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: Table holds 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 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 current status of 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. |
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 | |
OptionsSymbol | 9403 | N | Market id of the predefined option market. This tag is useful because for 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 | 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 | 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 | 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 number of lots |
NumOfCycles | 9022 | Y | Remaining days left to a flow contract |
NoSides | 552 | Y | Total number of sides. |
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 |
TradeRequestID | 568 | N | TradeRequestID of the Trade Capture Report Request. |
LastParPx | 669 | C | CDS and IRS Futures Price: The CDS or IRS Futures price of this fill. |
SequenceWithinMillis | 9028 | N | 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). |
NumOfCombiDefinitions | 9500 | ||
WaiverIndicator | 8013 | C | MiFID waiver indicator on off-exchange deals in MiFID-regulated markets and products. |
DirectElectronicAccess | 9700 | C | Only required for MiFID II related markets when MIFIDID (Tag 9707) is not provided. |
TradingCapacity | 9701 | C | Only required for MiFID II related markets when MIFIDID (Tag 9707) is not provided. |
LiquidityProvision | 9702 | C | Only required for MiFID II related markets when MIFIDID (Tag 9707) is not provided. |
CommodityDerivIndicator | 9703 | N | Optional for MiFID II related markets when MIFIDID (Tag 9707) is not provided. |
InvestmentDecision | 9704 | C | Must 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’. |
ExecutionDecision | 9705 | C | Must 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. |
ClientIDCode | 9706 | C | Must 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’. |
MiFIDID | 9707 | C | Must 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. Assigned value used to identify receiving firm. |
SendingTime | 52 | Y | Time of message transmission (always expressed in UTC (Universal Time Coordinated, also known as "GMT") |
Table: ICEReportsSides
Usage: Table holds information about side of a reported trade. For each Trade Capture Report there will be one record in 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 report was received. |
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 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 | |
CrossExecutionType | 9405 | N | Indicates the type of deal derived from a new order cross. |
NoNestedPartyIDs | 756 | N | Number of party roles. |
Table: ICEReportsSidesParties
Usage: Table holds parties associated with certain side of reported trade. For each Trade Capture Report number of records in ICEReportdSidesParties table will be equal to value of NoParties in the correspondent record in 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 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 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 |
Table: ICEReportsSidesAllocsPty
Usage: Table is used for allocation party details associated with certain side of reported trade. For each Trade Capture Report number of records in ICEReportdSidesAllocsPty table will be equal to value of NoNested2PartyIDS in correspondent record in 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 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 |
Table: ICEReportsLegs
Usage: 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 ICEReportsLegs table will be equal to the value of NoLegs in the correspondent record in 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 report was received. |
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 | 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 innumberof 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 | Number of nested parties for the leg. |
LegSecurityExchange | 616 | N | Exchange MIC |
LegOptionSymbol | 9404 | N | Exist only if tis leg is option leg |
LegCustOrderHandlingInst | 9426 | N | Supported value(s): S = Sleeve |
LegMemoField | 9122 | N | |
LegParPx | 9669 | C | CDS and IRS Futures Price: The CDS or IRS Futures price of this fill. |
LinkExecID | 9527 | C | Exists on leg fillsofstrategy trades and contains the LegRefID (Tag 654) of the intermediate spread fill. |
Table: ICEReportsLegsNestedPty
Usage: Table holds parties associated with individual leg of reported multileg trade. For each Trade Capture Report number of records in ICEReportsLegsNestedPty table will be equal to value of NoNestedParties in correspondent record in 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 report was received. |
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 |
Table: ICEReportsCombiDefinitions
Usage: 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 whenreport 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 | Repeating group 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 selectedsub level. |
CombiLegPrice | 9505 | N | Returns the price of the combi leg. |
Table: Sent_Messages_ICE
Usage: Table is used to exclude potential duplicates and build triggers for further data base 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 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 |
