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 <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
1788 LegID N

Used for unique identification of the leg that can subsequently be used whenever a simple leg identification is sufficient. It can also serve as input value for LegRefID <654> whenever only a simple leg reference is allowed or needed.

607 LegProduct N
1594 LegSecurityGroup N
608 LegCFICode N
2893 LegUPICode N
609 LegSecurityType N
764 LegSecuritySubType N
610 LegMaturityMonthYear N
611 LegMaturityDate N
1212 LegMaturityTime N
2146 LegSettleOnOpenFlag N
2147 LegInstrmtAssignmentMethod N
2148 LegSecurityStatus N
248 LegCouponPaymentDate N
2149 LegRestructuringType N
2150 LegSeniority N
2151 LegNotionalPercentageOutstanding N
2152 LegOriginalNotionalPercentageOutstanding N
2153 LegAttachmentPoint N
2154 LegDetachmentPoint N
2155 LegObligationType N
2348 LegAssetGroup N
2067 LegAssetClass N

Required if LegAssetSubClass <2068> is specified.

2068 LegAssetSubClass N

Required if LegAssetType <2069> is specified.

2069 LegAssetType N

Required if LegAssetSubType <2739> is specified.

2739 LegAssetSubType N
Component Block - <LegSecondaryAssetGrp> N
Component Block - <LegAssetAttributeGrp> N
2070 LegSwapClass N
2156 LegSwapSubClass N
2157 LegNthToDefault N

Conditionally required when LegMthToDefault <2158> is specified.

2158 LegMthToDefault N
2159 LegSettledEntityMatrixSource N
2160 LegSettledEntityMatrixPublicationDate N
2161 LegCouponType N
2162 LegTotalIssuedAmount N
2163 LegCouponFrequencyPeriod N

Conditionally required when LegCouponFrequencyUnit <2164> is specified.

2164 LegCouponFrequencyUnit N

Conditionally required when LegCouponFrequencyPeriod <2163> is specified.

2165 LegCouponDayCount N
2880 LegCouponOtherDayCount N
2166 LegConvertibleBondEquityID N
2167 LegConvertibleBondEquityIDSource N

Conditionally required when LegConvertibleBondEquityID <2166> is specified.

2168 LegContractPriceRefMonth N
2169 LegLienSeniority N
2170 LegLoanFacility N
2171 LegReferenceEntityType N
2172 LegIndexSeries N
2173 LegIndexAnnexVersion N
2174 LegIndexAnnexDate N
2175 LegIndexAnnexSource N
2176 LegSettlRateIndex N
2177 LegSettlRateIndexLocation N
2178 LegOptionExpirationDesc N
2179 EncodedLegOptionExpirationDescLen N

Must be set if EncodedLegOptionExpirationDesc <2180> field is specified and must immediately precede it.

2180 EncodedLegOptionExpirationDesc N

Encoded (non-ASCII characters) representation of the LegOptionExpirationDesc <2178> field in the encoded format specified via the MessageEncoding <347> field.

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
2908 LegStrikeCurrencyCodeSource N
2181 LegStrikeMultiplier N
2182 LegStrikeValue N
2183 LegStrikeUnitOfMeasure N
2184 LegStrikeIndex N
2604 LegStrikeIndexCurvePoint N
2185 LegStrikeIndexSpread N
2605 LegStrikeIndexQuote N
2186 LegStrikePriceDeterminationMethod N
2187 LegStrikePriceBoundaryMethod N

When specified, LegPutOrCall <1358>, LegStrikePrice <612>, and LegStrikePriceBoundaryPrecision <2188> must also be specified.

2188 LegStrikePriceBoundaryPrecision N
2189 LegUnderlyingPriceDeterminationMethod N
613 LegOptAttribute N
614 LegContractMultiplier N
1436 LegContractMultiplierUnit N
2354 LegTradingUnitPeriodMultiplier N
1440 LegFlowScheduleType N
2190 LegMinPriceIncrement N
2191 LegMinPriceIncrementAmount N
999 LegUnitOfMeasure N
1224 LegUnitOfMeasureQty N
1720 LegUnitOfMeasureCurrency N
2909 LegUnitOfMeasureCurrencyCodeSource N
1421 LegPriceUnitOfMeasure N
1422 LegPriceUnitOfMeasureQty N
1721 LegPriceUnitOfMeasureCurrency N
2910 LegPriceUnitOfMeasureCurrencyCodeSource N
2192 LegSettlMethod N
1001 LegTimeUnit N Used to indicate a time unit for the contract (e.g., days, weeks, months, etc.)
1420 LegExerciseStyle N
2193 LegOptPayoutType N
2194 LegOptPayoutAmount N

Conditionally required if LegOptPayoutType <2193> = 3 (Binary).

