<InstrumentLeg> Component Block

Multileg instrument's individual security's SymbolSfx.

See SymbolSfx (65) field for description

Multileg instrument's individual security's SecurityID.

See SecurityID (48) field for description

Multileg instrument's individual security's SecurityIDSource.

See SecurityIDSource (22) field for description

Used for unique identification of the leg that can subsequently be used whenever a simple leg identification is sufficient. It can also serve as input value for LegRefID(654) whenever only a simple leg reference is allowed or needed.

Multileg instrument's individual security's Product.

See Product (460) field for description

Represents the product group of a leg.This is useful in conveying multi-leg instruments where the legs may participate in separate security groups.

Multileg instrument's individual security's CFICode.

See CFICode (461) field for description

Uniquely identifies the product of a leg instrument using ISO 4914. See UPICode(2891) for further detail.

Refer to definition of SecurityType(167)

SecuritySubType of the leg instrument.

See SecuritySubType (762) field for description

Multileg instrument's individual security's MaturityMonthYear.

See MaturityMonthYear (200) field for description

Multileg instrument's individual security's MaturityDate.

See MaturityDate(541) field for description.

Time of security's maturity expressed in local time with offset to UTC specified

Conditionally required when LegMaturityFrequencyPeriod(2987) is specified.

Conditionally required when LegMaturityFrequencyUnit(2986) is specified and the value is not EOM (End of Month) or F (Flexible).

Indicator to determine if the instrument is to settle on open.

Specifies the method under which assignment was conducted.

Indicates the current state of the leg instrument.

Multileg instrument's individual leg security's CouponPaymentDate.

See CouponPaymentDate (224) field for description

(Note tag # was reserved in FIX 4.1, added in FIX 4.3)

(prior to FIX 4.4 field was of type UTCDate)

A category of CDS credit event in which the underlying bond experiences a restructuring.

Used to define a CDS instrument.

Specifies which issue (underlying bond) will receive payment priority in the event of a default.

Used to define a CDS instrument.

Indicates the notional percentage of the deal that is still outstanding based on the remaining components of the index.

Used to calculate the true value of a CDS trade or position.

Used to reflect the Original value prior to the application of a credit event. See LegNotionalPercentageOutstanding(2151).

Lower bound percentage of the loss that the tranche can endure.

Upper bound percentage of the loss the tranche can endure.

Type of reference obligation for credit derivatives contracts.

Indicates the broad product or asset classification. May be used to provide grouping for the product taxonomy (Product(460), SecurityType(167), etc.) and/or the risk taxonomy (AssetClass(1938), AssetSubClass(1939), AssetType(1940), etc.).

Required if LegAssetSubClass(2068) is specified.

Required if LegAssetType(2069) is specified.

Required if LegAssetSubType(2739) is specified.

Used to provide a more specific description of the asset specified in LegAssetType(2069).

See https://www.fixtrading.org/codelists/AssetSubType for code list of applicable values.

In the context of MiFID II, ESMA RTS 23 Annex I Table 2, this may indicate the 'Further sub product' or equity 'Parameter' fields.

Swap type.

The sub-classification or notional schedule type of the swap.

Conditionally required when LegMthToDefault(2158) is specified.

The Mth reference obligation to default in a CDS reference basket. When an NthToDefault(2157) to MthToDefault(2158) are represented then the CDS payout occurs between the Nth and Mth obligations to default.

Relevant settled entity matrix source.

The publication date of the applicable version of the matrix. When this element is omitted, the Standard Terms Supplement defines rules for which version of the matrix is applicable.

Specifies the coupon type of the bond.

Specifies the total amount of the issue. Corresponds to the par value multiplied by the number of issued security.

Conditionally required when LegCouponFreqUnit(2164) is specified.

Conditionally required when LegCouponFreqPeriod(2163) is specified.

The day count convention used in interest calculations for a bond or an interest bearing security.

The industry name of the day count convention not listed in LegCouponDayCount(2165).

Identifies the equity in which a convertible bond can be converted to.

Conditionally required when LegConvertibleBondEquityID(2166) is specified.

Reference month if there is no applicable LegMaturityMonthYear(610) value for the contract or security.

Indicates the seniority level of the lien in a loan.

Specifies the type of loan when the credit default swap's reference obligation is a loan.

Specifies the type of reference entity for first-to-default CDS basket contracts.

The series identifier of a credit default swap index.

The version of a credit default swap index annex.

The date of a credit default swap index series annex.

The source of a credit default swap series annex.

In an outright or forward commodity trade that is cash settled this is the index used to determine the cash payment.

This is an optional qualifying attribute of LegSettlementRateIndex(2176) such as the delivery zone for an electricity contract.

Description of the option expiration.

Must be set if EncodedLegOptionExpirationDesc(2180) field is specified and must immediately precede it.

Encoded (non-ASCII characters) representation of the LegOptionExpirationDesc(2178) field in the encoded format specified via the MessageEncoding(347) field.

