerminationDate component. It is used to specify the set of business centers whose calendars drive the date adjustment. Used only to override the business centers defined in the DateAdjustment component in the Instrument component.
Required if NoStreamTerminationDateBusinessCenters(40961) > 0.
UnderlyingBusinessCenterGrp is a repeating subcomponent within the UnderlyingDateAdjustment component. It is used to specify the set of business centers whose calendars drive the date adjustment. The business centers defined here apply to all adjustable dates in the instrument unless specifically overridden.
Required if NoUnderlyingBusinessCenters(40962) > 0.
UnderlyingDateAdjustment is a subcomponent within the UnderlyingInstrument component. It is used to specify date adjustment parameters and rules. The date adjustments specified here applies to all adjustable dates for the underlying instrument, unless specifically overridden in the respective specified components further within the UnderlyingInstrument component.
UnderlyingPaymentScheduleFixingDateBusinessCenterGrp is a repeating subcomponent within the UnderlyingPaymentScheduleGrp component. It is used to specify the set of business centers whose calendars drive the date adjustment. Used only to override the business centers defined in the UnderlyingDateAdjustment component in the UnderlyingInstrument component.
Required if NoUnderlyingPaymentScheduleFixingDateBusinessCenters(40966) > 0.
UnderlyingPaymentScheduleInterimExchangeDateBusinessCenterGrp is a repeating subcomponent within the UnderlyingPaymentScheduleGrp component. It is used to specify the set of business centers whose calendars drive the date adjustment. Used only to override the business centers defined in the UnderlyingDateAdjustment component in the UnderlyingInstrument component.
Required if NoUnderlyingPaymentScheduleInterimExchangeDateBusinessCenters(40967) > 0.
UnderlyingPaymentStreamNonDeliverableFixingDatesBusinessCenterGrp is a repeating subcomponent within the UnderlyingPaymentStreamNonDeliverableSettlTerms component. It is used to specify the set of business centers whose calendars drive the date adjustment. Used only to override the business centers defined in the UnderlyingDateAdjustment component in the UnderlyingInstrument component.
Required if NoUnderlyingPaymentStreamNonDeliverableFixingDatesBusinessCenters(40968) > 0.
UnderlyingPaymentStreamPaymentDateBusinessCenterGrp is a repeating subcomponent within the UnderlyingPaymentStreamPaymentDates component. It is used to specify the set of business centers whose calendars drive the date adjustment. Used only to override the business centers defined in the UnderlyingDateAdjustment component in the UnderlyingInstrument component.
Required if NoUnderlyingPaymentStreamPaymentDateBusinessCenters(40969) > 0.
UnderlyingPaymentStreamResetDateBusinessCenterGrp is a repeating subcomponent within the UnderlyingPaymentStreamResetDates component. It is used to specify the set of business centers whose calendars drive the date adjustment. Used only to override the business centers defined in the UnderlyingDateAdjustment component within the UnderlyingInstrument component.
Required if NoUnderlyingPaymentStreamResetDateBusinessCenters(40970) > 0.
UnderlyingPaymentStreamInitialFixingDateBusinessCenterGrp is a repeating subcomponent within the UnderlyingPaymentStreamResetDates component. It is used to specify the set of business centers whose calendars drive the date adjustment. Used only to override the business centers defined in the UnderlyingDateAdjustment component within the UnderlyingInstrument component.
Required if NoUnderlyingPaymentStreamInitialFixingDateBusinessCenters(40971) > 0.
UnderlyingPaymentStreamFixingDateBusinessCenterGrp is a repeating subcomponent within the UnderlyingPaymentStreamResetDates component. It is used to specify the set of business centers whose calendars drive the date adjustment. Used only to override the business centers defined in the UnderlyingDateAdjustment component within the UnderlyingInstrument component.
Required if NoUnderlyingPaymentStreamFixingDateBusinessCenters(40972) > 0.
UnderlyingStreamCalculationPeriodBusinessCenterGrp is a repeating subcomponent within the UnderlyingStreamCalculationPeriodDates component. It is used to specify the set of business centers whose calendars drive the date adjustment. Used only to override the business centers defined in the UnderlyingDateAdjustment component within the UnderlyingInstrument component.
Required if NoUnderlyingStreamCalculationPeriodBusinessCenters(40973) > 0.
UnderlyingStreamFirstPeriodStartDateBusinessCenterGrp is a repeating subcomponent within the UnderlyingStreamCalculationPeriodDates component. It is used to specify the set of business centers whose calendars drive the date adjustment. Used only to override the business centers defined in the UnderlyingDateAdjustment component within the UnderlyingInstrument component.
Required if NoUnderlyginstreamFirstPeriodStartDateBusinessCenters(40974) > 0.
UnderlyingStreamEffectiveDateBusinessCenterGrp is a repeating subcomponent within the UnderlyingStreamEffectiveDate component. It is used to specify the set of business centers whose calendars drive the date adjustment. Used only to override the business centers defined in the UnderlyingDateAdjustment component within the UnderlyingInstrument component.
Required if NoUnderlyingStreamEffectiveDateBusinessCenters(40975) > 0.
UnderlyingStreamTerminationDateBusinessCenterGrp is a repeating subcomponent within the UnderlyingStreamTerminationDate component. It is used to specify the set of business centers whose calendars drive the date adjustment. Used only to override the business centers defined in the UnderlyingDateAdjustment component within the UnderlyingInstrument component.
Required if NoUnderlyingStreamTerminationDateBusinessCenters(40976) > 0.
LegPaymentStreamNonDeliverableSettlRateSource is a subcomponent of the LegPaymentStreamNonDeliverableSettlTerms component used to specify the rate source in the event of payment non-delivery.
Conditionally required when LegPaymentStreamNonDeliverableSettlRateSource(40087) = 3 (ISDA Settlement Rate Option) or 99 (Other).
LegSettlRateFallbackRateSource is a subcomponent of the LegSettlRateDisruptionFallbackGrp component used to specify the rate source in the event of rate disruption fallback.
Conditionally required when LegSettlRateFallbackRateSource(40366) = 3 (ISDA Settlement Rate Option) or 99 (Other).
PaymentStreamNonDeliverableSettlRateSource is a subcomponent of the PaymentStreamNonDeliverableSettlTerms component used to specify the rate source in the event of payment non-delivery.
Conditionally required when PaymentStreamNonDeliverableSettlRateSource(40371) = 3 (ISDA Settlement Rate Option) or 99 (Other).
SettlRateFallbackRateSource is a subcomponent of the SettlRateDisruptionFallbackGrp component used to specify the rate source in the event of rate disruption fallback.
Conditionally required when SettlRateFallbackRateSource(40373) = 3 (ISDA Settlement Rate Option) or 99 (Other).
UnderlyingPaymentStreamNonDeliverableSettlRateSource is a subcomponent of the UnderlyingPaymentStreamNonDeliverableSettlTerms component used to specify the rate source in the event of payment non-delivery.
Conditionally required when UnderlyingPaymentStreamNonDeliverableSettlRateSource(40661) = 3 (ISDA Settlement Rate Option) or 99 (Other).
UnderlyingSettlRateFallbackRateSource is a subcomponent of the UnderlyingSettlRateDisruptionFallbackGrp component used to specify the rate source in the event of rate disruption fallback.
Conditionally required when UnderlyingSettlRateFallbackRateSource(40904) = 3 (ISDA Settlement Rate Option) or 99 (Other).
The ProvisionCashSettlQuoteSource is a subcomponent of the ProvisionGrp component used to specify the reference source for currency or rate quote for cash settlement purposes.
The LegProvisionCashSettlQuoteSource is a subcomponent of the LEgProvisionGrp component used to specify the reference source for currency or rate quote for cash settlement purposes.
The AttachmentGrp component provides the ability to attach other media type documents to a FIX message for transmission. The media type can be any of the media types (previously referred to as MIME types) that are listed by IANA (www.iana.org) [RFC2046].
The AttachmentGrp is intended to be used to attach documents in other formats, such as PDF, TIFF, and Microsoft Word, for example to a FIX message.
Note when the AttachmentGrp is used within a business message, such as the TradeCaptureReport(35=AE), the attachment should supplement the data already contained in the business message It is not intended to replace the content of the business message. The standard fields within the business message should be populated, even if they duplicate data expressed within the attachment(s).
Required if NoAttachments(2104) > 0.
Required if EncodedAttachment(2112) is present.
Either AttachmentExternalURL(2108) or EncodedAttachment(2112) must be specified if NoAttachments(2104) > 0.
Required if EncodedAttachment(2112) is present.
Must be set if EncodedAttachment(2112) is specified and must immediately precede it.
Either AttachmentExternalURL(2108) or EncodedAttachment(2112) must be specified if NoAttachments(2104) > 0.
The AttachmentKeywordGrp component provides a place to associate keywords with an attachment document to support the current approach of tagging to support metadata.
Required if NoAttachmentKeywords(2113) > 0.
The AssetAttributeGrp is a repeating subcomponent of the Instrument component used to detail attributes of the instrument asset.
Required if NoAssetAttributes(2304) > 0.
The ComplexEventAveragingObservationGrp is an optional subcomponent of ComplexEventPeriodGrp for specifying the weight of each of the dated observations.
Required if NoComplexEventAveragingObservations(40994) > 0.
The ComplexEventCreditEventGrp is a repeating component within the ComplexEventGrp component used to report applicable option credit events.
Required if NoComplexEventCreditEvents(40996) > 0.
Conditionally required when ComplexEventCreditEventUnit(41002) is specified.
Conditionally required when ComplexEventCreditEventPeriod(41001) is specified.
The ComplexEventCreditEventQualifierGrp is a repeating component within the ComplexEventCreditEventGrp component used to specify qualifying attributes to an event.
Required if NoComplexEventCreditEventQualifiers(41005) > 0.
The ComplexEventPeriodDateGrp is a subcomponent of ComplexEventPeriodGrp for specifying fixed period dates and times for an Asian or Strike Schedule option or trigger dates for a Barrier or Knock option.
Required if NoComplexEventPeriodDateTimes(41007) > 0.
The ComplexEventPeriodGrp is a subcomponent of ComplexEvents for specifying the periods for an Asian, Barrier, Knock or Strike Schedule option feature.
Required if NoComplexEventPeriods(41010) > 0.
The ComplexEventRateSourceGrp is a subcomponent of ComplexEvents for specifying primary and secondary rate sources.
Required if NoComplexEventRateSources(41013) > 0.
Required if NoComplexEventRateSources(41013) > 0.
Conditionally required when ComplexEventRateSource(41014) = 99 (Other).
The ComplexEventDateBusinessCenterGrp is a repeating subcomponent of the ComplexEventRelativeDate component used to specify the set of business centers whose calendars drive date adjustment. Used only to override the business centers defined in the DateAdjustment component in Instrument.
Required if NoComplexEventDateBuisinessCenters(41018) > 0.
The ComplexEventRelativeDate is a subcomponent of ComplexEvents for specifying the event date and time for an FX or Calendar Spread option or the payout date for a Barrier or Knock option.
Conditionally required when ComplexEventDateOffsetUnit(41023) is specified.
Conditionally required when ComplexEventDateOffsetPeriod(41022) is specified.
When specified, this overrides the business day convention defined in the DateAdjustment component in Instrument. The specified value would be specific to this instance of the instrument provisions.
When specified, this overrides the business centers defined in the DateAdjustment component in Instrument. The specified values would be specific to this instance of the instrument provisions.
The ComplexEventCreditEventSourceGrp is a repeating subcomponent of the ComplexEvents component used to specify the particular newspapers or electronic news services that may publish relevant information used in the determination of whether or not a credit event has occurred.
Required if NoComplexEventCreditEventSources(41029) > 0.
The ComplexEventScheduleGrp is a subcomponent of ComplexEventPeriodGrp for specifying a periodic schedule for an Asian, Barrier or Strike Schedule option feature.
Required if NoComplexEventSchedules(41031) > 0.
Conditionally required when ComplexEventScheduleFrequencyUnit(41035) is specified.
Conditionally required when ComplexEventScheduleFrequencPeriod(41034) is specified.
When specified, this overrides the date roll convention defined in the DateAdjustment component in Instrument. The specified values would be specific to this instance of the schedule.
The DeliveryScheduleGrp is a repeating subcomponent of the Stream component used to detail step schedules associated with a delivery stream.
Note: Holiday schedule is standard for the country and time zone and need not be specified.
Required if NoDeliverySchedules(41037) > 0.
Conditionally required when DeliveryScheduleNegativeTolerance(41043) or DeliverySchedulePositiveTolerance(41044) is specified.
The DeliveryScheduleSettlDayGrp is a repeating subcomponent of the DeliveryScheduleGrp component used to detail commodity delivery days.
Required if NoDeliveryScheduleSettlDays(41051) > 0.
The DeliveryScheduleSettlTimeGrp is a repeating subcomponent of the DeliveryScheduleSettlDayGrp component used to detail commodity delivery time period.
Required if NoDeliveryScheduleSettlTimes(41054) > 0.
Required if NoDeliveryScheduleSettlTimes(41054) > 0.
May be defaulted to market convention or bilaterally agreed if not specified.
The DeliveryStream component is used to optionally specify the attributes of a physical delivery stream in a swap.
The DeliveryStreamCycleGrp is a repeating subcomponent of the DeliveryStream component used to detail delivery cycles during which the oil product will be transported in the pipeline.
Required if NoDeliveryStreamCycles(41081) > 0.
Must be set if EncodedDeliveryStreamCycleDesc(41084) field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the DeliveryStreamCycleDesc(41082) field in the encoded format specified via the MessageEncoding(347) field.
The DeliveryStreamCommoditySourceGrp is a repeating subcomponent of the DeliveryStream component used to detail the origins or sources of the commodity.
Required if NoDeliveryStreamCommoditySources(41085) > 0.
The MarketDisruption component is a subcomponent of the Instrument used to specify the market disruption provisions of the swap.
If specified, the disruption event should be specified in MarketDisruptionEventGrp.
Applicable only when MarketDisruptionEvent(41093)='DeMinimisTrading'.
The MarketDisruptionEventGrp is a repeating subcomponent of the MarketDisruption component used to specify the market disruption events.
Required if NoMarketDisruptionEvents(41092) > 0.
The MarketDisruptionFallbackGrp is a repeating subcomponent of the MarketDisruption component used to specify the market disruption fallback provisions.
Required if NoMarketDisruptionFallbacks(41094) > 0.
The sequence of entries specifies the order in which the fallback provisions should be applied.
The MarketDisruptionFallbackReferencePriceGrp is a repeating subcomponent of the MarketDisruption component used to specify the fallback reference price and underlying security provisions
Required if NoMarketDisruptionFallbackReferencePrices(41096) > 0.
Conditionally required when MarketDisruptionFallbackUnderlyerSecurityIDSource(41099) is specified.
Conditionally required when MarketDisruptionFallbackUnderlierSecurityID(41098) is specified.
Must be set if EncodedMarketDisruptionFallbackUnderlierSecurityDesc(41102) field is specified and must immediately precede it
Encoded (non-ASCII characters) representation of the MarketDisruptionFallbackUnderlierSecurityDesc(41100) field in the encoded format specified via the MessageEncoding(347) field.
The OptionExercise component is a subcomponent of the Instrument component used to specify option exercise provisions.
Must be set if EncodedExerciseDesc(41108) field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the ExerciseDesc(41106) field in the encoded format specified via the MessageEncoding(347) field.
The OptionExerciseBusinessCenterGrp is a repeating subcomponent of the OptionExerciseDates component used to specify the set of business centers whose calendars drive date adjustment. Used only to override the business centers defined in the DateAdjustment component in Instrument.
Required if NoOptionExerciseBusinessCenters(41116) > 0.
The OptionExerciseDate component is a subcomponent of the OptionExercise component used to specify option exercise dates.
When specified, this overrides the business day convention defined in the DateAdjustment component in Instrument. The specified value would be specific to this instance of option exercise dates.
When specified, this overrides the business centers defined in the DateAdjustment component in Instrument. The specified values would be specific to this instance of option exercise dates.
Conditionally required when OptionExerciseEarliestDateUnit(41121) is specified.
Conditionally required when OptionExerciseEarliestDatePeriod(41120) is specified.
Conditionally required when OptionExerciseFrequencyUnit(41123) is specified.
Conditionally required when OptionExerciseFrequencyPeriod(41122) is specified.
Conditionally required when OptionExerciseStartDateOffsetUnit(41127) is specified.
Conditionally required when OptionExerciseStartDateOffsetPeriod(41126) is specified.
The OptionExerciseDateGrp is a repeating subcomponent of the OptionExerciseDates component used to specify fixed dates for exercise.
Required if NoOptionExerciseDates(41137) > 0.
