CME STP - TradeCaptureReport - TrdInstrmtLegGrp - STP

Leg Order Quantity

OrdQty

Qty

Quantity ordered for this leg as provided during order entry. 

Leg Report ID

RptID

String

This represents the report ID for the leg as generated by the clearing system

Leg Number

LegNo

int

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

Leg Reference ID

RefID

String

A unique Trade ID generated by the clearing system for this leg.

Leg Last Price

LastPx

Price

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

Leg Price Type

PxTyp

int

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

LegPriceSubType

PxSubTyp

int

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 Price

Leg Original Time Unit

OrigTmUnit

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

LegDifferentialPrice

DiffPx

PriceOffset

Represents the differential price for spreads, or a TAS or TAM differental price.

LegDifferentialPriceType

DiffPxTyp

int

This indicates the type of differential price represented in the Differential Price attribute.

0 - Differential from SettlementPrice

Leg Trading Quantity

TrdgQty

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.

Leg Quantity

Qty

Qty

Quantity ordered for this leg.

→→ Leg Underlying Product Code

ID

String

Used as the primary identifier for the leg's underlying instrument.

→→ Leg Underlying Product Code Source

Src

String

Identifies the source of the leg's underlying instrument.

H - Clearing House / Clearing Organization

→→ 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)

→→ Leg Underlying Maturity

MMY

MonthYear

The expiration period code of the leg's underlying instrument.
YYYYMM (i.e. 201403)
YYYYMMDD (20140323)
YYYYMMwN (201403w1)

→→ 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 - 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

→ Leg Position Amount

Amt

Amt

Used to capture the FX premium amount.

→ Leg Position Amount Type

Typ

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

→ Leg Position Amount Currency

Ccy

Currency

The currency of the amount specified.