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Database Schema

Trade Capture Report (MsgType = ''AE") 



Security Definition (MsgType = ''d")



Defined Strategy (MsgType = ''UDS")




ICE-to-Database mapping

Trade Capture Report (MsgType = ''AE")

Table: ICEReports

Usage: The table holds a summary of reported trades.

Fields

Name

FIX tag

Req’d

Description

TradeReportID

571

Y

Key field. Unique ID of Trade Capture Report

CurrentDate

-


Y

Key field. Date and time when the report was received.

Format: YYYYMMDD-HH:MM:SS

UniqueTradeID-Y

Key field. Together with TradeReportID and SendingTime identifies unique trade appearance.

Format: ExecID + "." + Symbol + "." + Side + "." + OrdStatus

TradeReportTransType

487

Y

Identifies Trade Report message transaction type.

Valid value:

0 = New

TradeReportType

856

N

Type of Trade Report.

Valid value:

0  = Submit

TrdType

828

N

Type of trade.


ExecType

150

N

ExecType will be equal to ‘NULL’ in case of live updates sent from ICE.

Valid values:

5 = Replace
F =  Trade (partial fill or fill)
H =  Trade Cancel

Please note:  it is possible to get a duplicate trade capture report with an ExecType of 5 even if nothing has changed on your side of the trade!

ExecID

17

Y

Exchange Deal ID

OrigTradeID

1126

N

Original trade ID present only on the trades resulting from bust/adjust and containing the DealID of the original trade that was bust/adjusted

GroupIndicator

9820

N

Used to identify legs of spread deals brokered in WebICE TR

TradeLinkMktID

9414

N

Market id that links the futures market to the OTC market

OrdStatus                               


39

N

Identifies the current status of the order.

Valid values:

2 = Filled
4 = Cancelled

PreviouslyReported

570

Y

Indicates if the trade capture report was previously reported to the counterparty.

Valid values: N, Y

Symbol           

55

Y

MarketID (Symbol) needed to submit orders

SecurityID

48

N

Contract identifier/symbol.

SecurityIDSource

22

C

Exist only if SecurityID exists.

Valid value: 8

SecurityExchange

207

N

Exchange MIC Code

TradeLinkID

820

N

Deal id that links the futures market trade to the OTC market trade.

NOTE: The TransactTime (tag 60) for both the futures and OTC trade will be the same.

CFICode

461

Y

Supported value(s):
FXXXXX = Futures
OPXXXX = Put
OCXXXX = Call
OMXXXX = Other (UDS)

OptionsSymbol          

9403

N

Market id of the predefined option market. This tag is useful because of option trades, tag 55 will still contain the underlying Futures market id. This tag is optional because option markets hosted on our older trading engines don’t have any pre-configured marketIDs.

StrikePrice


202

N

The strike price of the option.

Required if  CFICode = ‘OCXXXX’ or ‘OPXXXX’

StartDate

916

N

In format, YYYYMMDD, used to report custom strips on bilateral trades. Please note for Endex Spot markets use DeliveryStartDate

EndDate

917

N

In format, YYYYMMDD, used to report custom strips on bilateral trades. Please note for Endex Spot markets use DeliveryEndDate

DeliveryStartDate

9520

N

The format will be based on UTCTimestamp with variation possible based on product. Accepted values include YYYYMMDD-HH:MM:SS and YYYMMDD-HH:MM:SS.sss

DeliveryEndDate

9521

N

The format will be based on UTCTimestamp with variation possible based on product. Accepted values include YYYYMMDD-HH:MM:SS and YYYMMDD-HH:MM:SS.sss

LocationCode

9522

N

Endex specific: Only populated for OCM Locational markets

MeterNumber

9523

N

Endex specific: Only populated for OCM Locational markets

LeadTime

9524

N

Endex specific: Only populated for OCM Locational markets

ReasonCode

9525

N

Endex specific: Only populated for OCM Locational markets

LastQty          

32

Y

Value of trade quantity

LastPx            

31

Y

Price of this (last) fill

TradeDate

75

Y

Indicates date of trade occurred in YYYYMMDD format

TransactTime

60

Y

Indicates time of trade occurred,

Format: HH:MI:SS.000

NumOfLots

9018

Y

Trade quantity represented in a number of lots

NumOfCycles

9022

Y

The remaining days left to a flow contract

NoSides         

552

Y

A total number of sides.
It will always be equal to 1

NoLegs

555

N

Total number of trade spread legs added into this report

ClientAppType

9413

N

Identifies the source which generated the current FIXTC report.

ExchangeSilo

9064

N

Identifies the Exchange Silo of a market.

Valid Values:

0= ICE

1= Endex

2= Liffe

SecuritySubType

762

N

Reserved for future use. Contains the strategy code for the UDS where applicable.

