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/TrdCaptRpt/TrdLeg (repeating)

TagNameFIXML AbbrReqFormatDescriptionEnumerations
555NoLegs
NNumInGroupTotal number of entries in NoLegs group (number of  trade legs).
InstrumentLeg Leg
687Leg QuantityQty NQtyThe actual quantity of the leg as it participated in the spread trade.
990Leg Report IDRptIDNStringThis represents the report ID for the leg as generated by the clearing system
1152Leg NumberLegNo NintA number identifying the leg within a strategy or spread. When reporting a USI or UTI, the field LegRefID will reference this number.
654Leg Reference IDRefID NStringA unique Trade ID generated by the clearing system for this leg.
637Leg Last PriceLastPxNPriceUsed to report the trade price or execution price assigned to the leg of the strategy or spread instrument.
1001Leg Original Time UnitOrigTmUnit
NStringSpecifies 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
10038Leg Trading QuantityTrdgQty NQtyLeg 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.
10051LegPriceSubTypePxSubTypeNStringThis is a further qualification of the Price Type, and determines whether this is an initial (preliminary) or final price.0 - Initial Price
1 - Final
10052LegDifferentialPriceTypeDiffPxTypeNStringThis indicates the type of differential price represented in the Differential Price attribute.0 - Differential from Settlement Price
1 - Differential between legs
2492LegDifferentialPriceDiffPxNPriceRepresents the differential price for spreads, or a TAS or TAM differental price.
686LegPriceTypePxTypeNStringIndicates 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) Undlys
→ UnderlyingLegInstrument Undly

→1342

NoLegUnderlyingInstruments


N

NumIn Group

Total number of entries in LegUnderlyingInstrument group.


→→1332Leg Underlying Product CodeID
StringUsed as the primary identifier for the leg's underlying instrument.
→→1333Leg Underlying Product Code SourceSrc
StringIdentifies the source of the leg's underlying instrument.H - Clearing House / Clearing Organization
→→1337Leg Underlying Security TypeSecTyp

StringUsed to indicate the type of the leg's underlying security being reported.
  • FUT - Future
  • FWD - Forward
  • MLEG - Multi Leg (Combo)
→→1339Leg Underlying MaturityMMY
MonthYearThe 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)
→→1341Leg Underlying Product ExchangeExch
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 - Dubai 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
1586NoLegPosAmtAmt

Number of Leg Position Amount Entries.
→1587Leg Position AmountAmtNAmtUsed to capture the FX premium amount.
→1588Leg Position Amount TypeTypNStringThe 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
→1589Leg Position Amount CurrencyCcyNCurrencyThe currency of the amount specified.