The following tags from the market data Security Definition (tag 35-MsgType=d) message contain key data for implied intercommodity ratio spread instruments.
Tag | FIX Name | MDP 3.0 Value |
|---|---|---|
623 | LegRatioQty | Quantity of leg in this spread instrument |
624 | LegSide | 1=Buy, 2=Sell |
762 | SecuritySubType | IV=Implied Treasury Intercommodity |
1022 | MDFeedType | GBX=CME Globex Book Depth |
871 | InstAttribType | 24=Eligibility |
872 | InstAttribValue | 19=Implied matching eligibility |
5770 | PriceRatio | Value used to determine ratio |