FIX 5.0 : <InstrumentLeg> component block

Structure | Used In

Description

The InstrumentLeg component block, like the <Instrument> component block, contains all the fields commonly used to describe a security or instrument. In the case of the InstrumentLeg component block it describes a security used in multileg-oriented messages.

Refer to the <Instrument> component block comments as this component block mirrors <Instrument>, except for the noted fields.

Several multileg-oriented messages specify an <Instrument> Leg component block. An instrument can have zero or more instrument legs. The fundamental business rule that applies to the multileg instrument is that the multileg instrument is defined as the combination of instrument legs. The multileg instrument must be able to be traded atomically – that all instrument legs are traded or none are traded.

The LegRatioQty <319>[623] is used to define the quantity of the leg that makes up a single unit of the multleg instrument. An option butterfly strategy is made up of three option legs.

Structure

Tag Field Name Req'd Comments
600 LegSymbol N
601 LegSymbolSfx N
602 LegSecurityID N
603 LegSecurityIDSource N
Component Block - <LegSecAltIDGrp> N
607 LegProduct N
608 LegCFICode N
609 LegSecurityType N
764 LegSecuritySubType N
610 LegMaturityMonthYear N
611 LegMaturityDate N
248 LegCouponPaymentDate N
249 LegIssueDate N
250 LegRepoCollateralSecurityType N
251 LegRepurchaseTerm N
252 LegRepurchaseRate N
253 LegFactor N
257 LegCreditRating N
599 LegInstrRegistry N
596 LegCountryOfIssue N
597 LegStateOrProvinceOfIssue N
598 LegLocaleOfIssue N
254 LegRedemptionDate N
612 LegStrikePrice N
942 LegStrikeCurrency N
613 LegOptAttribute N
614 LegContractMultiplier N
615 LegCouponRate N
616 LegSecurityExchange N
617 LegIssuer N
618 EncodedLegIssuerLen N
619 EncodedLegIssuer N
620 LegSecurityDesc N
621 EncodedLegSecurityDescLen N
622 EncodedLegSecurityDesc N
623 LegRatioQty N Specific to the (not in )
624 LegSide N Specific to the (not in )
556 LegCurrency N Specific to the (not in )
740 LegPool N Identifies MBS / ABS pool
739 LegDatedDate N
955 LegContractSettlMonth N
956 LegInterestAccrualDate N
999 LegUnitofMeasure N Used to indicate the size of the underlying commodity on which the contract is based (e.g., 2500 lbs of lean cattle, 1000 barrels of crude oil, 1000 bushels of corn, etc.)
1001 LegTimeUnit N Used to indicate a time unit for the contract (e.g., days, weeks, months, etc.)
1017 LegOptionRatio N LegOptionRatio is provided on Covering leg to create a delta neutral spread. In Listed Derivatives, LegDelta LegOptionRatio is multiplied by LegOptionRatio and OrderQty to determine the covering quantity
566 LegPrice N Specifies the price of a Leg

Used In