Multi-leg swap (Interest Rate, Total Return, and Currency) security master files (SMFs) and trades can be loaded through the standard _all streams in Message Center (MC) in V2017 R2.7 and above. In releases prior to V2017 R2.7, SMFs must be loaded through the _smf streams because the _all streams lacked "split rule" logic required for multi-row securitiesaddition to the dedicated _smf and _trades streams. SMFs must be loaded prior to trades (trades do not spawn SMFs) and both must be sent as three-row files (contract, pay leg, receive leg) . Refer to Supported Generic Interfaces V17 for more information. Details for managing securities are available here, booking open trades are available here, and booking close trades are available herein versions prior to V17 R2.27. Beginning in V17 R2.27, Interest Rate Swap, Total Return Swap, and Inflation-Linked Swap trades can be entered as single rows using the Single Event method (refer to https://eagledocs.atlassian.net/wiki/spaces/IE/pages/1658978617/Interest+Rate+Swaps+IRS+Best+Practices#Trade-Processing and https://eagledocs.atlassian.net/wiki/spaces/IE/pages/1658978705/Total+Return+Swaps+TRS+Best+Practices#Trade-Processing for additional information).
Ensure Trade Ticket Number (761) is populated for all multi-leg swap trades because it is required to process cancels and IDLOT closes
ItThe same value is copied to Batch Identifier (701)
You cannot use Batch Cancel Trade if Trade Ticket Number was null on the original trade because Batch Identifier will be null
Trade Ticket Number should be the same across all rows for a particular trade, but unique for each trade
- This will be copied to Batch Identifier (701)
IDLOT closes must be entered with Target Trade Ticket Number (762) = Trade Ticket Number (761) of the open lot to cancel
Multi-leg swap cancels can be entered through
MCMessage Center as a single row with Target Trade Ticket Number (762) = Trade Ticket Number (761) of the transaction to be
cancelledcancelled
Set Long/Short Indicator (15) based on the contract-level:
L
to cancel long transactions orS
to cancel short transactionsThis is automatically routed to Batch Cancel
TradesTrade
Multi-leg swap
IDLOT closes must be entered with Target Trade Ticket Number (762) = Trade Ticket Number (761) of the open lot to cancelMulti-leg swaps can be priced and haveprices and other reference data
added, such as variable rates,
through default MC streamscan 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 price4590 =
will result inC
to price the contract
being priced4590 =
will result inP
orR
price the pay or receive leg
(respectively
) being priced
Either combination of these tag
combinationscan be used 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
be included as well