When specified it applies not only to the current date but to all subsequent dates in the group until overridden with a new type.
The OptionExerciseExpirationDateBusinessCenterGrp is a repeating subcomponent of the OptionExerciseExpiration component used to specify the set of business centers whose calendars drive date adjustment. Used only to override the business centers defined in the DateAdjustment component in Instrument.
Required if NoOptionExerciseExpirationDateBusinessCenters(41140) > 0.
The OptionExerciseExpiration component is a subcomponent of the OptionExercise component used to specify option exercise expiration dates and times.
When specified, this overrides the business day convention defined in the DateAdjustment component in Instrument. The specified value would be specific to this instance of option exercise expiration dates.
When specified, this overrides the business centers defined in the DateAdjustment component in Instrument. The specified values would be specific to this instance of option exercise expiration dates.
Conditionally required when OptionExerciseExpirationDateOffsetUnit(41145) is specified.
Conditionally required when OptionExerciseExpirationDateOffsetPeriod(41144) is specified.
Conditionally required when OptionExerciseExpirationFrequencyUnit(41147) is specified.
Conditionally required when OptionExerciseExpirationFrequencyPeriod(41146) is specified.
When specified, this overrides the date roll convention defined in the DateAdjustment component in Instrument. The specified values would be specific to this instance of the option expiration dates and times.
The OptionExerciseExpirationDateGrp is a repeating subcomponent of the OptionExerciseExpiration component used to specify fixed dates for expiration.
Required if NoOptionExpirationDates(41152) > 0.
When specified it applies not only to the current date but to all subsequent dates in the group until overridden with a new type.
The PaymentScheduleFixingDayGrp is a repeating subcomponent of the PaymentScheduleGrp component used to detail periodic fixing days.
If the fixing days are not specified, then every day of the week will be a fixing day.
Required if NoPaymentScheduleFixingDays(41161) > 0.
The PaymentStreamPricingBusinessCenterGrp is a repeating subcomponent of the PaymentStreamFloatingRate component used to specify the set of business centers whose calendars drive date adjustment. Used only to override the business centers defined in the DateAdjustment component in Instrument.
Required if NoPaymentStreamPricingBusinessCenters(41192) > 0.
The PaymentStreamPaymentDateGrp is a repeating subcomponent of the PaymentStreamPaymentDates component used to detail fixed dates for swap stream payments.
Required if NoPaymentStreamPaymentDates(41220) > 0.
When specified it applies not only to the current date but to all subsequent dates in the group until overridden with a new type.
The PaymentStreamPricingDateGrp is a repeating subcomponent of the PaymentStreamFloatingRate component used to detail fixed pricing dates.
Required if NoPaymentStreamPricingDates(41224) > 0.
When specified it applies not only to the current date but to all subsequent dates in the group until overridden with a new type.
The PaymentStreamPricingDayGrp is a repeating subcomponent of the PaymentStreamFloatingRate component used to detail periodic pricing days.
If the fixing days are not specified, then every day of the week will be a fixing day.
Required if NoPaymentStreamPricingDays(41227) > 0.
PricingDateBusinessCenterGrp is a repeating subcomponent of the PricingDateTime component used to specify the set of business centers whose calendars drive date adjustment. Used only to override the business centers defined in the DateAdjustment component in Instrument.
Required if NoPricingDateBusinessCenters(41230) > 0.
The PricingDateTime component is a subcomponent of Instrument used to specify an adjusted or unadjusted pricing or fixing date and optionally the time, e.g. for a commodity or FX forward trade.
When specified, this overrides the business day convention defined in the DateAdjustment component in Instrument. The specified value would be specific to this instance of pricing dates.
When specified, this overrides the business centers defined in the DateAdjustment component in Instrument. The specified values would be specific to this instance of pricing dates.
The StreamAssetAttributeGrp is a repeating subcomponent of the StreamCommodity component used to detail commodity attributes, quality standards and reject limits.
Required if NoStreamAssetAttributes(41237) > 0.
The StreamCalculationPeriodDateGrp is a repeating subcomponent of the StreamCalculationPeriodDates component used to detail fixed dates for the swap stream.
Required if NoStreamCalculationPeriodDates(41241) > 0.
When specified it applies not only to the current date but to all subsequent dates in the group until overridden with a new type.
StreamCommoditySettlBusinessCenterGrp is a repeating subcomponent of the StreamCommodity component used to specify the set of business centers whose calendars drive date adjustment. Used only to override the business centers defined in the DateAdjustment component in Instrument.
Required if NoStreamCommoditySettlBusinessCenters(41249) > 0.
StreamCommodity is a subcomponent of the Stream component used to identify and describe the underlying commodity.
Conditionally required when StreamCommoditySecurityIDSource(41254) is specified.
Conditionally required when StreamCommoditySecurityID(41253) is specified.
Must be set if EncodedCommodityDesc(41257) field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the StreamCommodityDesc(41255) field in the encoded format specified via the MessageEncoding(347) field.
May be used to specify the delivery or pricing region of a non-standard commodity swap contract (e.g. when InstrAttribType(871)=38 (US standard contract indicator) and InstrAttribValue(872)=N).
Conditionally required when StreamCommodityNearbySettlDayUnit(41267) is specified.
Conditionally required when StreamCommodityNearbySettlDayPeriod(41266) is specified.
When specified, this overrides the business day convention defined in the DateAdjustment component in Instrument. The specified value would be specific to this instance of settlement dates.
When specified, this overrides the business centers defined in the DateAdjustment component in Instrument. The specified values would be specific to this instance of settlement dates.
Conditionally required when StreamCommoditySettlDateRollUnit(41273) is specified.
Conditionally required when StreamCommoditySettlDateRollPeriod(41272) is specified.
StreamCommodityAltIDGrp is a subcomponent of the StreamCommodity component used to specify alternate identifiers.
Required if NoStreamCommodityAltIDs(41277) > 0.
Required if NoStreamCommodityAltIDs(41277) > 0.
StreamCommodityDataSourceGrp is a subcomponent of the StreamCommodity component used to specify sources of data, e.g. weather stations. The order of entry determines priority – first is the main source, second is fallback, third is second fallback.
Required if NoStreamCommodityDataSources(41280) > 0.
Required if NoStreamCommodityDataSources(41280) > 0.
The StreamCommoditySettlDayGrp is a repeating subcomponent of the StreamCommoditySettlPeriodGrp component used to define the settlement days associated with the commodity contract.
Required if NoStreamCommoditySettlDays(41283) > 0.
The StreamCommoditySettlTimeGrp is a repeating subcomponent of the StreamCommoditySettlDayGrp component used to define the settlement time periods associated with the commodity contract.
Required if NoStreamCommoditySettlTimes(41286) > 0.
Required if NoStreamCommoditySettlTimes(41286) > 0.
May be defaulted to market convention or bilaterally agreed if not specified.
The StreamCommoditySettlPeriodGrp is a repeating subcomponent of the StreamCommodity component used to define the settlement period details associated with the commodity contract.
Required if NoStreamCommoditySettlPeriods(41289) > 0.
Conditionally required when StreamCommoditySettlFrequencyUnit(41296) is specified.
Conditionally required when StreamCommoditySettlFrequencyPeriod(41295) is specified.
MandatoryClearingJurisdictionGrp is a repeating component of TradeCaptureReport used to specify the set of jurisdictions to which mandatory clearing applies.
Required if NoNoMandatoryClearingJurisdictions(41312) > 0.
The LegAdditionalTermBondRefGrp is a repeating group subcomponent of the LegAdditionalTermGrp component used to identify an underlying reference bond for a swap.
Required if NoLegAdditionalTermBondRefs(41316) > 0.
Conditionally required when LegAdditionalTermBondSecurityID(41317) is specified.
Must be set if EncodedLegAdditionalTermBondDesc(41321) field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the LegAdditionalTermBondDesc(41319) field in the encoded format specified via the MessageEncoding(347) field.
Must be set if EncodedLegAdditionalTermBondIssuer(41325) field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the LegAdditionalTermBondIssuer(41323) field in the encoded format specified via the MessageEncoding(347) field.
Conditionally required when LegAdditionalTermBondCouponFrequencyUnit(41333) is specified.
Conditionally required when LegAdditionalTermBondCouponFrequencyPeriod(41332) is specified.
The LegAdditionalTermGrp is a repeating subcomponent of the InstrumentLeg component used to report additional contract terms.
Required if NoLegAdditionalTerms(41335) > 0.
The LegAssetAttributeGrp is a repeating subcomponent of the InstrumentLeg component used to detail attributes of the instrument asset.
Required if NoLegAssetAttributes(2308) > 0.
LegCashSettlDealerGrp is a repeating subcomponent of the LegCashSettlTermGrp component used to specify the dealers from whom price quotations for the reference obligation are obtained for the purpose of cash settlement valuation.
Required if NoLegCashSettlDealers(41342) > 0.
The LegCashSettlTermGrp is a repeating component within the InstrumentLeg component used to report cash settlement terms.
Usage of LegCashSettlTermGrp must either include a known LegCashSettlAmount(41357) or provide the cash settlement term parameters needed to derive the cash settlement amount. LegCashSettlTermXID(41362) is provided for cross-referencing from an instance of the UnderlyingInstrument component through the UnderlyingSettlTermXIDRef(41315) field.
Required if NoLegCashSettlTerms(41344) > 0.
LegComplexEventAveragingObservationGrp is an optional subcomponent of LegComplexEventPeriodGrp for specifying the weight of each of the dated observations.
Required if NoLegComplexEventAveragingObservations(41363) > 0.
The LegComplexEventCreditEventGrp is a repeating component within the LegComplexEventGrp component used to report applicable option credit events.
Required if NoLegComplexEventCreditEvents(41366) > 0.
Conditionally required when LegComplexEventCreditEventUnit(41371) is specified.
Conditionally required when LegComplexEventCreditEventPeriod(41370) is specified.
The LegComplexEventCreditEventQualifierGrp is a repeating component within the LegComplexEventCreditEventGrp component used to specify qualifying attributes to an event.
Required if NoLegComplexEventCreditEventQualifiers(41374) > 0.
LegComplexEventPeriodDateGrp is a subcomponent of LegComplexEventPeriodGrp for specifying fixed period dates and times for an Asian or Strike Schedule option or trigger dates for a Barrier or Knock option.
Required if NoLegComplexEventPeriodDateTimes(41376) > 0.
LegComplexEventPeriodGrp is a subcomponent of LegComplexEvents for specifying the periods for an Asian, Barrier, Knock or Strike Schedule option feature.
Required if NoLegComplexEventPeriods(41379) > 0.
LegComplexEventRateSourceGrp is a subcomponent of LegComplexEvents for specifying primary and secondary rate sources.
Required if NoLegComplexEventRateSources(41382) > 0.
Required if NoLegComplexEventRateSources(41382) > 0.
Conditionally required when LegComplexEventRateSource(41383) = 99 (Other).
LegComplexEventDateBusinessCenterGrp is a repeating subcomponent of the LegComplexEventRelativeDate component used to specify the set of business centers whose calendars drive date adjustment. Used only to override the business centers defined in the LegDateAdjustment component in InstrumentLeg.
Required if NoLegComplexEventDateBusinessCenters(41387) > 0.
LegComplexEventRelativeDate is a subcomponent of LegComplexEvents for specifying the event date and time for an FX or Calendar Spread option or the payout date for a Barrier or Knock option.
Conditionally required when LegComplexEventDateOffsetUnit(41392) is specified.
Conditionally required when LegComplexEventDateOffsetPeriod(41391) is specified.
When specified, this overrides the business day convention defined in the LegDateAdjustment component in InstrumentLeg. The specified value would be specific to complex event dates.
When specified, this overrides the business centers defined in the LegDateAdjustment component in InstrumentLeg. The specified values would be specific to complex event dates.
LegComplexEventCreditEventSourceGrp is a repeating subcomponent of the LegComplexEvents component used to specify the particular newspapers or electronic news services that may publish relevant information used in the determination of whether or not a credit event has occurred.
Required if NoLegComplexEventCreditEventSources(41398) > 0.
The LegComplexEvent Group is a repeating block which allows specifying an unlimited number and types of advanced events, such as observation and pricing over the lifetime of an option, futures, commodities or equity swap contract. Use LegEvntGrp to specify more straightforward events.
Required if NoLegComplexEvents(2218)) > 0.
Conditionally required when there are more than one LegComplexEvents occurrences. A chain of LegComplexEvents must be linked together through use of the LegComplexEventCondition(2232) in which the relationship between any two events is described. For any two LegComplexEvents the first occurrence will specify the LegComplexEventCondition(2232) which links it with the second event.
The LegComplexEventDates and subcomponent LegComplexEventTimes components are used to constrain a complex event to a specific date range, and optional time range. If specified the event is only effective on or within the specified dates and times.
Required if NoLegComplexEventDates(2250) > 0.
Required if NoLegComplexEventDates(2250) > 0.
The LegComplexEventTimes is a repeating subcomponent of the LegComplexEventDates component. It is used to further qualify any dates placed on the event and is used to specify time ranges for which a complex event is effective. It is always provided within the context of start and end dates. The time range is assumed to be in effect for the entirety of the date or date range specified.
Required if NoLegComplexEventTimes(2253) > 0.
Required if NoLegComplexEventTimes(2253) > 0.
LegComplexEventScheduleGrp is a subcomponent of LegComplexEventPeriodGrp for specifying a periodic schedule for an Asian, Barrier or Strike Schedule option feature.
Required if NoLegComplexEventScedules(41400) > 0.
Conditionally required when LegComplexEventScheduleFrequencyUnit(41404) is specified.
Conditionally required when LegComplexEventScheduleFrequencyPeriod(41403) is specified.
When specified, this overrides the date roll convention defined in the LegDateAdjustment component in InstrumentLeg. The specified values would be specific to this instance of the option expiration dates and times.
The LegDeliveryScheduleGrp is a repeating subcomponent of the LegStream component used to detail step schedules associated with a delivery stream.
Note: Holiday schedule is standard for the country and time zone and need not be specified.
Required if NoLegDeliverySchedules(41408) > 0.
Conditionally required when LegDeliveryScheduleNegativeTolerance(41414) or LegDeliverySchedulePositiveTolerance(41415) is specified.
The LegDeliveryScheduleSettlDayGrp is a repeating subcomponent of the LegDeliveryScheduleGrp component used to detail commodity delivery days.
Required if NoLegDeliveryScheduleSettlDays(41422) > 0.
The LegDeliveryScheduleSettlTimeGrp is a repeating subcomponent of the LegDeliveryScheduleSettlDayGrp component used to detail commodity delivery time periods.
Required if NoLegDeliveryScheduleSettlTimes(41425) > 0.
Required if NoLegDeliveryScheduleSettlTimes(41425) > 0.
May be defaulted to market convention or bilaterally agreed if not specified.
The LegDeliveryStream component is a subcomponent of the LegStream used to detail the attributes of a physical delivery stream in a swap.
The LegStreamAssetAttributeGrp is a repeating subcomponent of the LegStreamCommodity component used to detail commodity attributes, quality standards and reject limits.
Required if NoLegStreamAssetAttributes(41452) > 0.
The LegDeliveryStreamCycleGrp is a repeating subcomponent of the LegDeliveryStream component used to detail delivery cycles during which the oil product will be transported in the pipeline.
Required if NoLegDeliveryStreamCycles(41456) > 0.
Must be set if EncodedLegDeliveryStreamCycleDesc(41459) field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the LegDeliveryStreamCycleDesc(41457) field in the encoded format specified via the MessageEncoding(347) field.
The LegDeliveryStreamCommoditySourceGrp is a repeating subcomponent of the LegDeliveryStream component used to detail the origins or sources of the commodity.
Required if NoLegDeliveryStreamCommoditySources(41460) > 0.
The use of this component block is restricted to instrument definition only and is not permitted to contain transactional information. Only a specified subset of party roles will be supported within the LegInstrumentParty block.
Repeating group below should contain unique combinations of LegInstrumentPartyID(2255), LegInstrumentPartyIDSource(2256) and LegInstrumentPartyRole(2257).
Used to identify the source of PartyID. Required if LegInstrumentPartyIDSource(2256) is specified. Required if NoLegInstrumentParties(2254) > 0.
Used to identify class source of LegInstrumentPartyID(2255) value (e.g. BIC). Required if LegInstrumentPartyID(2255) is specified. Required if NoLegInstrumentParties(2254) > 0.
Identifies the type of LegInstrumentPartyID(2255) (e.g. Executing Broker). Required if NoLegInstrumentParties(2254) > 0.
Repeating group of party sub-identifiers.
Required if NoLegInstrumentPartySubIDs(2258) > 0.
The LegMarketDisruption component is a subcomponent of the InstrumentLeg used to specify the market disruption provisions of the swap.
