Multi-Leg Swap Automation

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 securities. 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 here.

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 MC as a single row with Target Trade Ticket Number (762) = Trade Ticket Number (761) of the transaction to be cancelled
  - This is automatically routed to Batch Cancel Trades
- Multi-leg swap IDLOT closes must be entered with Target Trade Ticket Number (762) = Trade Ticket Number (761) of the open lot to cancel
Multi-leg swaps can be priced and have other reference data added, such as variable rates, through default MC 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 or R will result in the pay or receive leg (respectively) being priced
- 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