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Use the filters below to query the CME ClearPort message specification by Field Name, FIXML Attribute Name, Data Type, and Present/Conditional/Optional, and Global (entire specification)

This page lists all CME ClearPort message types in a set order. Message types may be blank if the filter is not applicable.

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  • Page:
    CME ClearPort API - Allocation Instruction Ack Message - Outbound

    /AllocInstrctnAck

    Field NameFIXML Attribute NameData TypeDescriptionPresent / Conditional / OptionalSupported Values
    Message ID ID StringUnique identifier for this Allocation Instruction Ack message.P 
    Reference Message ID RefAllocID StringID of the Allocation Instruction message being referenced.P 
    Transaction Time TxnTm UTCTimestampDate/time when Allocation Instruction Ack is generatedP 
    Status Stat intDenotes the status of the Allocation Instruction.P1 - block level reject

    2 - account level reject

    5 - rejected by intermediary

    Transaction Type TransTyp charUsed to express New, Cancel, or Replace for the Allocation Instruction message being referenced. Only New and Cancel are supported.P0 - New

    2 - Cancel

    Allocation Type Typ intSpecifies the purpose or type of the Allocation Instruction message being referenced.P17 - Give-up

    Input Source InptSrc StringIndicates input source of original trade marked for allocation.O 
    Additional Text Txt StringCan include explanation for rejection of an Allocation Instruction.P 
    Venue Type VenuTyp charIdentifies the type of venue for the allocation.PO - Off facility swap

    R - Registered Market (SEF)

    StandardHeader Hdr  
    → Sender ID SID StringThis attribute identifies the party or the Submitter of the message. This is set to CME.P 
    → Target ID TID StringThis attribute identifies the receiver of the message. This must be set to CME.P 
    → Sender Qualifier SSub StringThis attribute qualifies the Sender. The user ID assigned to the sender must be provided.P 
    → Target Qualifier TSub StringThis qualifies the receiver of the message. For CME ClearPort Trade submission this must be set to CPAPI.P 
    Instrument Instrmt  
    → Security Type SecTyp StringIndicates type of instrument or security being traded or defined.PFWD - Forward

    IRS - Interest Rate Swap

    Parties (repeating) Pty  
    → Party ID ID StringUsed to identify the Asset Manager holding account. For IRS, only account aliases are supported.P 
    → Party ID Source Src charUsed to identify the source of PartyID value.PC - Generally accepted market participant identifier

    D - Proprietary / Custom code

    H - Clearing house participant/member code

    N - LEI

    → Party Role R intIndicates the type of Party or the role of the party in the Party block.P4 - Clearing Firm

    7 - Trading (Entering) Firm

    24 - Customer Account

    → PtysSubGrp (repeating) Sub  
    →→ Party Qualifier ID ID StringA Sub ID provides additional information about the Party.O 
    →→ Party Qualifier Type Typ intThe Type of Party Sub ID in the Party Sub Tag.O1 - Firm

    3 - System

    26 - Account type or Origin

    AllocAckGrp (repeating) AllocAck  
  • Page:
    CME ClearPort API - Allocation Instruction Message - Inbound

    /AllocInstrctn

    Field NameFIXML Attribute NameData TypeDescriptionRequired / Conditional / OptionalSupported Values
    Message ID ID StringUnique identifier for this Allocation Instruction message.R 
    Transaction Type TransTyp charUsed to express New, Cancel, or Replace. Only New and Cancel are supported.R0 - New

    2 - Cancel

    Allocation Type Typ intSpecifies the purpose or type of the Allocation Instruction message.R17 - Give-up

    Quantity Qty QtyTotal quantity of the cleared bunched order trade.R 
    Venue Type VenuTyp charIdentifies the type of venue for the allocation.RO - Off facility swap

    R - Registered Market (SEF)

    Transaction Time TxnTm UTCTimestampDate/time when allocation is created.R 
    Input Source InptSrc StringIndicates the input source of the allocation.O 
    Risk Limit Check Status RiskChkStat intCredit Pre-Approval Flag. Indicates the status of the risk limit check performed on the allocaton or the cleared bunched trade.O13 - Accepted by execution venue

    Reference Risk Limit Check ID RefRiskLmtChkID StringA credit approval token can be assigned to allocations. This applies to all allocations listed in this message.O 
    StandardHeader Hdr  
    → Sender ID SID StringThis attribute identifies the party or the Submitter of the message. This is set to CME.R 
    → Target ID TID StringThis attribute identifies the receiver of the message. This must be set to CME.R 
    → Sender Qualifier SSub StringThis attribute qualifies the Sender. The user ID assigned to the sender must be provided.R 
    → Target Qualifier TSub StringThis qualifies the receiver of the message. For CME ClearPort Trade submission this must be set to CPAPI.O 
    OrdAllocGrp (repeating) OrdAlloc  
    → Client Order ID ClOrdID StringIf provided, this field will be used on all offset Trade Capture Reports in the ClOrdID2 field. If this is not provided, then the original client order ID assigned for the original bunched order will be used on all offset Trade Capture Reports in the ClOrdID2 field.O 
    → Secondary Client Order ID ClOrdID2 StringThis is the ID assigned by the client for the bunched trade side. It appears on the Trade Capture Report of the bunched trade in ClOrdID.O 
    ExecAllocGrp (repeating) AllExc  
    → Secondary Execution ID ExecID2 StringPlatform assigned ExecID2 for the original bunched order. This is one of the identifiers that can be specified to locate the bunched order.C 
    → Execution ID ExecID StringClearPort assigned ExecID for the original bunched order. Not applicable for IRS. This is one of the identifiers that can be specified to locate the bunched order.C 
    → Trade ID TrdID StringTrade ID assigned by CME Clearing for the cleared bunched trade side. This is one of the identifiers that can be specified to locate the bunched order. Note: This field will only be supported for IRS allocation submission.C 
    Instrument Instrmt  
    → Security Type SecTyp StringIndicates type of instrument or security being traded or defined.RFWD - Forward

    IRS - Interest Rate Swap

    Parties (repeating) Pty  
    → Party ID ID StringUsed to identify the Asset Manager holding account. For IRS, only account aliases are supported.R 
    → Party ID Source Src charUsed to identify the source of PartyID value.RC - Generally accepted market participant identifier

    D - Proprietary / Custom code

    H - Clearing house participant/member code

    N - LEI

    → Party Role R intIndicates the type of Party or the role of the party in the Party block.R4 - Clearing Firm

    7 - Trading (Entering) Firm

    24 - Customer Account

    → PtysSubGrp (repeating) Sub  
    →→ Party Qualifier ID ID StringA Sub ID provides additional information about the Party.O 
    →→ Party Qualifier Type Typ intThe Type of Party Sub ID in the Party Sub Tag.O1 - Firm

    3 - System

    26 - Account type or Origin

    RegulatoryTradeIDGrp (repeating) RegTrdID  
    → Regulatory Trade ID ID StringRegulatory Trade ID. Will be used to communicate the Unique Swap Identifier associated with a trade execution as required by the CFTC. This can be used to communicate the bilateral (alpha) and/or cleared USI for the block (original bunched trade). The bilateral and cleared USIs of the block are two of the identifiers that can be specified to locate the bunched order. If a bilateral USI is not specified, CME Clearing will assign one.C 
    → Regulatory Trade ID Source Src StringID of reporting entity assigned by regulatory agency. This is the namespace of the USI.C 
    → Regulatory Trade ID Event Evnt intEvent causing origination of the ID.C0 - Initial block trade

    2 - Clearing

    → Regulatory Trade ID Type Typ intThe type of Regulatory Trade ID being sent.C0 - Current (the default)

    1 - Previous (e.g. when reporting a cleared trade or novation of a previous trade)

    2 - Block (e.g. when reporting an allocated subtrade)

    AllocGrp (repeating) Alloc  
  • Page:
    CME ClearPort API - Allocation Report Message - Outbound

    /AllocRpt

    Field NameFIXML Attribute NameData TypeDescriptionPresent / Conditional / OptionalSupported Values
    Report ID RptID StringUnique identifier for this Allocation Report message. Generated by CME Clearing.P 
    Message ID ID StringUnique identifier for allocation message. Echoes back the value submitted on the Allocation Instruction.P 
    Transaction Type TransTyp charUsed to express New, Cancel, or Replace. Only New and Cancel are supported.P0 - New