Valid Values:

https://www.theice.com/publicdocs/technology/ICE_Strategy_Code_Reference_Manual.pdf

TermsQualityComments

9510

N

Terms of Platts deal

TradeRequestID568NTradeRequestID of the Trade Capture Report Request.
LastParPx669CCDS and IRS Futures Price: The CDS or IRS Futures price of this fill.
SequenceWithinMillis9028NA sequence of the message within the millisecond. SequenceWithinMillis / 1000 = # of microseconds. Please note that the last 3 digits are sequence numbers within the microsecond (not nanoseconds).
NumOfCombiDefinitions9500

WaiverIndicator8013CMiFID waiver indicator on off-exchange deals in MiFID-regulated markets and products.
DirectElectronicAccess9700C

Only required for MiFID II-related markets when MIFIDID (Tag 9707) is not provided.
Supported value(s):
0 = False
1 = True

TradingCapacity9701C

Only required for MiFID II-related markets when MIFIDID (Tag 9707) is not provided.
Supported value(s):
0 = DEAL (own account)
1 = MTCH (matched principal)
2 = AOTC (any other capacity)

LiquidityProvision9702C

Only required for MiFID II-related markets when MIFIDID (Tag 9707) is not provided.
Supported value(s):
0 = False
1 = True

CommodityDerivIndicator9703N

Optional for MiFID II-related markets when MIFIDID (Tag 9707) is not provided.
Supported value(s):
0 = False (Default if not sent)
1 = True

InvestmentDecision9704CMust be > 0. Maximum value of 9,223,372,036,854,775,807. Only required for MiFID II-related markets when MIFIDID (Tag 9707) is not provided and TradingCapacity (Tag 9701) = ‘0’.
ExecutionDecision9705CMust be > 0. Maximum value of 9,223,372,036,854,775,807. Only required for MiFID II-related markets when MIFIDID (Tag 9707) is not provided.
ClientIDCode9706CMust be > 0. Maximum value of 9,223,372,036,854,775,807. Only required for MiFID II-related markets when MIFIDID (Tag 9707) is not provided and TradingCapacity (Tag 9701) = ‘1’ or ‘2’.
MiFIDID9707CMust be > 0. Maximum value of 9,223,372,036,854,775,807. Only required for MiFID II-related markets when Tags 9700-9706 are not provided. Please note that this field (in lieu of 9700-9706) will be the only MiFID-related field processed if sent.

SenderCompID

56

Y

TargetCompID(56) from FIX message. The assigned value is used to identify receiving firm.

SendingTime52YTime of message transmission (always expressed in UTC (Universal Time Coordinated, also known as "GMT")
InsertionTime-NTime of writing the row in the table
CDIOverride9036NAn indication that brokers submitted CDIOverride. Applicable only for trades less than LIS minimum in MIFID regulated markets.
Supported values:
0 = No (Default if not sent)
1 = Yes
DealAdjustIndicator9124NThis indicates that a deal is adjusted on a deal bust.
Supported value(s):
0 = No (Default if not sent)
1 = Yes
SelfMatchPreventionID9821NAn identifier used to prevent self-trading
SelfMatchPreventionInstruction9822NIndicates cancel instruction when self-match prevention is triggered. Used in conjunction with SelfMatchPreventionID (Tag 9821)
Supported value(s):
R = Cancel Resting Order (Default if not sent)
T = Cancel Taking Order
B = Cancel Both Orders
QuantityMax9512NPlatts specific field. QuantityTo used in Platts market
Contract9097NCompany short name (abbreviation) whose contract terms are agreed for the deal
GeneralTerms9098NCompany short name (abbreviation) whose general terms and conditions are agreed upon for the deal
Currency15NIndicates the designated currency of the trade
OptolMinQuantity9513NPlatts market: indicative of Optol minimum quantity
OptolMaxQuantity9514NPlatts market: indicative of Optol maximum quantity
OptolPriceBasis9515NPlatts market: returns the Optol pricing basis
OptolPriceBasisPeriod9516NPlatts market: returns the basis period ex: Full month, quarter, 5 days, etc.
OptolPriceBasisSubLevel9518NPlatts market: returns the Optol price basis sub level
OptolPrice9517NPlatts market: returns the Optol price

Table: ICEReportsSides

Usage: The table holds information about the side of a reported trade. For each Trade Capture Report, there will be one record in the ICEReportsSides table.

Fields

Name

FIX tag

Req’d

Description

TradeReportID

571

Y

Key field. Unique ID of Trade Capture Report.

CurrentDate

-

Y

Key field. Date and time when the report was received.

Format: YYYYMMDD-HH:MM:SS

SideEntry


-

Y

Key field. Together with TradeReportID and SendingTime identifies unique side of each report

UniqueTradeID-Y

Key field. Together with TradeReportID and SendingTime identifies unique trade appearance.

Format: ExecID + "." + Symbol + "." + Side + "." + OrdStatus

Side

                                   


54

Y

Trade side.