If specified, the disruption event should be specified in LegMarketDisruptionEventGrp.
Applicable only when LegMarketDisruptionEvent(41468)='DeMinimisTrading'.
The LegMarketDisruptionEventGrp is a repeating subcomponent of the LegMarketDisruption component used to specify the market disruption events.
Required if NoLegMarketDisruptionEvents(41467) > 0.
The LegMarketDisruptionFallbackGrp is a repeating subcomponent of the LegMarketDisruption component used to specify the market disruption fallback provisions.
Required if NoLegMarketDisruptionFallbacks(41469) > 0.
The sequence of entries specifies the order in which the fallback provisions should be applied.
The LegMarketDisruptionFallbackReferencePriceGrp is a repeating subcomponent of the LegMarketDisruption component used to specify the fallback reference price and underlying security provisions
Required if NoLegMarketDisruptionFallbackReferencePrices(41471) > 0.
Conditionally required when LegMarketDisruptionFallbackUnderlyerSecurityIDSource(41474) is specified.
Conditionally required when LegMarketDisruptionFallbackUnderlierSecurityID(41473) is specified.
Must be set if EncodedLegMarketDisruptionFallbackUnderlierSecurityDesc(41477) field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the LegMarketDisruptionFallbackUnderlierSecurityDesc(41475) field in the encoded format specified via the MessageEncoding(347) field.
The LegOptionExercise component is a subcomponent of the InstrumentLeg component used to specify option exercise provisions.
Must be set if EncodedLegExerciseDesc (41483) field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the LegExerciseDesc(41481) field in the encoded format specified via the MessageEncoding(347) field.
LegOptionExerciseBusinessCenterGrp is a repeating subcomponent of the LegOptionExerciseDates component used to specify the set of business centers whose calendars drive date adjustment. Used only to override the business centers defined in the LegDateAdjustment component in InstrumentLeg.
Required if NoLegOptionExerciseBusinessCenters(41491) > 0.
The LegOptionExerciseDates component is a subcomponent of the LegOptionExercise component used to specify option exercise dates.
When specified, this overrides the business day convention defined in the LegDateAdjustment component in InstrumentLeg. The specified value would be specific to this instance of option exercise dates.
Conditionally required when LegOptionExerciseEarliestDateUnit(41496) is specified.
Conditionally required when LegOptionExerciseEarliestDatePeriod(41495) is specified.
Conditionally required when LegOptionExerciseFrequencyUnit(41498) is specified.
Conditionally required when LegOptionExerciseFequencyPeriod(41497) is specified.
Conditionally required when LegOptionExerciseStartDateOffsetUnit(41502) is specified.
Conditionally required when LegOptionExerciseStartDateOffsetPeriod(41501) is specified.
The LegOptionExerciseDateGrp is a repeating subcomponent of the LegOptionExerciseDates component used to specify fixed dates for exercise.
Required if NoLegOptionExerciseDates(41512) > 0.
When specified it applies not only to the current date but to all subsequent dates in the group until overridden with a new type.
LegOptionExerciseExpirationDateBusinessCenterGrp is a repeating subcomponent of the LegOptionExerciseExpiration component used to specify the set of business centers whose calendars drive date adjustment. Used only to override the business centers defined in the LegDateAdjustment component in InstrumentLeg.
Required if NoLegOptionExerciseExpirationDateBusinessCenters(41515) > 0.
The LegOptionExerciseExpiration component is a subcomponent of the LegOptionExercise component used to specify option exercise expiration dates and times.
When specified, this overrides the business day convention defined in the LegDateAdjustment component in InstrumentLeg. The specified values would be specific to the option exercise expiration date.
When specified, this overrides the business centers defined in the LegDateAdjustment component in InstrumentLeg. The specified values would be specific to the option exercise expiration date.
Conditionally required when LegOptionExerciseExpirationDateOffsetUnit(41520) is specified.
Conditionally required when LegOptionExerciseExpirationDateOffsetPeriod(41519) is specified.
Conditionally required when LegOptionExerciseExpirationFrequencyUnit(41522) is specified.
Conditionally required when LegOptionExerciseExpirationFrequencyPeriod(41521) is specified.
When specified, this overrides the date roll convention defined in the LegDateAdjustment component in InstrumentLeg. The specified values would be specific to this instance of the option expiration date.
The LegOptionExerciseExpirationDateGrp is a repeating subcomponent of the LegOptionExerciseExpiration component used to specify fixed dates for expiration.
Required if NoLegOptionExerciseExpirationDates(41527) > 0.
When specified it applies not only to the current date but to all subsequent dates in the group until overridden with a new type.
The LegPaymentScheduleFixingDayGrp is a repeating subcomponent of the LegPaymentScheduleGrp component used to detail periodic fixing days.
If the fixing days are not specified, then every day of the week will be a fixing day.
Required if NoLegPaymentScheduleFixingDays(41530) > 0.
LegPaymentStreamPricingBusinessCenterGrp is a repeating subcomponent of the LegPaymentStreamFloatingRate component used to specify the set of business centers whose calendars drive date adjustment. Used only to override the business centers defined in the LegDateAdjustment component in InstrumentLeg.
Required if NoLegPaymentStreamPricingBusinessCentrers(41561) > 0.
The LegPaymentStreamPaymentDateGrp is a repeating subcomponent of the LegPaymentStreamPaymentDates component used to detail fixed dates for swap stream payments.
Required if NoLegPaymentStreamPaymentDates(41589) > 0.
When specified it applies not only to the current date but to all subsequent dates in the group until overridden with a new type.
The LegPaymentStreamPricingDateGrp is a repeating subcomponent of the LegPaymentStreamFloatingRate component used to detail fixed pricing dates.
Required if NoPaymentStreamPricingDates(41593) > 0.
When specified it applies not only to the current date but to all subsequent dates in the group until overridden with a new type.
The LegPaymentStreamPricingDayGrp is a repeating subcomponent of the LegPaymentStreamFloatingRate component used to detail periodic pricing days.
If the fixing days are not specified, then every day of the week will be a fixing day.
Required if NoLegPaymentStreamPricingDays(41596) > 0.
The LegPhysicalSettlTermGrp is a repeating component within the InstrumentLeg component used to report physical settlement terms.
Required if NoLegPhysicalSettlTerms(41599) > 0.
The LegPhysicalSettlDeliverableObligationGrp is a repeating component within the LegPhysicalSettlTermGrp component used to report credit default swap (CDS) physical settlement delivery obligations.
Required if NoLegPhysicalSettlDeliverableObligations(41604) > 0.
LegPricingDateBusinessCenterGrp is a repeating subcomponent of the LegPricingDateTime component used to specify the set of business centers whose calendars drive date adjustment. Used only to override the business centers defined in the LegDateAdjustment component in InstrumentLeg.
Required if NoLegPricingDateBusinessCenters(41607) > 0.
The LegPricingDateTime component is a subcomponent of InstrumentLeg used to specify an adjusted or unadjusted pricing or fixing date and optionally the time, e.g. for a commodity or FX forward trade.
When specified, this overrides the business day convention defined in the LegDateAdjustment component in InstrumentLeg. The specified value would be specific to the pricing dates.
When specified, this overrides the business centers defined in the LegDateAdjustment component in InstrumentLeg. The specified values would be specific to the pricing dates.
LegProtectionTermEventNewsSourceGrp is a repeating subcomponent of the LegProtectionTermGrp component used to specify the particular newspapers or electronic news services that may publish relevant information used in the determination of whether or not a credit event has occurred.
Required if NoLegProtectionTermEventNewsSources(41614) > 0.
The LegProtectionTermGrp is a repeating component within the InstrumentLeg component used to report protection term details.
Required if NoLegProtectionTerms(41616) > 0.
The LegProtectionTermEventGrp is a repeating component within the LegProtectionTermGrp component used to report applicable CDS credit events.
Required if NoLegProtectionTermEvents(41625) > 0.
Conditionally required when LegProtectionTermEventUnit(41630).
Conditionally required when LegProtectionTermEventPeriod(41629).
The LegProtectionTermEventQualifierGrp is a repeating component within the LegProtectionTermEventGrp component used to specify qualifying attributes to the event.
Required if NoLegProtectionTermEventQualifiers(41633) > 0.
The LegProtectionTermObligationGrp is a repeating component within the LegProtectionTermGrp component used to report applicable credit default swap (CDS) obligations.
Required if NoLegProtectionTermObligations(41635) > 0.
The LegStreamCalculationPeriodDateGrp is a repeating subcomponent of the LegStreamCalculationPeriodDates component used to detail fixed dates for the swap stream.
Required if NoLegStreamCalculationPeriodDates(41638) > 0.
LegStreamCommoditySettlBusinessCenterGrp is a repeating subcomponent of the LegStreamCommodity component used to specify the set of business centers whose calendars drive date adjustment. Used only to override the business centers defined in the LegDateAdjustment component in InstrumentLeg.
Required if NoLegStreamCommoditySettlementBusinessCenters(41646) > 0.
LegStreamCommodity is a subcomponent of the LegStream component used to identify and describe the underlying commodity.
Conditionally required when LegStreamCommoditySecurityIDSource(41651) is specified.
Conditionally required when LegStreamCommoditySecurityID(41650) is specified.
Must be set if EncodedLegStreamCommodityDesc(41654) field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the LegStreamCommodityDesc(41652) field in the encoded format specified via the MessageEncoding(347) field.
May be used to specify the delivery or pricing region of a non-standard commodity swap contract (e.g. when InstrAttribType(871)=38 (US standard contract indicator) and InstrAttribValue(872)=N).
Conditionally required when LegStreamCommodityNearbySettlDayUnit(41664) is specified.
Conditionally required when LegStreamCommodityNearbySettlDayPeriod(41663) is specified.
When specified, this overrides the business day convention defined in the LegDateAdjustment component in InstrumentLeg. The specified values would be specific to the settlement date.
When specified, this overrides the business centers defined in the LegDateAdjustment component in InstrumentLeg. The specified values would be specific to the settlement date.
Conditionally required when LegStreamCommoditySettlDateRollUnit(41670) is specified.
Conditionally required when LegStreamCommoditySettlDateRollPeriod(41669) is specified.
LegStreamCommodityAltIDGrp is a subcomponent of the LegStreamCommodity component used to specify alternate identifiers.
Required if NoLegStreamCommodityAltIDs(41674) > 0.
Required if NoLegStreamCommodityAltIDs(41674) > 0.
LegStreamCommodityDataSourceGrp is a subcomponent of the LegStreamCommodity component used to specify sources of data, e.g. weather stations. The order of entry determines priority – first is the main source, second is fallback, third is second fallback.
Required if NoLegStreamCommodityDataSources(41677) > 0.
Required if NoLegStreamCommodityDataSources(41677) > 0.
The LegStreamCommoditySettlDayGrp is a repeating subcomponent of the LegStreamCommoditySettlPeriodGrp component used to define the settlement days associated with the commodity contract.
Required if NoLegStreamCommoditySettlementDays(41680) > 0.
The LegStreamCommoditySettlTimeGrp is a repeating subcomponent of the LegStreamCommoditySettlDayGrp component used to define the settlement time periods associated with the commodity contract.
Required if NoLegStreamCommoditySettlTimes(41683) > 0.
Required if NoLegStreamCommoditySettlTimes(41683) > 0.
May be defaulted to market convention or bilaterally agreed if not specified.
The LegStreamCommoditySettlPeriodGrp is a repeating subcomponent of the LegStreamCommodiry component used to to define the settlement period details associated with the commodity contract.
Required if NoLegStreamCommoditySettlPeriods(41686) > 0.
Conditionally required when LegStreamCommoditySettlPeriodFrequencyUnit(41693) is specified.
Conditionally required when LegStreamCommoditySettlPeriodFrequencyPeriod(41692) is specified.
The UnderlyingAssetAttributeGrp is a repeating subcomponent of the UnderlyingInstrument component used to detail attributes of the instrument asset.
Required if NoUnderlyingAssetAttributes(2312) > 0.
UnderlyingComplexEventAveragingObservationGrp is an optional subcomponent of UnderlyingComplexEventPeriodGrp for specifying the weight of each of the dated observations.
Required if NoUnderlyingComplexEventAveragingObservations(41713) > 0.
The UnderlyingComplexEventCreditEventGrp is a repeating component within the UnderlyingComplexEventGrp component used to report applicable option credit events.
Required if NoUnderlyingComplexEventCreditEvents(41716) > 0.
Conditionally required when UnderlyingComplexEventCreditEventUnit(41721) is specified.
Conditionally required when UnderlyingComplexEventCreditEventPeriod(41720) is specified.
The UnderlyingComplexEventCreditEventQualifierGrp is a repeating component within the UnderlyingComplexEventCreditEventGrp component used to specify qualifying attributes to an event.
Required if NoUnderlyingComplexEventCreditEventQualifiers(41724) > 0.
UnderlyingComplexEventPeriodDateGrp is a subcomponent of UnderlyingComplexEventPeriodGrp for specifying fixed period dates and times for an Asian or Strike Schedule option or trigger dates for a Barrier or Knock option.
Required if NoUnderlyingComplexEventPeriodDateTimes(41726) > 0.
UnderlyingComplexEventPeriodGrp is a subcomponent of UnderlyingComplexEvents for specifying the periods for an Asian, Barrier, Knock or Strike Schedule option feature.
Required if NoUnderlyingComplexEventPeriods(41729) > 0.
UnderlyingComplexEventRateSourceGrp is a subcomponent of UnderlyingComplexEvents for specifying primary and secondary rate sources.
Required if NoUnderlyingComplexEventRateSources(41732) > 0.
Required if NoUnderlyingComplexEventRateSources(41732) > 0.
Conditionally required when ComplexEventRateSource(41014) = 99 (Other).
UnderlyingComplexEventDateBusinessCenterGrp is a repeating subcomponent of the UnderlyingComplexEventRelativeDate component used to specify the set of business centers whose calendars drive date adjustment. Used only to override the business centers defined in the UnderlyingDateAdjustment component in UnderlyingInstrument.
Required if NoUnderlyingComplexEventDateBusinessCenters(41737) > 0.
UnderlyingComplexEventRelativeDate is a subcomponent of UnderlyingComplexEvents for specifying the event date and time for an FX or Calendar Spread option or the payout date for a Barrier or Knock option.
Conditionally required when UnderlyingComplexEventDateOffsetUnit(41742) is specified.
Conditionally required when UnderlyingComplexEventDateOffsetPeriod(41741) is specified.
When specified, this overrides the business day convention defined in the UnderlyingDateAdjustment component in UnderlyingInstrument. The specified value would be specific to the underlying complex event dates.
When specified, this overrides the business centers defined in the UnderlyingDateAdjustment component in UnderlyingInstrument. The specified values would be specific to the underlying complex event dates.
UnderlyingComplexEventCreditEventSourceGrp is a repeating subcomponent of the UnderlyingComplexEvents component used to specify the particular newspapers or electronic news services that may publish relevant information used in the determination of whether or not a credit event has occurred.
Required if NoUnderlyingCreditEventCreditEventSources(41748) > 0.
UnderlyingComplexEventScheduleGrp is a subcomponent of UnderlyingComplexEventPeriodGrp for specifying a periodic schedule for an Asian, Barrier or Strike Schedule option feature.
Required if NoUnderlyingComplexEventSchedules(41750) > 0.
Conditionally required when UnderlyingComplexEventScheduleFrequencyUnit(41754) is specified.
Conditionally required when UnderlyingComplexEventScheduleFrequencyPeriod(41753) is specified.
When specified, this overrides the date roll convention defined in the UnderlyingDateAdjustment component in UnderlyingInstrument. The specified values would be specific to this instance of the option schedule dates.
The UnderlyingDeliveryScheduleGrp is a repeating subcomponent of the UnderlyingStream component used to detail step schedules associated with a delivery stream.
Note: Holiday schedule is standard for the country and time zone and need not be specified.
Required if NoUnderlyingDeliverySchedules(41756) > 0.
Conditionally required when UnderlyingDeliveryScheduleNegativeTolerance(41762) or UnderlyingDeliverySchedulePositiveTolerance(41763) is specified.
The UnderlyingDeliveryScheduleSettlDayGrp is a repeating subcomponent of the UnderlyingDeliveryScheduleGrp component used to detail commodity delivery days.
Required if NoUnderlyingDeliveryScheduleSettlDays(41770) > 0.
The UnderlyingDeliveryScheduleSettlTimeGrp is a repeating subcomponent of the UnderlyingDeliveryScheduleSettlDayGrp component used to detail commodity delivery time periods.
Required if NoUnderlyingDeliveryScheduleSettlTimes(41773) > 0.
Required if NoUnderlyingDeliveryScheduleSettlTimes(41773) > 0.
May be defaulted to market convention or bilaterally agreed if not specified.