    2 - Cancel

    Report Type RptTyp intSpecifies the purpose or type of Allocation Report message.P15 - Give-up

    Status Stat intIdentifies status of the allocation.P6 - allocation pending

    9 - Claimed

    10 - refused

    12 - cancelled

    Clear Date ClrDt LocalMktDateThe Clearing Date for the allocation.O 
    Input Source InptSrc StringThe original system from which the trade originated. Typically set to the Sender ID.O 
    Quantity Qty QtyTotal quantity of the bunched order allocation.P 
    Venue Type VenuTyp charIdentifies the type of venue for the allocation.PO - Off facility swap

    R - Registered Market (SEF)

    Transaction Time TxnTm UTCTimestampDate/time of the action performed on the allocation.P 
    Risk Limit Check Status RiskChkStat intCredit Pre-Approval Flag. Indicates the status of the risk limit check performed on the allocaton or the cleared bunched trade.O13 - Accepted by execution venue

    Reference Risk Limit Check ID RefRiskLmtChkID StringA credit approval token can be assigned to allocations. This applies to all allocations listed in this message.O 
    Offset Trade ID TrdID StringContains the Trade ID of the offset trade. Present when the offset has cleared. Note: This field will only be supported for IRS allocation offsets.C 
    StandardHeader Hdr  
    → Sender ID SID StringThis attribute identifies the party or the Submitter of the message. This is set to CME.P 
    → Target ID TID StringThis attribute identifies the receiver of the message. This must be set to CME.P 
    → Sender Qualifier SSub StringThis attribute qualifies the Sender. The user ID assigned to the sender must be provided.P 
    → Target Qualifier TSub StringThis qualifies the receiver of the message. For CME ClearPort Trade submission this must be set to CPAPI.P 
    OrdAllocGrp (repeating) OrdAlloc  
    → Client Order ID ClOrdID StringIf provided, this field will be used on all offset Trade Capture Reports in the ClOrdID2 field. If this is not provided, then the original client order ID assigned for the original bunched order will be used on all offset Trade Capture Reports in the ClOrdID2 field.O 
    → Secondary Client Order ID ClOrdID2 StringThis is the ID assigned by the client for the bunched trade side. It appears on the Trade Capture Report of the bunched trade in ClOrdID.O 
    ExecAllocGrp (repeating) AllExc  
    → Execution ID ExecID StringClearPort assigned ExecID for the original bunched order. This is one of the identifiers that can be specified to locate the bunched order. Note: This field will not be supported for IRS allocation submission.C 
    → Secondary Execution ID ExecID2 StringPlatform assigned ExecID2 for the original bunched order. This is one of the identifiers that can be specified to locate the bunched order. Note: This field will not be supported for IRS allocation submission.C 
    → Trade ID TrdID StringTrade ID assigned by CME Clearing for the bunched order. This is one of the identifiers that can be specified to locate the bunched order. Note: This field will only be supported for IRS allocation submission.C 
    Instrument Instrmt  
    → Security Type SecTyp StringIndicates type of instrument or security being traded or defined.PFWD - Forward

    IRS - Interest Rate Swap

    Parties (repeating) Pty  
    → Party ID ID StringUsed to identify the Asset Manager holding account. For IRS, only account aliases are supported.P 
    → Party ID Source Src charUsed to identify class source of PartyID value.PC - Generally accepted market participant identifier

    D - Proprietary / Custom code

    H - Clearing house participant/member code

    N - LEI

    → Party Role R intIndicates the type of Party or the role of the party in the Party Block.P4 - Clearing Firm

    7 - Trading (Entering) Firm

    24 - Customer Account

    → PtysSubGrp (repeating) Sub  
    →→ Party Qualifier ID ID StringA Sub ID provides additional information about the Party.O 
    →→ Party Qualifier Type Typ intThe Type of Party Sub ID in the Party Sub Tag.O1 - Firm

    3 - System

    26 - Account type or Origin

    RegulatoryTradeIDGrp (repeating) RegTrdID  
    → Regulatory Trade ID ID StringRegulatory Trade ID. Will be used to communicate the Unique Swap Identifier associated with a trade execution as required by the CFTC. This can contain the USI for the block (original bunched trade) if available. It will also communicate the bilateral (alpha) USI for the bunched order. If a bilateral USI is not specified inbound, then CME Clearing will assign one.P 
    → Regulatory Trade ID Source Src StringID of reporting entity assigned by regulatory agency. This is the namespace of the USI.P 
    → Regulatory Trade ID Event Evnt intEvent causing origination of the ID.P0 - Initial block trade

    1 - Allocation (or determination that the block trade will not be further allocated)

    2 - Clearing

    → Regulatory Trade ID Type Typ intThe type of Regulatory Trade ID being sent.P0 - Current (the default)

    1 - Previous (e.g. when reporting a cleared trade or novation of a previous trade)

    2 - Block (e.g. when reporting an allocated subtrade)

    AllocGrp (repeating) Alloc  
  • Page:
    CME ClearPort API - Business Reject Message

    Field Name

    FIXML Attribute Name

    Data Type

    Description

    Sample Data

    Supported Values

    BizMsgRej

     

     

     

     

     

    Message Name

    RefMsgTyp

    String

    The MsgType of the FIX message being referenced.

     

     

    Reject Reason Code

    BizRejRsn

    int

    Code to identify reason for a Business Message Reject message.

     

    0 = Other
    1 = Unknown ID
    2 = Unknown Security
    3 = Unsupported Message Type
    4 = Application not available
    5 = Conditionally required field missing
    6 = Not Authorized
    7 = DeliverTo firm not available at this time
    18 = Invalid price increment

    Reject Text

    Txt

    String

    Where possible, message to explain reason for rejection

     

     
  • Page:
    CME ClearPort API - Trade Capture Report Acknowledgment Message - Instrument - Outbound

    /TrdCaptRptAck/Instrmt

    Field NameFIXML Attribute NameData TypeDescriptionPresent for Security TypePresent for Asset ClassPresent for Outright or SpreadSupported Values
    Product Code ID StringThe primary identifier for the traded instrument. For listed derivatives, this is generally an exchange or CCP defined value.ALLALLOutright 
    Source of the Product Code Src StringIdentifies the source of the SecurityID. If it is not specified, the default of Clearing is used.ALLALLOutrightH - Clearing House / Clearing Organization

    CFI Code

    CFI

    String

    Indicates the type of security using ISO 10962 standard Classification of Financial Instruments (CFI Code) values:

    • Char 1: ‘O’ (Option)
    • Char 2: ‘P’ or ‘C’ (Put, Call)
    • Char 3: ‘E’ (European expiry)
    • Char 4: ‘C’ (Currency)
    • Char 5: ‘C’ (Cash)
    • Char 6 ‘N’ (Non   standard)

    OPT

    OPTFX

     

    OPECCN

    Security TypeSecTyp StringIndicates type of instrument or security being traded or defined. It is required on inbound trade submissions and is used as one of the identifiers of the instrument. This is required because the usage of CFI code is in the process of being deprecated.ALLALLBoth

    FUT - Future

    FWD - Forward

    MLEG - Multi Leg (Combo)

    OOC - Options on Combo

    OOF - Options on Futures

    OPT- Options

    Security Sub Type SubTyp StringSub-type qualification/identification of the SecurityType. For a multi-leg instrument, can indicate the type of spread.    
    Contract Period Code MMY MonthYearSpecifies the month and year of maturity. Applicable for standardized derivatives that are typically only referenced by month and year (such as S&P futures).ALLALLOutright 
    Strike Price StrkPx PriceUsed for derivatives, such as options and covered warrantsOPTALLOutright 

    Settlement Method  

    SettlMeth

    Char

    Settlement method for the

    option.

    C=Cash settlement

    OPT

    OTCFX

     

     C

    Exercise Style

    ExerStyle

    Int

    Type of exercise of a derivatives

    security.

