New Order Cross Multileg Message Fields (C1 and EDGX Only)

A New Order Cross Multileg message contains the details for both the agency (initiating) and contra side(s) of a multileg cross order (such as an AIM order).

Cross Order Acknowledgment, Cross Order Rejected, and Cross Order Cancelled message types will be used by the Exchange to respond to New Order Cross Multileg messages.

Required Order Attributes:

• Agency order’s Side must match the cross order’s CrossPrioritization
• Each contra-party allocation must have the opposite Side
• Each side’s cumulative AllocQty must equal the cross order’s OrderQty

The first entry in the allocation repeating group is the agency order, followed by a maximum of 10 contra-party allocations. I.e., AllocCnt must be between 2 and 11.

AllocLegCnt is the AllocCnt times the number of symbol legs. The ordering of LegPositionEffect is "allocation major, leg minor"; the legs of each allocation are described before moving on to the next allocation. The leg ordering matches the definition seen in the New Complex Instrument Accepted message (or seen in the Complex Instrument Definition PITCH message).