Tags for Options Vs Stock

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1

Imported from previous forum

2

Hi,

In case the order is for option trade , what should be the extra tags provided vs if the order would have been for a Stock order

Any help with sample fix message would be great.

Many thanks

Naresh

3

It depends upon version of FIX:

FIX.4.2:
Symbol(55)-option symbol - exchange specific
SecurityType(167) OPT
MaturityMonthYear(tag 200) - YYYYMM
StrikePrice(tag 202) - strike price
PutOrCall(tag 201) 0-Put, 1-Call
For a Flex option:
MaturityDay(tag 205) - If the day of the month is required.

FIX.4.3 - DO NOT USE FIX.4.3 AT ALL

FIX.4.4 through FIX.5.0SP2 - We reintroduced PutOrCall field and SecurityType into FIX.4.4
Symbol(55)-option symbol - exchange specific
SecurityType(167) = ‘OPT’
MaturityMonthYear(tag 200) - YYYYMM (expanded to include - so you can fully specify the maturity date as YYYYMMDD)
StrikePrice(tag 202) - strike price
PutOrCall(tag 201) 0-Put, 1-Call

There are some additional fields that have been used historically, such as:
OptAttribute(tag 206) - has been used in some markets to provide versioning of options as a result of corporate actions (mergers, acquisitions, etc.). This field is not widely used.

For US listed markets - there is an Options Symbology Initiative being led by The Options Clearing Corporation, which is the issuer and guarantee of equity options (including indices), within the US. The FPL Global Derivatives Committee worked with The OCC and produced the following Implementation Guide:
http://fixprotocol.org/documents/4213/FIXImplementationGuide_USOptionsSymbology_v1.pdf

Also, in some markets the following fields might be used to identify the instrument - especially for markets that use ISIN for instance.

SecurityID(tag 48)
SecurityIDSource(tag 22)

Final Note: We introduced CFICode (based upon an ISO standard) as part of FIX.4.3. CFICode(tag 461) is widely used for US derivatives post trade reporting and is still a supported field. We have however, moved away from the use of CFICode for identification of derivatives and returned to SecurityType(tag 167)=OPT or FUT and PutOrCall(tag 201).

Hi,

In case the order is for option trade , what should be the extra tags
provided vs if the order would have been for a Stock order

Any help with sample fix message would be great.

Many thanks

Naresh

4

thanks Jim

It depends upon version of FIX:

FIX.4.2: Symbol(55)-option symbol - exchange specific SecurityType(167)
OPT MaturityMonthYear(tag 200) - YYYYMM StrikePrice(tag 202) - strike
price PutOrCall(tag 201) 0-Put, 1-Call For a Flex option:
MaturityDay(tag 205) - If the day of the month is required.

FIX.4.3 - DO NOT USE FIX.4.3 AT ALL

FIX.4.4 through FIX.5.0SP2 - We reintroduced PutOrCall field and
SecurityType into FIX.4.4 Symbol(55)-option symbol - exchange specific
SecurityType(167) = ‘OPT’ MaturityMonthYear(tag 200) - YYYYMM (expanded
to include - so you can fully specify the maturity date as YYYYMMDD)
StrikePrice(tag 202) - strike price PutOrCall(tag 201) 0-Put, 1-Call

There are some additional fields that have been used historically, such
as: OptAttribute(tag 206) - has been used in some markets to provide
versioning of options as a result of corporate actions (mergers,
acquisitions, etc.). This field is not widely used.

For US listed markets - there is an Options Symbology Initiative being
led by The Options Clearing Corporation, which is the issuer and
guarantee of equity options (including indices), within the US. The FPL
Global Derivatives Committee worked with The OCC and produced the
following Implementation Guide: http://fixprotocol.org/documents/4213/F-
IXImplementationGuide_USOptionsSymbology_v1.pdf

Also, in some markets the following fields might be used to identify the
instrument - especially for markets that use ISIN for instance.

SecurityID(tag 48) SecurityIDSource(tag 22)

Final Note: We introduced CFICode (based upon an ISO standard) as part
of FIX.4.3. CFICode(tag 461) is widely used for US derivatives post
trade reporting and is still a supported field. We have however, moved
away from the use of CFICode for identification of derivatives and
returned to SecurityType(tag 167)=OPT or FUT and PutOrCall(tag 201).