    0=European

    OPT

    OTCFX

     0
    Put Or Call PutCall intUsed to express option rightOPTALLOutright0 - Put

    1 - Call

    Time Unit TmUnit StringUsed to indicate a time unit for the contract (such as days, weeks, or months).   D - Day

    H - Hour

    Mo - Month

    Product Exchange Exch ExchangeThe exchange where the Security is listed. Note that spreads across multiple exchanges are not supported, and this must be present on spreads as well as outrights.ALLALLBothCBT - Chicago Board of Trade

    CEE - Stock Exchange Group

    CME - Chicago Mercantile Exchange

    COMEX - Commodities Exchange, Inc

    DME - Dubai Mercantile Exchange

    NYMEX - New York Mercantile Exchange

    NYMSW - CME Swaps - NYMEX

    SecAltIDGrp (repeating) AID  
    → Alternate Identifier AltID StringThe value of the Alternate security identifier.    
    → Alternate Identifier Source AltIDSrc StringThe source of the Alternate security identifier.   104 - Red Code

    105 - Preferred Reference Obligation

    106 - Pair Clip

    115 - Standard Reference Obligation

    EvntGrp (repeating) Evnt  
  • Page:
    CME ClearPort API - Trade Capture Report Acknowledgment Message - InstrumentLeg - Outbound

    /TrdCaptRptAck/TrdLeg/Leg

    Field NameFIXML Attribute NameData TypeDescriptionPresent for Security TypePresent for Asset ClassPresent for Outright or SpreadSupported Values
    Leg Product Code ID StringUsed as the primary identifier for the Leg instrument. For futures and options, this is generally an exchange or CME assigned value.ALLALLSpread 
    Leg Product ID Source Src StringIdentifies the source of the Leg SecurityID. If it is not specified, the default of Clearing is used.ALLALLSpreadH - Clearing House / Clearing Organization

    Leg Security Type SecTyp StringRefer to definition of SecurityType(167)ALLALLSpreadFUT - Future

    FWD - Forward

    OOC - Options on Combo

    OOF - Options on Futures

    Leg Maturity MMY MonthYearThe MaturityMonthYear of an individual security in a Multileg instrument.
    See MaturityMonthYear (200) field for description.
    ALLALLSpread 
    Leg Strike Price Strk PriceThe StrikePrice of an individual security in a Multileg instrument.
    See StrikePrice (202) field for description.
    OPTALLSpread 
    Leg Time Unit TmUnit StringUsed to indicate a time unit for the contract (such as days, weeks, or months).   D - Day

    H - Hour

    Mo - Month

    Leg Product Exchange Exch ExchangeThe SecurityExchange of an individual security in a Multileg instrument.
    See SecurityExchange (207) field for description.
    ALLALLSpreadCBT - Chicago Board of Trade

    CEE - Stock Exchange Group

    CME - Chicago Mercantile Exchange

    COMEX - Commodities Exchange, Inc

    DME - Dubai Mercantile Exchange

    NYMEX - New York Mercantile Exchange

    NYMSW - CME Swaps - NYMEX

    Leg Buy Sell Code Side charSpecific to the <InstrumentLeg> (not in <Instrument>)ALLALLSpread1 - Buy

    2 - Sell

    Leg Put Or Call PutCall intUsed to express option rightOPTALLSpread0 - Put

    1 - Call
  • Page:
    CME ClearPort API - Trade Capture Report Acknowledgment Message - Outbound

    /TrdCaptRptAck

    Field NameFIXML Attribute NameData TypeDescriptionPresent for Security TypePresent for Asset ClassPresent for Outright or SpreadSupported Values
    Message ID RptID StringA Message ID to identify the Trade Capture Report Acknowledgement.ALLALLBoth 
    Trade Transaction Type TransTyp intIndicates the action being taken on a trade. The Acknowledgement echoes back the Trans Type from the inbound message.ALLALLBoth0 - New

    1 - Cancel

    Trade Report Type RptTyp intIndicates the type of Trade Report being sent. The Acknowledgment message echoes back the Report Type from the initial submission.ALLALLBoth0 - Submit

    3 - Decline

    Trade Type TrdTyp intType of Trade.ALLALLBoth1 - Block Trade

    2 - EFP (Exchange for physical)

    11 - Exchange for Risk (EFR)

    22 - Over the Counter Privately Negotiated Trades (OPNT)

    54 - OTC / Large Notional Off Facility Swap

    58 - Block swap trade

    Trade Sub Type TrdSubTyp intFurther qualification to the trade type   36 - Converted SWAP (Aged Deal)

    Original Trade Date OrigTrdDt LocalMktDateUsed to preserve the original trade date when original trade is being referenced in a subsequent trade transaction such as a transfer.    
    Original Trade ID OrigTrdID StringLinks an original voided trade report (which has been submitted within regulatory time restrictions) with the resubmitted trade.
    Example:
    1. A trade with Trade ID of 10001234 is entered into ClearPort API.
    2. Trade with Trade ID of 10001234 is voided.
    3. A new trade with a Trade ID of 10007777 is entered as a resubmission for the earlier voided trade, and the OrigTrdID can be set as: 10001234.
        
    Message Reference ID RptRefID StringThis is the Report of the original Trade Report that resulted in the Acknowledgement.ALLALLBoth 
    Trade Report Status TrdRptStat intStatus of Trade in the system.ALLALLBoth0 - Accepted

    1 - Rejected

    2 - Cancelled

    4 - Received Not yet Processed

    100 - Unmatch

    Reject Reason RejRsn intAn Internal system assigned reason code associated with the Rejection of Trade Report.   1 - Invalid party information

    2 - Unknown instrument

    3 - Unauthorized to report trades

    4 - Invalid trade type

    99 - Other

    Execution ID ExecID StringExchanged assigned Execution ID (Trade Identifier). Is not generated on single-sided Trade Submission.    
    Secondary Execution ID ExecID2 StringUsed to echo back the client's Trade ID referenced in the submission.ALLALLBoth 
    Price Type PxTyp intCode to represent the price type.
    (For Financing transactions PriceType implies the "repo type" - Fixed or Floating - 9 (Yield) or 6 (Spread) respectively - and Price (44) gives the corresponding "repo rate".
    See Volume : "Glossary" for further value definitions)
    OPTOTC FXOutright1 - Percentage (i.e. percent of par)

    2 - Per unit (i.e. per share or contract)

    Quantity Type QtyTyp intType of quantity specified in a quantity field:ALLALLOutright0 - Notional / Units

    1 - Contract term

    Trade Quantity LastQty QtyQuantity (e.g. shares) bought/sold on this (last) fill.
    (Prior to FIX 4.2 this field was of type int)
    ALLALLOutright 
    Trade Price LastPx PricePrice of this (last) fill.ALLALLOutright 
    Venue Type VenuTyp charIdentifies the type of venue where a trade was executed.   E - Electronic

    O - Off facility swap

    P - Pit

    R - Registered Market (SEF)

    X - Ex-Pit

    Contra Amount CalcCcyLastQty QtyUsed for the calculated quantity of the other side of the currency trade. Can be derived from LastQty and LastPx.    
    Currency Ccy CurrencyPrimary currency of the specified currency pair. Used to qualify LastQty and GrossTradeAmoutALLOTC FXBoth 
    Trade Date TrdDt LocalMktDateIndicates date of trade referenced in this message in YYYYMMDD format. Absence of this field indicates current day (expressed in local time at place of trade). Conditionally present for all accepted trades.    
    Clear Date BizDt LocalMktDateThe "Clearing Business Date" referred to by this message. Conditionally present for all accepted trades.    
    Transaction Time TxnTm UTCTimestampTime ACK was issued by matching system, trading system or counterpartyALLALLBoth 
    Execution Method ExecMeth intSpecifies whether the transaction was executed via an automated execution platform or other method.   3 - Voice Brokered

    Confirmation Method CnfmMeth intIndication of how a trade was confirmed.   0 - non-electronic

    1 - electronic

    Verification Method VerfMeth intIndication of how a trade was verified.   0 - non-electronic

    1 - electronic

    Regulatory Report Type RegRptTyp Reserved100PlusType of regulatory report being submitted.   1 - Primary economic terms (PET)

