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

/TrdCaptRpt/TrdLeg (repeating)

Field Name

FIXML Attribute Name

Data Type

Description

Required for Transaction Type

Required for Security Type

Required for Asset Class

Required for Outright or Spread

Supported Values

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.

 

 

 

 

 

Leg Last Price

LastPx

Price

Used to report the trade price or execution price assigned to the leg of the multileg instrument. Not required if spread is Intracommodity and Diff Price (Top-level LastPx) is specified.

Dual-Sided
Single-Sided

ALL

ALL

Spread

 

Leg Last Quantity

LastQty

Qty

Fill quantity for the leg instrument

Dual-Sided
Single-Sided

ALL

ALL

Spread

 

Leg Price Type

PxTyp

int

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

Dual-Sided
Single-Sided

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

Dual-Sided
Single-Sided

ALL

ALL

Spread

  • 0 - Units (shares, par, currency)

  • 1 - Contracts

InstrumentLeg

Leg

 

TradeCapLegUnderlyingsGrp (repeating)

Undlys

 

→ UnderlyingLegInstrument

Undly

 

→→ Leg Underlying Product Code

ID

String

Refer to definition for SecurityID(48)

Dual-Sided
Single-Sided

OPT

ALL

Spread

 

→→ Leg Underlying Product Code Source

Src

String

Refer to definition for SecurityIDSource(22)

Dual-Sided
Single-Sided

OPT

ALL

Spread

H - Clearing House / Clearing Organization

→→ Leg Underlying Security Type

SecTyp

String

Refer to definition for SecurityType(167)

Dual-Sided
Single-Sided

OPT

ALL

Spread

  • FUT - Future

  • FWD - Forward

  • MLEG - Multi Leg (Combo)

→→ Leg Underlying Maturity

MMY

MonthYear

Refer to definition for MaturityMonthYear(200)

Dual-Sided
Single-Sided

OPT

ALL

Spread

 

→→ Leg Underlying Product Exchange

Exch

String

Refer to definition for SecurityExchange(207)

Dual-Sided
Single-Sided

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

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

  • PREM - Premium Amount

→ Leg Position Amount Currency

Ccy

Currency

The currency of the amount specified.

 

 

 

 




How was your Client Systems Wiki Experience? Submit Feedback

Copyright © 2024 CME Group Inc. All rights reserved.