# How Does the FIX Protocol Differentiate between a Common Stock and a When-Issued Security? ▴ Question

**Published:** 2025-08-02
**Categories:** Question

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## Concept

When observing the flow of orders through an institutional trading system, the Financial Information eXchange (FIX) protocol operates as the fundamental communication layer. A common query relates to how this protocol distinguishes between a standard security, like a [common stock](https://prime.greeks.live/area/common-stock/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite), and a more complex instrument such as a when-issued (WI) security. The architecture of the protocol addresses this through a system of layered data fields, where the identity of an instrument is established through a combination of tags, rather than a single, monolithic identifier.

The primary field for denoting the class of a financial instrument is SecurityType (167). For a common stock, the value is unequivocally CS. This tag provides the foundational classification. The protocol, however, is designed to represent the full lifecycle and state of a security, which requires additional context for instruments that have been authorized but not yet issued.

A [when-issued security](https://prime.greeks.live/area/when-issued-security/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite) is, fundamentally, a common stock in a pre-issuance state. Therefore, the [FIX protocol](https://prime.greeks.live/area/fix-protocol/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite) does not define a separate SecurityType for it. Instead, it modifies the characteristics of the CS instrument using other tags to signal its specific temporal state and the associated settlement conditions.

> The protocol uses a matrix of settlement and descriptive tags to modify a base security type, thereby defining its when-issued status.

This differentiation is achieved primarily through the strategic use of settlement-related fields. The SettlType (63) and SettlDate (64) tags are critical. For a [standard common stock trade](https://prime.greeks.live/question/how-do-non-standard-clauses-alter-standard-pfe-calculations/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite), SettlType might be absent (defaulting to regular settlement) or specified as 0 (Regular). For a when-issued security, SettlType is populated with a value that indicates a non-standard, [future settlement](https://prime.greeks.live/question/why-does-a-bilateral-rfq-carry-more-inherent-settlement-risk-than-an-exchange-traded-future/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite) date, such as 6 (Future) or 8 (Sellers Option).

This is coupled with SettlDate (64), which is set to the anticipated issuance date of the security. This combination of SecurityType(167)=CS, a future-dated SettlType(63), and a specific SettlDate(64) provides the necessary information for all counterparties to understand the nature of the trade ▴ the execution of a common stock for future delivery and settlement, pending its official issuance.

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## The Architectural Logic of Layered Specification

This design choice within the FIX protocol reflects a sophisticated understanding of market mechanics. Creating a unique SecurityType for every possible state of a security would lead to an unmanageable proliferation of values and add unnecessary complexity. The current architecture provides a more scalable and logical framework. It establishes a base instrument and then applies modifiers to describe its state, risk profile, and settlement timeline.

This allows trading and risk systems to categorize the instrument correctly as an equity product while simultaneously flagging the extended [settlement risk](https://prime.greeks.live/area/settlement-risk/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite) and non-standard clearing cycle inherent in a when-issued transaction. This layered approach ensures that downstream systems, from order management (OMS) to risk and compliance platforms, can parse the message, correctly identify the instrument, and apply the appropriate processing logic.

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## Strategy

The strategic framework for differentiating common stock and when-issued securities within the FIX protocol is built upon the principle of progressive information layering. This approach allows market participants to manage order flow, risk, and settlement with precision. The strategy hinges on using a combination of tags to create a complete and unambiguous picture of the instrument being traded, ensuring that both human traders and automated systems can correctly interpret the associated obligations and timelines.

A core component of this strategy is the explicit signaling of settlement risk. A standard equity trade typically settles on a T+1 or T+2 cycle. A [when-issued trade](https://prime.greeks.live/question/can-a-determining-party-unilaterally-revise-a-close-out-calculation-after-it-has-been-issued/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite), by its nature, involves a settlement period that can be weeks or months in the future, introducing significant counterparty and market risk.

