The film, which will open early in 1999, is based on Leeson's best-selling autobiography of the same name. McGregor stars opposite Anna Friel as his wife Lisa in the movie charting his loss of pounds 850m, which triggered the collapse of Barings Bank, his flight from justice and his six-year jail sentence.
The stars are said to have adopted "Essex-style" accents for their roles, and Friel has substituted her trademark long brunette hair for Lisa Leeson's short blonde bob.
The real-life couple wed in Kent but producers used Pembroke Lodge in Richmond Park, south-west London, for the scene in which the couple marry, which was shot this week.
Filming moved to Gatwick airport yesterday and stays in and around London until Christmas, when it moves to Malaysia and Singapore, where Leeson met his downfall.
Leeson, 29, ran up enormous trading losses at Barings Bank in Singapore, and finally fled. But he was arrested, returned to Singapore, and imprisoned.
Producer Paul Raphael said: "It is rollercoaster of a film about a streetwise guy who just got way out of his depth. Anyone can imagine themselves as Nick Leeson, and it contains classic dramatic elements," he said.
"Ewan is perfect for this part - it's the sort of role Gary Oldman could have played 10 years ago. He is a contemporary lad. Anna is going to be a huge star, she is tremendous."
Lisa and Nick Leeson married in 1992, but by February 1995 their relationship was plunged into disaster. Recent reports have suggested that Lisa Leeson, 29, no longer visits her husband regularly.
"Our story is romantic in many ways. If things had gone a little differently for Nick and Lisa they might be very happy and very rich by now," Mr Raphael said.
The rogue trader's decision to publish his autobiography caused concern that it would glamorise his crime. The possibility that the film might do the same did not appear to worry the producer. He expressed hope yesterday that a shorter sentence might ensure his presence at the opening.
"I hope we can get Nick along to the premiere - it would be wonderful," Mr Raphael said.