The UnderlyingDeliveryStream component is a subcomponent of the UnderlyingStream used to detail the attributes of a physical delivery stream in a swap.
The UnderlyingStreamAssetAttributeGrp is a repeating subcomponent of the UnderlyingStreamCommodity component used to detail commodity attributes, quality standards and reject limits.
Required if NoUnderlyingStreamAssetAttributes(41800) > 0.
The UnderlyingDeliveryStreamCycleGrp is a repeating subcomponent of the UnderlyingDeliveryStream component used to detail delivery cycles during which the oil product will be transported in the pipeline.
Required if NoUnderlyingDeliveryStreamCycles(41804) > 0.
Must be set if EncodedUnderlyingDeliveryStreamCycleDesc(41807) field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the UnderlyingDeliverySreamCycleDesc(41805) field in the encoded format specified via the MessageEncoding(347) field.
The UnderlyingDeliveryStreamCommoditySourceGrp is a repeating subcomponent of the UnderlyingDeliveryStream component used to detail the origins or sources of the commodity.
Required if NoUnderlyingDeliveryStreamCommoditySources(41808) > 0.
The UnderlyingOptionExercise component is a subcomponent of the UnderlyingInstrument component used to specify option exercise provisions.
Must be set if EncodedUnderlyingExerciseDesc(41812) field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the UnderlyingExerciseDesc(41810) field in the encoded format specified via the MessageEncoding(347) field.
UnderlyingOptionExerciseBusinessCenterGrp is a repeating subcomponent of the UnderlyingOptionExerciseDates component used to specify the set of business centers whose calendars drive date adjustment. Used only to override the business centers defined in the UnderlyingDateAdjustment component in UnderlyingInstrument.
Required if NoUnderlyingOptionExerciseBusinessCenters(41820) > 0.
The UnderlyingOptionExerciseDate component is a subcomponent of the UnderlyingOptionExercise component used to specify option exercise dates.
When specified, this overrides the business day convention defined in the UnderlyingDateAdjustment component in UnderlyingInstrument. The specified value would be specific to the underlying exercise dates.
When specified, this overrides the business centers defined in the UnderlyingDateAdjustment component in UnderlyingInstrument. The specified values would be specific to the underlying option exercise dates.
Conditionally required when UnderlyingOptionExerciseEarliestDateUnit(41825) is specified.
Conditionally required when UnderlyingOptionExerciseEarliestDatePeriod(41824) is specified.
Conditinally required when UnderlyingOptionExerciseFrequencyUnit(41827) is specified.
Conditinally required when UnderlyingOptionExerciseFrequencyPeriod(41826) is specified.
Conditionally required when UnderlyingOptionExerciseStartDateOffsetUnit(41831) is specified.
Conditionally required when UnderlyingOptionExerciseStartDateOffsetPeriod(41830) is specified.
The UnderlyingOptionExerciseDateGrp is a repeating subcomponent of the UnderlyingOptionExerciseDates component used to specify fixed dates for exercise.
Required if NoUnderlyingOptionExerciseDates(41841) > 0.
When specified it applies not only to the current date but to all subsequent dates in the group until overridden with a new type.
UnderlyingOptionExerciseExpirationDateBusinessCenterGrp is a repeating subcomponent of the UnderlyingOptionExerciseExpiration component used to specify the set of business centers whose calendars drive date adjustment. Used only to override the business centers defined in the UnderlyingDateAdjustment component in UnderlyingInstrument.
Required if NoUnderlyingOptionExerciseExpirationDateBusinessCenters(41844) > 0.
The UnderlyingOptionExerciseExpiration component is a subcomponent of the UnderlyingOptionExercise component used to specify option exercise expiration dates and times.
When specified, this overrides the business day convention defined in the UnderlyingDateAdjustment component in UnderlyingInstrument. The specified value would be specific to the underlying exercise expiration dates.
When specified, this overrides the business centers defined in the UnderlyingDateAdjustment component in UnderlyingInstrument. The specified values would be specific to the underlying option exercise expiration dates.
Conditionally required when UnderlyingOptionExerciseExpirationDateOffsetUnit(41849) is specified.
Conditionally required when UnderlyingOptionExerciseExpirationDateOffsetPeriod(41848) is specified.
Conditionally required when UnderlyingOptionExerciseExpirationFrequencyUnit(41851) is specified.
Conditionally required when UnderlyingOptionExerciseExpirationFrequencyPeriod(41850) is specified.
When specified, this overrides the date roll convention defined in the UnderlyingDateAdjustment component in UnderlyingInstrument. The specified values would be specific to this instance of the option exercise dates.
The UnderlyingOptionExerciseExpirationDateGrp is a repeating subcomponent of the UnderlyingOptionExerciseExpiration component used to specify fixed dates for expiration.
Required if NoUnderlyingOptionExpirationDates(41856) > 0.
When specified it applies not only to the current date but to all subsequent dates in the group until overridden with a new type.
The UnderlyingMarketDisruption component is a subcomponent of the UnderlyingInstrument used to specify the market disruption provisions of the swap.
If specified, the disruption event should be specified in UnderlyingMarketDisruptionEventGrp.
Applicable only when UnderlyingMarketDisruptionEvent(41865)='DeMinimisTrading'.
The UnderlyingMarketDisruptionEventGrp is a repeating subcomponent of the UnderlyingMarketDisruption component used to specify the market disruption events.
Required if NoUnderlyingMarketDisruptionEvents(41864) > 0.
The UnderlyingMarketDisruptionFallbackGrp is a repeating subcomponent of the UnderlyingMarketDisruption component used to specify the market disruption fallback provisions.
Required if NoUnderlyingMarketDisruptionFallbacks(41866) > 0.
The sequence of entries specifies the order in which the fallback provisions should be applied.
The UnderlyingMarketDisruptionFallbackReferencePriceGrp is a repeating subcomponent of the UnderlyingMarketDisruption component used to specify the fallback reference price and underlying security provisions
Required if NoUnderlyingMarketDisruptionFallbackReferencePrices (41868) > 0.
Conditionally required whem UnderlyingMarketDisruptionFallbackUnderlierSecurityIDSource(41871) is specified.
Conditionally required whem UnderlyingMarketDisruptionFallbackUnderlierSecurityID(41870) is specified.
Must be set if EncodedUnderlyingMarketDisruptionFallbackUnderlierSecurityDesc(41874) field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the UnderlyingMarketDisruptionFallbackUnderlierSecurityDesc(41872) field in the encoded format specified via the MessageEncoding(347) field.
The UnderlyingPaymentScheduleFixingDayGrp is a repeating subcomponent of the UnderlyingPaymentScheduleGrp component used to detail periodic fixing days.
If the fixing days are not specified, then every day of the week will be a fixing day.
Required if NoUnderlyingPaymentScheduleFixingDays(41878) > 0.
UnderlyingPaymentStreamPricingBusinessCenterGrp is a repeating subcomponent of the UnderlyingPaymentStreamFloatingRate component used to specify the set of business centers whose calendars drive date adjustment. Used only to override the business centers defined in the UnderlyingDateAdjustment component in UnderlyingInstrument.
Required if NoUnderlyingPaymentStreamPricingBusinessCenters(41909) > 0.
The UnderlyingPaymentStreamPaymentDateGrp is a repeating subcomponent of the UnderlyingPaymentStreamPaymentDates component used to detail fixed dates for swap stream payments.
Required if NoUnderlyingPaymentStreamPaymentDates(41937) > 0.
When specified it applies not only to the current date but to all subsequent dates in the group until overridden with a new type.
The UnderlyingPaymentStreamPricingDateGrp is a repeating subcomponent of the UnderlyingPaymentStreamFloatingRate component used to detail fixed pricing dates.
Required if NoUnderlyingPaymentStreamPricingDates(41941) > 0.
When specified it applies not only to the current date but to all subsequent dates in the group until overridden with a new type.
The UnderlyingPaymentStreamPricingDayGrp is a repeating subcomponent of the UnderlyingPaymentStreamFloatingRate component used to detail periodic pricing days.
If the fixing days are not specified, then every day of the week will be a fixing day.
Required if NoUnderlyingPaymentStreamPricingDays(41944) > 0.
UnderlyingPricingDateBusinessCenterGrp is a repeating subcomponent of the UnderlyingPricingDateTime component used to specify the set of business centers whose calendars drive date adjustment. Used only to override the business centers defined in the UnderlyingDateAdjustment component in UnderlyingInstrument.
Required if NoUnderlyingPricingDateBusinessCenters(41947) > 0.
The UnderlyingPricingDateTime component is a subcomponent of UnderlyingInstrument used to specify an adjusted or unadjusted pricing or fixing date and optionally the time, e.g. for a commodity or FX forward trade.
When specified, this overrides the business day convention defined in the UnderlyingDateAdjustment component in UnderlyingInstrument. The specified value would be specific to the underlying complex event dates.
When specified, this overrides the business centers defined in the UnderlyingDateAdjustment component in UnderlyingInstrument. The specified values would be specific to the underlying complex event dates.
The UnderlyingStreamCalculationPeriodDateGrp is a repeating subcomponent of the UnderlyingStreamCalculationPeriodDates component used to detail fixed dates for the swap stream.
Required if NoUnderlyingStreamCalculationPeriodDates(41954) > 0.
When specified it applies not only to the current date but to all subsequent dates in the group until overridden with a new type.
UnderlyingStreamCommoditySettlBusinessCenterGrp is a repeating subcomponent of the UnderlyingStreamCommodity component used to specify the set of business centers whose calendars drive date adjustment. Used only to override the business centers defined in the UnderlyingDateAdjustment component in UnderlyingInstrument.
Required if NoUnderlyingStreamCommoditySettlBusinessCenters(41962) > 0.
UnderlyingStreamCommodity is a subcomponent of the UnderlyingStream component used to identify and describe the underlying commodity.
Conditionally required when UnderlyingStreamCommoditySecurityIDSource(41967) is specified.
Conditionally required when UnderlyingStreamCommoditySecurityID(41966) is specified.
Must be set if EncodedUnderlyingStreamCommodityDesc(41970) field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the UnderlyingStreamCommodityDesc(41968) field in the encoded format specified via the MessageEncoding(347) field.
May be used to specify the delivery or pricing region of a non-standard commodity swap contract (e.g. when InstrAttribType(871)=38 (US standard contract indicator) and InstrAttribValue(872)=N).
Conditionally required when UnderlyingStreamCommodityNearbySettlDayUnit(41980) is specified.
Conditionally required when UnderlyingStreamCommodityNearbySettlDayPeriod(41979) is specified.
When specified, this overrides the business day convention defined in the UnderlyingDateAdjustment component in UnderlyingInstrument. The specified value would be specific to the underlying settlement dates.
When specified, this overrides the business centers defined in the UnderlyingDateAdjustment component in UnderlyingInstrument. The specified values would be specific to the settlement dates.
Conditionally required when UnderlyingStreamCommoditySettlDateRollUnit(41986) is specified.
Conditionally required when UnderlyingStreamCommoditySettlDateRollPeriod(41985) is specified.
UnderlyingStreamCommodityAltIDGrp is a subcomponent of the UnderlyingStreamCommodity component used to specify alternate identifiers.
Required if NoUnderlyingStreamCommodityAltIDs(41990) > 0.
Required if NoUnderlyingStreamCommodityAltIDs(41990) > 0.
UnderlyingStreamCommodityDataSourceGrp is a subcomponent of the UnderlyingStreamCommodity component used to specify sources of data, e.g. weather stations. The order of entry determines priority – first is the main source, second is fallback, third is second fallback.
Required if NoUnderlyingStreamCommodityDataSources(41993) > 0.
Required if NoUnderlyingStreamCommodityDataSources(41993) > 0.
The UnderlyingStreamCommoditySettlDayGrp is a repeating subcomponent of the UnderlyingStreamCommoditySettlPeriodGrp component used to define the settlement days associated with the commodity contract.
Required if NoUnderlyingStreamCommoditySettlDays(41996) > 0.
The UnderlyingStreamCommoditySettlTimeGrp is a repeating subcomponent of the UnderlyingStreamCommoditySettlDayGrp component used to define the settlement time periods associated with the commodity contract.
Required if NoUnderlyingStreamCommoditySettlTimes(41999) > 0.
Required if NoUnderlyingStreamCommoditySettlTimes(41999) > 0.
May be defaulted to market convention or bilaterally agreed if not specified.
The UnderlyingStreamCommoditySettlPeriodGrp is a repeating subcomponent of the UnderlyingStreamCommodiry component used to defined the settlement period details associated with the commodity contract.
Required if NoUnderlyingStreamCommoditySettlPeriods(42002) > 0.
Conditionally required when UnderlyingStreamCommoditySettlPeriodFrequencyUnit(42009) is specified.
Conditionally required when UnderlyingStreamCommoditySettlPeriodFrequencyPeriod(42008) is specified.
The EntitlementTypeGrp conveys a list of entitlement types.
When used in the PartyEntitlementRequest(35=CU) message it serves to provide filtering criteria for the results set.
Number of Entitlement Types.
Required if NoEntitlementTypes(2345) > 0.
The UnderlyingAdditionalTermBondRefGrp is a repeating group subcomponent of the UnderlyingAdditionalTermGrp component used to identify an underlying reference bond for a swap.
Required if NoUnderlyingAdditionalTermBondRefs(41340) > 0.
Conditionally required when UnderlyingAdditionalTermBondSecurityID(41341) is specified.
Must be set if EncodedUnderlyingAdditionalTermBondDesc(41709) field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the UnderlyingAdditionalTermBondDesc(41709) field in the encoded format specified via the MessageEncoding(347) field.
Must be set if EncodedUnderlyingAdditionalTermBondIssuer(42017) field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the UnderlyingAdditionalTermBondIssuer(42017) field in the encoded format specified via the MessageEncoding(347) field.
Conditionally required when UnderlyingAdditionalTermBondCouponFrequencyUnit(42034) is specified.
Conditionally required when UnderlyingAdditionalTermBondCouponFrequencyPeriod(42033) is specified.
The UnderlyingAdditionalTermGrp is a repeating subcomponent of the UnderlyingInstrument component used to report additional contract terms.
Required if NoUnderlyingAdditionalTerms(42036) > 0.
UnderlyingCashSettlDealerGrp is a repeating subcomponent within the UnderlyingCashSettlTermGrp component. It is used to specify the dealers from whom price quotations for the reference obligation are obtained for the purpose of cash settlement valuation.
Required if NoUnderlyingCashSettlDealers(42039) > 0.
The UnderlyingCashSettlTermGrp is a repeating component within the UnderlyingInstrument component used to report cash settlement terms.
Usage of UnderlyingCashSettlTermGrp must either include a known UnderlyingCashSettlAmount(42054) or provide the cash settlement term parameters needed to derive the cash settlement amount. UnderlyingCashSettlTermXID(42059) is provided for cross-referencing from an instance of the UnderlyingInstrument component through the UnderlyingSettlTermXIDRef(41315) field.
Required if NoUnderlyingCashSettlTerms(42041) > 0.
The UnderlyingPhysicalSettlTermGrp is a repeating component within the UnderlyingInstrument component used to report physical settlement terms.
Required if NoUnderlyingPhysicalSettlTerms(42060) > 0.
The UnderlyingPhysicalSettlDeliverableObligationGrp is a repeating component within the UnderlyingPhysicalSettlTermGrp component used to report CDS physical settlement delivery obligations.
Required if NoUnderlyingPhysicalSettlDeliverableObligations(42065) > 0.
The UnderlyingProtectionTermGrp is a repeating component within the UnderlyingInstrument component used to report contract protection term details.
Required if NoUnderlyingProtectionTerms(42068) > 0.
The UnderlyingProtectionTermEventGrp is a repeating component within the UnderlyingProtectionTermGrp component used to report applicable CDS credit events.
Required if NoUnderlyingProtectionTermEvents (42078) > 0.
Conditionally required when UnderlyingProtectionTermEventUnit(42082) is specified.
Conditionally required when UnderlyingProtectionTermEventPeriod(42081) is specified.
The UnderlyingProtectionTermEventQualifierGrp is a repeating component within the UnderlyingProtectionTermEventGrp component used to specify qualifying attributes to the event.
Required if NoUnderlyingProtectionTermEventQualifiers(42085) > 0.
The UnderlyingProtectionTermObligationGrp is a repeating component within the UnderlyingProtectionTermGrp component used to report applicable CDS obligations.
Required if NoUnderlyingProtectionTermObligations(42087) > 0.
UnderlyingProtectionTermEventNewsSourceGrp is a repeating subcomponent within the UnderlyingProtectionTermGrp component. It is used to specify the particular newspapers or electronic news services and sources that may publish relevant information used in the determination of whether or not a credit event has occurred.