The FIX protocol’s design enables firms to isolate and manage this risk by flagging these trades explicitly through the settlement tags. This allows [risk management](https://prime.greeks.live/area/risk-management/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite) systems to apply different margin requirements, exposure calculations, and credit checks for WI trades compared to regular-way trades in the same underlying stock.

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## Comparative Message Structure

The strategic differences in messaging are best illustrated through a direct comparison of the key fields in a [NewOrderSingle](https://prime.greeks.live/area/newordersingle/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite) (D) message for each security type. While many fields will be identical (e.g. Symbol(55), OrderQty(38) ), the distinction is made in a few critical tags that fundamentally alter the nature of the transaction.

> A when-issued trade is essentially a forward contract on a common stock, and the FIX message structure reflects this by overlaying future settlement terms onto a standard equity definition.

The following table outlines the strategic differentiation in FIX messaging:

### Table 1 ▴ FIX Tag Differentiation for Common Stock vs. When-Issued

| FIX Tag (Number) | Field Name | Common Stock (Regular-Way) Example | When-Issued Security Example | Strategic Implication |
| --- | --- | --- | --- | --- |
| 167 | SecurityType | CS | CS | Establishes the base instrument as a common stock for both. No distinction is made at this level. |
| 63 | SettlType | 0 (Regular) or omitted | 6 (Future) | This is the primary strategic flag. It signals to all systems that the trade is not for standard settlement. |
| 64 | SettlDate | YYYYMMDD (e.g. T+2) | YYYYMMDD (Future Issue Date) | Specifies the exact date of the future settlement, allowing for precise scheduling and risk management. |
| 11 | ClOrdID | ORD12345 | WI-ORD12345 | A common industry practice is to prefix the client order ID to make WI trades easily identifiable in logs and on trading blotters. |
| 111 | MaxFloor | (Optional) | Often used | In less liquid WI markets, traders might use this tag to manage information leakage while working a large order before issuance. |

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## The Role of CFICode and Rules of Engagement

While SecurityType(167) is the traditional field, modern FIX implementations often favor the CFICode (461) field for greater granularity. The Classification of Financial Instruments (CFI) code can provide a more detailed description. For instance, a common stock is ESXXXX. A when-issued common stock might be designated with a specific CFI attribute, though in practice, the SettlType / SettlDate combination remains the most common method of differentiation.

Furthermore, the precise implementation is often governed by the “Rules of Engagement” (RoE) between counterparties. These bilateral agreements specify the exact tag usage and values required for processing specific instrument types, ensuring that both the buy-side and sell-side systems are perfectly aligned in their interpretation of the data.

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## Execution

The execution of trades in common stock versus when-issued securities requires precise and unambiguous instruction via the FIX protocol. The operational integrity of the entire trade lifecycle, from order placement to clearing and settlement, depends on the correct population of specific FIX tags. A failure to accurately represent the trade’s characteristics can lead to settlement breaks, incorrect risk calculations, and compliance issues. The following provides an operational guide to constructing FIX messages for both scenarios, highlighting the critical data points that drive downstream system behavior.

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## The Operational Playbook for a Standard Common Stock Trade

When an institutional trader executes a standard purchase of a common stock, the NewOrderSingle (D) message is straightforward. The system architecture is designed for high-throughput and low-latency processing of these common transactions.

- **Instrument Identification** ▴ The security is identified using its Symbol(55) (e.g. IBM ) and SecurityID(48) (e.g. a CUSIP or ISIN). SecurityType(167) is set to CS.

- **Order Parameters** ▴ Core order details like Side(54)=1 (Buy), OrderQty(38), and OrdType(40)=2 (Limit) are populated.

- **Settlement Instructions** ▴ For a regular-way trade, SettlType(63) is typically omitted, which defaults to standard settlement for that market (e.g. T+2 in the US). Alternatively, it can be explicitly set to 0. SettlDate(64) would be populated with the corresponding settlement date.

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## How Is a When Issued Trade Operationally Distinct?

