How can I know which legs of a strategy are being bought and sold?

On Elektron, we have some RICs, such as USG2FN3040=TWEB and USGNFN3040=TWEB, which we believe use the Strategies Data Model. We can see the CUSIPs of the two instruments involved in these swaps by looking at the OFFCL_CODE and OFFC_CODE2 fields. However, we don't see how to programmatically determine which instrument is bought, and which instrument is sold, by buying the swap. Is there a field that has this information?

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Accepted answers

zoya faberov

Hello @lroth,

We have the following answer from our content experts:

The RICs like USGNFN3040=TWEB are MBS TBA swap instruments.
These are calculated values that determine the BID/ASK using the pricing on
their underlying instruments. Since this is a calculated data, we do not have a
buy or sell flag on such RICs but instruments such as these would typically
trade as any other swap instrument. The underlying legs of the swap can be
ascertained either by using the underlying RIC code and/or the instrument
identifier which is provided for on the RIC. More information on the
calculation methodology can be located on <USMBSSWAPINFO>.

In addition, the Tradeweb US MBS TBA is an indicative data
service, which means it is devoid of any trade flags.

All comments

zoya faberov

Hello @lroth,

The question, as I understand it, is not on Elektron API usage, but rather it is about Elektron content.

I have opened a content inquiry for you with our Content services, service request number is 07147850. We will update the community with the response.

Would like to let you know, that the best and the most efficient way to get the content questions answered is to submit them to our Content teams via my.refinitiv.com.

Select Support -> "I have a question about content" -> product = Elektron Real Time.

zoya faberov

Hello @lroth,

We have the following answer from our content experts:

In addition, the Tradeweb US MBS TBA is an indicative data
service, which means it is devoid of any trade flags.

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