Required if NoUnderlyingProtectionTermEventNewsSources(42090) > 0.
The UnderlyingProvisionCashSettlPaymentDates component is a sub-component within the UnderlyingProvisionGrp component used to report the cash settlement payment dates defined in the provision.
When specified, this overrides the busienss day convention defined in the UnderlyingDateAdjustment component in UnderlyingInstrument. The specified value would be specific to this instance of the provisional cash settlement payment date.
When specified, this overrides the business centers defined in the UnderlyingDateAdjustment component in UnderlyingInstrument. The specified values would be specific to this instance of the provisional cash settlement payment date.
Conditionally required when UnderlyingProvisionCashSettlPaymentDateOffsetUnit(42095) is specified.
Conditionally required when UnderlyingProvisionCashSettlPaymentDateOffsetPeriod(42094) is specified.
The UnderlyingProvisionCashSettlPaymentFixedDateGrp is a repeating component within the UnderlyingProvisionCashSettlPaymentDates component used to report fixed cash settlement payment dates defined in the provision.
Required if NoUnderlyingProvisionCashSettlPaymentDates (42099) > 0.
When specified it applies not only to the current date but to all subsequent dates in the group until overridden with a new type.
The UnderlyingProvisionCashSettlQuoteSource is a subcomponent of the UnderlyingProvisionGrp component used to specify the reference source for currency or rate quote for cash settlement purposes.
The UnderlyingProvisionCashSettlValueDates is a subcomponent within the UnderlyingProvisionGrp component used to report the cash settlement value date and time defined in the provision.
When specified, this overrides the busienss day convention defined in the UnderlyingDateAdjustment component in UnderlyingInstrument. The specified value would be specific to this instance of the provisional cash settlement value date.
When specified, this overrides the business centers defined in the UnderlyingDateAdjustment component in UnderlyingInstrument. The specified values would be specific to this instance of the provisional cash settlement value date.
Conditionally required when UnderlyingProvisionCashSettlValueDateOffsetUnit(42109) is specified.
Conditionally required when UnderlyingProvisionCashSettlValueDateOffsetPeriod(42108) is specified.
The UnderlyingProvisionOptionExerciseFixedDateGrp is a repeating component within the UnderlyingProvisionOptionExerciseDates component used to report an array of unadjusted or adjusted fixed exercise dates.
Required if NoUnderlyingProvisionOptionExerciseFixedDates(42112) > 0.
When specified it applies not only to the current date but to all subsequent dates in the group until overridden with a new type.
The UnderlyingProvisionOptionExerciseDates is a subcomponent within the UnderlyingProvisionGrp component used to report the option exercise dates and times defined in the provision.
When specified, this overrides the busienss day convention defined in the UnderlyingDateAdjustment component in UnderlyingInstrument. The specified value would be specific to this instance of the provisional option exercise date.
When specified, this overrides the business centers defined in the UnderlyingDateAdjustment component in UnderlyingInstrument. The specified values would be specific to this instance of the provisional option exercise date.
Conditionally required when UnderlyingProvisionOptionExerciseEarliestDateUnit(42117) is specified.
Conditionally required when UnderlyingProvisionOptionExerciseEasrliestDatePeriod(42116) is specified.
Conditionally required when UnderlyingProvisionOptionExerciseFrequencyUnit(42119) is specified.
Conditionally required when UnderlyingProvisionOptionExerciseFrequencyPeriod(42118) is specified.
Conditionally required when UnderlyingProvisionOptionExerciseStartDateOffsetUnit(42123) is specified.
Conditionally required when UnderlyingProvisionOptionExerciseStartDateOffsetPeriod(42122) is specified.
The UnderlyingProvisionOptionExerciseDate is a subcomponent within the UnderlyingProvisionGrp component used to report the option expiration date and times defined in the provision.
When specified, this overrides the busienss day convention defined in the UnderlyingDateAdjustment component in UnderlyingInstrument. The specified value would be specific to this instance of the provisional option expiration date.
When specified, this overrides the business centers defined in the UnderlyingDateAdjustment component in UnderlyingInstrument. The specified values would be specific to this instance of the provisional option expiration date.
Conditionally required when UnderlyingProvisionOptionExpirationDateOffsetUnit(42137) is specified.
Conditionally required when UnderlyingProvisionOptionExpirationDateOffsetPeriod(42136) is specified.
The UnderlyingProvisionOptionRelevantUnderlyingDate is a subcomponent within the UnderlyingProvisionGrp component used to report the option relevant underlying date defined in the provision.
When specified, this overrides the business day convention defined in the UnderlyingDateAdjustment component in UnderlyingInstrument. The specified value would be specific to this instance of the provisional option relevant underlying date.
When specified, this overrides the business centers defined in the UnderlyingDateAdjustment component in UnderlyingInstrument. The specified values would be specific to this instance of the provisional option relevent underlying date.
Conditionally required when UnderlyingProvisionOptionRelevantUnderlyingDateOffsetUnit(42146) is specified.
Conditionally required when UnderlyingProvisionOptionRelevantUnderlyingDateOffsetPeriod(42145) is specified.
The UnderlyingProvisionGrp is a repeating subcomponent of the UnderlyingInstrument component used to detail additional terms and conditions associated with the instrument.
A swap may have one or more provisions defined.
Required if NoUnderlyingProvisions(42149) > 0.
When specified, this overrides the busienss day convention defined in the UnderlyingDateAdjustment component in UnderlyingInstrument. The specified value would be specific to this instance of the instrument provisions.
When specified, this overrides the business centers defined in the UnderlyingDateAdjustment component in UnderlyingInstrument. The specified values would be specific to this instance of the instrument provisions.
Conditionally required when UnderlyingProvisionDateTenorUnit(42155) is specified.
Conditionally required when UnderlyingProvisionDateTenorPeriod(42154) is specified.
Must be set if EncodedProvisionText(40987) field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the UnderlyingProvisionText(42170) field in the encoded format specified via the MessageEncoding(347) field.
UnderlyingProvisionParties is a repeating component within the UnderlyingProvisionGrp component used to report the parties identified in the contract provision.
Required if NoUnderlyingProvisionPartyIDs(42173) > 0.
Required if NoUnderlyingProvisionPartyIDs(42173) > 0.
Required if NoUnderlyingProvisionPartyIDs(42173) > 0.
UnderlyingProvisionPtysSubGrp is a repeating component within the UnderlyingProvisionParties component used to extend information to be reported for the party.
Required if NoUnderlyingProvisionPartySubIDs(42177) > 0.
Required if NoUnderlyingProvisionPartySubIDs(42177) > 0.
UnderlyingProvisionCashSettlPaymentDateBusinessCenterGrp is a repeating subcomponent within the UnderlyingProvisionCashSettlPaymentDates component. It is used to specify the set of business centers whose calendars drive the date adjustment. Used only to override the business centers defined in the UnderlyingDateAdjustment component in UnderlyingInstrument.
Required if NoUnderlyingProvisionCashSettlPaymentDateBusinessCenters(42180) > 0.
UnderlyingProvisionCashSettlValueDateBusinessCenterGrp is a repeating subcomponent within the UnderlyingProvisionCashSettlValueDates component. It is used to specify the set of business centers whose calendars drive the date adjustment. Used only to override the business centers defined in the UnderlyingDateAdjustment component in UnderlyingInstrument.
Required if NoUnderlyingProvisionCashSettlValueDateBusinessCenters(42182) > 0.
UnderlyingProvisionOptionExerciseBusinessCenterGrp is a repeating subcomponent within the UnderlyingProvisionOptionExerciseDates component. It is used to specify the set of business centers whose calendars drive the date adjustment. Used only to override the business centers defined in the UnderlyingDateAdjustment component in UnderlyingInstrument.
Required if NoUnderlyingProvisionOptionExerciseBusinessCenters(42184) > 0.
UnderlyingProvisionOptionExpirationDateBusinessCenterGrp is a repeating subcomponent within the UnderlyingProvisionOptionExpirationDate component. It is used to specify the set of business centers whose calendars drive the date adjustment. Used only to override the business centers defined in the UnderlyingDateAdjustment component in UnderlyingInstrument.
Required if NoUnderlyingProvisionOptionExpirationDateBusinessCenters(42186) > 0.
UnderlyingProvisionOptionRelevantUnderlyingDateBusinessCenterGrp is a repeating subcomponent within the UnderlyingProvisionOptionRelevantUnderlyingDate component. It is used to specify the set of business centers whose calendars drive date adjustment. Used only to override the business centers defined in the UnderlyingDateAdjustment component in UnderlyingInstrument.
Required if NoUnderlyingProvisionOptionRelevantUnderlyingDateBusinessCenters(42188) > 0.
UnderlyingProvisionDateBusinessCenterGrp is a repeating subcomponent within the UnderlyingProvisionGrp component. It is used to specify the set of business centers whose calendars drive the date adjustment. Used only to override the business centers defined in the UnderlyingDateAdjustment component in UnderlyingInstrument.
Required if NoUnderlyingProvisionDateBusinessCenters(42190) > 0.
Group of order transactions across one or more instruments.
Required if NoOrderEntries(2428) > 0.
Unique order entry identification across all entries of a single message. Conditionally required when neither ClOrdID(11) nor OrderID(37) is provided.
Conditionally required when neither OrderEntryID(2430) nor OrderID(37) is provided.
Conditionally required when OrderEntryAction(2429) is not "1" (Add), ClOrdID(11) was provided in original order, and message-chaining model is used.
Conditionally required when OrderEntryAction(2429) is not "1" (Add) and neither OrderEntryID(2430) nor ClOrdID(11) is provided.
Conditionally required when OrderEntryAction (2429) = 1 (Add) or 2 (Modify). Only a subset of OrdType(40) values permitted that do not require additional pricing fields other than Price(44) field.
Conditionally required when OrdType(40) = 2 (Limit)
Conditionally required when OrderEntryAction(2429) = 1 (Add) or 2 (Modify)
Only subset of values permitted that do not require additional fields
Conditionally required when OrderEntryAction(2429) = 1 (Add) or 2 (Modify)
Required if NoOrderEntries(2432) > 0.
Acknowledgment for a group of order transactions across one or more instruments.
The acknowledgement may or may not echo back input values from the submission but it has to provide the current status of each order including the impact of immediate executions or suspensions.
Required if NoOrderEntries(2428) > 0.
Required if NoOrderEntries(2428) > 0.
Conditionally required when neither ClOrdID(11) nor OrderID(37) is provided.
Conditionally required when neither OrderEntryID(2430) nor OrderID(37) is provided.
ClOrdID(11) of the previous non rejected order (NOT the initial order of the day) when canceling or replacing an order. Conditionally required when ClOrdID(11) is provided and message-chaining model is used.
Conditionally required when neither OrderEntryID(2430) nor ClOrdID(11) is provided.
Use to explicitly provide executed quantity.
Use to explicitly provide remaining quantity.
Use to explicitly provide cancelled quantity.
Repeating group of target party sub-identifiers.
Required when NoTargetPartySubIDs(2433) > 0.
Required when NoTargetPartySubIDs(2433) > 0.
This component block is used within the MarketDataStatisticsRequest(35=DO) message to define a set of parameters describing the desired statistics.
Required if NoMDStatistics(2474) > 0.
Unique statistics identifier used as a placeholder for a set of parameters. If an ID is not applicable use "[N/A]".
Required if NoMDStatistics(2474) > 0 and MDStatisticID(2475) = "[N/A]".
This component block is used within the MarketDataStatisticsReport(35=DP) message to provide results together with the related set of parameters.
Required if NoMDStatistics(2474) > 0.
Required if NoMDStatistics(2474) > 0.
Conditionally required when MDStatisticValue(2478) is specified.
May be used when sending reference data only to establish MDStatisticID(2475) as a reference to a set of parameters specified in MDStatisticParameters component.
If not specified the default is MDStatisticStatus(2477)=1 (Active).
Conditionally required unless sending reference data only to establish MDStatisticID(2475) as a reference to a set of parameters specified in MDStatisticParameters component.
This component comprises all parameters that can be used to describe the market data statistics. These can be part of the request as well as the response. All parameters defined on the MarketDataStatisticsRequest(35=DO) message should be echoed in the MarketDataStatisticsReport(35=DP) message as the latter could also be sent unsolicited.
The general category and the entities involved in the statistics are defined by MDStatisticType(2456), MDStatisticScope(2457), and MDStatisticIntervalType(2464) and must always be specified. The remaining fields are optional and restrict the data range in one way or another. The time range for the data can either be specified in terms of an interval for which the statistics are typically calculated on a regular basis or in terms of an absolute date and/or time range.
MDStatisticScope(2457), MDStatisticSubScope(2458) and MDStatisticScopeType(2459) form a set of scope relationships to filter further the type of statistic being requested or being provided.
It should be noted that some of the enumeration values for MDStatisticScopeType(2459) may not be applicable or useful for a given MDStatisticScope(2457) - e.g. MDStatisticScopeType(2459)=4 (Downward move) is more applicable to prices than to orders or trades.
Must be set if EncodedMDStatisticDesc(2482) field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the MDStatisticDesc(2455) field in the encoded format specified via the MessageEncoding(347) field.
May be used to specify the market depth up to specified level.
Conditionally required when MDStatisticFrequencyUnit(2461) is specified. Omission represents a one-time dissemination.
Conditionally required when MDStatisticFrequencyPeriod(2460) is specified.
Conditionally required when MDStatisticDelayUnit(2463) is specified.
Conditionally required when MDStatisticDelayPeriod(2462) is specified.
Conditionally required when MDStatisticIntervalType (2464) = 5(Current time unit), 6(Previous time unit) or 8(Maximum range up to previous time unit).
Conditionally required if/when MDStatisticIntervalUnit(2467) is specified.
Conditionally required when MDStatisticIntervalType(2464) = 1 (Sliding window) or 2 (Sliding window peak).
Conditionally required when MDStatisticIntervalPeriod(2466) is specified.
Can be used to define a date range for a sliding window peak other than the current day. Omission represents a date range starting with the first available day.
Can be used to define a date range for a sliding window peak other than the current day. Omission represents a date range including the current day.
Can be used to define a time range for a sliding window peak other than the complete day. Omission represents a time range starting at midnight.
Can be used to define a time range for a sliding window peak other than the complete day. Omission represents a time range ending with the time of dissemination of the statistical data.
Conditionally required when MDStatisticType(2456) = 5(Ratio).
Component block is optionally used for financial transactions where legal contracts, master agreements or master confirmations are to be referenced. This component identifies the legal agreement under which the deal was made and other unique characteristics of the transaction. For example, the LegAgreementDesc(2497) field refers to base standard documents such as MRA 1996 Repurchase Agreement, GMRA 2000 Bills Transaction (U.K.), MSLA 1993 Securities Loan - Amended 1998, for example.
Must be set if EncodedLegDocumentationText(2493) field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the LegDocumentationText(2505) field in the encoded format specified via the MessageEncoding(347) field.
The LegFinancingContractualDefinitionGrp is a repeating component within the LegFinancingDetails component used to report the definitions published by ISDA that define the terms of a derivative trade.
Required if NoLegContractualDefinitions(42198) > 0.
The LegFinancingTermSupplementGrp is a repeating component within the LegFinancingDetails component used to report contractual terms supplements of derivative trades.
Required if NoLegFinancingTermSupplements(42200) > 0.
The LegFinancingContractualMatrixGrp is a repeating component within the LegFinancingDetails component used to report the ISDA Physical Settlement Matrix Transaction Type.
Required if NoLegContractualMatrices(42203) > 0.
The RelativeValueGrp component is used to convey relative valuation metrics or analytics for a given instrument.
Relative valuation metrics or analytics are commonly provided by the trading party providing pricing as part of fixed income cash bonds or OTC derivatives indication or quoting activities.
Required if NoRelativeValues(2529) > 0.
Required if NoRelativeValues(2529) > 0.
The AuctionTypeRuleGrp component is used to specify the auction rule applicable for a given product group or complex, for example.
Required if NoAuctionTypeRules(2548) > 0.
Can be used to limit auction order type to specific product suite. Use multiple entries with the same AuctionType(1803) if multiple but not all product suites are supported.
The FlexProductEligibilityGrp component is used to specify whether securities within a product group or complex are eligible for creating flexible securities.
Required if NoFlexProductEligibilities(2560) > 0.
Required if NoFlexProductEligibilities(2560) > 0.
Used to specify a product suite related to an eligibility indicator.
The PriceRangeRulesGrp component is used to specify the price range rules for a given product group or complex.
Required if NoPriceRangeRules(2550) > 0.
Mutually exclusive with PriceRangePercentage(2554).
Mutually exclusive with PriceRangeValue(2553).
Can be used to provide an identifier so that the rule can be reference via the ID elsewhere.
Can be used to limit price range to specific product suite.