ExecType | 150 | Y | 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 |
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") |
SenderCompID | 56 | Y | TargetCompID(56) from FIX message. Assigned value used to identify receiving firm. |
Security Definition (MsgType = ''d")
Table: ICESecurityDefinitions
Usage: Table holds summary data for requested security definitions on certain ICE Market. Total Number of securities available at the ICE Market is provided in 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 | 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 of the request |
ListSeqNo | 67 | Y | 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 |
SecurityID | 48 | C | Security Type ID of the product |
Symbol | 55 | C | Underlying future Market ID that the options in the security list are derived from. |
Text | 58 | N |
Table: ICESecurityDefUnderlyings
Usage: Table is used to store description of individual securities available on certain ICE Market. For each Security Definition number of records in ICESecurityDefUnderlyings table will be equal to value of NoUnderlyings in correspondent record in 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 | 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 | |
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 | 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. |
OffExchangeIncrementPrice | 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 |
NoUnderlyingSecurityAltID | 457 | C | Number of UnderlyingSecurityAltID (Tag 458) entries. |
UnderlyingCouponRate | 435 | C | CDS and IRS Futures - Fixed Rate: The fixed rate for an instrument. |
UnderlyingDatedDate | 2041 | C | CDS 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. |
UnderlyingInterestAccrualDate | 2042 | C | CDS and IRS Futures - Effective Date: The effective date of the swap future. Any business day. |
UnderlyingIssueDate | 242 | C | IRS Futures - First Fixing Date: The first Fixing Date is the date at which the float rate is set during the first float period. Any acceptable business day. Not applicable for CDS. |
UnderlyingRepurchaseRate | 245 | C | IRS 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. |
UnderlyingFactor | 246 | C | CDS and IRS Futures - Index Factor: Percentage of the original index that is still accruing interest. |
UnderlyingCreditRating | 256 | C | IRS Futures - Rate Descriptor: The description of Float Rate. Sent for float leg on aged or spot starting swap futures. Not applicable for CDS. |
UnderlyingInstrRegistry | 595 | C | IRS Futures - Payment Frequency: The interest rate swap future payment frequency. Not applicable for CDS. |
UnderlyingPutOrCall | 315 | C | Supported value(s): |
UnderlyingCurrency | 318 | N | Please note that you may receive values that are not ISO 4217 Currency codes. |
UnderlyingSettlMethod | 1039 | C | Adapted from FIX 5.0. |
StrikeExerciseStyle | 1304 | C | Adapted from FIX 5.0. Only supported for FLEX Expiry Option products. |
BaseNumLots | 9030 | N | |
LegacyTickValue | 9132 | N | |
HedgeProductID | 9026 | N | Unique product id for the corresponding Hedge Product. |
HedgeMarketID | 9027 | N | MarketID for the corresponding Hedge market. |
HedgeOnly | 9033 | N | Indicates whether a market can only be used as a hedge. |
HomeExchange | 9042 | N | Indicates where the equity is listed. |
IsDividendAdjusted | 9043 | N | Indicates whether or not the equity will be adjusted for dividends. |
ClearedAlias | 9091 | N | |
Denominator | 9092 | N | |
InitialMargin | 9093 | N | |
ProductType | 9095 | N | Supported value(s): |
NumOfDecimalStrikePrice | 9185 | N | Number of decimals to display for strike price. |
BlockOnly | 9203 | N | Indication of whether the market is only traded as a block and not in the central limit order book. |
FlexAllowed | 9204 | N | Indication of whether a market allows FLEX expiries. |
GTAllowed | 9205 | N | Indication of whether a market allows GTC and GTD orders. |
MiFIDRegulatedMarket | 9215 | N | Indication of whether the market falls under MiFID regulations. |
AONAllowed | 9216 | N | Indication of whether a market allows Flexible options. |
UnderlyingAccruedPremiumAmt | 9900 | N | CDS 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. |
UnderlyingEventPaymentAmt | 9901 | N | CDS 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. |
UnderlyingAlignmentInterestRate | 9902 | N | IRS Futures - Accrued Coupons (B Value): This value represents 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. |
UnderlyingRepurchaseDate | 9903 | N | CDS 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. |
UnderlyingInterpolationFactor | 9904 | N | IRS Futures - Previous Fixing Date: The date (YYYYMMDD) the floating rate was set for the next floating payment. Not applicable for CDS. |
NoBlockDetails | 9070 | N | Number of block details. |
TestMarketIndicator | 9217 | N | Indication of whether the market is a production or test market. |
UDSAllowed | 9049 | N | Indicates whether or not the market can be used as a leg to create a Defined Strategy. |
Table: ICEUnderlyingSecurityAltID
Usage: 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. |
Table: ICESecurityBlockDetails
Usage: 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 | First tag in the repeating group. Required with NoBlockDetails (Tag 9070) > ‘0’. |
BlockDetailsTradeType | 9072 | C | Required with NoBlockDetails (Tag 9070) > ‘0’. |
