The Price on the order will be the spread price. The Leg Price not to be populated on the request. The following ExecutionReports are published for Fills: 1) Notional Fill - Trade information for the overall Spread. The leg information will always be the near leglegs on notional fill will have the overall notional fill information. 2) 2 Leg Fills - Trade information for each of the legs. So expect 2 leg fills for Calendar Spread and FXLink. Calendar Spreads : Both near and far legs are Futures. Calendar Spreads (SP, EQ, FX, SD, EC) and FXLink are supported. Types of spread as classified by CME | Leg1 | Leg2 | Buy Spread | Sell Spread | Comment |
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SP Standard [SP] | Buy leg | Sell Leg | Buying a Standard Calendar Spread buys leg1, sells leg2 | Selling a Standard Calendar Spread sells leg1, buys leg2 | User Defined Spreads are not supported. | EQ Calendar Spread [EQ] | Sell Leg | Buy Leg | Buying this Calendar Spread sells leg1, buys leg2 | Selling this Calendar Spread buys leg1, sells leg2 | Not supported currently. | Deferred Calendar Spread [FX] | Buy leg | Sell Leg | Buying a Deferred Calendar Spread buys leg1, sells leg2 | Selling a Deferred Calendar Spread sells leg1, buys leg2 |
| SD Calendar [SD] | Buy leg | Sell Leg | Buying this Calendar buys leg1, sells leg2 | Selling this Calendar sells leg1, buys leg2 |
| EC TAS Calendar Spread [EX] | Buy leg | Sell Leg | Buying an EC Calendar Spread buys leg1, sells leg2 | Selling an EC Calendar Spread sells leg1, buys leg2 |
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