Executing a when-issued trade requires a more deliberate and explicit set of instructions within the FIX message. The goal is to clearly signal the extended settlement timeline and the associated risks. The process modifies the [standard common stock](https://prime.greeks.live/question/how-do-non-standard-clauses-alter-standard-pfe-calculations/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite) order to reflect its forward-like nature.

- **Base Instrument Definition** ▴ The SecurityType(167) tag is still populated with CS. The system defines the instrument as a common stock at its core.

- **Future Settlement Signaling** ▴ The SettlType(63) tag must be populated with a value that denotes future settlement. The value 6 (Future) is commonly used. This single tag is the primary trigger for downstream systems to apply non-standard processing logic.

- **Defining the Settlement Horizon** ▴ The SettlDate(64) tag is populated with the specific, agreed-upon future date when the securities are expected to be issued and settled. This is a mandatory field for a WI trade.

- **Textual Confirmation** ▴ While not a substitute for the structured tags, the Text(58) field is often used to include human-readable notes like “WHEN-ISSUED TRADE” to aid manual review and reconciliation.

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## Quantitative Modeling and Data Analysis

The distinction in FIX messaging directly impacts risk modeling and collateral management systems. A when-issued trade is essentially an unsecured forward contract until the settlement date. The table below illustrates a simplified view of how a risk system might ingest and process data from two different FIX messages.

### Table 2 ▴ Risk System Processing of FIX Order Data

| Risk Parameter | Source FIX Tags | Processing for Common Stock (Regular-Way) | Processing for When-Issued Security |
| --- | --- | --- | --- |
| Instrument Class | SecurityType(167) | Equity | Equity |
| Settlement Cycle | SettlType(63), SettlDate(64) | Standard (e.g. T+2). Low settlement risk. | Extended (e.g. T+30). High settlement risk. |
| Counterparty Exposure | Price(44), OrderQty(38) | Calculated over a 2-day horizon. | Calculated over a 30-day horizon. Exposure is significantly higher due to the longer period of market fluctuation. |
| Margin Requirement | SettlType(63) | Standard margin applied. | Increased initial margin and ongoing variation margin calls are triggered based on the extended settlement period. |
| Liquidity Profile | Internal & External Data | High, based on current market volume. | Low to moderate. The system may apply wider price tolerance bands for execution algorithms. |

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## References

- FIX Protocol Limited. “FIX Specification Version 4.2.” 2000. This document provides the foundational definitions for tags like SecurityType(167) and the initial list of enumerated values, including CS for Common Stock.

- FIX Protocol Limited. “FIX Specification Version 4.4.” 2003. This version elaborates on the use of CFICode(461) as a recommended alternative to SecurityType(167) for more granular classification, especially for non-Fixed Income instruments.

- OnixS. “FIX 5.0 SP2 EP299 Dictionary.” OnixS, 2023. This resource provides a comprehensive and up-to-date list of valid values for SecurityType(167) and other tags, showing the evolution and expansion of the protocol.

- Harris, Larry. Trading and Exchanges ▴ Market Microstructure for Practitioners. Oxford University Press, 2003. This book offers extensive background on the market mechanics of different security types, including the trading and settlement of when-issued securities, providing context for why their distinction in a protocol like FIX is critical.

- FIXtelligent. “A Trader’s Guide to the FIX Protocol.” FIXtelligent, 2022. This guide explains the practical application of various FIX fields and messages from a trader’s perspective, including conventions for identifying securities and managing orders.

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## Reflection

The distinction between a common stock and its when-issued counterpart within the FIX protocol is a clear illustration of architectural elegance. It demonstrates a system designed for precision and scalability, where instrument identity is a composite of core classification and conditional modifiers. This prompts a deeper reflection on one’s own operational framework. How does your firm’s order management system currently interpret and flag these trades?

