CME STP - FIXML TradeCaptureReport - TrdInstrmtLegGrp for BrokerTec Trades

685

LegOrderQty

OrdQty

Qty

Quantity ordered of this leg.See OrderQty (38) for description and valid values.

687

LegQty

Qty

Qty

Quantity of this leg, e.g. in Quote dialog.See Quantity (53) for description and valid values.

990

LegReportID

RptID

String

Additional attribute to store the Trade ID of the Leg.

1152

LegNumber

LegNo

int

Allow sequencing of Legs for a Strategy to be captured

654

LegRefID

RefID

String

Unique indicator for a specific leg.

637

LegLastPx

LastPx

Price

Execution price assigned to a leg of a multileg instrument.See LastPx (31) field for description and values

686

LegPriceType

PxTyp

int

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

• 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

10051

LegPriceSubType

PxSubTyp

int

This is a further qualification of the Price Type.

• 0 - Initial Price

• 1 - Final Price

1001

LegOrigTimeUnit

OrigTmUnit

String

Specifies the Time Unit of the original trade leg.

• D - Day

• H - Hour

• Min - Minute

• Mo - Month

• S - Second

• Wk - Week

• Yr - Year

2492

LegDifferentialPrice

DiffPx

PriceOffset

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

10052

LegDifferentialPriceType

DiffPxTyp

int

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

• 0 - Differential from Settlement Price

• 1 - Differential between legs

10038

LegTradingQuantity

TrdgQty

Qty

Indicates the trading quantity entered, in unit terms (e.g. in MWh), for a leg of a spread trade. This may differ from the cleared quantity, especially in the case of contracts like electricity that follow delivery schedules.

10055

LegAlternatePrice

LastPx2

Price

Leg alternate price

InstrumentLeg

Leg

→1332

→UnderlyingLegSecurityID

ID

String

Refer to definition for SecurityID(48)

→1333

→UnderlyingLegSecurityIDSource

Src

String

Refer to definition for SecurityIDSource(22)

H - Clearing House / Clearing Organization

→1337

→UnderlyingLegSecurityType

SecTyp

String

Refer to definition for SecurityType(167)

• FUT - Future 

• FWD - Forward

• MLEG - Multi Leg (Combo)

→1339

→UnderlyingLegMaturityMonthYear

MMY

MonthYear

Refer to definition for MaturityMonthYear(200)

→1341

→UnderlyingLegSecurityExchange

Exch

String

Refer to definition for SecurityExchange(207)

• 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 

→1587

→TrdInstrmtLegPosAmt

Amt

Amt

Used to capture the FX premium amount.

→1588

→TrdInstmLegPosAmtType

Typ

String

The type of monetary amount associated with a transaction.

→1589

→TrdInstrmtLegPosCurrency

Ccy

Currency

The currency of the amount specified.