Multileg instrument's individual leg security's IssueDate.

See IssueDate (225) field for description

(Note tag # was reserved in FIX 4.1, added in FIX 4.3)

(prior to FIX 4.4 field was of type UTCDate)

Multileg instrument's individual leg security's RepoCollateralSecurityType. See RepoCollateralSecurityType (239) field for description (Note tag # was reserved in FIX 4.1, added in FIX 4.3)

Multileg instrument's individual leg security's RepurchaseTerm. See RepurchaseTerm (226) field for description (Note tag # was reserved in FIX 4.1, added in FIX 4.3)

Multileg instrument's individual leg security's RepurchaseRate. See RepurchaseRate (227) field for description (Note tag # was reserved in FIX 4.1, added in FIX 4.3)

Multileg instrument's individual leg security's Factor.

See Factor (228) field for description

(Note tag # was reserved in FIX 4.1, added in FIX 4.3)

Multileg instrument's individual leg security's CreditRating.

See CreditRating (255) field for description

(Note tag # was reserved in FIX 4.1, added in FIX 4.3)

Multileg instrument's individual leg security's InstrRegistry.

See InstrRegistry (543) field for description

Multileg instrument's individual leg security's CountryOfIssue.

See CountryOfIssue (470) field for description

Multileg instrument's individual leg security's StateOrProvinceOfIssue.

See StateOrProvinceOfIssue (471) field for description

Multileg instrument's individual leg security's LocaleOfIssue.

See LocaleOfIssue (472) field for description

Multileg instrument's individual leg security's RedemptionDate. See RedemptionDate (240) field for description (Note tag # was reserved in FIX 4.1, added in FIX 4.3) (prior to FIX 4.4 field was of type UTCDate)

Multileg instrument's individual security's StrikePrice.

See StrikePrice (202) field for description

Currency in which the strike price of a instrument leg of a multileg instrument is denominated

Identifies class or source of the LegStrikeCurrency(942) value.

Used for derivatives. Multiplier applied to the strike price for the purpose of calculating the settlement value.

The number of shares/units for the financial instrument involved in the option trade. Used for derivatives.

Used to express the unit of measure (UOM) of the price if different from the contract.

Specifies the index used to calculate the strike price.

The point on the floating rate index curve. Sample values:

M = combination of a number between 1-12 and an "M" for month, e.g. 3M

Y = combination of number between 1-100 and a "Y" for year, e.g. 10Y

10Y-OLD = see above, then add "-OLD" when appropriate

INTERPOLATED = the point is mathematically derived

2/2031 5 3/8 = the point is stated via a combination of maturity month / year and coupon.

Specifies the strike price offset from the named index.

The quote side from which the index price is to be determined.

Specifies how the strike price is determined at the point of option exercise. The strike may be fixed throughout the life of the option, set at expiration to the value of the underlying, set to the average value of the underlying , or set to the optimal value of the underlying.

When specified, LegPutOrCall(1358), LegStrikePrice(612), and LegStrikePriceBoundaryPrecision(2188) must also be specified.

Used in combination with StrikePriceBoundaryMethod(2187) to specify the percentage of the strike price in relation to the underlying price. The percentage is generally 100 or greater for puts and 100 or less for calls.

Specifies how the underlying price is determined at the point of option exercise. The underlying price may be set to the current settlement price, set to a special reference, set to the optimal value of the underlying during the defined period ("Look-back") or set to the average value of the underlying during the defined period ("Asian option").

Multileg instrument's individual security's OptAttribute.

See OptAttribute (206) field for description

Multileg instrument's individual security's ContractMultiplier.

See ContractMultiplier (23) field for description

Indicates the type of multiplier being applied to the contract. Can be optionally used to further define what unit LegContractMultiplier(614) is expressed in.

Indicates the number of contract periods associated with the minimum trading unit for a given contract duration resulting in the number of total traded contracts.

As an example, 456 is the number of off-peak periods for a product with a minimum trading unit of 5 MWh resulting in 2280 total traded contracts.

The industry standard flow schedule by which electricity or natural gas is traded. Schedules exist by regions and on-peak and off-peak status, such as "Western Peak".

Minimum price increment for a given exchange-traded instrument. Could also be used to represent tick value.

Minimum price increment amount associated with the LegMinPriceIncrement(2190). For listed derivatives, the value can be calculated by multiplying LegMinPriceIncrement(2190) by LegContractMultiplier(614).

Multileg instrument unit of measure.

See UnitOfMeasure(996) for complete definition.

Refer to definition of UnitOfMeasureQty(1147)

Indicates the currency of the unit of measure. Conditionally required when LegUnitOfMeasure(999) = Ccy

Identifies class or source of the LegUnitOfMeasureCurrency(1720) value.

Refer to definition for PriceUnitOfMeasure(1191)

Refer to definition of PriceUnitOfMeasureQty(1192)

Indicates the currency of the price unit of measure. Conditionally required when LegPriceUnitOfMeasure(1421) = Ccy

Identifies class or source of the LegPriceUnitOfMeasureCurrency(1721) value.

