CME ClearPort API - Trade Capture Report Acknowledgment Message - TrdInstrmtLegGrp - Outbound
/TrdCaptRptAck/TrdLeg (repeating)
Field Name | FIXML Attribute Name | Data Type | Description | Present for Security Type | Present for Asset Class | Present for Outright or Spread | Supported Values |
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Leg Number |
| 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 |
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Leg Last Price |
| Price | Used to report the trade price or execution price assigned to the leg of the multileg instrument. | ALL | ALL | Spread |
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Leg Contra Amount |
| Qty | Used for the calculated quantity of the other side of the currency for this leg. Can be derived from LegQty and LegLastPx. |
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Leg Last Quantity |
| Qty | Fill quantity for the leg instrument | ALL | ALL | Spread |
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Leg Price Type |
| int | The price type of the LegBidPx (681) and/or LegOfferPx (684). | OPT | OTC FX | Spread | 1 - Percentage (i.e. percent of par) |
Leg Quantity Type |
| int | The leg quantity type specified at the leg level. Can be different for each leg | ALL | ALL | Spread | 0 - Units (shares, par, currency) |
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TradeCapLegUnderlyingsGrp (repeating) |
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→ UnderlyingLegInstrument |
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→→ Leg Underlying Product Code |
| String | Refer to definition for SecurityID(48) | OPT | ALL | Spread |
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→→ Leg Underlying Product Code Source |
| String | Refer to definition for SecurityIDSource(22) | OPT | ALL | Spread | H - Clearing House / Clearing Organization |
→→ Leg Underlying Security Type |
| String | Refer to definition for SecurityType(167) | OPT | ALL | Spread | FUT - Future |
→→ Leg Underlying Maturity |
| MonthYear | Refer to definition for MaturityMonthYear(200) | OPT | ALL | Spread |
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→→ Leg Underlying Product Exchange |
| String | Refer to definition for SecurityExchange(207) | OPT | ALL | Spread | CBT - Chicago Board of Trade |
LegPositionAmountData (repeating) |
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→ Leg Position Amount |
| Amt | Used to capture the FX premium amount. |
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→ Leg Position Amount Type |
| String | The type of monetary amount associated with a transaction. |
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| CRES - Cash Residual Amount |
→ Leg Position Amount Currency |
| Currency | The currency of the amount specified. |
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