Valid values:

1 = Buy

2 = Sell

OrderID

37

Y

Exchange OrderID

ClOrdID

11

N

Client OrderID

Text

58

N


CustOrderHandlingInst

1031

N

The CustOrderHandlingInst is used to mark deals with a value that determines how the counterparty will be billed. This is only applicable to Griffin market types. Earlier Billing Code

ComplianceID

376

N

Unique Swap Identifier

NoParties


453

N

Number of Parties

AllocAccount

79

N

Allocation Account

Only if 78>0

PositionEffect

77

N

Valid Values:

O (Open)

C (Close)

MemoField

9121

N


TransactDetails

9123

N


CrossExecutionType9405N

Indicates the type of deal derived from a new order cross.
Supported value(s):
0 = Basic Crossing Order

NoNestedPartyIDs756NThe number of party roles.
InsertionTime-NTime of writing the row in the table

Table: ICEReportsSidesAllocsPty

Usage: A table is used for allocation party details associated with a certain side of the reported trade. For each Trade Capture Report number of records in the ICEReportdSidesAllocsPty table will be equal to the value of NoNested2PartyIDS in the correspondent record in the ICEReportdSides table.

Fields

Name

FIX tag

Req’d

Description

TradeReportID


571

Y

Key field. Unique ID of Trade Capture Report.

CurrentDate

-

Y

Key field. Date and time when the report was received.

Format: YYYYMMDD-HH:MM:SS

SideEntry

-

Y

Key field. Together with TradeReportID and SendingTime identifies unique side entry of each report

UniqueTradeID-Y

Key field. Together with TradeReportID and SendingTime identifies unique trade appearance.

Format: ExecID + "." + Symbol + "." + Side + "." + OrdStatus

Nested2PartyEntry

-

Y

Key field. Together with TradeReportID, SendingTime and SideEntry identifies unique nested party of each report

Nested2PartyID

757

Y

Nested Party ID

Nested2PartyIDSource


758

Y

Valid value: D (Proprietary/Custom code)

Nested2PartyRole

759

Y

Clearing firm = 4

Give up type = 62

Only if 756>0

InsertionTime-NTime of writing the row in the table

Table: ICEReportsSidesParties

Usage: The table holds parties associated with a certain side of the reported trade. For each Trade Capture Report number of records in the ICEReportdSidesParties table will be equal to the value of NoParties in the correspondent record in the ICEReportdSides table.

Fields

Name

FIX tag

Req’d

Description

TradeReportID


571

Y

Key field. Unique ID of Trade Capture Report.

CurrentDate

-


Y

Key field. Date and time when the report was received.

Format: YYYYMMDD-HH:MM:SS

SideEntry

-

Y

Key field. Together with TradeReportID and SendingTime identifies unique side entry of each report

PartyEntry

-

Y

Key field. Together with TradeReportID, SendingTime and SideEntry identifies the unique party of each report

UniqueTradeID-Y

Key field. Together with TradeReportID and SendingTime identifies unique trade appearance.

Format: ExecID + "." + Symbol + "." + Side + "." + OrdStatus

PartyID

448

Y

PartyID

PartyIDSource


447

Y

Valid value: D (Proprietary/Custom code)

PartyRole

452

Y


InsertionTime-NTime of writing the row in the table

Table: ICEReportsLegs

Usage: The table holds details of an individual leg of a multileg instrument (user-defined strategy) associated with reported trade. For each Trade Capture Report number of records in the ICEReportsLegs table will be equal to the value of NoLegs in the correspondent record in the ICEReports table.

Fields

Name

FIX tag

Req’d

Description

TradeReportID

571


Key field.Unique ID of Trade Capture Report.

CurrentDate

-

Y

Key field. Date and time when the report was received.
Format: YYYYMMDD-HH:MM:SS

LegsEntry

-


Key field. Together withTradeReportID and SendingTime identifies unique leg of each report

UniqueTradeID-Y

Key field. Together withTradeReportID and SendingTime identifies unique trade appearance.

Format: ExecID + "." + Symbol + "." + Side + "." + OrdStatus

LegSymbol     

600

Y

Leg MarketID (Symbol)

LegSecurityID                                   

602

N

Contract identifier/symbol

LegSecurityIDSource

603

N


LegCFICode

608

Y


LegStrikePrice

612

N

The strike price of option leg

Required if LegCFICode = ‘OPXXXX’ or ‘OCXXXX’

LegSide

624

Y

Side of a leg. Valid values:

1 = Buy

2 = Sell

LegLastPx

637

Y

Value of leg trade quantity

LegQty           

687

Y

Price of this (last) leg fill

LegOptionRatio

1017

N

Contains the hedge ratio value in percentage

LegRefID

654

Y

Leg TradeID

LegNumOfLots

9019

Y

Spread leg quantity represented in a number of lots

LegNumofCycles

9023

Y


LegStartDate

9020

Y

Start date for the leg markets

LegEndDate

9021

Y

End date for the leg markets

LegComplianceID

9376

N

Unique Swap Identifier or Unique Trade Identifier

NoNestedParties

539

N

The number of nested parties for the leg.

LegSecurityExchange

616

N

Exchange MIC

LegOptionSymbol

9404

N

Exist only if this leg is option leg

LegCustOrderHandlingInst

9426


N

Supported value(s):

S = Sleeve
M = Originator
T = Aggressor

LegMemoField

9122

N


LegParPx9669CCDS and IRS Futures Price: The CDS or IRS Futures price of this fill.
LinkExecID9527CExists on leg fills of strategy trades and contains the LegRefID (Tag 654) of the intermediate spread fill.
LegOptionDelta1017C

Please note: the data type of Int and not Float.

