EP018 – User Defined Spreads

Extends FIX support for User Defined Spreads and Covered Spreads. A participant submits the legs of a proposed strategy in a Security Definition Request; if accepted, the venue creates and returns the fully defined listed instrument in a Security Definition. The new LegOptionRatio conveys the risk contribution of an option leg and allows the required quantity of covering futures to be calculated for a delta-neutral strategy. Orders or quote requests may then be submitted for the newly created instrument.