...
- Ensure Trade Ticket Number (761) is populated for all multi-leg swap trades because it is required to process cancels and IDLOT closes
- It should be the same across all rows for a particular trade, but unique for each trade
- This will be copied to Batch Identifier (701)
- Multi-leg swap cancels can be entered through Message Center as a single row with Target Trade Ticket Number (762) = Trade Ticket Number (761) of the transaction to be cancelled
- Set Long/Short Indicator (15) based on the contract-level:
L
to cancel long transactions orS
to cancel short transactions - This is automatically routed to Batch Cancel Trades
- Set Long/Short Indicator (15) based on the contract-level:
- IDLOT closes must be entered with Target Trade Ticket Number (762) = Trade Ticket Number (761) of the open lot to cancel
- Multi-leg swap prices and other reference data, such as variable rates, can also be loaded via default streams
- To accomplish this, tag 4590 (Swap Type/Component) must be included in the message and reflect the appropriate component to price
- 4590 =
C
will result in the contract being priced - 4590 =
P
orR
will result in the pay or receive leg (respectively) being priced
- 4590 =
- The messages can use either of these tag combinations for security resolution:
- 14 (Primary Asset ID) and 1432 (Primary Asset ID Type)
- 1233 (Xreference ID) and 1234 (Xreference ID Type)
- When loading variable rates, 961 (Issue Name) must also be included as well
- To accomplish this, tag 4590 (Swap Type/Component) must be included in the message and reflect the appropriate component to price