CME STP FIX - TradeCaptureReport - InstrumentLeg

/TrdCaptRpt/TrdLeg/Leg

Tag

Name

FIXML Abbr

Req

Format

Description

Enumerations

600

Leg Symbol

Sym

C

String

Symbol for a CME Contract, e.g. CLX05.

Symbol now matches the value used by clearing firms in the FEC system, and may differ somewhat from the representation used in the legacy CTAPI system.

Required if tag 555-NoLegs > 0



602

Leg Product Code

ID

C

String

CME Group clearing product code for leg instrument, e.g. CL (2 Characters)

Required if tag 555-NoLegs > 0 



603

Leg Product ID Source

Src

C

String

Source for leg Security ID

Required if tag 555-NoLegs > 0

H - Clearing House / Clearing Organization


608

Leg CFI

CFI

N

String

Indicates the type of leg security using ISO 10962 standard, Classification of Financial Instruments (CFI code) values.



609

Leg Security Type

SecTyp

N

String

Indicates type of instrument or security for this leg.

FUT - Future

FWD - Forward

MLEG - Multi Leg (Combo)

OPT - Option

610

Leg Maturity

MMY

N

MonthYear

Specifies the month and year of maturity of this leg.

Month and Year of this leg instrument maturity

Format:

  • YYYYMM (i.e. 201403)

  • YYYYMMDD (20140323)

  • YYYYMMwN (201403w1)

611

Leg Maturity Date

Mat

N

 LocalMktDate

Multileg instrument's individual securitys MaturityDate.



612

Leg Strike Price

Strk

N

Price

Strike price for a leg that is an option.



10045

Leg Contract Multiplier

Mult

N

float

Price multiplier used to convert the change in price (sell - buy) into P&L per contract leg.



999

Leg Unit of Measure

UOM

N

String

The leg unit of measure of the product upon which the contract is based. It is also referred to as the trading unit.

  • Alw - Allowances

  • BDFT - Board feet

  • Bbl - Barrels

  • Bcf - Billion cubic feet

  • Bu - Bushels

  • CBM - Cubic Meters

  • CER - Certified Emissions Reduction

  • CRT - Climate Reserve Tonnes

  • Ccy - Amount of currency

  • EnvCrd - Environmental Credit

  • EnvOfst - Environmental Offset

  • FEU - Forty foot equivalent unit

  • GJ - Gigajoules

  • GT - Gross Tons 

  • Also known as long tons or imperial tons, equal to 2240 lbs

  • Gal - Gallons

  • IPNT - Index point

  • L - Liters

  • MMBtu - One Million BTU

  • MMbbl - Million Barrels

  • MW-M - Megawatt-Month (electrical capacity)

  • MWh - Megawatt hours

  • PRINC - Principal with relation to debt instrument

  • cwt - Hundredweight (US)

  • day - Days

  • dt - Dry metric tons

  • g - Grams

  • kL - Kiloliters

  • kW-M - Kilowatt-Month (electrical capacity)

  • kWh - Kilowatt hours

  • kg - Kilograms

  • lbs - pounds

  • oz_tr - Troy Ounces

  • t - Metric Tons (aka Tonne)

  • thm - Therms

  • tn - Tons (US)

  • wt - Wet metric tons

1224

Leg Unit of Measure Quantity

UOMQty



Qty

Contract's defined quantity, used to calculate total traded notional quantity per spread leg.



1720

Leg Unit of Measure Currency

UOMCcy



Currency

Currency of the leg unit of measure. Conditionally available when UOM=Ccy. Will be populated where appropriate.



616

Leg Product Exchange

Exch



String

The exchange where the leg 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

620

Leg Security Description

Desc

N

string

Multileg instrument's individual security's SecurityDesc.



624

Leg Buy Sell Code

Side



char

Indicates the side of this leg within the spread or strategy.

  • 1 - Buy

  • 2 - Sell

1358

Leg Put Or Call

PutCall



int

Indicates whether a leg that is an option contract is a put or call.

  • 0 - Put

  • 1 - Call

2192
Please Note: This is a FIX 5.0 tag

Settlement Method

SettlMeth

N

string

Settlement method for a contract. Can be used as an alternative to CFI Code value.



Leg Security Alternate Identifier Block (repeating)

LegSecurityAltID

604

NoLegSecurityAltID

NoLegSecAltID



NuminGroup

Total number of entries in LegSecurityAltID Group.



→605

LegSecurityAltID

SecAltID

N

String

 Alternate Security identifier value for this security of SecurityAltIDSource type (e.g. CUSIP, SEDOL, ISIN, etc).



→606

LegSecurityAltIDSource

SecAltIDSrc

N

String

Identifies class or source of the LegSecurityAltID value. Required if LegSecurityAltID is specified.

112 - TAM Marker Price Symbol







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