TT® FIX

Component: <LegInstrumentGrp>

Overview

The <LegInstrumentGrp> component block uses the same structure as the instrument component block sent from FIX clients to TT FIX Order Router, except that all of its tags represent the legs of an exchange-traded strategy. For example, instead of Tag 55 (Symbol) this block contains Tag 600 (LegSymbol).

Supported tags

<
Tag # Field Name Req'd Data type Comments
762 SecuritySubType Y String

Sub-type qualification or identification of the SecurityType

For example, an instrument with SecurityType(167)="MLEG" might use this tag to specify the name of the option or futures strategy, such as "Calendar", "Vertical", or "Butterfly"

555 NoLegs Y String

Replaces 7.X tag 146 (NoRelatedSym)

Number of legs in the repeating group

Can be zero (e.g. standardized multileg instrument such as an Option strategy). The value must be provided even if zero.

Component: Leg Instrument
616 LegSecurityExchange C Exchange

Replaces 7.X tag 308 (UnderlyingSecurityExchange)

Multi-leg instrument's individual security's SecurityExchange.

Possible values include:

  • AGGREGATOR
  • ASE
  • ASX
  • BrokerTec
  • B3
  • CFE
  • CME
  • CurveGlobal
  • EEX
  • Eris
  • eSpeed
  • Eurex
  • Euronext
  • ICE
  • ICE_L
  • KCG
  • MEFF
  • MX
  • NDAQ_EU
  • NFX
  • NLX
  • OSE
  • SGX
  • TFX
  • TOCOM

Condition: Required when both of the following are true.

  • The leg instrument trades on a different exchange that the parent instrument.
  • Both Tag 18100 (LegExtDestination) and Tag 602 (LegSecurityId) are absent.
OR
18100 LegExDestination C Exchange

New tag for TT

Execution destination for the leg order as defined by the institution

Some traders use this tag in place of Tag 207 (SecurityExchange) to identify the exchange.

ISO 10383 defines a comprehensive list of MIC codes.

Condition: Required when both of the following are true.

  • The leg instrument trades on a different exchange that the parent instrument.
  • Both Tag 616 (LegSecurityExchange) and Tag 602 (LegSecurityId) are absent.
OR
602 LegSecurityId C String

Replaces 7.X tag 309 (UnderlyingSecurityID)

TT security ID that uniquely identifies the instrument in the TT platform.

Condition: Required when both of the following are true.

  • The leg instrument trades on a different exchange that the parent instrument.
  • Both Tag 18100 (LegExtDestination) and Tag 616 (LegSecurityExchange) are absent.

Note: The combination of this tag and tag 603 (LegSecurityIDSource) must uniquely identify an instrument in the TT platform.

603 LegSecurityIDSource C String

Replaces 7.X tag 309 (UnderlyingSecurityID)

Multileg instrument's individual security's SecurityIDSource.

Condition: Required when Tag 18100 (LegExtDestination) and Tag 616 (LegSecurityExchange) are absent.

Note: The combination of this tag and tag 602 (LegSecurityId) must uniquely identify an instrument in the TT platform.

600 LegSymbol N String

Replaces 7.X tag 311 (UnderlyingSymbol)

Multi-leg instrument's individual security's Symbol.

Condition: Required when Tag 167 (SecurityType)=MLEG.

See Symbol (55) field for description

608 LegCFICode N String

Multileg instrument's individual security's CFICode (tag 461).

See CFICode (461) field for description

609 LegSecurityType N String

Replaces 7.X tag 310 (UnderlyingSecurityType)

Multi-leg instrument's individual security's SecurityType.

Possible values include:

  • FUT: future
  • MLEG: multi-leg
  • OPT: option
  • SPOT: EEX spot products
  • TBOND: treasury bond
764 LegSecuritySubType N String

Replaces 7.X tag 310 (UnderlyingSecurityType)

SecuritySubType of the leg instrument.

See SecuritySubType (762) field for description

610 LegSecurityMonthYear N MonthYear

Replaces 7.X tag 313 (UnderlyingMaturityMonthYear)

Multi-leg instrument's individual security's MaturityMonthYear

611 LegMaturityDate N LocalMktDate

Replaces 7.X tag 314 (UnderlyingMaturityDay)

Multi-leg instrument's individual security's MaturityDate.

18314 LegMaturityDay N DayOfMonth

Replaces 7.X tag 314 (UnderlyingMaturityDay)

Multi-leg instrument's individual security's MaturityDay.

612 LegStrikePrice N Price

Replaces 7.X tag 316 (UnderlyingStrikePrice)

Multi-leg instrument's individual security's StrikePrice.

1358 LegPutOrCall C int

Replaces 7.X tag 315 (UnderlyingPutOrCall)

Whether the option represents a put or call

Possible values include:

  • 0: Put
  • 1: Call

Condition: Required when Tag 609 (LegSecurityType) is OPT

624 LegSide N char

Replaces 7.X tag 16624 (LegSide)

The side of this individual leg (multi-leg security).

Possible values include:

  • 1: Buy
  • 2: Sell
  • 3: Buy minus
  • 4: Sell plus
  • 5: Sell short
  • 6: Sell short exempt
  • 7: Undisclosed
  • 8: Cross
  • 9: Cross short
623 LegRatioQty N Qty

Replaces 7.X tag 319 (RatioQty)

Ratio of quantity for this individual leg relative to the entire multi-leg security

The value represents one of the following:

  • For a leg of a covered strategy (such as a volatility trade) on CME or NYSE_Liffe markets, the value represents the delta (expressed as an integer between 1 and 100).
  • In all other cases, the value represents the quantity of this leg in the strategy.
556 LegCurrency N Currency

Replaces 7.X tag 318 (UnderlyingPutOrCall)

Currency associated with a particular leg's price

566 LegPrice N Price

Replaces 7.X tag 10566 (LegPrice)

Price of the leg for a multi-leg instrument

687 LegQty N Qty

Quantity of this leg.

654 LegRefID N string

Unique indicator for a specific leg.

637 LegLastPx N Price

Execution price assigned to a leg of a multileg instrument.

18224 LegContractYearMonth N char Contract term of the underlying instrument in the form, YYYYMMM
18212 LegDeliveryTerm C char

Replaces 7.X tag 18212 (UnderlyingContractTerm)

Term of delivery for the underlying instrument.

TT FIX uses this value to identify contracts that do not have a monthly delivery term.

Possible values include:

  • A: Same day
  • B: Balance of month
  • D: Day
  • E: Weekly
  • L: Balance of week
  • M: Month
  • N: Next day
  • P: Pack
  • Q: Quarterly
  • S: Seasonal
  • T: Weekend
  • V: Variable
  • W: Week
  • X: Custom
  • Y: Year

Condition: Required when both of the following are true:

  • The Security Definition indicates it is required.
  • The delivery term is not monthly.
18213 LegDeliveryDate C LOCALMKTDATE

New tag for TT

Date for contract delivery

Condition: Sent when available

1366 LegAllocID C String

Identifier assigned to a leg of a multi-leg trade for ASX clearing purposes (clearing deal number).

Condition: Sent when provided by the exchange.

Component: <LegSecurityAltIDGrp> N Group

Repeating group of security alt IDs for legs in a multileg instrument.

Component: <LegFillsGrp> C Group

Repeating group of fills for this leg instrument.

Condition: Only used in Execution Report (8) messages when the FIX client is connected to a TT FIX 4.4 session.