Rules for minimum bid and offer sizes of quotes.
Number of quote size rules.
Required if NoQuoteSizeRules(2558) > 0.
Required if NoQuoteSizeRules(2558) > 0.
Used to define the sizes applicable for fast market conditions.
This component is used to identify market segments that are related to each other for a business purpose. This component should not be used in lieu of available explicit FIX fields that denote specific relationships (e.g. ParentMktSegmID(1325) for parent market segments), but rather should be used when no such fields exist.
Number of market segments.
Required if NoRelatedMarketSegments (2545) > 0.
This component is used convey parameters that are relevant for the calculation of clearing prices that are different from the trading prices due to the nature of the product, e.g. variance futures.
Number of parameter sets.
Required if NoClearingPriceParameters (2580) > 0. Use to identify the relative business day to which the parameters apply.
Interest rate until the instrument expires and used to calculate DiscountFactor(1592).
Used to calculate AccumulatedReturnModifiedVariationMargin(2591).
The MiscFeesSubGrp component is used to provide further details for a given MiscFeeType(139) value.
Required if NoMiscFeeSubTypes(2633) > 0.
Must be set if EncodedMiscFeeSubTypeDesc(2638) field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the MiscFeeSubTypeDesc(2636) field in the encoded format specified via the MessageEncoding(347) field.
The CommissionDataGrp component block is used to carry commission information such as the type of commission and the rate. It provides an alternative to the CommissionData component if multiple commissions or enhanced attributes are needed.
The CommissionLegRefID(2649) field is used to reference the LegID(1788) within the InstrumentLeg component, allowing for specifying instrument leg specific commission values when a multilegged security is fully expressed in the same message. This component is not intended for non-leg instances of the CommissionDataGrp component to represent aggregated values of the leg instances within the component when both leg and non-leg instances are included.
Required if NoCommissions(2639) > 0.
If the commission is based on a percentage of trade quantity or a factor of "unit of measure", CommissionRate(2646) and CommissionUnitOfMeasure(2644) may also be specified as appropriate.
Required if NoCommissions(2639) > 0.
Required if NoCommissions(2639) > 0.
If specified, CommissionSharedIndicator(2647) must be set to "Y".
This field may be used for multi-leg trades sent as a single message to indicate that the entry applies only to a specific leg.
Must be set if EncodedCommissionDesc(2652) is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the CommissionDesc(2650) field in the encoded format specified via the MessageEncoding(347) field.
The AllocCommissionDataGrp component block is used to carry commission information such as the type of commission and the rate at the allocation level. It provides a means to express commission applicable for the specified allocation account.
In messages where the CommissionDataGrp or CommissionData component exists at a "higher" level in the message than the allocation, those components should only be used for overall commission.
The AllocCommissionLegRefID(2663) field is used to reference the LegID(1788) within the InstrumentLeg component, allowing for specifying instrument leg specific commission values when a multilegged security is fully expressed in the same message.
Required if NoAllocCommissions(2653) > 0.
If the commission is based on a percentage of trade quantity or a factor of "unit of measure", AllocCommissionRate(2660) and AllocCommissionUnitOfMeasure(2658) may also be specified as appropriate.
Required if NoAllocCommissions(2653) > 0.
Required if NoAllocCommissions(2653) > 0.
If specified, AllocCommissionSharedIndicator(2661) must be set to "Y".
This field may be used for multi-leg trades sent as a single message to indicate that the entry applies only to a specific leg.
Must be set if EncodedAllocCommissionDesc(2666) is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the AllocCommissionDesc(2664) field in the encoded format specified via the MessageEncoding(347) field.
The CashSettlDate component is a subcomponent within the CashSettlTermGrp component used to report the cash settlement date defined in the settlement provision.
When specified, this overrides the business day convention defined in the DateAdjustment component in the Instrument component. The specified value would be specific to this instance of the cash settlement provision.
When specified, this overrides the business centers defined in the DateAdjustment component in the Instrument component. The specified values would be specific to this instance of the cash settlement provision.
Conditionally required when CashSettlDateOffsetUnit(42211) is specified.
Conditionally required when CashSettlDateOffsetPeriod(42210) is specified.
CashSettlDateBusinessCenterGrp is a repeating subcomponent within the CashSettlDate component. It is used to specify the set of business centers whose calendars drive the date adjustment. Used only to override the business centers defined in the DateAdjustment component within the Instrument component.
Required if NoCashSettlDateBusinessCenters(42214) > 0.
The DividendAccrualFloatingRate component is a subcomponent of DividendConditions used to define the dividend accrual floating rate attributes of dividend payment conditions.
Conditionally required when DividendFloatingRateIndexCurveUnit(42220) is specified.
Conditionally required when DividendFloatingRateIndexCurvePeriod(42219) is specified.
DividendAccrualPaymentDateBusinessCenterGrp is a repeating subcomponent within the DividendAccrualPaymentDate component. It is used to specify the set of business centers whose calendars drive the date adjustment.
Required if NoDividendAccrualPaymentDateBusinessCenters(42236) > 0.
The DividendAccrualPaymentDate component is a subcomponent of DividendConditions used to report the dividend accrual payment date.
Conditionally required when DividendAccrualPaymentDateOffsetUnit(42240) is specified.
Conditionally required when DividendAccrualPaymentDateOffsetPeriod(42239) is specified.
When specified, this overrides the business day convention defined in the DateAdjustment component in Instrument. The value would be specific to this instance of DividendAccrualPaymentDate.
When specified, this overrides the business centers defined in the DateAdjustment component in Instrument. The values would be specific to this instance of DividendAccrualPaymentDate.
The DividendConditions component is a subcomponent of PaymentStream used to specify the conditions' valuations and dates governing the payment of dividends.
The DividendFXTriggerDate component is a subcomponent of DividendConditions used to report the dividend date when a foreign exchange trade is triggered.
Conditionally required when DividendFXTriggerDateOffsetUnit(42267) is specified.
Conditionally required when DividendFXTriggerDateOffsetPeriod(42266) is specified.
When specified, this overrides the business day convention defined in the DateAdjustment component in Instrument. The value would be specific to this instance of DividendFXTriggerDate.
When specified, this overrides the business centers defined in the DateAdjustment component in Instrument. The values would be specific to this instance of DividendFXTriggerDate.
DividendFXTriggerDateBusinessCenterGrp is a repeating subcomponent within the DividendFXTriggerDate component. It is used to specify the set of business centers whose calendars drive the date adjustment.
Required if NoDividendFXTriggerDateBusinessCenters(42272) > 0.
DividendPeriodGrp is a repeating subcomponent within the DividendConditions component. It is used to specify the valuation and payments dates of the dividend leg of a dividend swap.
Required if NoDividendPeriods(42274) > 0.
When specified, this overrides DividendUnderlierRefID(42248). The specified value would be specific to this dividend period instance.
When specified, this overrides the business day convention defined in the DateAdjustment component in Instrument. The specified value would be specific to this dividend period instance.
When specified, this overrides the business centers defined in the DateAdjustment component in Instrument. The specified values would be specific to this dividend period instance.
Conditionally required when DividendPeriodValuationDateOffsetUnit(42284) is specified.
Conditionally required when DividendPeriodValuationDateOffsetPeriod(42283) is specified.
Conditionally required when DividendPeriodPaymentDateOffsetUnit(42290) is specified.
Conditionally required when DividendPeriodPaymentDateOffsetPeriod(42289) is specified.
DividendPeriodBusinessCenterGrp is a repeating subcomponent within the DividendPeriodGrp component. It is used to specify the set of business centers whose calendars drive the date adjustment.
Required if NoDividendPeriodBusinessCenters(42294) > 0.
The ExtraordinaryEventGrp is a repeating component within the Instrument component. It is used to report extraordinary and disruptive events applicable to the reference entity that affects the contract.
Required if NoExtraordinaryEvents(42296) > 0.
Required if NoExtraordinaryEvents(42296) > 0.
The LegCashSettlDate component is a subcomponent within the LegCashSettlTermGrp component used to report the cash settlement date defined in the settlement provision.
When specified, this overrides the business day convention defined in the DateAdjustment component in the Instrument component. The specified value would be specific to this instance of the cash settlement provision.
When specified, this overrides the business centers defined in the DateAdjustment component in the Instrument component. The specified values would be specific to this instance of the cash settlement provision.
Conditionally required when LegCashSettlDateOffsetUnit(42303) is specified.
Conditionally required when LegCashSettlDateOffsetPeriod(42302) is specified.
LegCashSettlDateBusinessCenterGrp is a repeating subcomponent within the LegCashSettlDate component. It is used to specify the set of business centers whose calendars drive the date adjustment. Used only to override the business centers defined in the DateAdjustment component in Instrument.
Required if NoLegCashSettlDateBusinessCenters(42306) > 0.
LegDividendAccrualPaymentDateBusinessCenterGrp is a repeating subcomponent within the LegDividendAccrualPaymentDate component. It is used to specify the set of business centers whose calendars drive the date adjustment.
Required if NoLegDividendAccrualPaymentDateBusinessCenters(42310) > 0.
The LegDividendAccrualFloatingRate component is a subcomponent of LegDividendConditions used to define the dividend accrual floating rate attributes of dividend payment conditions.
Conditionally required when LegDividendFloatingRateIndexCurveUnit(42314) is specified.
Conditionally required when LegDividendFloatingRateIndexCurvePeriod(42313) is specified.
The LegDividendAccrualPaymentDate component is a subcomponent of LegDividendConditions used to report the dividend accrual payment date.
Conditionally required when LegDividendAccrualPaymentDateOffsetUnit(42332) is specified.
Conditionally required when LegDividendAccrualPaymentDateOffsetPeriod(42331) is specified.
When specified, this overrides the business day convention defined in the LegDateAdjustment component in InstrumentLeg. The value would be specific to this instance of LegDividendAccrualPaymentDate.
When specified, this overrides the business centers defined in the LegDateAdjustment component in InstrumentLeg. The values would be specific to this instance of LegDividendAccrualPaymentDate.
The LegDividendConditions component is a subcomponent of LegPaymentStream used to specify the conditions' valuations and dates governing the payment of dividends.
The LegDividendFXTriggerDate component is a subcomponent of LegDividendConditions used to report the dividend date when a foreign exchange trade is triggered.
Conditionally required when LegDividendFXTriggerDateOffsetUnit(42359) is specified.
Conditionally required when LegDividendFXTriggerDateOffsetPeriod(42358) is specified.
When specified, this overrides the business day convention defined in the LegDateAdjustment component in InstrumentLeg. The value would be specific to this instance of LegDividendFXTriggerDate.
When specified, this overrides the business centers defined in the LegDateAdjustment component in InstrumentLeg. The values would be specific to this instance of LegDividendFXTriggerDate.
LegDividendFXTriggerDateBusinessCenterGrp is a repeating subcomponent within the LegDividendFXTriggerDate component. It is used to specify the set of business centers whose calendars drive the date adjustment.
Required if NoLegDividendFXTriggerDateBusinessCenters(42364) > 0.
LegDividendPeriodGrp is a repeating subcomponent within the LegDividendConditions component. It is used to specify the valuation and payments dates of the dividend leg of a dividend swap.
Required if NoLegDividendPeriods(42366) > 0.
When specified, this overrides LegDividendUnderlierRefID(42340). The specified value would be specific to this dividend period instance.
When specified, this overrides the business day convention defined in the LegDateAdjustment component in InstrumentLeg. The specified value would be specific to this dividend period instance.
When specified, this overrides the business centers defined in the LegDateAdjustment component in InstrumentLeg. The specified values would be specific to this dividend period instance.
Conditionally required when LegDividendPeriodValuationDateOffsetUnit(42376) is specified.
Conditionally required when LegDividendPeriodValuationDateOffsetPeriod(42375) is specified.
Conditionally required when LegDividendPeriodPaymentDateOffsetUnit(42382) is specified.
Conditionally required when LegDividendPeriodPaymentDateOffsetPeriod(42381) is specified.
LegDividendPeriodBusinessCenterGrp is a repeating subcomponent within the LegDividendPeriodGrp component. It is used to specify the set of business centers whose calendars drive the date adjustment.
Required if NoLegDividendPeriodBusinessCenters(42386) > 0.
The LegExtraordinaryEventGrp is a repeating component within the InstrumentLeg component. It is used to report extraordinary and disruptive events applicable to the reference entity that affects the contract.
Required if NoLegExtraordinaryEvents(42388) > 0.
Required if NoLegExtraordinaryEvents(42388) > 0.
LegOptionExerciseMakeWholeProvision is a subcomponent of the LegOptionExercise component used to specify the set of rules of maintaining balance when an option is exercised.
A "make whole" provision seeks to penalize the the option buyer, i.e. make the seller "whole", if the buyer exercises the option prior to the make whole date, e.g. the early call date of a convertible bond.
LegPaymentStreamCompoundingDateGrp is a subcomponent of the LegPaymentStreamCompoundingDates component used to specify predetermined compounding dates.
Required if NoLegPaymentStreamCompoundingDates(42405) > 0.
When specified it applies not only to the current date instance but to all subsequent date instances in the group until overridden when a new type is specified.
LegPaymentStreamCompoundingDates is a subcomponent of the LegPaymentStream component used to specify the compounding dates of the stream - either specific, relative or periodic dates.
When specified, this overrides the business day convention defined in the LegDateAdjustment component in InstrumentLeg. The specified value would be specific to payment stream compounding dates.
When specified, this overrides the business centers defined in the LegDateAdjustment component in InstrumentLeg. The specified values would be specific to payment stream compounding dates.
Conditionally required when LegPaymentStreamCompoundingDatesOffsetUnit(42411) is specified.
Conditionally required when LegPaymentStreamCompoundingDatesOffsetPeriod(42410) is specified.
Conditionally required when LegPayamentStreamCompoundingFrequencyUnit(42415) is specified.
Conditionally required when LegPayamentStreamCompoundingFrequencyPeriod(42414) is specified.
When specified, this overrides the date roll convention defined in the LegDateAdjustment component in InstrumentLeg. The specified value would be specific to this instance of payment stream compounding dates.
LegPaymentStreamCompoundingDatesBusinessCenterGrp is a repeating subcomponent within the LegPaymentStreamCompoundingDates component. It is used to specify the set of business centers whose calendars drive the date adjustment. Used only to override the business centers defined in the LegDateAdjustment component in InstrumentLeg.
Required if NoLegPaymentStreamCompoundingDatesBusinessCenters(42419) > 0.
LegPaymentStreamCompoundingEndDate is a subcomponent of the LegPaymentStreamCompoundingDates component used to specify the end date for compounding.
Conditionally required when LegPaymentStreamCompoundingEndDateOffsetUnit(42424) is specified.
Conditionally required when LegPaymentStreamCompoundingEndDateOffsetPeriod(42423) is specified.
LegPaymentStreamCompoundingFloatingRate is a subcomponent of the LegPaymentStream component used to report the parameters for determining the compounding floating rate of the stream.
Conditionally required if LegPaymentStreamCompoundingRateIndexCurveUnit(42429) is specified.
Conditionally required if LegPaymentStreamCompoundingRateIndexCurvePeriod(42428) is specified.
LegPaymentStreamCompoundingStartDate is a subcomponent of the LegPaymentStreamCompoundingDates component used to specify the start date for compounding.
Conditionally required when LegPaymentStreamCompoundingStartDateOffsetUnit(42448) is specified.
Conditionally required when LegPaymentStreamCompoundingStartDateOffsetPeriod(42447) is specified.
LegPaymentStreamFormulaImage is a subcomponent of the LegPaymentStreamFormula component used to include a base64Binary-encoded image clip of the formula.
Conditionally required when LegPaymentStreamFormulaImage(42452) is specified.
Conditionally required when LegPaymentStreamFormulaImageLength(42451) is specified.
LegPaymentStreamFinalPricePaymentDate is a subcomponent of the LegPaymentStreamPaymentDates component used to specify the final price payment date, e.g. for an equity return swap.
Conditionally required when LegPaymentStreamFinalPricePaymentDateOffsetUnit(42456) is specified.
Conditionally required when LegPaymentStreamFinalPricePaymentDateOffsetPeriod(42455) is specified.
LegPaymentStreamFixingDateGrp is a subcomponent of the LegPaymentStreamResetDates component used to specify predetermined fixing dates.
Required if NoLegPaymentStreamFixingDates(42459) > 0.
When specified it applies not only to the current date instance but to all subsequent date instances in the group until overridden when a new type is specified.
LegPaymentStreamFormula is a subcomponent of the LegPaymentStreamFloatingRate component used to report the parameters for determining the floating rate of the stream e.g. for equity swaps.
LegPaymentStreamFormulaMathGrp is a repeating subcomponent within the LegPaymentStreamFormula component. It is used to specify the set of formulas, sub-formulas and descriptions from which the rate is derived.
