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changes.mady.by.user Franck MIKULECZ

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changes.mady.by.user David Matraberci

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The Security List message is the response to the Security List Request GET message. It returns the list of Instruments that matches the criteria you specified in the request.

API Key Permission: Read
GET /API/swaplend/marketstructure/SecurityList

Request parameters

note

>>

>>

0 = Expire on trading session close

>>>

Field Name

Format

Req'd

Comments

MsgType

String

✓Identifies the message type

y = SecurityList (lowercase Y)

MsgSeqNum

SeqNum

✓

Incremental number used to identify if receiver missed a message

SendingTime

UTCTimestamp

✓

Time of sending this message

David Matraberci : These above should not be in the sheet, as they are part of the standard header

SecurityReportID

Int

Unique identifier

ClearingBusinessDate

LocalMktDate

E.g.: 20220818

SecurityListDesc

String

All SWAPREPO/Lend traded Instruments with BTC/USD as underlying

Info

David Matraberci : This might be an overkill/duplicate to generate the text as well as the message?

SecurityRequestResult

Int

0 = Valid request;
1 = Invalid or unsupported request;
2 = No instruments found that match

TransactTime

UTCTimestamp

20220818-14:18:21.123

TotNoRelatedSym

Int

Total number of Instruments being returned for this request.

MarketID

Exchange

XCDE

MarketSegmentID

String

SWAPREPO/Lend

Component block

<SecListGrp>

>

NoRelatedSym

Int

Number of Instrument in that response

Info

David Matraberci : As this is not used in FIXML, I’d suggest to drop from here as well, it normally has a technical reason to use a number for reading the stream.

Component block

<Instrument>

Repeating group

<SecListGrp> Repeating block

<Instrument> Component block

>>

Symbol

String

E.g.: BTC/USD-ID-R

>>

Product

Int

13 = Financing (Repo is a financing product)

>>

SecurityGroup

String

ID = Intra-day;
ON = Overnight;
TOD-TOM = Today + 1 day during week-end;
1w = 1 week
2w = 2 weeks

>>

SecurityType

String

REPO

>>

MaturityDate

LocalMktDate

20220822 (Settle date of Far_Leg)

>>

MaturityTime

TZTimeOnly

20220822-17:00-05 (for 5pm NY on Aug22)

info

David Matraberci : Is this required?

SecurityStatus

String

1 = Active;
2 = Inactive

Info

David Matraberci : Inactive requires feature

>>

MinPriceIncrement

Float

0.01

info

David Matraberci : TBD how to get this data

SettlMethod

Char

P = Physical settlement required

>>

SecurityDesc

String

BTC/USD Intra-day Repo

<FinancingDetails> Component block<FinancingDetails>

>>

DeliveryType

Int

0 = "Versus Payment": Deliver (if sell) or Receive (if buy) vs. (against) Payment

<SecurityTradingRules> Component block

<SecurityTradingRules>

<BaseTradingRules> Component block

<BaseTradingRules>

>>>

ExpirationCycle

Int

>>>

MinTradeVol

Qty

E.g: 1 = minimum order quantity that can be submitted

note

David Matraberci : Where is this coming from? I guess it will be different for BTC and ADA

PriceType

Int

6 = Spread

<UndInstrmtGrp> Component block

<UndInstrmtGrp>

<UnderlyingInstrument> Component block

<UnderlyingInstrument>

Must be provided if Number of underlyings > 0

>>>

UnderlyingSymbol

String

BTC/USD

>>>

UnderlyingProduct

Int

100 = CRYPTO (not yet a FIX Protocol standard value)

>>>

UnderlyingSecurityType

String

CRYPTOCASH

>>>

UnderlyingSecurityDesc

String

BTC/USD Cash

>

Currency

USD = the currency this Repo is priced in (terms currency)

Component block

<InstrmtLegSecListGrp>

>>

NoLegs

2 (always 2 for a Repo)

Info

David Matraberci : I am not sure if this is required, as this is not a FIX message

Component block

<InstrumentLeg>

<InstrmtLegSecListGrp> Repeating block

<InstrumentLeg> Component block

Description of the first leg of this Repo

>>>

LegSymbol

String

BTC/USD-CASH

>>>

LegSecurityDesc

String

BTC/USD Cash

>>>

LegRatioQty

Float

1

>>>

LegSide

Int

2 = SELL

>>>

LegCurrency

Currency

USD

>>>

LegSettlType

Char

1 = Cash (immediate settlement)

InstrumentLeg

Description of the second leg of this Repo

Note

David Matraberci : I believe this orange block is not required, its just a duplicate of the previous set, and should be explained there instead

LegSymbol

String

BTC/USD-Spot

LegSecurityDesc

String

BTC/USD Spot

LegRatioQty

Float

1

LegSide

Int

1 = BUY

LegCurrency

Currency

USD

LegSettlType

Char

0 = Spot (regular End-of-Day settlement)

>>

Text

String

Comment, instructions, or other identifying information.

