Trade reports for spreads while legging in

, ,
1

Imported from previous forum

2

The FIX 4.4 spec seem to explicitly allow trade reports to be issues for leg trades that are in different ratios than the whole multileg order (Volume 4, pp21-22). Does anyone have an example/explanation of how these reports should look for the following statement from the spec:

Counterparties can choose to report fills by leg (without a summary Execution Report for the overall strategy).
The MultilegReportType field is 2. Reporting should be done within the context of the strategy (ie: fills and
partial fills are reported within the ratio quantities defined by the legs) even though contraparties have traded
against individual legs and perhaps not within the ratio quantities defined by the legs.

Thanks!