| Tag | Name | FIXML Abbr | Req | Format | Description | Enumerations |
|---|
| 555 | NoLegs |
| N | NumInGroup | Total number of entries in NoLegs group (number of trade legs). |
|
| InstrumentLeg | Leg |
|
|---|
| 687 | Leg Quantity | Qty | N | Qty | The actual quantity of the leg as it participated in the spread trade. |
|
| 990 | Leg Report ID | RptID | N | String | This represents the report ID for the leg as generated by the clearing system |
|
| 1152 | Leg Number | LegNo | N | int | A number identifying the leg within a strategy or spread. When reporting a USI or UTI, the field LegRefID will reference this number. |
|
| 654 | Leg Reference ID | RefID | N | String | A unique Trade ID generated by the clearing system for this leg. |
|
| 637 | Leg Last Price | LastPx | N | Price | Used to report the trade price or execution price assigned to the leg of the strategy or spread instrument. |
|
| 1001 | Leg Original Time Unit | OrigTmUnit | N | String | Specifies the Time Unit for this leg of the original trade, e.g. whether it was entered as contracts per day or per month. Note that all trades are normalized to default units in STP, regardless of the units originally used to enter the trade. | - D - Day
- H - Hour
- Min - Minute
- Mo - Month
- S - Second
- Wk - Week
- Yr - Year
|
| 10038 | Leg Trading Quantity | TrdgQty | N | Qty | Leg quantity per Original Time Unit as submitted on a CME ClearPort API trade report when a product has multiple time units, or, Product Variable Quantity Unit (VQU) is not 'S' (standard), and the product subtype (Monthly, daily, weekly) is not equal to the time unit entered for the trade. |
|
| 10051 | LegPriceSubType | PxSubType | N | String | This is a further qualification of the Price Type, and determines whether this is an initial (preliminary) or final price. | 0 - Initial Price
1 - Final |
| 10052 | LegDifferentialPriceType | DiffPxType | N | String | This indicates the type of differential price represented in the Differential Price attribute. | 0 - Differential from Settlement Price
1 - Differential between legs |
| 2492 | LegDifferentialPrice | DiffPx | N | Price | Represents the differential price for spreads, or a TAS or TAM differental price. |
|
| 686 | LegPriceType | PxType | N | String | Indicates the type of the price associated with the trade. Will not be present for IRS/FRA trades. | 1 - Percentage (i.e. percent of par)
2 - Per unit (i.e. per share or contract)
10 - Fixed cabinet trade price (primarily for listed futures and options)
11 - Variable cabinet trade price (primarily for listed futures and options)
100 - Tentative placeholder price
101 - Updated actual price |
| TradeCapLegUnderlyingsGrp (repeating) | Undlys |
|
|---|
| → UnderlyingLegInstrument | Undly |
|
|---|
→1342 | NoLegUnderlyingInstruments |
| N | NumIn Group | Total number of entries in LegUnderlyingInstrument group. |
|
| →→1332 | Leg Underlying Product Code | ID |
| String | Used as the primary identifier for the leg's underlying instrument. |
|
| →→1333 | Leg Underlying Product Code Source | Src |
| String | Identifies the source of the leg's underlying instrument. | H - Clearing House / Clearing Organization |
| →→1337 | Leg Underlying Security Type | SecTyp |
| String | Used to indicate the type of the leg's underlying security being reported. | - FUT - Future
- FWD - Forward
- MLEG - Multi Leg (Combo)
|
| →→1339 | Leg Underlying Maturity | MMY |
| MonthYear | The expiration period code of the leg's underlying instrument. | Month and Year of the leg’s underlying instrument maturity Format: - YYYYMM (i.e. 201403)
- YYYYMMDD (20140323)
- YYYYMMwN (201403w1)
|
| →→1341 | Leg Underlying Product Exchange | Exch |
| String | The exchange on which the leg's underlying security is listed. | - CBT - Chicago Board of Trade
- CEE - Stock Exchange Group
- CME - Chicago Mercantile Exchange
- COMEX - Commodities Exchange, Inc
- DME - Dubai Gulf Mercantile Exchange
- IFUS - Intercontinental Exchange
- NGXC - Natural Gas Exchange
- NODX - Nodal
- NYMEX - New York Mercantile Exchange
- NYMSW - CME Swaps - NYMEX
- VMAC - VMAC
- XNAS - Nasdaq
- XXXX - OTC Trades
|
| LegPositionAmountData (repeating) | Amt |
|
| 1586 | NoLegPosAmt | Amt |
|
| Number of Leg Position Amount Entries. |
|
| →1587 | Leg Position Amount | Amt | N | Amt | Used to capture the FX premium amount. |
|
| →1588 | Leg Position Amount Type | Typ | N | String | The type of monetary amount associated with a transaction. | CRES - Cash Residual Amount
ICPN - Initial Trade Coupon Amount
IPMT - Upfront Payment
PREM - Premium Amount
TVAR - Trade Variation Amount |
| →1589 | Leg Position Amount Currency | Ccy | N | Currency | The currency of the amount specified. |
|