<InstrumentLeg> component block – FIX 5.0 SP2 – FIX Dictionary

FIX 5.0 SP2 : <InstrumentLeg> component block

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
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, 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.
1212	LegMaturityTime	N
1358	LegPutOrCall	N	Used to express option right
1420	LegExerciseStyle	N
1224	LegUnitOfMeasureQty	N
1421	LegPriceUnitOfMeasure	N
1422	LegPriceUnitOfMeasureQty	N
1436	LegContractMultiplierUnit	N
1440	LegFlowScheduleType	N