Topic: Legs order question in strategy symbols (tag-55) on FIX API
(1 messages, Page 1 of 1)
Joined: Mar 15, 2017
We've noticed there's no consistency for spread symbols within your API, in this case the legs are not listed in chronological order of their maturity or by respecting the leg/ratio formula CME lists for exchange recognized spread types. I was wondering if you accept the same legs listed in any order for a certain instrument? For example:
Your symbol: GE PACK U7,Z7,M7,H8
Would this be the same ? GE PACK M7,U7,Z7,H8 (the logical order in which we expect these bundles to be written according to CME's specs),
Is this: GE PACK H8,M7,U7,Z7 or any other combination of these 4 legs also accepted for the same spread?
Also noticed that the order of legs for butterflies also varies by instrument OEC Trader, and we're trying to set up some rules for translating these spreads from our internal structures (which respects the legs order and ratio in CME's security definition messages) into OEC format, but we've encountered the following problem:
GE FB -2 U7,+1 Z7,+1 M7 - ratio -2:+1:+1
GE FB +1 M7,+1 M9,-2 M8 - ratio +1:+1:-2
GE FB +1 U7,-2 H8,+1 U8 - ratio +1:-2:+1 (this is the formula for Futures Butterfly, what we would expect in all cases for any butterfly spread)
Is this a bug in developer API, shall we expect this inconsistency in the production environment as well? Is this something that can be/will be fixed any time soon?