Hi,

In case the order is for option trade , what should be the extra tags
provided vs if the order would have been for a Stock order

Any help with sample fix message would be great.

Many thanks

Naresh

5

Naresh,

I have some logs for you,

2007/09/21 13:49:50:699: FIXConnectionData: Sending data on connection {XYZ} [8=FIX.4.2 9=0222 35=D 34=232 49=ABC 56=XYZ 52=20070921-13:49:50 115=CLIENT1 15=INR 200=200709 107=CIT SEP7 5200CE 207=NS 40=2 54=1 59=0 21=3 60=20070921-13:49:42 201=1 100=NS 55=CNXIT 11=86909 18=2 167=OPT 44=50.0 38=10.0 202=5200 10=008 ]

If you are placing for Indian market then you have to specify the tag 207 and 100 in it, so that the broker will know in which exchange it has to be traded.

Hope so this help you.

Regards,
Girish

thanks Jim

It depends upon version of FIX:

FIX.4.2: Symbol(55)-option symbol - exchange specific
SecurityType(167) OPT MaturityMonthYear(tag 200) - YYYYMM
StrikePrice(tag 202) - strike price PutOrCall(tag 201) 0-Put, 1-Call
For a Flex option: MaturityDay(tag 205) - If the day of the month is
required.

FIX.4.3 - DO NOT USE FIX.4.3 AT ALL

FIX.4.4 through FIX.5.0SP2 - We reintroduced PutOrCall field and
SecurityType into FIX.4.4 Symbol(55)-option symbol - exchange specific
SecurityType(167) = ‘OPT’ MaturityMonthYear(tag 200) - YYYYMM
(expanded to include - so you can fully specify the maturity date as
YYYYMMDD) StrikePrice(tag 202) - strike price PutOrCall(tag 201) 0-
Put, 1-Call

There are some additional fields that have been used historically,
such as: OptAttribute(tag 206) - has been used in some markets to
provide versioning of options as a result of corporate actions
(mergers, acquisitions, etc.). This field is not widely used.

For US listed markets - there is an Options Symbology Initiative being
led by The Options Clearing Corporation, which is the issuer and
guarantee of equity options (including indices), within the US. The
FPL Global Derivatives Committee worked with The OCC and produced the
following Implementation Guide: http://fixprotocol.org/documents/4213/F-
IXImplementationGuide_USOptionsSymbology_v1.pdf

Also, in some markets the following fields might be used to identify
the instrument - especially for markets that use ISIN for instance.

SecurityID(tag 48) SecurityIDSource(tag 22)

Final Note: We introduced CFICode (based upon an ISO standard) as part
of FIX.4.3. CFICode(tag 461) is widely used for US derivatives post
trade reporting and is still a supported field. We have however, moved
away from the use of CFICode for identification of derivatives and
returned to SecurityType(tag 167)=OPT or FUT and PutOrCall(tag 201).

Hi,

In case the order is for option trade , what should be the extra
tags provided vs if the order would have been for a Stock order

Any help with sample fix message would be great.

Many thanks

Naresh

6

Tags 207 and 100 have different meanings. Only tag 100 ExDestination tells the receiver on which exchange it has to be traded. Tag 207 SecurityExchange is part of the component block and further defines the security (if needed), not the place you want to trade it.

Naresh,

I have some logs for you,

2007/09/21 13:49:50:699: FIXConnectionData: Sending data on connection
{XYZ} [8=FIX.4.2 9=0222 35=D 34=232 49=ABC 56=XYZ 52=20070921-13:49:50
115=CLIENT1 15=INR 200=200709 107=CIT SEP7 5200CE 207=NS 40=2 54=1 59=0
21=3 60=20070921-13:49:42 201=1 100=NS 55=CNXIT 11=86909 18=2 167=OPT
44=50.0 38=10.0 202=5200 10=008 ]

If you are placing for Indian market then you have to specify the tag
207 and 100 in it, so that the broker will know in which exchange it has
to be traded.

Hope so this help you.

Regards, Girish