    4 - Combination of RT and PET

    Trade Acknowledgement Status TrdAckStat intThe Status of the Trade Report that was submitted.ALLALLBoth0 - Accepted

    1 - Rejected

    Reject Text RejTxt StringUsed by firms to send a reason for rejecting a trade in an allocate claim model.    
    Upfront Points UpfrntPts floatThe Upfront Points that can be exchanged as part of a deal.    
    StandardHeader Hdr  
    → Sender ID SID StringThis attribute identifies the party or the Submitter of the message. This is set to CME.ALLALLBoth 
    → Target ID TID StringThis attribute identifies the receiver of the message. This could be a Broker or Platform or any other valid Trading entity. This value is pre-assigned by CME.ALLALLBoth 
    → MsgSeqNum SeqNum SeqNum(Can be embedded within encrypted data section.)    
    → Sender Qualifier SSub StringThis attribute qualifies the Sender. For messages sent by the CME ClearPort API this is set to CPAPI.ALLALLBoth 
    → Target Qualifier TSub StringThis qualifies the receiver of the message. This is set to the CME ClearPort UserID of the Sender.ALLALLBoth 
    RegulatoryTradeIDGrp (repeating) RegTrdID  
    → Regulatory Trade ID ID StringRegulatory Trade ID. Will be used to communicate the Unique Swap Identifier associated with a trade execution as required by the CFTC.    
    → Regulatory Trade ID Source Src StringID of reporting entity assigned by regulatory agency.    
    → Regulatory Trade ID Event Evnt intEvent causing origination of the ID. For combinations, use the higher enumeration value. E.g. for Allocation plus Clearing use the value 2.   0 - Initial block trade

    1 - Allocation (or determination that the block trade will not be further allocated)

    2 - Clearing

    → Regulatory Trade ID Type Typ intThe type of Regulatory Trade ID being sent.   0 - Current (the default)

    1 - Previous (e.g. when reporting a cleared trade or novation of a previous trade)

    2 - Block (e.g. when reporting an allocated subtrade)

    → Regulatory Trade ID Scope Scope intIncluded when a trade must be assigned more than one identifier, e.g. one for the clearing member and another for the client on a cleared trade as with the principal model in Europe. Omit if scope does not apply to this instance.   1 - Clearing member

    2 - Client

    RootParties (repeating) Pty  
    → Root Party ID ID StringUsed to identify the Party.    
    → Root Party ID Source Src charUsed to identify source source of PartyID value (e.g. LEI).   N - LEI

    → Root Party Role R intIdentifies the type of PartyID (e.g. the original Swap Data Repository, the Execution Venue, etc.)   73 - Execution Venue

    102 - Data Repository (e.g. SDR)

    Instrument Instrmt  
    UnderlyingInstrument (repeating) Undly  
    → Underlying Product Code ID StringUsed as the primary identifier for the underlying instrument.OPTALLBoth 
    → Underlying Product Code Source Src StringIdentifies the source responsible for assigning the security identifier of the underlying security. This may be the exchange, CCP, or an international organization.OPTALLBothH - Clearing House / Clearing Organization

    → Underlying Security Type SecTyp StringUsed to indicate the type of underlying security being reported; Future, Option on Physical, Option on Future, or Multi-leg for spreads.OPTALLBothFUT - Future

    FWD - Forward

    MLEG - Multi Leg (Combo)

    → Underlying Maturity MMY MonthYearThe expiration period code of an underlying instrument. Used in combination with UnderlyingSymbol or UnderlyingSecurityID to specify the instrument identifier. The value can be expressed as YYYYMM, YYYYMMDD or YYYYMMwN where w represents a reference to week.OPTALLBoth 
    → Underlying Product Exchange Exch ExchangeThe exchange where the underlying security is listed and has tradedOPTALLBothCBT - Chicago Board of Trade

    CEE - Stock Exchange Group

    CME - Chicago Mercantile Exchange

    COMEX - Commodities Exchange, Inc

    DME - Dubai Mercantile Exchange

    NYMEX - New York Mercantile Exchange

    NYMSW - CME Swaps - NYMEX

    PositionAmountData (repeating) Amt  
    → Amount Type Typ StringThe type of amount being expressed in the Trade Report.   CRES - Cash Residual Amount

    ICPN - Initial Trade Coupon Amount

    IPMT - Upfront Payment

    PREM - Premium Amount

    TVAR - Trade Variation Amount

    → Amount Amt AmtThe amount associated with the trade.    
    → Amount Currency Ccy StringThe currency that the Amount associated with the trade is being denominated in.    
    TrdInstrmtLegGrp (repeating) TrdLeg  
    TrdRegTimestamps (repeating) TrdRegTS  
    → Timestamp TS UTCTimestampExecution time for the deal.ALLALLBoth 
    → Timestamp Type Typ intIndicates type of timestamp.ALLALLBoth1 - Execution Time

    TrdCapRptAckSideGrp (repeating) RptSide  
    PaymentGrp (repeating)Pmt 
    →Payment TypeTypIntType of Payment 10=Option PremiumOOPTOTCFX10
    →Payment CurrencyCcyStringCurrency of paymentOOPTOTCFXUSD
    → Payment AmountAmtAmt

    The total payment amount

    • Can be positive or negative, depending on side
      • Buyer = negative
      • Seller = positive
    OOPTOTCFX-50000
    →Payment DateDtLocalMktDateAdjusted payment dateOOPTOTCFX2016-09-30
  • Page:
    CME ClearPort API - Trade Capture Report Acknowledgment Message - TrdAllocGrp - Outbound

    /TrdCaptRptAck/RptSide/Alloc (repeating)

    Field NameFIXML Attribute NameData TypeDescriptionPresent for Security TypePresent for Asset ClassPresent for Outright or SpreadSupported Values
    Allocator Assigned Allocation ID IndAllocID StringIdentifies the allocation ID provided by the allocator.    
    Allocation Qty Qty QtyQuantity to be allocated to specific sub-account
    (Prior to FIX 4.2 this field was of type int)
        
    CCP Assigned Allocation ID IndAllocID2 StringProvides support for an intermediary assigned allocation ID    
    Allocation Reference Risk Limit Check ID RefRiskLmtChkID StringIndicates the credit approval token for pre-approved trades reported on Swap Execution Facilities (SEFs).    
    AllocRegulatoryTradeIDGrp (repeating) RegTrdID  
    → Allocation Regulatory Trade ID ID StringRegulatory trade identifier. The Universal Swap Identifier assicated with the allocated trade.    
    → Allocation Regulatory Trade ID Source Src StringIdentifier of the reporting entity assigned by regulatory agency.    
    → Allocation Regulatory Trade ID Event Evnt intEvent causing the origination of the identifier. For combinations of events, use the higher enumeration value. E.g. for Allocation plus Clearing use the value 2.   0 - Initial block trade

    1 - Allocation (or determination that the block trade will not be further allocated)

    2 - Clearing

    → Allocation Regulatory Trade ID Type Typ intType of Regulatory Trade ID being sent.   0 - Current (the default)

    1 - Previous (e.g. when reporting a cleared trade or novation of a previous trade)

    2 - Block (e.g. when reporting an allocated subtrade)

    → Allocation Regulatory Trade ID Scope Scope intIncluded when a trade must be assigned more than one identifier, e.g. one for the clearing member and another for the client on a cleared trade as with the principal model in Europe. Omit if scope does not apply to this instance.   1 - Clearing member

    2 - Client

    NestedParties2 (repeating) Pty  
    → Target Party ID ID StringThe Party ID of the party taking up the allocation.    
    → Target Party ID Source Src charNeeded when submitting with Account Alias (R=24).   C - Generally accepted market participant identifier

    D - Proprietary / Custom code

    H - Clearing house participant/member code

    N - LEI

    → Target Party Role R intThe Party role of the party taking up the allocation.   1 - Executing Firm

    7 - Trading (Entering) Firm

    17 - Contra Firm

    24 - Customer Account

    30 - Inter Dealer Broker

    36 - Entering trader

    37 - Contra trader

    44 - Order Entry Operator ID

    49 - Asset Manager

    62 - Report originator

    → NstdPtys2SubGrp (repeating) Sub  
    →→ Target Party Qualifier ID StringThe qualifier of the Allocated to Party.
    Where Sub/@Typ = 26
    1 = Customer
    2 = House
        