2755 LegReturnTrigger N
2195 LegPriceQuoteMethod N
2196 LegValuationMethod N
2197 LegValuationSource N
2198 LegValuationReferenceModel N
1528 LegPriceQuoteCurrency N
2911 LegPriceQuoteCurrencyCodeSource N
2199 LegListMethod N
2200 LegCapPrice N
2201 LegFloorPrice N
2202 LegFlexibleIndicator N
2203 LegFlexProductEligibilityIndicator N
615 LegCouponRate N
616 LegSecurityExchange N
2205 LegPositionLimit N
2206 LegNTPositionLimit N
617 LegIssuer N
618 EncodedLegIssuerLen N

Must be set if EncodedLegIssuer <619> field is specified and must immediately precede it.

619 EncodedLegIssuer N

Encoded (non-ASCII characters) representation of the LegIssuer <617> field in the encoded format specified via the MessageEncoding <347> field.

2740 LegFinancialInstrumentShortName N
2717 LegFinancialInstrumentFullName N
2718 EncodedLegFinancialInstrumentFullNameLen N

Must be set if EncodedLegFinancialInstrumentFullName <2719> field is specified and must immediately precede it.

2719 EncodedLegFinancialInstrumentFullName N

Encoded (non-ASCII characters) representation of the LegFinancialInstrumentFullName <2717> field in the encoded format specified via the MessageEncoding <347> field.

620 LegSecurityDesc N
621 EncodedLegSecurityDescLen N

Must be set if EncodedLegSecurityDesc <622> field is specified and must immediately precede it.

622 EncodedLegSecurityDesc N

Encoded (non-ASCII characters) representation of the LegSecurityDesc <620> field in the encoded format specified via the MessageEncoding <347> field.

Component Block - <LegSecurityXML> N

Embedded XML document describing the leg instrument.

2207 LegCPProgram N
2208 LegCPRegType N
623 LegRatioQty N Specific to the <InstrumentLeg> (not in <Instrument>)
624 LegSide N Specific to the <InstrumentLeg> (not in <Instrument>)
556 LegCurrency N Specific to the <InstrumentLeg> (not in <Instrument>)
2898 LegCurrencyCodeSource N
740 LegPool N Identifies MBS / ABS pool
739 LegDatedDate N
955 LegContractSettlMonth N
956 LegInterestAccrualDate N
1358 LegPutOrCall N Used to express option right
2682 LegInTheMoneyCondition N

Used to express in-the-moneyness behavior in general terms for the option without the use of LegStrikePrice <612> and LegPutOrCall <1358>.

2686 LegContraryInstructionEligibilityIndicator N
1017 LegOptionRatio N LegOptionRatio is provided on covering leg to create a delta neutral spread. In Listed Derivatives, the delta of the leg is multiplied by LegOptionRatio and OrderQty to determine the covering quantity.
566 LegPrice N Used to specify an anchor price for a leg as part of the definition or creation of the strategy - not used for execution price.
Component Block - <LegEvntGrp> N
Component Block - <LegInstrumentParties> N
2209 LegShortSaleRestriction N
Component Block - <LegComplexEvents> N
2211 LegStrategyType N
2212 LegCommonPricingIndicator N
2213 LegSettlDisruptionProvision N
2754 LegDeliveryRouteOrCharter N
2214 LegInstrumentRoundingDirection N
2215 LegInstrumentRoundingPrecision N
Component Block - <LegDateAdjustment> N
Component Block - <LegPricingDateTime> N
Component Block - <LegMarketDisruption> N
Component Block - <LegOptionExercise> N
Component Block - <LegStreamGrp> N
Component Block - <LegProvisionGrp> N
Component Block - <LegAdditionalTermGrp> N
Component Block - <LegProtectionTermGrp> N
Component Block - <LegCashSettlTermGrp> N
Component Block - <LegPhysicalSettlTermGrp> N
Component Block - <LegExtraordinaryEventGrp> N
2606 LegExtraordinaryEventAdjustmentMethod N
2607 LegExchangeLookAlike N

Used In