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

Leg Number

LegNo

int

A number identifying the leg within a strategy or spread. When reporting a UTI, or commission, the field LegRefID will reference this number.

ALL

ALL

Spread

Leg Last Price

LastPx

Price

Used to report the trade price or execution price assigned to the leg of the multileg instrument.

ALL

ALL

Spread

Leg Contra Amount

LegCalcCcyLastQty

Qty

Used for the calculated quantity of the other side of the currency for this leg. Can be derived from LegQty and LegLastPx. Conditionally present for OTC FX Future or Forward spreads that are entered in settlement terms.

Leg Last Quantity

LastQty

Qty

Fill quantity for the leg instrument

ALL

ALL

Spread

Leg Price Type

PxTyp

int

The price type of the LegBidPx (681) and/or LegOfferPx (684).
See PriceType (423) for description.

OPT

OTC FX

Spread

1 - Percentage (i.e. percent of par)

2 - Per unit (i.e. per share or contract)

Leg Quantity Type

QtyTyp

int

The leg quantity type specified at the leg level. Can be different for each leg

ALL

ALL

Spread

0 - Units (shares, par, currency)

1 - Contracts

Leg Total Trade Qty

TotTrdQty

Qty

Expresses the total quantity traded over the life of the contract when the trade quantity is repeated periodically over the term of the contract.

Leg Total Trade Multiplied Qty

TotTrdMultdQty

Qty

Expresses the total trade quantity in units. Used when the Contract Multiplier is not 1. This equals Total Trade Qty times Contract Multiplier.

→→ Leg Underlying Product Code

ID

String

Refer to definition for SecurityID(48)

OPT

ALL

Spread

→→ Leg Underlying Product Code Source

Src

String

Refer to definition for SecurityIDSource(22)

OPT

ALL

Spread

H - Clearing House / Clearing Organization

→→ Leg Underlying Security Type

SecTyp

String

Refer to definition for SecurityType(167)

OPT

ALL

Spread

FUT - Future

FWD - Forward

MLEG - Multi Leg (Combo)

→→ Leg Underlying Maturity

MMY

MonthYear

Refer to definition for MaturityMonthYear(200)

OPT

ALL

Spread

→→ Leg Underlying Product Exchange

Exch

String

Refer to definition for SecurityExchange(207)

OPT

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 Position Amount

Amt

Amt

Used to capture the FX premium amount.

OPT

OTC FX

Spread

→ Leg Position Amount Type

Typ

String

The type of monetary amount associated with a transaction.

OPT

OTC FX

Spread

CRES - Cash Residual Amount

PREM - Premium Amount

→ Leg Position Amount Currency

Ccy

Currency

The currency of the amount specified.

OPT

OTC FX

Spread