    →→ Target Party Qualifier Type Typ intType of Nested2PartySubID (760) value. Second instance of <NestedParties>.
    Same values as PartySubIDType (803)
       1 - Firm

    3 - System

    5 - Full legal name of firm

    9 - Contact name

    26 - Account type or Origin

    49 - Reporting entity indicator

    TradeAllocAmtGrp (repeating) Amt  
    → Allocation Amount Type Typ StringThe type of amount being associated with the allocation.   CRES - Cash Residual Amount

    ICPN - Initial Trade Coupon Amount

    IPMT - Upfront Payment

    TVAR - Trade Variation Amount

    → Allocation Amount Amt floatThe amount associated with the amount type.    
  • Page:
    CME ClearPort API - Trade Capture Report Acknowledgment Message - TrdCapRptAckSideGrp - Outbound

    /TrdCaptRptAck/RptSide (repeating)

    Field NameFIXML Attribute NameData TypeDescriptionPresent for Security TypePresent for Asset ClassPresent for Outright or SpreadSupported Values
    Buy Sell Code Side charSide of order (see Volume : "Glossary" for value definitions)ALLALLBoth1 - Buy

    2 - Sell

    Input Source InptSrc StringType of input device or system from which the trade was entered.ALLALLBoth 
    Input Device InptDev StringSpecific device number, terminal number or station where the trade was entered.   API - API submitted

    UI - GUI used for Submission

    Customer Type Indicator CustCpcty intCapacity of customer placing the order
    Primarily used by futures exchanges to indicate the CTICode (customer type indicator) as required by the US CFTC (Commodity Futures Trading Commission).
       1 - Member trading for their own account

    2 - Clearing Firm trading for its proprietary account

    3 - Member trading for another member

    4 - All other

    Allocation IndicatorAllocIndIntIdentifies how the trade is to be allocatedDual-Sided 
    Single-Sided
    ALLALLBoth
    Aggressor Indicator AgrsrInd BooleanUsed to identify whether or not the order initiator is an aggressor in the trade.   N - Order initiator is passive

    Y - Order initiator is aggressor

    Side Quantity SideQty intUsed to indicate the quantity on one side of a multi-sided Trade Capture Report    
    Block Trade Allocation Indicator BlckTrdAllocInd intIndication that a block trade will be allocated.   0 - Block to be allocated

    1 - Block not to be allocated

    2 - Allocated trade (i.e. a sub-trade of a block trade)

    Side Trade ID TrdID StringCPC assigned Side Trade ID. This is sent back only for single-sided trades (Not two-sided Acks).    
    Source Trade ID SrcTrdID StringA Trade ID assigned by the source for the trade Side. Typically used to identify a trade by the submitter while submitting a single-sided trade.    
    Customer Order Handling Instruction CustOrdHdlInst MultipleStringValueCodes that apply special information that the Broker / Dealer needs to report, as specified by the customer.
    NOTE: This field and its values have no bearing on the ExecInst and TimeInForce fields. These values should not be used instead of ExecInst or TimeInForce. This field and its values are intended for compliance reporting only.
       A - Phone simple

    B - Phone complex

    C - FCM-provided screen

    D - Other-provided screen

    E - Client provided platform controlled by FCM

    F - Client provided platform direct to exchange

    G - FCM API or FIX

    H - Algo Engine

    J - Price at Execution (price added at Initial order entry, trading, middle office or time of give-up)

    W - Desk - Electronic

    X - Desk - Pit

    Y - Client - Electronic

    Z - Client - Pit

    Side Risk Limit Check Status RiskChkStat intIndicates the status of the risk limit check performed on the side of a trade.   13 - Accepted by execution venue

    Reference Risk Limit Check ID RefRiskLmtChkID StringIndicates the credit approval token for pre-approved trades reported on Swap Execution Facilities (SEFs).    
    Notes Notes StringA field for user-created notes.    
    Parties (repeating) Pty  
    → Party ID ID StringUsed to identify the Party.ALLALLBoth 
    → Party ID Source Src charNeeded when submitting with Account Alias (R=24).   C - Generally accepted market participant identifier

    D - Proprietary / Custom code

    H - Clearing house participant/member code

    N - LEI

    → Party Role R intIndicates the type of Party or the role of the party in the Party Block.ALLALLBoth1 - Executing Firm

    7 - Trading (Entering) Firm

    17 - Contra Firm

    24 - Customer Account

    30 - Inter Dealer Broker

    36 - Entering trader

    37 - Contra trader

    44 - Order Entry Operator ID

    49 - Asset Manager

    62 - Report originator

    → PtysSubGrp (repeating) Sub  
    →→ Party Qualifier ID ID StringA Sub ID provides additional information about the Party. For example the Firm long name could be specified for the firm in the Sub Tag with Typ = 9. This is a child of the Party element.
    Where Sub/@Typ = 26
    1 = Customer
    2 = House
        
    →→ Party Qualifier Type Typ intThe Type of Party Sub ID in the Party Sub Tag.   1 - Firm

    3 - System

    5 - Full legal name of firm

    9 - Contact name

    26 - Account type or Origin

    49 - Reporting entity indicator

    SideRegulatoryTradeIDGrp (repeating) RegTrdID  
    → Side Regulatory Trade ID ID StringRegulatory Trade ID for the trade side. Will be used to communicate the Universal Swap Identifier associated with a cleared trade.    
    → Side Regulatory Trade ID Source Src StringID of reporting entity assigned by regulatory agency.    
    → Side Regulatory Trade ID Event Evnt intEvent causing origination of the ID. For combinations, use the higher enumeration value. E.g. for Allocation plus Clearing use the value 2.   0 - Initial block trade

    1 - Allocation (or determination that the block trade will not be further allocated)

    2 - Clearing

    → Side Regulatory Trade ID Type Typ intThe type of Regulatory Trade ID being sent.   0 - Current (the default)

    1 - Previous (e.g. when reporting a cleared trade or novation of a previous trade)

    2 - Block (e.g. when reporting an allocated subtrade)

    → Side Regulatory Trade ID Scope Scope intIncluded when a trade must be assigned more than one identifier, e.g. one for the clearing member and another for the client on a cleared trade as with the principal model in Europe. Omit if scope does not apply to this instance.   1 - Clearing member

    2 - Client

    CommissionDataGrp CommData  
    → Commission Basis Basis intSpecifies the basis or unit used to calculate the commission.   1 - Per Unit (implying shares, par, currency, etc.)

    2 - Percent

    8 - Amount per contract

    → Commission Currency Ccy CurrencySpecifies the currency denomination of the commission amount if different from the trade's currency.    
    → Commission Rate Rt floatRate per basis. For example, $1 per contract, or $0.01 per unit (e.g. barrel).    
    → Commission Leg Ref ID LegRefID StringTrade leg identifier for spread trade submissions. Required on all CommData blocks for each leg of a spread.    
    TrdAllocGrp (repeating) Alloc
  • Page:
    CME ClearPort API - Trade Capture Report Acknowledgment Message - TrdInstrmtLegGrp - Outbound

    /TrdCaptRptAck/TrdLeg (repeating)

    Field NameFIXML Attribute NameData TypeDescriptionPresent for Security TypePresent for Asset ClassPresent for Outright or SpreadSupported Values
    Leg Number LegNo intA number identifying the leg within a strategy or spread. When reporting a USI, UTI, or commission, the field LegRefID will reference this number.ALLALLSpread 
    Leg Last Price LastPx PriceUsed to report the trade price or execution price assigned to the leg of the multileg instrument.ALLALLSpread 
    Leg Contra Amount LegCalcCcyLastQty QtyUsed for the calculated quantity of the other side of the currency for this leg. Can be derived from LegQty and LegLastPx.    
    Leg Last Quantity LastQty QtyFill quantity for the leg instrumentALLALLSpread 
    Leg Price Type PxTyp intThe price type of the LegBidPx (681) and/or LegOfferPx (684).
    See PriceType (423) for description.
    OPTOTC FXSpread1 - Percentage (i.e. percent of par)