BlockDetailsMinQty | 9073 | C | Required with NoBlockDetails (Tag 9070) > ‘0’. Block minimum quantity. |
Defined Strategy (MsgType = ''UDS")
Table: ICEDefinedStrategy
Usage: 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 |
ICESessionTargetCompID | 56 | 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 request. |
Symbol | 55 | C | UDS Market ID Please note that this data type is Int and not String |
SecurityID | 48 | N | UDS contract symbol |
SecurityIDSource | 22 | N | Supported value(s): 8 = Exchange Symbol |
SecurityExchange | 207 | N | Exchange MIC |
StrategySecurityID | 9048 | N | Strategy contract symbol. |
UnderlyingStrategySymbol | 9055 | N | Market ID of underlying strategy, e.g. Market ID of Q1 for a Q1 option strategy. |
SecurityType | 167 | N | Supported value(s): MLEG = Multi-leg instrument |
MaturityDate | 541 | N | |
SecurityDesc | 107 | N | |
SecurityTradingStatus | 326 | N | |
SecuritySubType | 762 | N | 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 |
UnitOfMeasure | 996 | N | |
ExchangeSilo | 9064 | N | Identifies the Exchange Silo of a Market. Supported value(s): 0 = ICE 1 = ENDEX 2 = LIFFE |
TransactTime | 60 | C | Creation 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. |
IncrementPrice | 9013 | N | |
IncrementQty | 9014 | N | |
NumOfDecimalPrice | 9083 | N | |
NumOfDecimalQty | 9084 | N | |
ProductID | 9061 | N | |
BaseNumLots | 9030 | N | |
ClearedAlias | 9091 | N | |
Denominator | 9092 | N | |
ImpliedType | 9002 | N | |
OffExchangeIncrementPrice | 9040 | N | The increment price for off-exchange market. |
OffExchangeIncrementQty | 9041 | N | The increment quantity for off-exchange market. |
PriceDenomination | 9100 | N | Trading denomination of the contract e.g., GB pence, USD cents. |
PriceUnit | 9101 | N | |
NumOfDecimalStrikePrice | 9185 | N | Number of decimals to display for strike price. |
NumOfCycles | 9022 | N | |
LotSizeMultiplier | 9024 | N | |
BlockOnly | 9203 | N | 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 |
FlexAllowed | 9204 | N | Indication of whether a market allows FLEX expiries or strikes. Supported value(s): 0 = No (default if not sent) 1 = Yes |
GTAllowed | 9205 | N | Indication of whether the market supports GTC and GTD orders. Supported value(s): 0 = No (default if not sent) 1 = Yes |
MiFIDRegulatedMarket | 9215 | N | Indication of whether the market falls under MiFID regulations. Supported value(s): 0 = No (default if not sent) 1 = Yes |
LegDealsSuppressed | 9011 | N | 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 |
ProductName | 9062 | C | Only available for Combo strategies with SecuritySubType (Tag 762) = ‘15’. |
StripType | 9200 | C | Only available for Combo strategies with SecuritySubType (Tag 762) = ‘15’. |
StripName | 9202 | C | Only available for Combo strategies with SecuritySubType (Tag 762) = ‘15’. |
HubID | 9300 | C | Only available for Combo strategies with SecuritySubType (Tag 762) = ‘15’. |
HubName | 9301 | C | Only available for Combo strategies with SecuritySubType (Tag 762) = ‘15’. |
HubAlias | 9302 | C | Only available for Combo strategies with SecuritySubType (Tag 762) = ‘15’. |
PhysicalCode | 9303 | C | Only available for Combo strategies with SecuritySubType (Tag 762) = ‘15’. |
NoBlockDetails | 9070 | N | Number of block details. |
TestMarketIndicator | 9217 | N | 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. |
Text | 58 | N | |
NoLegs | 555 | C | Number of legs in strategy |
Table: ICEDefinedStrategyBlockDetails
Usage: Table holds contents of NoBlockDetails repeating groups.
Fields | |||
Name | FIX tag | Req’d | Description |
SecurityResponseID | 322 | Y | Key field. Unique identifier for Security Definition Response |
ICESessionTargetCompID | 56 | 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 | - | Y | Key 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 |
BlockDetailsTradeType | 9072 | C | Required with NoBlockDetails (Tag 9070) > 0. Supported value(s): See TrdType (Tag 828) for Supported value(s). |
BlockDetailsMinQty | 9073 | C | Required with NoBlockDetails (Tag 9070) > 0. Block minimum quantity. |
Table: ICEDefinedStrategyLegs
Usage: Table holds contents of NoLegs repeating groups.
Fields | |||
Name | FIX tag | Req’d | Description |
SecurityResponseID | 322 | Y | Key field. Unique identifier for Security Definition Response |
ICESessionTargetCompID | 56 | 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 | - | Y | Key field. Numeric identifier of the NoLegs group entry. |
LegSymbol | 600 | C | Option or Future Market ID for this leg of the UDS. Must be first tag in repeating group. Required if NoLegs (Tag 555) > 0. |
LegSecurityType | 609 | C | Multi-leg instrument's individual security's SecurityType. Required if NoLegs (Tag 555) > 0. |
LegSide | 624 | C | The side of this individual leg. Required if NoLegs (Tag 555) > 0. |
LegQuantity | 623 | C | Required if LegSecurityType (Tag 609) = ‘OPT’. |
LegPrice | 566 | C | |
LegSecuritySubType | 764 | C | Contains the Strategy Code for defined market where applicable. For Supported value(s) please see: https://www.theice.com/publicdocs/technology/ICE_Strategy_Code_Reference_Manual.pdf |
LegOptionDelta | 1017 | C | Please note 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 |
LegRatioQtyDenominator | 9623 | C | |
LegRatioQtyNumerator | 9624 | C | |
LegRatioPriceDenominator | 9566 | C | |
LegRatioPriceNumerator | 9567 | C |