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Re: Tag 623 LegRatioQty
Matt Simpson / Chicago Mercantile Exchange
4 Jun 2007 12:01PM ET

A better tag is LegOptionRatio/1017 that was added with FIX 5.0. The formal definition of the field is "Expresses the risk of an option leg. Value must be between -1 and 1. A Call Option will require a ratio value between 0 and 1. A Put Option will require a ratio value between -1 and 0".

Currently, this tag is only available on selected messages

> In addition to defining leg ratios for spreads and butterflies, can this
> tag be used to define deltas for option volatility trades i.e. does it
> accept values of less than 1?

Tag 623 LegRatioQty
mitchell robertson   4 Jun 2007 10:33AM ET

Re: Tag 623 LegRatioQty
Matt Simpson / Chicago Mercantile Exchange   4 Jun 2007 12:01PM ET