Required if NoLegPaymentStreamFormulas(42485) > 0.
LegPaymentStubEndDate is a subcomponent of the LegPaymentStubGrp component used to specify the end date of the payment stub.
When specified, this overrides the business day convention defined in the LegDateAdjustment component in InstrumentLeg. The specified value would be specific to this payment stub instance.
When specified, this overrides the business centers defined in the LegDateAdjustment component in InstrumentLeg. The specified values would be specific to this payment stub instance.
Conditionally required when LegPaymentStubEndDateOffsetUnit(42492) is specified.
Conditionally required when LegPaymentStubEndDateOffsetPeriod(42491) is specified.
LegPaymentStubEndDateBusinessCenterGrp is a repeating subcomponent within the LegPaymentStubEndDate component. It is used to specify the set of business centers whose calendars drive the date adjustment. Used only to override the business centers defined in the LegDateAdjustment component in InstrumentLeg.
Required if NoLegPaymentStubEndDateBusinessCenters(42495) > 0.
LegPaymentStubStartDate is a subcomponent of the LegPaymentStubGrp component used to specify the start date of the payment stub.
When specified, this overrides the business day convention defined in the LegDateAdjustment component in InstrumentLeg. The specified value would be specific to this payment stub instance.
When specified, this overrides the business centers defined in the LegDateAdjustment component in InstrumentLeg. The specified values would be specific to this payment stub instance.
Conditionally required when LegPaymentStubStartDateOffsetUnit(42501) is specified.
Conditionally required when LegPaymentStubStartDateOffsetPeriod(42500) is specified.
LegPaymentStubStartDateBusinessCenterGrp is a repeating subcomponent within the LegPaymentStubStartDate component. It is used to specify the set of business centers whose calendars drive the date adjustment. Used only to override the business centers defined in the LegDateAdjustment component in InstrumentLeg.
Required if NoLegPaymentStubStartDateBusinessCenters(42504) > 0.
LegReturnRateDateGrp is a repeating subcomponent within the LegReturnRateGrp component. It is used to specify the equity and dividend valuation dates for an equity return swap payment stream.
Required if NoLegReturnRateDates(42508) > 0.
Conditionally required when LegReturnRateValuationDateOffsetUnit(42512) is specified.
Conditionally required when LegReturnRateValuationDateOffsetPeriod(42511) is specified.
Conditionally required when LegReturnRateValuationStartDateOffsetUnit(42517) is specified.
Conditionally required when LegReturnRateValuationStartDateOffsetPeriod(42516) is specified.
Conditionally required when LegReturnRateValuationEndDateOffsetUnit(42523) is specified.
Conditionally required when LegReturnRateValuationEndDateOffsetPeriod(42522) is specified.
Conditionally required when LegReturnRateValuationFrequencyUnit(42527) is specified.
Conditionally required when LegReturnRateValuationFrequencyPeriod(42526) is specified.
When specified, this overrides the date roll convention defined in the LegDateAdjustment component in InstrumentLeg. The specified values would be specific to this instance of return rate valuation dates.
When specified, this overrides the business day convention defined in the LegDateAdjustment component in InstrumentLeg. The specified value would be specific to payment stream return rate valuation dates.
When specified, this overrides the business day convention defined in the LegDateAdjustment component in InstrumentLeg. The specified values would be specific to payment stream return rate valuation dates.
LegReturnRateFXConversionGrp is a repeating subcomponent within the LegReturnRateGrp component. It is used to specify the FX conversion rates for an equity return swap payment stream.
Required if NoLegReturnRateFXConversions(42530) > 0.
Required if NoLegReturnRateFXConversions(42530) > 0.
LegReturnRateGrp is a repeating subcomponent within the PaymentStreamFloatingRate component. It is used to specify the multiple return rates for an equity return swap payment stream.
Required if NoLegReturnRates(42534) > 0.
If not specified, this is defaulted to the reporting currency.
Mutually exclusive with LegReturnRateQuoteTime(42548).
Mutually exclusive with LegReturnRateQuoteTimeType(42547).
Mutually exclusive with LegReturnRateValuationTime(42556).
Mutually exclusive with LegReturnRateValuationTimeType(42555).
LegReturnRateInformationSourceGrp is a repeating subcomponent within the LegReturnRateGrp component. It is used to specify the information sources for equity prices and FX rates for an equity return swap payment stream.
Required if NoLegReturnRateInformationSources(42560) > 0.
LegReturnRatePriceGrp is a repeating subcomponent within the LegReturnRateGrp component. It is used to specify the return rate prices for an equity return swap payment stream.
Required if NoLegReturnRatePrices(42564) > 0.
LegReturnRateValuationDateBusinessCenterGrp is a repeating subcomponent within the LegReturnRateValuationDateGrp component. It is used to specify the valuation date business center adjustments for an equity return swap payment stream.
Required if NoLegReturnRateValuationDateBusinessCenters(42569) > 0.
LegReturnRateValuationDateGrp is a repeating subcomponent within the LegReturnRateDateGrp component. It is used to specify the fixed valuation dates for an equity return swap payment stream.
Required if NoLegReturnRateValuationDates(42571) > 0.
When specified it applies not only to the current date instance but to all subsequent date instances in the group until overridden when a new type is specified.
The LegSettlMethodElectionDate component is a subcomponent within the LegOptionExercise component used to report the settlement method election date.
When specified, this overrides the business day convention defined in the LegDateAdjustment component in InstrumentLeg. The specified value would be specific to LegOptionExercise.
When specified, this overrides the business centers defined in the LegDateAdjustment component in InstrumentLeg. The specified values would be specific to LegOptionExercise.
Conditionally required when LegSettlMethodElectionDateOffsetUnit(42578) is specified.
Conditionally required when LegSettlMethodElectionDateOffsetPeriod(42577) is specified.
LegSettlMethodElectionDateBusinessCenterGrp is a repeating subcomponent within the LegSettlMethodElectionDate component. It is used to specify the set of business centers whose calendars drive the date adjustment. Used only to override the business centers defined in the LegDateAdjustment component in InstrumentLeg.
Required if NoLegSettlMethodElectionDateBusinessCenters(42581) > 0.
OptionExerciseMakeWholeProvision is a subcomponent of the OptionExercise component used to specify the set of rules of maintaining balance when an option is exercised.
A "make whole" provision seeks to penalize the the option buyer, i.e. make the seller "whole", if the buyer exercises the option prior to the make whole date, e.g. the early call date of a convertible bond.
PaymentStreamCompoundingDateGrp is a subcomponent of the PaymentStreamCompoundingDates component used to specify predetermined compounding dates.
Required if NoPaymentStreamCompoundingDates(42606) > 0.
When specified it applies not only to the current date instance but to all subsequent date instances in the group until overridden when a new type is specified.
PaymentStreamCompoundingDates is a subcomponent of the PaymentStream component used to specify the compounding dates of the stream - either specific, relative or periodic dates.
When specified, this overrides the business day convention defined in the DateAdjustment component in Instrument. The specified value would be specific to payment stream compounding dates.
When specified, this overrides the business centers defined in the DateAdjustment component in Instrument. The specified values would be specific to payment stream compounding dates.
Conditionally required when PaymentStreamCompoundingDatesOffsetUnit(42612) is specified.
Conditionally required when PaymentCompoundingDatesOffsetPeriod(42611) is specified.
Conditionally required when PayamentStreamCompoundingFrequencyUnit(42616) is specified.
Conditionally required when PayamentStreamCompoundingFrequencyPeriod(42615) is specified.
When specified, this overrides the date roll convention defined in the DateAdjustment component in Instrument. The specified value would be specific to this instance of the payment stream compounding dates.
PaymentStreamCompoundingDatesBusinessCenterGrp is a repeating subcomponent within the PaymentStreamCompoundingDates component. It is used to specify the set of business centers whose calendars drive the date adjustment. Used only to override the business centers defined in the DateAdjustment component in Instrument.
Required if NoPaymentStreamCompoundingDatesBusinessCenters(42620) > 0.
PaymentStreamCompoundingEndDate is a subcomponent of the PaymentStreamCompoundingDates component used to specify the end date for compounding.
Conditionally required when PaymentStreamCompoundingEndDateOffsetUnit(42625) is specified.
Conditionally required when PaymentStreamCompoundingEndDateOffsetPeriod(42624) is specified.
PaymentStreamCompoundingFloatingRate is a subcomponent of the PaymentStream component used to report the parameters for determining the compounding floating rate of the stream.
Conditionally required if PaymentStreamCompoundingRateIndexCurveUnit(42630) is specified.
Conditionally required if PaymentStreamCompoundingRateIndexCurvePeriod(42629) is specified.
PaymentStreamCompoundingStartDate is a subcomponent of the PaymentStreamCompoundingDates component used to specify the start date for compounding.
Conditionally required when PaymentStreamCompoundingStartDateOffsetUnit(42649) is specified.
Conditionally required when PaymentStreamCompoundingStartDateOffsetPeriod(42648) is specified.
PaymentStreamFormulaImage is a subcomponent of the PaymentStreamFormula component used to include a base64Binary-encoded image clip of the formula.
Conditionally required when PaymentStreamFormulaImage(42653) is specified.
Conditionally required when PaymentStreamFormulaImageLength(42652) is specified.
PaymentStreamFinalPricePaymentDate is a subcomponent of the PaymentStreamPaymentDates component used to specify the final price payment date, e.g. for an equity return swap.
Conditionally required when PaymentStreamFinalPricePaymentDateOffsetUnit(42657) is specified.
Conditionally required when PaymentStreamFinalPricePaymentDateOffsetPeriod(42656) is specified.
PaymentStreamFixingDateGrp is a subcomponent of the PaymentStreamResetDates component used to specify predetermined fixing dates.
Required if NoPaymentStreamFixingDates(42660) > 0.
When specified it applies not only to the current date instance but to all subsequent date instances in the group until overridden when a new type is specified.
PaymentStreamFormulaMathGrp is a repeating subcomponent within the PaymentStreamFormula component. It is used to specify the set of formulas, sub-formulas and descriptions from which the rate is derived.
Required if NoPaymentStreamFormulas(42683) > 0.
PaymentStreamFormula is a subcomponent of the PaymentStreamFloatingRate component used to report the parameters for determining the floating rate of the stream e.g. for equity swaps.
PaymentStubEndDate is a subcomponent of the PaymentStubGrp component used to specify the end date of the payment stub.
When specified, this overrides the business day convention defined in the DateAdjustment component in Instrument. The specified value would be specific to this payment stub instance.
When specified, this overrides the business centers defined in the DateAdjustment component in Instrument. The specified values would be specific to this payment stub instance.
Conditionally required when PaymentStubEndDateOffsetUnit(42693) is specified.
Conditionally required when PaymentStubEndDateOffsetPeriod(42692) is specified.
PaymentStubEndDateBusinessCenterGrp is a repeating subcomponent within the PaymentStubEndDate component. It is used to specify the set of business centers whose calendars drive the date adjustment. Used only to override the business centers defined in the DateAdjustment component in Instrument.
Required if NoPaymentStubEndDateBusinessCenters(42696) > 0.
PaymentStubStartDate is a subcomponent of the PaymentStubGrp component used to specify the start date of the payment stub.
When specified, this overrides the business day convention defined in the DateAdjustment component in Instrument. The specified value would be specific to this payment stub instance.
When specified, this overrides the business centers defined in the DateAdjustment component in Instrument. The specified values would be specific to this payment stub instance.
Conditionally required when PaymentStubStartDateOffsetUnit(42702) is specified.
Conditionally required when PaymentStubStartDateOffsetPeriod(42701) is specified.
PaymentStubStartDateBusinessCenterGrp is a repeating subcomponent within the PaymentStubStartDate component. It is used to specify the set of business centers whose calendars drive the date adjustment. Used only to override the business centers defined in the DateAdjustment component in Instrument.
Required if NoPaymentStubStartDateBusinessCenters(42705) > 0.
ReturnRateDateGrp is a repeating subcomponent within the ReturnRateGrp component. It is used to specify the equity and dividend valuation dates for an equity return swap payment stream.
Required if NoReturnRateDates(42709) > 0.
Conditionally required when ReturnRateValuationDateOffsetUnit(42713) is specified.
Conditionally required when ReturnRateValuationDateOffsetPeriod(42712) is specified.
Conditionally required when ReturnRateValuationStartDateOffsetUnit(42718) is specified.
Conditionally required when ReturnRateValuationStartDateOffsetPeriod(42717) is specified.
Conditionally required when ReturnRateValuationEndDateOffsetUnit(42724) is specified.
Conditionally required when ReturnRateValuationEndDateOffsetPeriod(42723) is specified.
Conditionally required when ReturnRateValuationFrequencyUnit(42728) is specified.
Conditionally required when ReturnRateValuationFrequencyPeriod(42727) is specified.
When specified, this overrides the date roll convention defined in the DateAdjustment component in Instrument. The specified values would be specific to this instance of the payment stream return rate valuation dates.
When specified, this overrides the business day convention defined in the DateAdjustment component in Instrument. The specified value would be specific to payment stream return rate valuation dates.
When specified, this overrides the business day convention defined in the DateAdjustment component in Instrument. The specified values would be specific to payment stream return rate valuation dates.
ReturnRateFXConversionGrp is a repeating subcomponent within the ReturnRateGrp component. It is used to specify the FX conversion rates for an equity return swap payment stream.
Required if NoReturnRateFXConversions(42731) > 0.
Required if NoReturnRateFXConversions(42731) > 0.
ReturnRateGrp is a repeating subcomponent within the PaymentStreamFloatingRate component. It is used to specify the multiple return rates for an equity return swap payment stream.
Required if NoReturnRates(42735) > 0.
If not specified, this is defaulted to the reporting currency.
Mutually exclusive with ReturnRateQuoteTime(42749).
Mutually exclusive with ReturnRateQuoteTimeType(42748).
Mutually exclusive with ReturnRateValuationTime(42757).
Mutually exclusive with ReturnRateValuationTimeType(42756).
ReturnRateInformationSourceGrp is a repeating subcomponent within the ReturnRateGrp component. It is used to specify the information sources for equity prices and FX rates for an equity return swap payment stream.
Required if NoReturnRateInformationSources(42761) > 0.
ReturnRatePriceGrp is a repeating subcomponent within the ReturnRateGrp component. It is used to specify the return rate prices for an equity return swap payment stream.
Required if NoReturnRatePrices(42765) > 0.
ReturnRateValuationDateBusinessCenterGrp is a repeating subcomponent within the ReturnRateValuationDateGrp component. It is used to specify the valuation date business center adjustments for an equity return swap payment stream.
Required if NoReturnRateValuationDateBusinessCenters(42770) > 0.
ReturnRateValuationDateGrp is a repeating subcomponent within the ReturnRateDateGrp component. It is used to specify the fixed valuation dates for an equity return swap payment stream.
Required if NoReturnRateValuationDates(42772) > 0.
When specified it applies not only to the current date instance but to all subsequent date instances in the group until overridden when a new type is specified.
SettlMethodElectionDateBusinessCenterGrp is a repeating subcomponent within the SettlMethodElectionDate component. It is used to specify the set of business centers whose calendars drive the date adjustment. Used only to override the business centers defined in the DateAdjustment component in Instrument.
Required if NoSettlMethodElectionDateBusinessCenters(42775) > 0.
The SettlMethodElectionDate component is a subcomponent within the OptionExercise component used to report the settlement method election date.
When specified, this overrides the business day convention defined in the DateAdjustment component in Instrument. The specified value would be specific to OptionExercise.
When specified, this overrides the business centers defined in the DateAdjustment component in Instrument. The specified values would be specific to OptionExercise.
Conditionally required when SettlMethodElectionDateOffsetUnit(42781) is specified.
Conditionally required when SettlMethodElectionDateOffsetPeriod(42780) is specified.
UnderlyingCashSettlDateBusinessCenterGrp is a repeating subcomponent within the UnderlyingCashSettlDate component. It is used to specify the set of business centers whose calendars drive the date adjustment. Used only to override the business centers defined in the DateAdjustment component in Instrument.
Required if NoUnderlyingCashSettlDateBusinessCenters(42788) > 0.
The UnderlyingCashSettlDate component is a subcomponent within the UnderlyingCashSettlTermGrp component used to report the cash settlement date defined in the settlement provision.
When specified, this overrides the business day convention defined in the DateAdjustment component in the Instrument component. The specified value would be specific to this instance of the cash settlement provision.
When specified, this overrides the business centers defined in the DateAdjustment component in the Instrument component. The specified values would be specific to this instance of the cash settlement provision.
Conditionally required when UnderlyingCashSettlDateOffsetUnit(42794) is specified.
Conditionally required when UnderlyingCashSettlDateOffsetPeriod(42793) is specified.
