NewOptionsStrategyDefinition::Leg Struct Reference

This nested class represents leg definition. More...

Public Member Functions
std::string	toString () const
	Returns string representation.

Public Attributes
MarketId	marketId
	Market Id of the option leg market.
MarketId	underlyingMarketId
	Futures market id of the underlying futures market.
short	ratio
	Number of option contracts per increment quantity.
Side::Enum	side
	Leg side.
Optional< short >	strategyCode
	The strategy code for the leg. More...
Optional< int >	ratioQtyNumerator
	The quantity ratio represents the proportion of each of the leg of interproduct spreads. More...
Optional< int >	ratioQtyDenominator
	The quantity ratio represents the proportion of each of the leg of interproduct spreads. More...
Optional< int >	ratioPriceNumerator
	The price ratio is the fractional weighted price component per leg in the strategy. More...
Optional< int >	ratioPriceDenominator
	The price ratio is the fractional weighted price component per leg in the strategy. More...

Detailed Description

This nested class represents leg definition.

Member Data Documentation

Optional<int> ratioPriceDenominator

The price ratio is the fractional weighted price component per leg in the strategy.

Using a Q4 2017 set as composite strategy as an example, each leg Oct 2017, Nov 2017 and Dec 2017 will have 3 as the LegRatioPriceDenominator.

Optional<int> ratioPriceNumerator

The price ratio is the fractional weighted price component per leg in the strategy.

Using a Q4 2017 set as composite strategy as an example, each leg Oct 2017, Nov 2017 and Dec 2017 will have 1 as the LegRatioPriceNumerator.

Optional<int> ratioQtyDenominator

The quantity ratio represents the proportion of each of the leg of interproduct spreads.

The Leg ratio denominator will be set to 1 for most products not but will be used in future product launches.

Optional<int> ratioQtyNumerator

The quantity ratio represents the proportion of each of the leg of interproduct spreads.

Using Gas Oil crack as an example. This will be set to 4 for the Gas oil leg and 3 for the Brent leg.

Optional<short> strategyCode

The strategy code for the leg.

If set, this field can be used to obtain the next level of granularity of the strategy. If it is not set, the /c LegMarketID is the most granular level for the market.

See Appendix E for list of codes.