Required if LegSecurityType (Tag 609) = ‘FUT’ or ‘CS’. 

Supported value(s) are integers with a minimum value of ‘1

InsertionTime-NTime of writing the row in the table

Table: ICEReportsLegsNestedPty

Usage: The table holds parties associated with an individual leg of reported multileg trade. For each Trade Capture Report number of records in the ICEReportsLegsNestedPty table will be equal to the value of NoNestedParties in the correspondent record in the ICEReportsLegs table.

Fields

Name

FIX tag

Req’d

Description

TradeReportID

571

Y

Key field. Unique ID of Trade Capture Report.

CurrentDate

-


Y

Key field. Date and time when the report was received.
Format: YYYYMMDD-HH:MM:SS

LegsEntry                              

-

Y

Key field. Together with TradeReportID and SendingTime identifies unique nested party of each report

UniqueTradeID


Y

Key field. Together with TradeReportID and SendingTime identifies unique trade appearance.

Format: ExecID + "." + Symbol + "." + Side + "." + OrdStatus

NestedPartyEntry

-

Y

Key field. Together with TradeReportID and SendingTime identifies unique nested party of each report

NestedPartyID

524

Y

Nested PartyId

NestedPartyIDSource

525

Y

Valid value: D (Proprietary/Custom code)

NestedPartyRole

538

Y


InsertionTime-NTime of writing the row in the table

Table: ICEReportsCombiDefinitions

Usage: The table holds contents of CombiDefinitions repeating groups.

Fields

Name

FIX tag

Req’d

Description

TradeReportID

571

Y

Key field. Unique ID of Trade Capture Report.


CurrentDate

-

Y

Key field. Date and time when the report was received.

Format: YYYYMMDD-HH:MM:SS

UniqueTradeID


Y

Key field. Together with TradeReportID and SendingTime identifies unique trade appearance.

Format: ExecID + "." + Symbol + "." + Side + "." + OrdStatus

CombiDefEntry

-

Y

Key field. Numeric identifier of the CombiDefinitions group entry.

CombiPercentage

9501

N

The repeating group is used to convey Platts specific combi fields.

CombiPriceBasis

9502

N

Returns the pricing basis for Platts combi deals.

CombiPriceBasisPeriod

9503

N

Returns the Platts basis period ex: Full month, quarter, 5 days, etc.

CombiPriceBasisSubLevel

9504

N

Returns the selected sub-level.

CombiLegPrice

9505

N

Returns the price of the combi leg.

InsertionTime-NTime of writing the row in the table

Table: Sent_Messages_ICE

Usage: Table is used to exclude potential duplicates and build triggers for further database messages processing        

Fields

Name

FIX tag

Req’d

Description

CurrentDate

-

Y

Key field. Date and time when report was received.

Format: YYYYMMDD-HH:MM:SS

OrdStatus

39

Y

Key field. Identifies current status of the order.

Valid values:

2 = Filled

4 = Cancelled

ExecID

17

Y

Key field. Exchange Deal ID

Symbol

55

Y

Key field.

Contains the MarketID (Symbol) needed to submit orders

Side

54

Y

Key field. Trade side.

Valid values:

1 = Buy

2 = Sell

ExecType150Y

Key field. Describes the reason the trade capture report is sent. ExecType will be equal to ‘NULL’ in case of live updates sent from ICE.

5 = Replace
F = Trade (partial fill or fill)
H = Trade Cancel

TradeReportID


571

N

Unique ID of Trade Capture Report

UniqueTradeID-N

Together with TradeReportID and SendingTime identifies unique trade appearance.

Format: ExecID + "." + Symbol + "." + Side + "." + OrdStatus

SendingTime

52



Y

Time of message transmission (always expressed in UTC (Universal Time Coordinated, also known as "GMT")

SenderCompID56YTargetCompID(56) from FIX message. The assigned value is used to identify receiving firm.

Security Definition (MsgType = ''d")

Table: ICESecurityDefinitions

Usage: Table holds summary data for requested security definitions on certain ICE Market. The total number of securities available at the ICE Market is provided in the TotNoRelatedSym column.

Fields

Name

FIX tag

Req’d

Description

SecurityResponseID

322

Y

Key field. Unique ID of Security Definition

CurrentDate

-

Y

Key field. Date when Security Definition was received

Format: YYYYMMDD

ICESessionTargetCompID

56

Y

Key field. Always set to ICE

SecurityReqID

320

Y

The ID of Security Definitions Request

SecurityResponseType

393

Y

Valid value: 4

TotNoRelatedSym

393

Y

Total number of securities in this security type

NoRpts

82

Y

Total number of messages sent as a response to the request

ListSeqNo

67

Y

The sequence number of the message in a list

NoUnderlyings

711

Y

Total number of securities in this security definition response message

ExchangeSilo

9064

N

Identifies the Exchange Silo of a market.