UnderlyingDividendAccrualPaymentDateBusinessCenterGrp is a repeating subcomponent within the UnderlyingDividendAccrualPaymentDate component. It is used to specify the set of business centers whose calendars drive the date adjustment.
Required if NoUnderlyingDividendAccrualPaymentDateBusinessCenters(42799) > 0.
The UnderlyingDividendAccrualFloatingRate component is a subcomponent of UnderlyingDividendConditions used to define the dividend accrual floating rate attributes of dividend payment conditions.
Conditionally required when UnderlyingDividendFloatingRateIndexCurveUnit(42803) is specified.
Conditionally required when UnderlyingDividendFloatingRateIndexCurvePeriod(42802) is specified.
The UnderlyingDividendAccrualPaymentDate component is a subcomponent of UnderlyingDividendConditions used to report the dividend accrual payment date.
Conditionally required when UnderlyingDividendAccrualPaymentDateOffsetUnit(42821) is specified.
Conditionally required when UnderlyingDividendAccrualPaymentDateOffsetPeriod(42820) is specified.
When specified, this overrides the business day convention defined in the UnderlyingDateAdjustment component in UnderlyingInstrument. The value would be specific to this instance of UnderlyingDividendAccrualPaymentDate.
When specified, this overrides the business centers defined in the UnderlyingDateAdjustment component in UnderlyingInstrument. The values would be specific to this instance of UnderlyingDividendAccrualPaymentDate.
The UnderlyingDividendConditions component is a subcomponent of UnderlyingPaymentStream used to specify the conditions' valuations and dates governing the payment of dividends.
The UnderlyingDividendFXTriggerDate component is a subcomponent of UnderlyingDividendConditions used to report the dividend date when a foreign exchange trade is triggered.
Conditionally required when UnderlyingDividendFXTriggerDateOffsetUnit(42848) is specified.
Conditionally required when UnderlyingDividendFXTriggerDateOffsetPeriod(42847) is specified.
When specified, this overrides the business day convention defined in the UnderlyingDateAdjustment component in UnderlyingInstrument. The value would be specific to this instance of UnderlyingDividendFXTriggerDate.
When specified, this overrides the business centers defined in the UnderlyingDateAdjustment component in UnderlyingInstrument. The values would be specific to this instance of UnderlyingDividendFXTriggerDate.
UnderlyingDividendFXTriggerDateBusinessCenterGrp is a repeating subcomponent within the UnderlyingDividendFXTriggerDate component. It is used to specify the set of business centers whose calendars drive the date adjustment.
Required if NoUnderlyingDividendFXTriggerDateBusinessCenters(42853) > 0.
UnderlyingDividendPaymentGrp is a repeating subcomponent of UnderlyingDividendPayout used to specify the anticipated dividend or coupon payment dates and amounts of an equity or bond underlier.
Required if NoUnderlyingDividendPayments (42855) > 0.
Required if NoUnderlyingDividendPayments (42855) > 0.
UnderlyingDividendPayout is a subcomponent of UnderlyingInstrument used to specify the dividend or coupon payout parameters of an equity or bond underlier.
UnderlyingDividendPeriodGrp is a repeating subcomponent within the UnderlyingDividendConditions component. It is used to specify the valuation and payments dates of the dividend leg of a dividend swap.
Required if NoUnderlyingDividendPeriods(42862) > 0.
When specified, this overrides UnderlyingDividendUnderlierRefID(42829). The specified value would be specific to this dividend period instance.
When specified, this overrides the business day convention defined in the UnderlyingDateAdjustment component in UnderlyingInstrument. The specified value would be specific to this dividend period instance.
When specified, this overrides the business centers defined in the UnderlyingDateAdjustment component in UnderlyingInstrument. The specified values would be specific to this dividend period instance.
Conditionally required when UnderlyingDividendPeriodValuationDateOffsetUnit(42872) is specified.
Conditionally required when UnderlyingDividendPeriodValuationDateOffsetPeriod(42871) is specified.
Conditionally required when UnderlyingDividendPeriodPaymentDateOffsetUnit(42878) is specified.
Conditionally required when UnderlyingDividendPeriodPaymentDateOffsetPeriod(42877) is specified.
UnderlyingDividendPeriodBusinessCenterGrp is a repeating subcomponent within the UnderlyingDividendPeriodGrp component. It is used to specify the set of business centers whose calendars drive the date adjustment.
Required if NoUnderlyingDividendPeriodBusinessCenters(42882) > 0.
The UnderlyingExtraordinaryEventGrp is a repeating component within the UnderlyingInstrument component. It is used to report extraordinary and disruptive events applicable to the reference entity that affects the contract.
Required if NoUnderlyingExtraordinaryEvents(42884) > 0.
Required if NoUnderlyingExtraordinaryEvents(42884) > 0.
UnderlyingOptionExerciseMakeWholeProvision is a subcomponent of the UnderlyingOptionExercise component used to specify the set of rules of maintaining balance when an option is exercised.
A "make whole" provision seeks to penalize the the option buyer, i.e. make the seller "whole", if the buyer exercises the option prior to the makeWholeDate, e.g. the early call date of a convertible bond.
UnderlyingPaymentStreamCompoundingDateGrp is a subcomponent of the UnderlyingPaymentStreamCompoundingDates component used to specify predetermined compounding dates.
Required if NoUnderlyingPaymentStreamCompoundingDates(42901) > 0.
When specified it applies not only to the current date instance but to all subsequent date instances in the group until overridden when a new type is specified.
UnderlyingPaymentStreamCompoundingDates is a subcomponent of the UnderlyingPaymentStream component used to specify the compounding dates of the stream - either specific, relative or periodic dates.
When specified, this overrides the business day convention defined in the UnderlyingDateAdjustment component in UnderlyingInstrument. The specified value would be specific to payment stream compounding dates.
When specified, this overrides the business centers defined in the UnderlyingDateAdjustment component in UnderlyingInstrument. The specified values would be specific to payment stream compounding dates.
Conditionally required when UnderlyingPaymentStreamCompoundingDatesOffsetUnit(42907) is specified.
Conditionally required when UnderlyingPaymentStreamCompoundingDatesOffsetPeriod(42906) is specified.
Conditionally required when UnderlyingPaymentStreamCompoundingFrequencyUnit(42911) is specified.
Conditionally required when UnderlyingPaymentStreamCompoundingFrequencyPeriod(42910) is specified.
When specified, this overrides the date roll convention defined in the UnderlyingDateAdjustment component in UnderlyingInstrument. The specified value would be specific to this instance of the payment stream dates.
UnderlyingPaymentStreamCompoundingDatesBusinessCenterGrp is a repeating subcomponent within the UnderlyingPaymentStreamCompoundingDates component. It is used to specify the set of business centers whose calendars drive the date adjustment. Used only to override the business centers defined in the UnderlyingDateAdjustment component in UnderlyingInstrument.
Required if NoUnderlyingPaymentStreamCompoundingDatesBusinessCenters(42915) > 0.
UnderlyingPaymentStreamCompoundingEndDate is a subcomponent of the UnderlyingPaymentStreamCompoundingDates component used to specify the end date for compounding.
Conditionally required when UnderlyingPaymentStreamCompoundingEndDateOffsetUnit(42920) is specified.
Conditionally required when UnderlyingPaymentStreamCompoundingEndDateOffsetPeriod(42919) is specified.
UnderlyingPaymentStreamCompoundingFloatingRate is a subcomponent of the UnderlyingPaymentStream component used to report the parameters for determining the compounding floating rate of the stream.
Conditionally required if UnderlyingPaymentStreamCompoundingRateIndexCurveUnit(42925) is specified.
Conditionally required if UnderlyingPaymentStreamCompoundingRateIndexCurvePeriod(42924) is specified.
UnderlyingPaymentStreamCompoundingStartDate is a subcomponent of the UnderlyingPaymentStreamCompoundingDates component used to specify the start date for compounding.
Conditionally required when UnderlyingPaymentStreamCompoundingStartDateOffsetUnit(42944) is specified.
Conditionally required when UnderlyingPaymentStreamCompoundingStartDateOffsetPeriod(42943) is specified.
UnderlyingPaymentStreamFormulaImage is a subcomponent of the UnderlyingPaymentStreamFormula component used to include a base64Binary-encoded image clip of the formula.
Conditionally required when UnderlyingPaymentStreamFormulaImage(42948) is specified.
Conditionally required when UnderlyingPaymentStreamFormulaImageLength(42947) is specified.
UnderlyingPaymentStreamFinalPricePaymentDate is a subcomponent of the UnderlyingPaymentStreamPaymentDates component used to specify the final price payment date, e.g. for an equity return swap.
Conditionally required when UnderlyingPaymentStreamFinalPricePaymentDateOffsetUnit(42952) is specified.
Conditionally required when UnderlyingPaymentStreamFinalPricePaymentDateOffsetPeriod(42951) is specified.
UnderlyingPaymentStreamFixingDateGrp is a subcomponent of the UnderlyingPaymentStreamResetDates component used to specify predetermined fixing dates.
Required if NoUnderlyingPaymentStreamFixingDates(42955) > 0.
When specified it applies not only to the current date instance but to all subsequent date instances in the group until overridden when a new type is specified.
UnderlyingPaymentStreamFormula is a subcomponent of the UnderlyingPaymentStreamFloatingRate component used to report the parameters for determining the floating rate of the stream e.g. for equity swaps.
UnderlyingPaymentStreamFormulaMathGrp is a repeating subcomponent within the UnderlyingPaymentStreamFormula component. It is used to specify the set of formulas, sub-formulas and descriptions from which the rate is derived.
Required if NoUnderlyingPaymentStreamFormulas(42981) > 0.
UnderlyingPaymentStubEndDate is a subcomponent of the UnderlyingPaymentStubGrp component used to specify the end date of the payment stub.
When specified, this overrides the business day convention defined in the UnderlyingDateAdjustment component in UnderlyingInstrument. The specified value would be specific to this payment stub instance.
When specified, this overrides the business centers defined in the UnderlyingDateAdjustment component in UnderlyingInstrument. The specified values would be specific to this payment stub instance.
Conditionally required when UnderlyingPaymentStubEndDateOffsetUnit(42988) is specified.
Conditionally required when UnderlyingPaymentStubEndDateOffsetPeriod(42987) is specified.
UnderlyingPaymentStubEndDateBusinessCenterGrp is a repeating subcomponent within the UnderlyingPaymentStubEndDate component. It is used to specify the set of business centers whose calendars drive the date adjustment. Used only to override the business centers defined in the UnderlyingDateAdjustment component in UnderlyingInstrument.
Required if NoUnderlyingPaymentStubEndDateBusinessCenters(42991) > 0.
UnderlyingPaymentStubStartDate is a subcomponent of the UnderlyingPaymentStubGrp component used to specify the start date of the payment stub.
When specified, this overrides the business day convention defined in the UnderlyingDateAdjustment component in UnderlyingInstrument. The specified value would be specific to this payment stub instance.
When specified, this overrides the business centers defined in the UnderlyingDateAdjustment component in UnderlyingInstrument. The specified values would be specific to this payment stub instance.
Conditionally required when UnderlyingPaymentStubStartDateOffsetUnit(42997) is specified.
Conditionally required when UnderlyingPaymentStubStartDateOffsetPeriod(42996) is specified.
UnderlyingPaymentStubStartDateBusinessCenterGrp is a repeating subcomponent within the UnderlyingPaymentStubStartDate component. It is used to specify the set of business centers whose calendars drive the date adjustment. Used only to override the business centers defined in the UnderlyingDateAdjustment component in UnderlyingInstrument.
Required if NoUnderlyingPaymentStubStartDateBusinessCenters(43000) > 0.
UnderlyingRateSpreadSchedule is a subcomponent of UnderlyingInstrument used to specify the rate spread schedule for a basket underlier.
UnderlyingRateSpreadStepGrp is a repeating subcomponent of UnderlyingRateSpreadSchedule used to specify the step dates and amounts of a basket spread schedule.
Required if NoUnderlyingRateSpreadSteps(43005) > 0.
Required if NoUnderlyingRateSpreadSteps(43005) > 0.
UnderlyingReturnRateDateGrp is a repeating subcomponent within the UnderlyingReturnRateGrp component. It is used to specify the equity and dividend valuation dates for an equity return swap payment stream.
Required if NoUnderlyingReturnRateDates(43008) > 0.
Conditionally required when UnderlyingReturnRateValuationDateOffsetUnit(43012) is specified.
Conditionally required when UnderlyingReturnRateValuationDateOffsetPeriod(43011) is specified.
Conditionally required when UnderlyingReturnRateValuationStartDateOffsetUnit(43017) is specified.
Conditionally required when UnderlyingReturnRateValuationStartDateOffsetPeriod(43016) is specified.
Conditionally required when UnderlyingReturnRateValuationEndDateOffsetUnit(43023) is specified.
Conditionally required when UnderlyingReturnRateValuationEndDateOffsetPeriod(43022) is specified.
Conditionally required when UnderlyingReturnRateValuationFrequencyUnit(43027) is specified.
Conditionally required when UnderlyingReturnRateValuationFrequencyPeriod(43026) is specified.
When specified, this overrides the date roll convention defined in the UnderlyingDateAdjustment component in UnderlyingInstrument. The specified values would be specific to this instance of the return rate dates.
When specified, this overrides the business day convention defined in the UnderlyingDateAdjustment component in UnderlyingInstrument. The specified value would be specific to payment stream return rate valuation dates.
When specified, this overrides the business day convention defined in the UnderlyingDateAdjustment component in UnderlyingInstrument. The specified values would be specific to payment stream return rate valuation dates.
UnderlyingReturnRateFXConversionGrp is a repeating subcomponent within the UnderlyingReturnRateGrp component. It is used to specify the FX conversion rates for an equity return swap payment stream.
Required if NoUnderlyingReturnRateFXConversions(43030) > 0.
Required if NoUnderlyingReturnRateFXConversions(43030) > 0.
UnderlyingReturnRateGrp is a repeating subcomponent within the PaymentStreamFloatingRate component. It is used to specify the multiple return rates for an equity return swap payment stream.
Required if NoUnderlyingReturnRates(43034) > 0.
If not specified, this is defaulted to the reporting currency.
Mutually exclusive with UnderlyingReturnRateQuoteTime(43048).
Mutually exclusive with UnderlyingReturnRateQuoteTimeType(43047).
Mutually exclusive with UnderlyingReturnRateValuationTime(43056)
Mutually exclusive with UnderlyingReturnRateValuationTimeType(43055).
UnderlyingReturnRateInformationSourceGrp is a repeating subcomponent within the UnderlyingReturnRateGrp component. It is used to specify the information sources for equity prices and FX rates for an equity return swap payment stream.
Required if NoUnderlyingReturnRateInformationSources(43060) > 0.
UnderlyingReturnRatePriceGrp is a repeating subcomponent within the UnderlyingReturnRateGrp component. It is used to specify the return rate prices for an equity return swap payment stream.
Required if NoUnderlyingReturnRatePrices(43064) > 0.
UnderlyingReturnRateValuationDateBusinessCenterGrp is a repeating subcomponent within the UnderlyingReturnRateValuationDateGrp component. It is used to specify the valuation date business center adjustments for an equity return swap payment stream.
Required if NoUnderlyingReturnRateValuationDateBusinessCenters(43069) > 0.
UnderlyingReturnRateValuationDateGrp is a repeating subcomponent within the UnderlyingReturnRateDateGrp component. It is used to specify the fixed valuation dates for an equity return swap payment stream.
Required if NoUnderlyingReturnRateValuationDates(43071) > 0.
When specified it applies not only to the current date instance but to all subsequent date instances in the group until overridden when a new type is specified.
UnderlyingSettlMethodElectionDateBusinessCenterGrp is a repeating subcomponent within the UnderlyingSettlMethodElectionDate component. It is used to specify the set of business centers whose calendars drive the date adjustment. Used only to override the business centers defined in the UnderlyingDateAdjustment component in UnderlyingInstrument.
Required if NoUnderlyingSettlMethodElectionDateBusinessCenters(43074) > 0.
The UnderlyingSettlMethodElectionDate component is a subcomponent within the UnderlyingOptionExercise component used to report the settlement method election date.
When specified, this overrides the business day convention defined in the UnderlyingDateAdjustment component in UnderlyingInstrument. The specified value would be specific to UnderlyingOptionExercise.
When specified, this overrides the business centers defined in the UnderlyingDateAdjustment component in UnderlyingInstrument. The specified values would be specific to UnderlyingOptionExercise.
Conditionally required when UnderlyingSettlMethodElectionDateOffsetUnit(43080) is specified.
Conditionally required when UnderlyingSettlMethodElectionDateOffsetPeriod(43079) is specified.
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