Is the reliance placed solely on a human-readable note in the Text(58) field, or is it systematically driven by the values in SettlType(63) and SettlDate(64)? Answering this question reveals the maturity of a firm’s trading infrastructure and its ability to translate raw protocol data into actionable risk management and operational efficiency. The knowledge of this mechanism is a component in a larger system of intelligence, where mastering the language of the market is the foundation for achieving a decisive operational edge.

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## Glossary

<a href="https://prime.greeks.live/area/common-stock/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite" class="glossary-item-box">
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## Common Stock

Meaning ▴ Common stock represents a fractional ownership interest in a corporation, granting holders a residual claim on the company's assets and earnings after all creditors have been satisfied. </a><a href="https://prime.greeks.live/area/when-issued-security/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite" class="glossary-item-box">
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## When-Issued Security

Meaning ▴ A When-Issued Security represents a transaction executed in a security that has been authorized for issuance but is not yet formally delivered. </a><a href="https://prime.greeks.live/area/fix-protocol/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite" class="glossary-item-box">
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## Fix Protocol

Meaning ▴ The Financial Information eXchange (FIX) Protocol is a global messaging standard developed specifically for the electronic communication of securities transactions and related data. </a><a href="https://prime.greeks.live/question/how-do-non-standard-clauses-alter-standard-pfe-calculations/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite" class="glossary-item-box">
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## Standard Common Stock Trade

Non-standard clauses alter PFE calculations by embedding contingent legal events into the risk model, reshaping the exposure profile. </a><a href="https://prime.greeks.live/question/why-does-a-bilateral-rfq-carry-more-inherent-settlement-risk-than-an-exchange-traded-future/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite" class="glossary-item-box">
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## Future Settlement

A bilateral RFQ's settlement risk is higher due to direct counterparty exposure, unlike a future's centrally cleared guarantee. </a><a href="https://prime.greeks.live/area/settlement-risk/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite" class="glossary-item-box">
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## Settlement Risk

Meaning ▴ Settlement risk denotes the potential for loss occurring when one party to a transaction fails to deliver their obligation, such as securities or funds, as agreed, while the counterparty has already fulfilled theirs. </a><a href="https://prime.greeks.live/question/can-a-determining-party-unilaterally-revise-a-close-out-calculation-after-it-has-been-issued/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite" class="glossary-item-box">
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## When-Issued Trade

A Determining Party cannot unilaterally revise a close-out calculation; the process is designed for binding finality. </a><a href="https://prime.greeks.live/area/risk-management/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite" class="glossary-item-box">
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## Risk Management

Meaning ▴ Risk Management is the systematic process of identifying, assessing, and mitigating potential financial exposures and operational vulnerabilities within an institutional trading framework. </a><a href="https://prime.greeks.live/area/newordersingle/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite" class="glossary-item-box">
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## Newordersingle

Meaning ▴ The NewOrderSingle message, identified by FIX Tag 35=D, constitutes the fundamental instruction for initiating a trade request on an electronic trading venue. </a><a href="https://prime.greeks.live/question/how-do-non-standard-clauses-alter-standard-pfe-calculations/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite" class="glossary-item-box">
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## Standard Common Stock

Non-standard clauses alter PFE calculations by embedding contingent legal events into the risk model, reshaping the exposure profile. </a>

**Tags:** [Trade Settlement](https://options.greeks.live/area/trade-settlement/), [Risk Management](https://options.greeks.live/area/risk-management/), [SettlDate 64](https://options.greeks.live/area/settldate-64/), [Common Stock](https://options.greeks.live/area/common-stock/), [Market Microstructure](https://options.greeks.live/area/market-microstructure/), [NewOrderSingle](https://options.greeks.live/area/newordersingle/)	

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![Polished metallic pipes intersect via robust fasteners, set against a dark background. This symbolizes intricate Market Microstructure, RFQ Protocols, and Multi-Leg Spread execution. It highlights High-Fidelity Execution, Atomic Settlement, and Capital Efficiency within a Principal's Operational Framework for Digital Asset Derivatives.](https://options.greeks.live/wp-content/uploads/2025/07/precision-engineered-metallic-nodes-illustrating-rfq-protocols-for-multi-leg-digital-asset-derivatives-institutional-execution.jpg)

Seamless multi-venue block trade execution requires integrating intelligent routing, discreet protocols, and robust risk controls for optimal capital deployment.