Valid Values:

0= ICE

1= Endex

2= Liffe

SecurityID48CSecurity Type ID of the product
Symbol55CUnderlying future Market ID that the options in the security list are derived from.
Text58N
InsertionTime-NTime of writing the row in the table

Table: ICESecurityDefUnderlyings

Usage: A table is used to store descriptions of individual securities available on certain ICE Market. For each Security Definition number of records in the ICESecurityDefUnderlyings table will be equal to the value of NoUnderlyings in the correspondent record in the ICESecurityDefinitions table.

Fields

Column Name

FIX tag

Req’d

Description

UnderlyingSymbol                             

311

Y

Key field. Contains the MarketID (Symbol) needed to submit orders

CurrentDate

-

Y

Key field. Date when Security Definition was received

Format: YYYYMMDD

UnderlyingCFICode                          

463

N

Key field.

Valid Values:

FXXXXX = Futures

OXXXXX = Options

OXXFXX = Unique Option market ID

ICESessionTargetCompID

56

Y

Always set to ICE

SecurityResponseID

322

Y

Unique ID of Security Definition

UnderlyingSecurityID

309

Y

Contract symbol

UnderlyingSecurityIDSource                        

305

Y

Contract symbol source

UnderlyingSecurityDesc

307

Y

Security description

UnderlyingMaturityDate

542

Y

The maturity date of a security

UnderlyingContractMultiplier                       

436

Y

Contract multiplier

StartDate

916

Y

Start Date of the market strip

EndDate                     

917

Y

End Date of the market strip

IncrementPrice

9013

Y

Increment Price for a security

IncrementQty             

9014

Y

Increment quantity for a security

LotSize                       

9017

Y


LotSizeMultiplier

9024

N

 Clearable products only

StripID                       

9201

Y


StripType                               

9200

Y


StripName      

9202

N


HubID            

9300

Y


HubName                   

9301

N


HubAlias                    

9302

N


UnderlyingUnitOfMeasure

998

Y

Physical unit of measure for derivative products

Granularity     

9085

N


PriceDenomination    

9100

Y

Trading denomination the contract trades in e.g., USD, GB pence, USD cents

NOTE: For OXXFXX– unique Option marketIDs this tag will be absent

PriceUnit        

9101

Y

NOTE: For OXXFXX– unique Option marketIDs this tag will be absent

NumOfDecimalPrice 

9083

Y


ProductID      

9061

N


ProductName             

9062

N


NumOfDecimalQty   

9084

Y


Clearable        

9025

N

Valid values:

Y = Clearable

N = Not Clearable

ProductDescription    

9063

N


TickValue       

9032

N


StripName      

9202

N


IncrementStrike

9400

N

Exists for options

MinStrike                               

9401

N

Exists for options

MaxStrike

9402

N

Exists for options

ImpliedType

9002

N

Valid Value:

F – Full Spread

PrimaryLegSymbol

9004

N

Exists for spread products.

SecondaryLegSymbol

9005

N

Exists for spread products.

NumOfCycles

9022

N

The remaining days left to a flow contract

PhysicalCode

9303

N

Always exist if Tag 711 value > 0

UnderlyingSecurityExchange

308

N

Supports Market Identifier Code (MIC) values. Examples of possible values are “IFEU”, “IFUS”, “IFCA”, “IFED”, etc. This will not be sent for options markets.

OffExchangeIncrementPx

9040

N

The minimum increment price for Off-Exchange markets

OffExchangeIncrementQty

9041

N

The minimum increment quantity for Off-Exchange markets

UnderlyingStrikePrice

316

N


SecurityTradingStat

326

N


UnderlyingSecuritySubTyp

763

N

Reserved for future use. Contains the strategy code for a defined market where applicable.

https://www.theice.com/publicdocs/technology/ICE_Strategy_Code_Reference_Manual.pdf

NoUnderlyingSecurityAltID457CNumber of UnderlyingSecurityAltID (Tag 458) entries.
UnderlyingCouponRate435CCDS and IRS Futures - Fixed Rate: The fixed rate for an instrument.
UnderlyingDatedDate2041CCDS and IRS Futures - Cash Flow Alignment Date: The cash flow alignment date is a date not adjusted for holidays used to derive interest payment dates. Any calendar day.
UnderlyingInterestAccrualDate2042CCDS and IRS Futures - Effective Date: The effective date of the swap future. Any business day.
UnderlyingIssueDate242CIRS Futures - First Fixing Date: The first Fixing Date is the date at which the floating rate is set during the first float period. Any acceptable business day. Not applicable for CDS.
UnderlyingRepurchaseRate245CIRS Futures - Previous Fixing Rate: The rate set on the last reset date. Sent for float leg on aged or spot starting swap futures. Not sent for forward starting swap futures. Not applicable for CDS.
UnderlyingFactor246CCDS and IRS Futures - Index Factor: Percentage of the original index that is still accruing interest.
UnderlyingCreditRating256CIRS Futures - Rate Descriptor: The description of Float Rate. Sent for float leg on aged or spot starting swap futures. Not applicable for CDS.
UnderlyingInstrRegistry595C

