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Overview

The New Order Multileg message (MsgType = "AB") enables creation of multi-leg orders for complex trading strategies. It “Creates a multi-leg order supporting strategies such as covered calls, vertical spreads, straddles, strangles, butterflies, and iron condors.”

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Key Requirements

For multileg orders, you must set SecurityType=MLEG (Tag 167), with each leg defined in a repeating group starting at Tag 555 (NoLegs).

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Order-Level Fields

  • Account (Tag 1): Trading account identifier
  • ClOrdID (Tag 11): Unique client-assigned order identifier
  • OrderQty (Tag 38): Number of spreads/contracts (0 for Dollar Amount orders)
  • OrdType (Tag 40): Order type (1=Market, 2=Limit, 3=Stop, 4=Stop Limit)
  • Price (Tag 44): Net debit/credit limit price for entire spread
  • Side (Tag 54): Buy (1) or Sell (2)
  • Symbol (Tag 55): Underlying symbol in uppercase
  • TimeInForce (Tag 59): Day (0) or GTC (1)
  • TransactTime (Tag 60): UTC timestamp

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Leg Repeating Group (Tag 555)

Each leg specifies 2-4 components using fields like: LegSymbol (Tag 600); LegSecurityType (Tag 609): CS for stock, OPT for options; LegStrikePrice (Tag 612); LegSide (Tag 624); LegQty (Tag 687).

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Examples Provided

The documentation includes sample FIX messages for bull call spreads, iron condors, and covered call strategies demonstrating proper syntax and field ordering.