Legs for spread

, ,
1

Imported from previous forum

2

when we have a spread(mulitlegged) for a execution report. how can i tell if there fill for leg1 or leg2. which field would indicate it.

Thanks
Ankit

3

[ original email was from Dean Kauffman - dean.kauffman@tradeweb.com ]
There is nothing specific in an ER to indicate which leg is being reported. However for a swap you have one Buy and one Sell leg, so you can identify the leg through Side(54). For a butterfly or more complex trade use a combination of Side(54) and SecurityID(48).

when we have a spread(mulitlegged) for a execution report. how can i
tell if there fill for leg1 or leg2. which field would indicate it.

Thanks Ankit

4

In our implementation of FIX for complex orders, the leg ref id (654) is included on the execution report. This model was derived from CBOE’s spec and is supported by several exchanges including KEP.

There is nothing specific in an ER to indicate which leg is being
reported. However for a swap you have one Buy and one Sell leg, so you
can identify the leg through Side(54). For a butterfly or more complex
trade use a combination of Side(54) and SecurityID(48).

when we have a spread(mulitlegged) for a execution report. how can i
tell if there fill for leg1 or leg2. which field would indicate it.

Thanks Ankit