- 
### [What Are the Key Technological Integrations Required for a High-Performance Crypto Options RFQ System?](https://options.greeks.live/question/what-are-the-key-technological-integrations-required-for-a-high-performance-crypto-options-rfq-system/)
![Abstract institutional-grade Crypto Derivatives OS. Metallic trusses depict market microstructure. Transparent discs symbolize liquidity pools, implied volatility, and dark pools, crucial for RFQ protocols and block trade execution. This visualizes high-fidelity execution and price discovery for digital asset derivatives.](https://options.greeks.live/wp-content/uploads/2025/07/institutional-digital-asset-derivatives-market-microstructure-optimizing-rfq-protocols-for-high-fidelity-execution-via-prime-os.jpg)

A high-performance crypto options RFQ system seamlessly integrates low-latency connectivity, intelligent risk management, and robust trade workflows for superior execution.

- 
### [How Do Regulatory Frameworks Influence Algorithmic Crypto Options RFQ System Design?](https://options.greeks.live/question/how-do-regulatory-frameworks-influence-algorithmic-crypto-options-rfq-system-design/)
![A sleek, modular institutional grade system with glowing teal conduits represents advanced RFQ protocol pathways. This illustrates high-fidelity execution for digital asset derivatives, facilitating private quotation and efficient liquidity aggregation. The precise architecture suggests optimized market microstructure and atomic settlement for Bitcoin options and Ethereum futures.](https://options.greeks.live/wp-content/uploads/2025/08/institutional-digital-asset-derivatives-ecosystem-powering-high-fidelity-rfq-execution-and-optimal-liquidity-discovery.jpg)

Regulatory frameworks fundamentally shape algorithmic crypto options RFQ system design, demanding embedded compliance, robust risk controls, and adaptable architectures for institutional precision.

- 
### [What Role Does API Integration Play in Optimizing RFQ Workflow for Crypto Options?](https://options.greeks.live/question/what-role-does-api-integration-play-in-optimizing-rfq-workflow-for-crypto-options/)
![Reflective and circuit-patterned metallic discs symbolize the Prime RFQ powering institutional digital asset derivatives. This depicts deep market microstructure enabling high-fidelity execution through RFQ protocols, precise price discovery, and robust algorithmic trading within aggregated liquidity pools.](https://options.greeks.live/wp-content/uploads/2025/08/prime-os-architecture-driving-institutional-digital-asset-derivatives-rfq-protocols-for-optimal-liquidity-and-best-execution.jpg)

API integration streamlines crypto options RFQ workflows, enabling institutional traders to achieve superior liquidity aggregation and execution precision.

- 
### [How Do Fragmented Block Trade Reporting Regimes Influence Liquidity Aggregation?](https://options.greeks.live/question/how-do-fragmented-block-trade-reporting-regimes-influence-liquidity-aggregation/)
![A modular, institutional-grade device with a central data aggregation interface and metallic spigot. This Prime RFQ represents a robust RFQ protocol engine, enabling high-fidelity execution for institutional digital asset derivatives, optimizing capital efficiency and best execution.](https://options.greeks.live/wp-content/uploads/2025/08/principals-institutional-digital-asset-derivatives-prime-os-for-optimized-rfq-protocol-best-execution-system.jpg)

Fragmented block trade reporting impedes comprehensive liquidity aggregation, necessitating sophisticated operational architectures for superior execution and risk management.

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---

**Original URL:** https://options.greeks.live/question/how-does-the-fix-protocol-differentiate-between-a-common-stock-and-a-when-issued-security/
