Multileg Execution Reports

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1

Imported from previous forum

2

I’m wondering when someone trades on a NewOrderMultileg, how do you communicate back the prices of the individual legs?

For example:

  • Someone sends a NewOrderMultileg for a Call Spread option, with a bid price of 5.00.
  • The trade is executed at that price (5.00). It happens that the first leg was matched at 7.00, and the second leg was matched at 2.00.
  • The execution price is communicated back in LastPx<31>=5.

How can the individual leg prices be communicated?

3

Please check out the component InstrmtLegExecGrp in the ExecutionReport. There you will find LegLastPx (637).

I’m wondering when someone trades on a NewOrderMultileg, how do you communicate back the prices of the individual legs?

For example:

  • Someone sends a NewOrderMultileg for a Call Spread option, with a bid price of 5.00.
  • The trade is executed at that price (5.00). It happens that the first leg was matched at 7.00, and the second leg was matched at 2.00.
  • The execution price is communicated back in LastPx<31>=5.

How can the individual leg prices be communicated?