Settlement method for a contract or instrument. Additional values may be used with bilateral agreement.

Used to indicate a time unit for the contract (e.g., days, weeks, months, etc.)

Type of exercise of a derivatives security

Indicates the type of valuation method or trigger payout for an in-the-money option.

Conditionally required if LegOptPayoutTyp(2193) = 3 (Binary).

Indicates the type of return or payout trigger for the swap or forward.

Specifies the method for price quotation.

Specifies the type of valuation method applied.

Specifies the source of trade valuation data.

Specifies the methodology and/or assumptions used to generate the trade value.

Default currency in which the price is quoted. Defined at the instrument level. Used in place of Currency (tag 15) to express the currency of a product when the former is implemented as the FX dealt currency.

Identifies class or source of the LegPriceQuoteCurrency(1528) value.

Indicates whether instruments are pre-listed only or can also be defined via user request.

Used to express the ceiling price of a capped call.

Used to express the floor price of a capped put.

Used to indicate a derivatives security that can be defined using flexible terms. The terms commonly permitted to be defined by market participants are expiration date and strike price. FlexibleIndicator is an alternative to LegCFICode(608) Standard/Non-standard attribute.

Used to indicate if a product or group of product supports the creation of flexible securities.

Multileg instrument's individual security's CouponRate.

See CouponRate (223) field for description

Multileg instrument's individual security's SecurityExchange.

See SecurityExchange (207) field for description

Position Limit for a given exchange-traded product.

Position limit in the near-term contract for a given exchange-traded product.

Multileg instrument's individual security's Issuer.

See Issuer (106) field for description

Short name of the financial instrument. Uses ISO 18774 (FISN) values.

In the context of MiFID II this maps to ESMA RTS 23 Annex I Table 3 Field 7 and may be used in other RTS that requires a similar field.

The full normative name of the multileg's financial instrument.

In the context of ESMA reference data, this is used to provide the full name of the instrument as defined by the Derivatives Service Bureau (DSB).

Must be set if EncodedLegFinancialInstrumentFullName(2719) field is specified and must immediately precede it.

Encoded (non-ASCII characters) representation of the LegFinancialInstrumentFullName(2717) field in the encoded format specified via the MessageEncoding(347) field.

Description of a multileg instrument.

Can be used by the venue or one of the trading parties to provide an optional non-normative textual description of the financial instrument.

The program under which a commercial paper is issued.

The registration type of a commercial paper issuance.

Specific to the <InstrumentLeg> (not in <Instrument>)

Specific to the <InstrumentLeg> (not in <Instrument>)

Specific to the <InstrumentLeg> (not in <Instrument>)

Identifies class or source of the LegCurrency(556) value.

Identifies MBS / ABS pool

The effective date of a new securities issue determined by its underwriters. Often but not always the same as the Issue Date and the Interest Accrual Date

Specifies when the contract (i.e. MBS/TBA) will settle.

The start date used for calculating accrued interest on debt instruments which are being sold between interest payment dates. Often but not always the same as the Issue Date and the Dated Date

Used to express option right

Used to express in-the-moneyness behavior in general terms for the option without the use of LegStrikePrice(612) and LegPutOrCall(1358).

Identifies whether the option instrument is eligible for contrary instructions at the time of exercise. The contrariness of an instruction will be determined in the context of LegInTheMoneyCondition(2682). When not specified, the eligibility is undefined or not applicable.

LegOptionRatio is provided on covering leg to create a delta neutral spread. In Listed Derivatives, the delta of the leg is multiplied by LegOptionRatio and OrderQty to determine the covering quantity.

Used to specify an anchor price for a leg as part of the definition or creation of the strategy - not used for execution price.

Indicates whether a restriction applies to short selling a security.

Specifies the type of trade strategy.

When this element is specified and set to 'Y', it indicates that common pricing applies. Common pricing may be relevant for a transaction that references more than one commodity reference price.

Specifies the consequences of bullion settlement disruption events.

Specific delivery route or time charter average. Applicable to commodity freight contracts.

Specifies the rounding direction if not overridden elsewhere.

Applicable for complex FX option strategies.

Specifies the rounding precision in terms of a number of decimal places. Note how a percentage rate rounding of 5 decimal places is expressed as a rounding precision of 7.

Defines how adjustments will be made to the contract should one or more of the extraordinary events occur.

For a share option trade, indicates whether the instrument is to be treated as an 'exchange look-alike'.

This designation has significance for how share adjustments (arising from corporate actions) will be determined for the instrument. For an 'exchange look-alike' instrument the relevant share adjustments will follow that for a corresponding designated contract listed on the related exchange (referred to as Options Exchange Adjustment (ISDA defined term)), otherwise the share adjustments will be determined by the calculation agent (referred to as Calculation Agent Adjustment (ISDA defined term)).