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  • Type Z Record - Standard and Expanded

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LengthFromToDatatypeFormatDescription and Comments
212ANX(2)Record ID - "Z "
335ANX(3)Exchange Acronym
10615ANX(10)Combination Product (Commodity) Code
51620ANX(5)Combination Type - STRIP for strips such as Eurodollar packs and bundles, CAL for futures calendar spreads, and I/C for futures intercommodity spreads
62126N9(6)Combination Contract Month - YYYYMM
22728ANX(2)Combination Contract Day - typically blank
72935--Filler
33638N9(3)Leg Number
13939AXLeg Relationship - A or B
34042N9(3)Leg Ratio
104352ANX(10)Leg Product (Commodity) Code
35355ANX(3)Leg Product Type
65661N9(6)Leg Contract Month - YYYYMM
26263ANX(2)Leg Contract Day - typically blank
46467N9(4)Leg Ratio -- Fractional Part.  Blank or any non-numeric value means zero.
16868ANX(1)Leg Price Available Flag -- Y means that leg price data is provided for creating transactions in this leg when an option on this combination is exercised or assigned.  N or any other value means that it is not provided.
26970ANX(2)Leg Price Usage Flag -- specifies how the value provided is used.  L means that the value provided is the leg price to use.  S+ means that you take the value provided and add the option strike to it to obtain the leg price to use.  S- means that you take the value provided and subtract the option strike from it to obtain the leg price to use.
77177N9(7)Leg Price -- the specified price value, typically provided as zeros if the Leg Price Available Flag is not Y.
17878ANX(1)Leg Price Sign -- sign for the specified price value.  - means negative, + or any other value means positive.

Notes:

  1. "Z" records specify specific combinations ("synthetics") and the individual legs (component products) which comprise them. There will be at least two "Z" records for each combination, since a combination by definition has two or more legs. The layout of the "Z" record as specified here handles combinations where the legs are futures contracts.
  2. A leg relationship of A means buying the combination means buying this leg; a leg relationship of B means buying the combination means selling this leg. The leg ratio specifies how many of this leg are bought or sold per purchase of one combination.
     
  3. The four fields beginning with the Leg Price Available Flag have been added in May 2005 to allow the specification of leg prices for creating transactions in the underlying products of the combination, when an option on that combination is exercised or assigned.