    2 - Per unit (i.e. per share or contract)

    Leg Quantity Type QtyTyp intThe leg quantity type specified at the leg level. Can be different for each legALLALLSpread0 - Units (shares, par, currency)

    1 - Contracts

    InstrumentLeg Leg  
    TradeCapLegUnderlyingsGrp (repeating) Undlys  
    → UnderlyingLegInstrument Undly  
    →→ Leg Underlying Product Code ID StringRefer to definition for SecurityID(48)OPTALLSpread 
    →→ Leg Underlying Product Code Source Src StringRefer to definition for SecurityIDSource(22)OPTALLSpreadH - Clearing House / Clearing Organization

    →→ Leg Underlying Security Type SecTyp StringRefer to definition for SecurityType(167)OPTALLSpreadFUT - Future

    FWD - Forward

    MLEG - Multi Leg (Combo)

    →→ Leg Underlying Maturity MMY MonthYearRefer to definition for MaturityMonthYear(200)OPTALLSpread 
    →→ Leg Underlying Product Exchange Exch StringRefer to definition for SecurityExchange(207)OPTALLSpreadCBT - Chicago Board of Trade


    CEE - Stock Exchange Group

    CME - Chicago Mercantile Exchange

    COMEX - Commodities Exchange, Inc

    DME - Dubai Mercantile Exchange

    NYMEX - New York Mercantile Exchange

    NYMSW - CME Swaps - NYMEX

    LegPositionAmountData (repeating) Amt  
    → Leg Position Amount Amt AmtUsed to capture the FX premium amount.    
    → Leg Position Amount Type Typ StringThe type of monetary amount associated with a transaction.   CRES - Cash Residual Amount

    PREM - Premium Amount

    → Leg Position Amount Currency Ccy CurrencyThe currency of the amount specified.    
  • Page:
    CME ClearPort API - Trade Capture Report Message - Instrument - Inbound

    /TrdCaptRpt/Instrmt

    Field NameFIXML Attribute NameData TypeDescriptionRequired for Transaction TypeRequired for Security TypeRequired for Asset ClassRequired for Outright or SpreadSupported Values
    Product Code ID StringUsed as the primary identifier for the traded instrument. For listed derivatives this is generally an exchange or CCP defined value.Dual-Sided
    Single-Sided
    ALLALLOutright 
    Source of the Product Code Src StringIdentifies the source of the SecurityID. If it is not specified, the default of Clearing is used.Dual-Sided
    Single-Sided
    ALLALLOutright104 - Red Code

    106 - Pair Clip

    H - Clearing House / Clearing Organization

    CFI Code

    CFI

    String

    Indicates the type of security using ISO 10962 standard Classification of Financial Instruments (CFI Code) values:

    • Char 1: ‘O’ (Option)
    • Char 2: ‘P’ or ‘C’ (Put, Call)
    • Char 3: ‘E’ (European expiry)
    • Char 4: ‘C’ (Currency)
    • Char 5: ‘C’ (Cash)
    • Char 6 ‘N’ (Non   standard)

    O

    OPT

    OTCFX

     

    OPECCN

    Security Type SecTyp StringIndicates type of instrument or security being traded or defined. It is required on inbound trade submissions and is used as one of the identifiers of the instrument. This is required because the usage of CFI code is in the process of being deprecated.Dual-Sided
    Single-Sided
    ALLALLBoth

    FUT - Future

    FWD - Forward

    MLEG - Multi Leg (Combo)

    OOC - Options on Combo

    OOF - Options on Futures

    OPT- Options

    Security Sub Type SubTyp StringSub-type qualification/identification of the SecurityType. For a multi-leg instrument, can indicate the type of spread.     
    Contract Period Code MMY MonthYearSpecifies the month and year of maturity. Applicable for standardized derivatives that are typically only referenced by month and year (e.g. S&P futures).Dual-Sided
    Single-Sided
    ALLALLOutright 
    Strike Price StrkPx PriceUsed for derivatives, such as options and covered warrantsDual-Sided
    Single-Sided
    OPTALLOutright 

    Settlement Method  

    SettlMeth

    Char

    Settlement method for the

    option.

    C=Cash settlement

    R

    OPT

    OTCFX

     

    C

    Exercise Style

    ExerStyle

    Int

    Type of exercise of a derivatives

    security.

    0=European

    R

    OPT

    OTCFX

     

    0

    Put Or Call PutCall intUsed to express option rightDual-Sided
    Single-Sided
    OPTALLOutright0 - Put

    1 - Call

    Time Unit TmUnit StringUsed to indicate a time unit for the contract (such as days, weeks, or months). Optional, and if not specified, the default Time Unit is assumed.
    Optional:
    If not specified for products that support more than one TimeUnit (such as NN Nat Gas), the default TimeUnit is used (see SecDefs).
        D - Day

    H - Hour

    Mo - Month

    Product ExchangeExch ExchangeThe exchange where the Security is listed. Note that spreads across multiple exchanges are not supported, and this must be present on spreads as well as outrights.Dual-Sided
    Single-Sided
    ALLALLBothCBT - Chicago Board of Trade

    CEE - Stock Exchange Group

    CME - Chicago Mercantile Exchange

    COMEX - Commodities Exchange, Inc

    DME - Dubai Mercantile Exchange

    NYMEX - New York Mercantile Exchange

    NYMSW - CME Swaps - NYMEX
  • Page:
    CME ClearPort API - Trade Capture Report Message - Instrument - Outbound

    /TrdCaptRpt/Instrmt

    Field NameFIXML Attribute NameData TypeDescriptionPresent for Security TypePresent for Asset ClassPresent for Outright or SpreadSupported Values
    Product Code ID StringUsed as the primary identifier for the traded instrument. For listed derivatives this is generally an exchange or CCP defined value.ALLALLOutright 
    Source of the Product Code Src StringIdentifies the source of the SecurityID If it is not specified, the default of Clearing is used.ALLALLOutrightH - Clearing House / Clearing Organization

    CFI Code

    CFI

    String

    Indicates the type of security using ISO 10962 standard Classification of Financial Instruments (CFI Code) values:

    • Char 1: ‘O’ (Option)
    • Char 2: ‘P’ or ‘C’ (Put, Call)
    • Char 3: ‘E’ (European expiry)
    • Char 4: ‘C’ (Currency)
    • Char 5: ‘C’ (Cash)
    • Char 6 ‘N’ (Non   standard)

    OPT

    OTCFX

     

     OPECCN

    Security Type SecTyp StringIndicates type of instrument or security being traded or defined. It is required on inbound trade submissions and is used as one of the identifiers of the instrument. This is required because the usage of CFI code is in the process of being deprecated.ALLALLBothFUT - Future

    FWD - Forward

    IRS - Interest Rate Swap

    MLEG - Multi Leg (Combo)

    OOC - Options on Combo

    OOF - Options on Futures

    Security Sub Type SubTyp StringSub-type qualification/identification of the SecurityType. For a multi-leg instrument, can indicate the type of spread.    
    Contract Period Code MMY MonthYearSpecifies the month and year of maturity. Applicable for standardized derivatives that are typically only referenced by month and year (e.g. S&P futures).ALLALLOutright 
    Strike Price StrkPx PriceUsed for derivatives, such as options and covered warrantsOPTALLOutright 

    Settlement Method  

    SettlMeth

    Char

    Settlement method for the

    option.

    OPT

    OTCFX

     

    C

    Exercise Style

    ExerStyle

    Int

    Type of exercise of a derivatives

    security.