IRS Futures - Payment Frequency: The interest rate swaps future payment frequency. Not applicable for CDS.
Supported value(s):
6M = 6 months
1Y = 1 year

UnderlyingPutOrCall315C

Supported value(s):
0 = Put
1 = Call

UnderlyingCurrency318NPlease note that you may receive values that are not ISO 4217 Currency codes.
UnderlyingSettlMethod1039C

Adapted from FIX 5.0.
Supported value(s):
C = Cash/Financial
P = Physical

StrikeExerciseStyle1304C

Adapted from FIX 5.0. Only supported for FLEX Expiry Option products.
Supported value(s):
0 = European
1 = American
3 = Asian

BaseNumLots9030N
LegacyTickValue9132N
HedgeProductID9026NThe unique product id for the corresponding Hedge Product.
HedgeMarketID9027NMarketID for the corresponding Hedge market.
HedgeOnly9033N

Indicates whether a market can only be used as a hedge.
Supported value(s):
0 = No (Default if not sent)
1 = Yes, Hedge only

HomeExchange9042NIndicates where the equity is listed.
IsDividendAdjusted9043N

Indicates whether or not the equity will be adjusted for dividends.
Supported value(s):
0 = No (Default if not sent)
1 = Yes

ClearedAlias9091N
Denominator9092N
InitialMargin9093N
ProductType9095N

Supported value(s):
Energy
Futures
Spreads

NumOfDecimalStrikePrice9185NA number of decimals to display for the strike price.
BlockOnly9203N

Indication of whether the market is only traded as a block and not in the central limit order book.
Supported value(s):
0 = No (default if not sent)
1 = Yes

FlexAllowed9204N

Indication of whether a market allows FLEX expiries.
Supported value(s):
0 = No (default if not sent)
1 = Yes

GTAllowed9205N

Indication of whether a market allows GTC and GTD orders.
Supported value(s):
0 = No (default if not sent)
1 = Yes

MiFIDRegulatedMarket9215N

Indication of whether the market falls under MiFID regulations.
Supported value(s):
0 = No (default if not sent)
1 = Yes

AONAllowed9216N

Indication of whether a market allows Flexible options.
Supported value(s):
0 = No (default if not sent)
1 = Yes

UnderlyingAccruedPremiumAmt9900NCDS and IRS Futures - Total Premium Accrual: Premium that has accrued during the current quarterly payment period. Based on 100 Notional and will be applied to the 'A' value.
UnderlyingEventPaymentAmt9901NCDS Futures - Premium & Credit Event Payments (B Value): This value represents historical premium and credit event payments for 100 notional, and is one of the primary inputs needed for calculating a futures price for a swap future.
UnderlyingAlignmentInterestRate9902NIRS Futures - Accrued Coupons (B Value): This value represents the historical fixed and floating payments for 100 notional, and is one of the primary inputs needed for calculating a futures price for an interest rate swap future.
UnderlyingRepurchaseDate9903NCDS and IRS Futures - Price Alignment Interest (C Value): PAI is the cumulative daily interest on variation margin adjustment for 100 notional. PAI is one of the primary inputs needed for calculating a futures price for a swap future.
UnderlyingInterpolationFactor9904NIRS Futures - Previous Fixing Date: The date (YYYYMMDD) the floating rate was set for the next floating payment. Not applicable for CDS.
NoBlockDetails9070NA number of block details.
TestMarketIndicator9217N

Indication of whether the market is a production or test market.
Supported value(s):
0 = No, this is a production market (default if not sent).
1 = Yes, this is a test market only.

UDSAllowed9049N

Indicates whether or not the market can be used as a leg to create a Defined Strategy.
Supported value(s):
0 = No (Default if not sent)
1 = Yes

InsertionTime-NTime of writing the row in the table
ScreenTickValue9133CIdentifies the dollar amount per tick move when calculated from the Central Limit Order Book (CLOB). Only present when SecuritySubType (Tag 762) = ‘15’.
BlockTickValue9134CIdentifies the dollar amount per tick move when calculated for Off-Exchange Deals. Only present when SecuritySubType (Tag 762) = ‘15’.
MarketTransparencyType9074NSupported value(s)
0 = ICE Market (Default if not sent)
1 = Platts market
NonCommoditizedMarket9425NIndicates whether a market is non-commoditized.
Support Value(s):
0 = No (default if not sent)
1 = Yes

Table: ICEUnderlyingSecurityAltID

Usage: The table holds contents of NoUnderlyingSecurityAltID repeating groups.

Fields

Name

FIX tag

Req’d

Description

UnderlyingSymbol

311

Y

Key field. Contains the MarketID (Symbol) needed to submit orders

CurrentDate

-

Y

Key field. Date when Security Definition was received

Format: YYYYMMDD

UnderlyingCFICode

56

Y

Key field.

Valid Values:

FXXXXX = Futures

OXXXXX = Options

OXXFXX = Unique Option market ID

UnderlyingSecurityEntry

320

Y

Key field. Numeric identifier of the NoUnderlyingSecurityAltID group entry.

