Security Definition for Implied Intercommodity Ratio Spreads

Owned by CME Group
Apr 26, 2024
1 min read

The following tags from the market data Security Definition (tag 35-MsgType=d) message contain key data for implied intercommodity ratio spread instruments.

Tag

FIX Name

MDP 3.0 Value

Tag

FIX Name

MDP 3.0 Value

623

LegRatioQty

Quantity of leg in this spread instrument

624

LegSide

1=Buy, 2=Sell

762

SecuritySubType

IV=Implied Treasury Intercommodity
IS=Implied Intercommodity

1022

MDFeedType

GBX=CME Globex Book Depth
GBI=CME Globex Implied Book Depth

871

InstAttribType

24=Eligibility

872

InstAttribValue

19=Implied matching eligibility

5770

PriceRatio

Value used to determine ratio



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