The <LegFillsGrp> specifies the partial leg fills included in an Execution Report (8) when connected to a TT FIX 4.4 session.
Click the links below to navigate to the documentation for that tag.
| Tag # | Field Name | Req'd | Data type | Comments |
|---|---|---|---|---|
| 16120 | LegNoFills | C | NumInGroup |
Number of partial leg fills included in an Execution Report Condition: Sent for each leg when a multileg order is filled through multiple price levels in a single match transaction, i.e. "sweeping the market". Can be sent when LegNoFills = 1 for some markets, such as Eurex/EEX. Note: Only sent if the FIX client is connected to a TT FIX 4.4 session. |
| > 16121 | LegFillExecID | C | String |
Unique identifier of leg execution as assigned by sell-side (broker, exchange, ECN). The ID must not overlap tag 17 (ExecID). Condition: Sent when tag 16120 > 0 |
| > 16122 | LegFillPx | C | Price |
Price of this leg fill Condition: Sent when tag 16120 > 0 |
| > 16123 | LegFillQty | C | Qty |
Quantity of this leg fill Condition: Sent when tag 16120 > 0 |
| > 16124 | LegFillTradingVenueRegulatoryTradeID | C | String |
Trading Venue transaction identification code of this leg fill Condition: Sent if available when tag 16120 > 0 |
| > 16125 | LegFillLastLiquidityIndicator | N | int |
Whether this leg fill was a result of a liquidity provider providing or a liquidity taker taking the liquidity in this LegFillsGrp repeating group. Possible values include:
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