    0=European

    OPT

    OTCFX

     

    0

    Put Or Call PutCall intUsed to express option rightOPTALLOutright0 - Put

    1 - Call

    Time Unit TmUnit StringUsed to indicate a time unit for the contract (e.g., days, weeks, months, etc.)   D - Day

    H - Hour

    Mo - Month

    Product Exchange Exch ExchangeThe exchange where the Security is listed. Note that spreads across multiple exchanges are not supported, and this must be present on spreads as well as outrights.ALLALLBothCBT - Chicago Board of Trade

    CEE - Stock Exchange Group

    CME - Chicago Mercantile Exchange

    COMEX - Commodities Exchange, Inc

    DME - Dubai Mercantile Exchange

    NYMEX - New York Mercantile Exchange

    NYMSW - CME Swaps - NYMEX

    SecAltIDGrp (repeating) AID  
    → Alternate Identifier AltID StringThe value of the Alternate security identifier.    
    → Alternate Identifier Source AltIDSrc StringThe source of the Alternate security identifier.   104 - Red Code

    105 - Preferred Reference Obligation

    106 - Pair Clip

    115 - Standard Reference Obligation

  • Page:
    CME ClearPort API - Trade Capture Report Message - InstrumentLeg - Inbound

    /TrdCaptRpt/TrdLeg/Leg

    Field NameFIXML Attribute NameData TypeDescriptionRequired for Transaction TypeRequired for Security TypeRequired for Asset ClassRequired for Outright or SpreadSupported Values
    Leg Product Code ID StringUsed as the primary identifier for the Leg instrument. For futures and options this is generally an exchange or CME assigned value.Dual-Sided
    Single-Sided
    ALLALLSpread 
    Leg Product ID Source Src StringIdentifies the source of the Leg SecurityID. If it is not specified the default of Clearing is used.Dual-Sided
    Single-Sided
    ALLALLSpreadH - Clearing House / Clearing Organization

    Leg Security Type SecTyp StringRefer to definition of SecurityType(167)Dual-Sided
    Single-Sided
    ALLALLSpreadFUT - Future

    FWD - Forward

    OOC - Options on Combo

    OOF - Options on Futures

    Leg Maturity MMY MonthYearMultileg instrument's individual security's MaturityMonthYear.
    See MaturityMonthYear (200) field for description
    Dual-Sided
    Single-Sided
    ALLALLSpread 
    Leg Strike Price Strk PriceMultileg instrument's individual security's StrikePrice.
    See StrikePrice (202) field for description
    Dual-Sided
    Single-Sided
    OPTALLSpread 
    Leg Time Unit TmUnit StringUsed to indicate a time unit for the contract (such as days, weeks, or months). Optional and, if not specified, the default Time Unit is assumed.
    If specified for any leg of an MLEG trade, TmUnit must be represented in each individual leg.
        D - Day

    H - Hour

    Mo - Month

    Leg Product Exchange Exch ExchangeMultileg instrument's individual security's SecurityExchange.
    See SecurityExchange (207) field for description
    Dual-Sided
    Single-Sided
    ALLALLSpread

    CBT - Chicago Board of Trade


    CEE - Stock Exchange Group


    COMEX - Commodities Exchange, Inc

    DME - Dubai Mercantile Exchange

    NYMEX - New York Mercantile Exchange

    NYMSW - CME Swaps - NYMEX

    Leg Buy Sell Code Side charSpecific to the <InstrumentLeg> (not in <Instrument>)Dual-Sided
    Single-Sided
    ALLALLSpread1 - Buy

    2 - Sell

    Leg Put Or Call PutCall intUsed to express option rightDual-Sided
    Single-Sided
    OPTALLSpread0 - Put

    1 - Call
  • Page:
    CME ClearPort API - Trade Capture Report Message - InstrumentLeg - Outbound

    /TrdCaptRpt/TrdLeg/Leg

    Field NameFIXML Attribute NameData TypeDescriptionPresent for Security TypePresent for Asset ClassPresent for Outright or SpreadSupported Values
    Leg Product Code ID StringUsed as the primary identifier for the Leg instrument. For futures and options this is generally an exchange or CME assigned value.ALLALLSpread 
    Leg Product ID Source Src StringIdentifies the source of the Leg SecurityID. If it is not specified, the default of Clearing is used.ALLALLSpreadH - Clearing House / Clearing Organization

    Leg Security Type SecTyp StringRefer to definition of SecurityType(167)ALLALLSpreadFUT - Future

    FWD - Forward

    OOC - Options on Combo

    OOF - Options on Futures

    Leg Maturity MMY MonthYearMultileg instrument's individual security's MaturityMonthYear.
    See MaturityMonthYear (200) field for description
    ALLALLSpread 
    Leg Strike Price Strk PriceMultileg instrument's individual security's StrikePrice.
    See StrikePrice (202) field for description
    OPTALLSpread 
    Leg Time Unit TmUnit StringUsed to indicate a time unit for the contract (e.g., days, weeks, months, etc.)   D - Day

    H - Hour

    Mo - Month

    Leg Product Exchange Exch ExchangeMultileg instrument's individual security's SecurityExchange.
    See SecurityExchange (207) field for description
    ALLALLSpreadCBT - Chicago Board of Trade

    CEE - Stock Exchange Group

    CME - Chicago Mercantile Exchange

    COMEX - Commodities Exchange, Inc

    DME - Dubai Mercantile Exchange

    NYMEX - New York Mercantile Exchange

    NYMSW - CME Swaps - NYMEX

    Leg Buy Sell Code Side charSpecific to the <InstrumentLeg> (not in <Instrument>)ALLALLSpread1 - Buy

    2 - Sell

    Leg Put Or Call PutCall intUsed to express option rightOPTALLSpread0 - Put

    1 - Call
  • Page:
    CME ClearPort API - Trade Capture Report Message - Outbound

    /TrdCaptRpt

    Field NameFIXML Attribute NameData TypeDescriptionPresent for Security TypePresent for Asset ClassPresent for Outright or SpreadSupported Values
    Message ID RptID StringIdentifies the specific trade report being sent. This can also be considered to be as the unique message Id for the Trade being reported. The Trade Report Id may be echoed back on the Acks in the RptRefID.ALLALLBoth 
    Transaction Type TransTyp intIndicates the action being taken on a trade. The Acknowledgement echoes back the Trans Type from the inbound message.ALLALLBoth0 - New

    1 - Cancel

    2 - Replace

    Trade Report Type RptTyp intIndicates the purpose of the trade within the workflow and determines the action of the receiver of the trade. For example when a submitter is submitting a new trade or replacing or cancelling an existing trade, a Report Type of Submit is used to indicate the trade is being submitted.ALLALLBoth0 - Submit

    1 - Alleged

    2 - Accept

    3 - Decline

    101 - Notification

    102 - Opposite Accept

    103 - Opposite Reject

    Trade Status TrdRptStat intIndicates the status of the trade in Clearing.ALLALLBoth0 - Accepted

    1 - Rejected

    2 - Cancelled

    4 - Received Not yet Processed

    5 - Pending Cancel

    100 - Unmatch

    101 - Pending Clear

    102 - Partially Cleared

    103 - Cleared with Reject

    Request ID ReqID StringRequest ID is present if the Trade Capture Report is in response to a Trade Capture Report Request.    
    Trade Type TrdTyp intSpecifies the type of trade being submitted to CME Clearing or reported by CME Clearing. Used to distinguish a significant difference in the regulatory or economic requirements surrounding the trade.
    Sample values are Regular Trade, Block Trade, Privately Negotiated, Transfer, EFR, EFP, OTC
    ALLALLBoth1 - Block Trade

    2 - EFP (Exchange for physical)

    11 - Exchange for Risk (EFR)

    22 - Over the Counter Privately Negotiated Trades (OPNT)

    54 - OTC / Large Notional Off Facility Swap

    58 - Block swap trade

    Trade Sub Type TrdSubTyp intThis field further qualifies the Trade Type.   36 - Converted SWAP (Aged Deal)

    Original Trade Date OrigTrdDt LocalMktDateUsed to preserve original trade date when original trade is being referenced in a subsequent trade transaction such as a transfer    
    Original Trade ID OrigTrdID StringLinks an original voided trade report (which has been submitted within regulatory time restrictions) with the resubmitted trade.
    Example:
    1. A trade with Trade ID of 10001234 is entered into ClearPort API.
    2. Trade with Trade ID of 10001234 is voided.
    3. A new trade with a Trade ID of 10007777 is entered as a resubmission for the earlier voided trade, and the OrigTrdID can be set as: 10001234.
        
