CME STP FIX - TradeCaptureReport - TrdInstrmtLegGrp - Futures and Options

555

NoLegs

N

NumInGroup

Total number of entries in NoLegs group (number of  trade legs).

InstrumentLeg

687

Leg Quantity

N

Qty

The actual quantity of the leg as it participated in the spread trade.

990

Leg Report ID

N

String

This represents the report ID for the leg as generated by the clearing system

1152

Leg Number

N

int

A number identifying the leg within a strategy or spread. When reporting a USI or UTI, the field LegRefID will reference this number.

654

Leg Reference ID

N

String

A unique Trade ID generated by the clearing system for this leg.

637

Leg Last Price

N

Price

Used to report the trade price or execution price assigned to the leg of the strategy or spread instrument.

1001

Leg Original Time Unit

N

String

Specifies the Time Unit for this leg of the original trade, e.g. whether it was entered as contracts per day or per month. Note that all trades are normalized to default units in STP, regardless of the units originally used to enter the trade. 

• D - Day

• H - Hour

• Min - Minute

• Mo - Month

• S - Second

• Wk - Week

• Yr - Year

10038

Leg Trading Quantity

N

Qty

Leg quantity per Original Time Unit as submitted on a CME ClearPort API trade report when a product has multiple time units, or, Product Variable Quantity Unit (VQU) is not 'S' (standard), and the product subtype (Monthly, daily, weekly) is not equal to the time unit entered for the trade.

10051

LegPriceSubType

N

String

This is a further qualification of the Price Type, and determines whether this is an initial (preliminary) or final price.

• 0 - Initial Price

• 1 - Final

10052

LegDifferentialPriceType

N

String

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

• 0 - Differential from Settlement Price

• 1 - Differential between legs

2492

LegDifferentialPrice

N

Price

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

686

LegPriceType

N

String

Indicates the type of the price associated with the trade. Will not be present for IRS/FRA trades.

• 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

TradeCapLegUnderlyingsGrp (repeating)

→ UnderlyingLegInstrument

→1342

NoLegUnderlyingInstruments

N

NumIn Group

Total number of entries in LegUnderlyingInstrument group.

→→1332

Leg Underlying Product Code

String

Used as the primary identifier for the leg's underlying instrument.

→→1333

Leg Underlying Product Code Source

String

Identifies the source of the leg's underlying instrument.

H - Clearing House / Clearing Organization

→→1337

Leg Underlying Security Type

String

Used to indicate the type of the leg's underlying security being reported.

• FUT - Future

• FWD - Forward

• MLEG - Multi Leg (Combo)

→→1339

Leg Underlying Maturity

MonthYear

The expiration period code of the leg's underlying instrument.

Month and Year of the leg’s underlying  instrument maturity

Format:

• YYYYMM (i.e. 201403)

• YYYYMMDD (20140323)

• YYYYMMwN (201403w1)

→→1341

Leg Underlying Product Exchange

String

The exchange on which the leg's underlying 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

LegPositionAmountData (repeating)

Amt

1586

NoLegPosAmt

Number of Leg Position Amount Entries.

→1587

Leg Position Amount

N

Amt

Used to capture the FX premium amount.

→1588

Leg Position Amount Type

N

String

The type of monetary amount associated with a transaction.

• CRES - Cash Residual Amount

• ICPN - Initial Trade Coupon Amount

• IPMT - Upfront Payment

• PREM - Premium Amount

• TVAR - Trade Variation Amount

→1589

Leg Position Amount Currency

N

Currency

The currency of the amount specified.