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 |
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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. |
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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. Not required if spread is Intracommodity and Diff Price (Top-level LastPx) is specified. | Dual-Sided | ALL | ALL | Spread |
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Leg Last Quantity |
| Qty | Fill quantity for the leg instrument | Dual-Sided | ALL | ALL | Spread |
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Leg Price Type |
| int | The price type of the LegBidPx (681) and/or LegOfferPx (684). | Dual-Sided | OPT | OTC FX | Spread |
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Leg Quantity Type |
| int | The leg quantity type specified at the leg level. Can be different for each leg | Dual-Sided | ALL | ALL | Spread |
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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) | Dual-Sided | OPT | ALL | Spread |
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→→ Leg Underlying Product Code Source |
| String | Refer to definition for SecurityIDSource(22) | Dual-Sided | OPT | ALL | Spread | H - Clearing House / Clearing Organization |
→→ Leg Underlying Security Type |
| String | Refer to definition for SecurityType(167) | Dual-Sided | OPT | ALL | Spread |
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→→ Leg Underlying Maturity |
| MonthYear | Refer to definition for MaturityMonthYear(200) | Dual-Sided | OPT | ALL | Spread |
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→→ Leg Underlying Product Exchange |
| String | Refer to definition for SecurityExchange(207) | Dual-Sided | OPT | ALL | Spread |
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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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→ Leg Position Amount Currency |
| Currency | The currency of the amount specified. |
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