CME ClearPort API - Trade Capture Report Message - InstrumentLeg - Outbound

Leg Product Code

ID

String

Used as the primary identifier for the Leg instrument. For futures and options this is generally an exchange or CME assigned value.

ALL

ALL

Spread

Leg Product ID Source

Src

String

Identifies the source of the Leg SecurityID. If it is not specified, the default of Clearing is used.

ALL

ALL

Spread

H - Clearing House / Clearing Organization

Leg Security Type

SecTyp

String

Refer to definition of SecurityType(167)

ALL

ALL

Spread

FUT - Future

FWD - Forward

OOC - Options on Combo

OOF - Options on Futures

Leg Maturity

MMY

MonthYear

Multileg instrument's individual security's MaturityMonthYear.
See MaturityMonthYear (200) field for description

ALL

ALL

Spread

Leg Strike Price

Strk

Price

Multileg instrument's individual security's StrikePrice.
See StrikePrice (202) field for description

OPT

ALL

Spread

Leg Time Unit

TmUnit

String

Used to indicate a time unit for the contract (e.g., days, weeks, months, etc.)

D - Day

H - Hour

Mo - Month

Leg Product Exchange

Exch

Exchange

Multileg instrument's individual security's SecurityExchange.
See SecurityExchange (207) field for description

ALL

ALL

Spread

CBT - Chicago Board of Trade

CEE - Stock Exchange Group

CME - Chicago Mercantile Exchange

COMEX - Commodities Exchange, Inc

DME - Gulf Mercantile Exchange

NYMEX - New York Mercantile Exchange

NYMSW - CME Swaps - NYMEX

Leg Buy Sell Code

Side

char

Specific to the <InstrumentLeg> (not in <Instrument>)

ALL

ALL

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1 - Buy

2 - Sell

Leg Put Or Call

PutCall

int

Used to express option right

OPT

ALL

Spread

0 - Put

1 - Call