UnderlyingSecurityAltID

458

C

Will contain the ISIN of the instrument if UnderlyingSecurityAltIDSource (Tag 459) = 'U4'. Will contain the ISIN of the underlying equity if UnderlyingSecurityAltIDSource (Tag 459) = '4'.

UnderlyingSecurityAltIDSource

459

C

Supported value(s): 4 = ISIN (Underlying ISIN of Equity related market) U4 = ISIN (ISIN of Instrument as required by MiFID). Only supported for Futures and Options MiFID regulated markets. Not supported for strategies.

InsertionTime-NTime of writing the row in the table

Table: ICESecurityBlockDetails

Usage: The table holds contents of NoBlockDetails repeating groups.

Fields

Name

FIX tag

Req’d

Description

UnderlyingSymbol

311

Y

Key field. Contains the MarketID (Symbol) needed to submit orders

CurrentDate

-

Y

Key field. Date when Security Definition was received

Format: YYYYMMDD

UnderlyingCFICode

56

Y

Key field.

Valid Values:

FXXXXX = Futures

OXXXXX = Options

OXXFXX = Unique Option market ID

UnderlyingBlockDetailsEntry

320

Y

Key field. Numeric identifier of the NoBlockDetails group entry.

BlockDetailsBlockType

9071

C

The first tag in the repeating group. Required with NoBlockDetails (Tag 9070) > ‘0’.
Supported value(s):
0 = Regular
1 = PNC
2 = DP
3 = LIS

BlockDetailsTradeType

9072

C

Required with NoBlockDetails (Tag 9070) > ‘0’.
Supported value(s):
See TrdType (Tag 828) for Supported value(s).

BlockDetailsMinQty9073CRequired with NoBlockDetails (Tag 9070) > ‘0’. Block minimum quantity.
InsertionTime-NTime of writing the row in the table

Defined Strategy (MsgType = ''UDS")

Table: ICEDefinedStrategy

Usage: The table holds summary data for requested defined strategies on certain ICE Market. 

Fields

Name

FIX tag

Req’d

Description

SecurityResponseID

322

Y

Key field. Unique identifier for Security Definition Response

ICESessionTargetCompID56
Key field. Always set to ICE
CurrentDate-

Key field. Date when Defined Strategy was received

Format: YYYYMMDD

SecurityResponseType

323

Y

Key field. Supported value(s):

1 = Accept security proposal as is

4 = List of securities returned per request

5 = Security proposal is rejected

10 = Security proposal already defined

SecurityReqID

320

Y

Unique ID of the request.

Symbol55C

UDS Market ID

Please note that this data type is Int and not String

SecurityID48NUDS contract symbol
SecurityIDSource22N

Supported value(s):

8 = Exchange Symbol

SecurityExchange207NExchange MIC
StrategySecurityID9048NStrategy contract symbol.
UnderlyingStrategySymbol9055NThe market ID of underlying strategy, e.g. Market ID of Q1 for a Q1 option strategy.
SecurityType167N

Supported value(s):

MLEG = Multi-leg instrument

MaturityDate541N
SecurityDesc107N
SecurityTradingStatus326N
SecuritySubType762N

Contains the Strategy Code for a defined market where applicable.

For Supported value(s) please see: https://www.theice.com/publicdocs/technology/ICE_Strategy_Code_Reference_Manual.pdf

UnitOfMeasure996N
ExchangeSilo9064N

Identifies the Exchange Silo of a Market.

Supported value(s):

0 = ICE

1 = ENDEX

2 = LIFFE

TransactTime60CCreation time of strategy. The precision is controlled by the TimeStampPreference (Tag 9007) on the Logon Request Message.
 
Time/date combination represented in UTC (Universal Time Coordinated, also known as “GMT”) in either YYYYMMDDHH:MM:SS (whole seconds) or YYYYMMDD-HH:MM:SS.sss* format, colons, dash, and period required.
 
Supported value(s): 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.
IncrementPrice9013N
IncrementQty9014N
NumOfDecimalPrice9083N
NumOfDecimalQty9084N
ProductID9061N
BaseNumLots9030N
ClearedAlias9091N
Denominator9092N
ImpliedType9002N
OffExchangeIncrementPrice9040NThe increment price for the off-exchange market.
OffExchangeIncrementQty9041NThe increment quantity for the off-exchange market.
PriceDenomination9100NTrading denomination of the contract e.g., GB pence, USD cents.
PriceUnit9101N
NumOfDecimalStrikePrice9185NA number of decimals to display for the strike price.
NumOfCycles9022N
LotSizeMultiplier9024N
BlockOnly9203N

Indication of whether the market is only traded as a block and not in the central limit order book.

Supported value(s):

0 = No (default if not sent)

1 = Yes

FlexAllowed9204N

Indication of whether a market allows FLEX expiries or strikes.

Supported value(s):

0 = No (default if not sent)

1 = Yes

GTAllowed9205N

Indication of whether the market supports GTC and GTD orders.

Supported value(s):

0 = No (default if not sent)

1 = Yes

MiFIDRegulatedMarket9215N

Indication of whether the market falls under MiFID regulations.