Example missing

>>

Text

String

Comment, instructions, or other identifying information.

Example List message:

Code Block
languagejson
{
  "Header": {
    "MsgType": "y",
    "MsgSeqNum": "27683564",
    "SenderCompID": "SENDER",
    "TargetCompID": "TARGET",
    "SendingTime": "20220905-23:41:24.298"
  },
  "SecurityReportID": "yd544a-ks67",
  "ClearingBusinessDate": "20220906",
  "SecurityListDesc": "All REPO/Lend Intraday Instruments with BTC/USD as underlying",
  "SecurityRequestResult": "0",
  "TransactTime": "20220905-23:41:24.045",
  "MarketID": "XCDE",
  "MarketSegmentID": "REPO/Lend",
  "SecListGrp": [
    {
      "Instrument": {
        "Symbol": "BTC/USD-ID-R",
        "Product": "13",
        "SecurityGroup": "ID",
        "SecurityType": "REPO",
        "SecurityStatus": "1",
        "MinPriceIncrement": "0.01",
        "SettlMethod": "P",
        "SecurityDesc": "BTC/USD Intra-day Repo"
      },
      "FinancingDetails": {
        "DeliveryType": "0"
      },
      "SecurityTradingRules": {
        "BaseTradingRules": {
          "MinTradeVol": "1",
          "PriceType": "6"
        }
      },
      "UndInstrmtGrp": {
        "UnderlyingInstrument": {
          "UnderlyingSymbol": "BTC/USD",
          "UnderlyingProduct": "100",
          "UnderlyingSecurityType": "CRYPTOCASH",
          "UnderlyingSecurityDesc": "BTC/USD Cash"
        }
      },
      "Currency": "USD",
      "InstrmtLegSecListGrp": [
        {
          "InstrumentLeg": {
            "LegSymbol": "BTC/USD-CASH",
            "LegSecurityDesc": "BTC/USD Cash",
            "LegRatioQty": "1",
            "LegSide": "SELL",
            "LegCurrency": "USD",
            "LegSettlType": "1"
          }
        },
        {
          "InstrumentLeg": {
            "LegSymbol": "BTC/USD-SPOT",
            "LegSecurityDesc": "BTC/USD Spot",
            "LegRatioQty": "1",
            "LegSide": "BUY",
            "LegCurrency": "USD",
            "LegSettlType": "0"
          }
        }
      ],
    }
  ]
}
Expand
titleRaw version
Code Block
MsgType: y
MsgSeqNum: 27683564
SendingTime: 20220905-23:41:24.298
SecurityReportID: yd544a-ks67
ClearingBusinessDate: 20220906
SecurityListDesc: All REPO/Lend Intraday Instruments with BTC/USD as underlying
SecurityRequestResult: 0
TransactTime: 20220905-23:41:24.045 
MarketID: XCDE
MarketSegmentID: REPO/Lend
Instrument
  Symbol: BTC/USD-ID-R
  Product: 13
  SecurityGroup: ID
  SecurityType: REPO
  MaturityDate: 20220906
  MaturityTime: 20220906-17:00:00-05
  SecurityStatus: 1
  MinPriceIncrement: 0.01
  SettlMethod: P
  SecurityDesc: BTC/USD Intra-day Repo
  DeliveryType: 0
  MinTradeVol: 1
  PriceType: 6
UndInstrmtGrp
UnderlyingInstrument
  UnderlyingSymbol: BTC/USD
  UnderlyingProduct: 100
  UnderlyingSecurityType: CRYPTOCASH
  UnderlyingSecurityDesc: BTC/USD Cash
Currency: USD
InstrmtLegSecListGrp
NoLegs
InstrumentLeg
  LegSymbol: BTC/USD-CASH
  LegSecurityDesc: BTC/USD Cash
  LegRatioQty: 1
  LegSide: SELL
  LegCurrency: USD
  LegSettlType: 1
InstrumentLeg
  LegSymbol: BTC/USD-SPOT
  LegSecurityDesc: BTC/USD Spot
  LegRatioQty: 1
  LegSide: BUY
  LegCurrency: USD
  LegSettlType: 0
Text