Description
The Derivative Security List message is used to return a list of securities that matches the criteria specified in a Derivative Security List Request.
The Derivative Security List message is used to send a predefined list of securities (usually options) based on a common underlying and option class. It can also be used to send the rules for security creation (usually options) which imply the existence of a set of securities.
Other uses of this message may include:
- Convey compreshensive set of option classes for all market segments in which these option classes participates in.
- Convey the option classes' trading rules that differ from the default trading rules for the market segment.
Derivative Security List
Structure
| Tag | Field Name | Req'd | Comments | |
|---|---|---|---|---|
| Component Block - <StandardHeader> | Y | MsgType <35> = AA (2 A's) | ||
| Component Block - <ApplicationSequenceControl> | N | |||
| 964 | SecurityReportID | N | ||
| 320 | SecurityReqID | N | ||
| 322 | SecurityResponseID | N | Identifier for the Derivative Security List message | |
| 560 | SecurityRequestResult | N | Result of the Security Request identified by SecurityReqID | |
| 1607 | SecurityRejectReason | N |
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). |
|
| 715 | ClearingBusinessDate | N | ||
| Component Block - <UnderlyingInstrument> | N | Underlying security for which derivatives are being returned | ||
| Component Block - <DerivativeSecurityDefinition> | N | Group block which contains all information for an option family. If provided DerivativeSecurityDefinition qualifies the strikes specified in the Instrument block. | ||
| 779 | LastUpdateTime | N |
Represents the time at which a security was last updated |
|
| 60 | TransactTime | N | ||
| 393 | TotNoRelatedSym | N | Used to indicate the total number of securities being returned for this request. Used in the event that message fragmentation is required. | |
| 893 | LastFragment | N | Indicates whether this is the last fragment in a sequence of message fragments. Only required where message has been fragmented. | |
| Component Block - <RelSymDerivSecGrp> | N | Specifies the number of repeating symbols (instruments) specified | ||
| Component Block - <StandardTrailer> | Y | |||