Supported value(s):

0 = No (default if not sent)

1 = Yes

LegDealsSuppressed9011N

Indicates whether or not the client can expect to receive legs deals when trading the strategy

Supported value(s):

0 = No, leg deals will be sent (Default value if not sent)

1 = Yes, leg deals will NOT be sent

ProductName9062COnly available for Combo strategies with SecuritySubType (Tag 762) = ‘15’.
StripType9200COnly available for Combo strategies with SecuritySubType (Tag 762) = ‘15’.
StripName9202COnly available for Combo strategies with SecuritySubType (Tag 762) = ‘15’.
HubID9300COnly available for Combo strategies with SecuritySubType (Tag 762) = ‘15’.
HubName9301COnly available for Combo strategies with SecuritySubType (Tag 762) = ‘15’.
HubAlias9302COnly available for Combo strategies with SecuritySubType (Tag 762) = ‘15’.
PhysicalCode9303COnly available for Combo strategies with SecuritySubType (Tag 762) = ‘15’.
NoBlockDetails9070NA number of block details.
TestMarketIndicator9217N

Indication of whether the market is a production or test market.

Supported value(s):

0 = No, this is a production market (default if not sent).

1 = Yes, this is a test market only.

Text58N
NoLegs555CNumber of legs in strategy
InsertionTime-NTime of writing the row in the table
ScreenTickValue9133CIdentifies the dollar amount per tick move when calculated from the Central Limit Order Book (CLOB). Only present when SecuritySubType (Tag 762) = ‘15’.
BlockTickValue9134CIdentifies the dollar amount per tick move when calculated for Off-Exchange Deals. Only present when SecuritySubType (Tag 762) = ‘15’.
NoUnderlyingSecurityAltID457CNumber of UnderlyingSecurityAltID (Tag 458) entries
MarketTypeID9052N
OverrideBlockMin9034NIndication of whether the market allows brokers/traders to bypass
off-exchange/self block minimums
Supported value(s):
0 = No (default if not sent)
1 = Yes

Table: ICEDefinedStrategyBlockDetails

Usage: The table holds contents of NoBlockDetails repeating groups.

Fields

Name

FIX tag

Req’d

Description

Symbol

55

Y

MarketID (Symbol) needed to submit orders

SecurityResponseID

322

Y

Key field. Unique identifier for Security Definition Response

ICESessionTargetCompID56
Key field. Always set to ICE
CurrentDate-

Key field. Date when Defined Strategy was received

Format: YYYYMMDD

SecurityResponseType

323

Y

Key field. Supported value(s):

1 = Accept security proposal as is

4 = List of securities returned per request

5 = Security proposal is rejected

10 = Security proposal already defined

BlockDetailsID-YKey field. Numeric identifier of the NoBlockDetails group entry.

BlockDetailsBlockType

9071

C

First tag in the repeating group.

Required with NoBlockDetails (Tag 9070) > 0.

Supported value(s):

0 = Regular

1 = PNC

2 = DP

3 = LIS

BlockDetailsTradeType9072C

Required with NoBlockDetails (Tag 9070) > 0.

Supported value(s):

See TrdType (Tag 828) for Supported value(s).

BlockDetailsMinQty9073C

Required with NoBlockDetails (Tag 9070) > 0. 

Block minimum quantity.

InsertionTime-NTime of writing the row in the table

Table: ICEDefinedStrategyLegs

Usage: The table holds contents of NoLegs repeating groups.

Fields

Name

FIX tag

Req’d

Description

Symbol

55

Y

MarketID (Symbol) needed to submit orders

SecurityResponseID

322

Y

Key field. Unique identifier for Security Definition Response

ICESessionTargetCompID56
Key field. Always set to ICE
CurrentDate-

Key field. Date when Defined Strategy was received

Format: YYYYMMDD

SecurityResponseType

323

Y

Key field. Supported value(s):

1 = Accept security proposal as is

4 = List of securities returned per request

5 = Security proposal is rejected

10 = Security proposal already defined

LegsID-YKey field. Numeric identifier of the NoLegs group entry.

LegSymbol

600

C

Option or Future Market ID for this leg of the UDS. Must be the first tag in a repeating group. Required if NoLegs (Tag 555) > 0.

LegSecurityType609CMulti-leg instrument's individual security's SecurityType. Required if NoLegs (Tag 555) > 0.
LegSide624CThe side of this individual leg. Required if NoLegs (Tag 555) > 0.
LegQuantity623CRequired if LegSecurityType (Tag 609) = ‘OPT’.
LegPrice566C
LegSecuritySubType764C

Contains the Strategy Code for the defined market where applicable.

For Supported value(s) please see: https://www.theice.com/publicdocs/technology/ICE_Strategy_Code_Reference_Manual.pdf

LegOptionDelta1017C

Please note: the data type of Int and not Float.

Required if LegSecurityType (Tag 609) = ‘FUT’ or ‘CS’. 

Supported value(s) are integers with a minimum value of ‘1

LegRatioQtyDenominator9623C
LegRatioQtyNumerator9624C
LegRatioPriceDenominator9566C
LegRatioPriceNumerator9567C
InsertionTime-NTime of writing the row in the table
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