SecurityType on individual leg fill in 4.4


#1

Hi everyone. I know that SecurityType is generally frowned upon in 4.4, but regardless : lets say I receive a fill for an individual leg on a multileg order (442=2). Would you expect SecurityType(167) to be MLEG or the security type of the individual leg? For the multileg fill (442=3) there is no doubt its MLEG, but what about the individual legs? Thanks so much in advance.


#2

SecurityType(167) is part of the Instrument component, i.e. it describes the instrument identified by Symbol(55) or SecurityID(48). If the instrument is simple (as opposed to multileg) then SecurityType(167) cannot be MLEG, even if MultilegReportingType(442)=2 to indicate that the legs have been split across multiple TCRs and that the parent is a multileg instrument.

LegSecurityType(609) is part of the InstrumentLeg component. The leg can be a simple or again a multileg instrument. In this case LegSecurityType(609)=MLEG even though it is a leg. It again refers to LegSymbol(600) or LegSecurityID(602).


#3

Just adding a comment that I don’t think the use of SecurityType(167) should be frowned upon. It is the basis of our simple instrument classification scheme in FIX. The values of the field originated with ISITC.

Regarding how to report individual legs of a multileg transaction, there are more than one approach. The FIX GTC should look through the various approaches and come up with a best practice. I think the Exchanges Working Group did this years ago.

The question I have is if you are reporting a leg level transaction - is the SecurityID and SecurityType for the leg or should the SecurityID and SecurityType specify the multileg instrument and then the LegSecurityID(602) and LegSecurityType(609) be used to specify the individual instrument that is part of the multileg instrument?

I think many systems to simplify when reporting on an individual leg have used SecurityID and SecurityType for the individual leg not the multileg instrument, but we should probably provide some clarity.


#4

Thank you Hanno.