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The following tags from the market data Security Definition (tag 35-MsgType=d) message contain key data for implied intercommodity ratio spread instruments.

Tag

FIX Name

MDP 3.0 Value

623

LegRatioQty

Quantity of leg in this spread instrument

624

LegSide

1=Buy, 2=Sell

762

SecuritySubType

IV=Implied Treasury Intercommodity
IS=Implied Intercommodity

1022

MDFeedType

GBX=CME Globex Book Depth
GBI=CME Globex Implied Book Depth

871InstAttribType24=Eligibility

872

InstAttribValue

19=Implied matching eligibility

5770

PriceRatio

Value used to determine ratio

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