Imported from previous forum
What’s the best way to represent an order for a strip of consecutive maturities on an instrument?
The strip is quoted and traded with one overall price for the strip.
In theory this could be done with a multileg instrument, but that would get very verbose and redundant.
Ideally there would be a field like “StripEndMaturityMonthYear”, or “StripLength”.
NYMEX supports energy future strips on its ClearPort platform in this way. The starting and ending maturity date is specified for book-end legs and all legs in between are implied. For trade reporting, the TradeInstrmtLegGrp component is used to enumerate the 2 legs. The fact that the product is a strip is specified using SecuritySubType/tag 762.
What’s the best way to represent an order for a strip of consecutive
maturities on an instrument?The strip is quoted and traded with one overall price for the strip.
In theory this could be done with a multileg instrument, but that would
get very verbose and redundant.Ideally there would be a field like “StripEndMaturityMonthYear”, or
“StripLength”.