    Total Number of Trades returned TotNumTrdRpts intNumber of trade reports returned - if this report is part of a response to a Trade Capture Report RequestALLALLBoth 
    Last Report Indicator LastRptReqed BooleanIndicates if this is the last report in the response to a Trade Capture Report RequestALLALLBothN - Not last message

    Y - Last message

    Execution ID ExecID StringIn electronically matched trades, the Execution ID is assigned to each fill by the match engine. In a privately negotiated trade, the Execution ID identifies the deal ID and is provided by the trading platform to identify the deal.    
    Secondary Execution ID ExecID2 StringThis is used to communicate the execution ID of the originating platform.ALLALLBoth 
    Price Type PxTyp intIn most cases represents the type of price in the last price. For example if the trade was traded as a fixed cabinet a Price type of 10 is sent in the attribute.OPTOTC FXOutright1 - Percentage (i.e. percent of par)

    2 - Per unit (i.e. per share or contract)

    Venue Type VenuTyp charIdentifies the type of venue where a trade was executed.   E - Electronic

    O - Off facility swap

    P - Pit

    R - Registered Market (SEF)

    X - Ex-Pit

    Quantity Type QtyTyp intIndicates the type of quantity being represented in the Last Quantity. In CME clearing implementation, the quantity type is defaulted to what is specified in the contract specifications. Unless the contract can be traded in both terms (notional and contract units) this attribute is optional.ALLALLOutright0 - Notional / Units

    1 - Contract term

    Trade Quantity LastQty QtyNotional amount of the trade.ALLALLOutright 
    Total Trade Qty TotTrdQty QtyExpresses the total quantity traded over the life of the contract when the trade quantity is repeated periodically over the term of the contract.    
    Total Trade Multiplied Qty TotTrdMultdQty QtyExpresses the total trade quantity in units. Used when the Contract Multiplier is not 1. This equals Total Trade Qty times Contract Multiplier.    
    Trade Price LastPx PriceThe price at which a trade is cleared. This is the fill or match price if executed in an open market and the negotiated price if executed privately. In most cases it represents a true price. There are a few exceptions. If the Price Type is a Cabinet, this represents the Cabinet price.
    Note: Changed from required to conditionally required if leg prices are present. Spread trades may be submitted as a collection of legs without price or quantity specified at the spread level until they are determined by the receiving system. Leg quantity and leg price are used to derive the spread type at which point the spread price and quantity can usually, but not always, be determined
    ALLALLOutright 
    Contra Amount CalcCcyLastQty QtyUsed for the calculated quantity of the other side of the currency trade. Can be derived from LastQty and LastPx. Conditionally present for OTC FX Future or Forward outrights that are entered in settlement terms.    
    Currency Ccy CurrencyPrimary currency of the specified currency pair. Used to qualify LastQty and GrossTradeAmoutALLOTC FXBoth 
    Trade Date TrdDt LocalMktDateThe trade date assigned to an execution on the trading platform. For privately negotiated trades, the date the trade has been received by the CCP
    Required on all inbound trade submissions and cleared trade reports sent by the CCP
    ALLALLBoth 
    Clear Date BizDt LocalMktDateThe date a trade is formally cleared and settled by the CCP.
    Conditionally required on cleared trade reports generated by the CCP
    ALLALLBoth 
    Transaction Time TxnTm UTCTimestampThe transaction time of the trade. Represents the time that the trade was initially generated either by CME Clearing or firm. The transaction time may be assigned by CME Clearing at the point the trade is reported as cleared. Transaction time can also be provided by an external submitter of the trade at the point the trade is submitted.ALLALLBoth 
    Execution Method ExecMeth intSpecifies whether the transaction was voice brokered.   3 - Voice Brokered

    Reject Text RejTxt StringThe reason why the Trade was rejected by the Clearing System.    
    Confirmation Method CnfmMeth intIndication of how a trade was confirmed.   0 - non-electronic

    1 - electronic

    Verification Method VerfMeth intIndication of how a trade was verified.   0 - non-electronic

    1 - electronic

    Regulatory Report Type RegRptTyp Reserved100PlusType of regulatory report being submitted.   1 - Primary economic terms (PET)

    4 - Combination of RT and PET

    Trade Contingency TrdCntgncy intOnly applicable to EFRP (EFS/EOO and EFR) transactions.
    Will appear on cleared trade status reports (HTTP) and positive acknowledgements (MQ) for EFRP transactions. If not specified on the inbound trade submission, a value of TrdCntgncy=1 (Contingent trade) will be returned.
       1 - Contingent trade

    2 - Non-contingent trade

    Trade Reject Reason RejRsn intThe reason code associated with the trade reject.   1 - Invalid party information

    2 - Unknown instrument

    3 - Unauthorized to report trades

    4 - Invalid trade type

    99 - Other

    Upfront Points UpfrntPts floatIf the trade is negotiated in upfront points this field is sent.    
    StandardHeader Hdr  
    → Sender ID SID StringThis attribute identifies the party or the Submitter of the message. This is set to CME.ALLALLBoth 
    → Target ID TID StringThis attribute identifies the receiver of the message. This could be a Broker or Platform or any other valid Trading entity. This value is pre-assigned by CME.ALLALLBoth 
    → MsgSeqNum SeqNum SeqNum(Can be embedded within encrypted data section.)    
    → Sender Qualifier SSub StringThis attribute qualifies the Sender. For messages sent by the CME ClearPort API this is set to CPAPI.ALLALLBoth 
    → Target Qualifier TSub StringThis qualifies the receiver of the message. This is set to the CME ClearPort UserID of the Sender.ALLALLBoth 
    RegulatoryTradeIDGrp (repeating) RegTrdID  
    → Regulatory Trade ID ID StringRegulatory Trade ID. Will be used to communicate the Unique Swap Identifier associated with a trade execution as required by the CFTC.    
    → Regulatory Trade ID Source Src StringID of reporting entity assigned by regulatory agency.    
    → Regulatory Trade ID Event Evnt intEvent causing origination of the ID. For combinations, use the higher enumeration value. E.g. for Allocation plus Clearing use the value 2.   0 - Initial block trade

    1 - Allocation (or determination that the block trade will not be further allocated)

    2 - Clearing

    → Regulatory Trade ID Type Typ intThe type of Regulatory Trade ID being sent.   0 - Current (the default)

    1 - Previous (e.g. when reporting a cleared trade or novation of a previous trade)

    2 - Block (e.g. when reporting an allocated subtrade)

    → Regulatory Trade ID Scope Scope intIncluded when a trade must be assigned more than one identifier, e.g. one for the clearing member and another for the client on a cleared trade as with the principal model in Europe. Omit if scope does not apply to this instance.   1 - Clearing member

    2 - Client

    RootParties (repeating) Pty  
    → Root Party ID ID StringUsed to identify the party.    
    → Root Party ID Source Src charUsed to identify the source of PartyID value (e.g. LEI).   N - LEI

    → Root Party Role R intIdentifies the type of PartyID (e.g. the original Swap Data Repository, the Execution Venue, etc.)   73 - Execution Venue

    102 - Data Repository (e.g. SDR)

    Instrument Instrmt  
    UnderlyingInstrument (repeating) Undly  
    → Underlying Product Code ID StringUsed as the primary identifier for the underlying instrument.OPTALLBoth 
    → Underlying Product Code Source Src StringIdentifies the source responsible for assigning the security identifier of the underlying security. This may be the exchange, CCP, or an international organization.OPTALLBothH - Clearing House / Clearing Organization

    → Underlying Security Type SecTyp StringUsed to indicate the type of underlying security being reported; Future, Option on Physical, Option on Future, or Multi-leg for spreads.OPTALLBothFUT - Future

    FWD - Forward

    MLEG - Multi Leg (Combo)

    → Underlying Maturity MMY MonthYearThe expiration period code of an underlying instrument. Used in combination with UnderlyingSymbol or UnderlyingSecurityID to specify the instrument identifier. The value can be expressed as YYYYMM, YYYYMMDD or YYYYMMwN where w represents a reference to weekOPTALLBoth 
    → Underlying Product Exchange Exch ExchangeThe exchange where the underlying security is listed and has tradedOPTALLBothCBT - Chicago Board of Trade

    CEE - Stock Exchange Group

    CME - Chicago Mercantile Exchange

    COMEX - Commodities Exchange, Inc

    DME - Dubai Mercantile Exchange

    NYMEX - New York Mercantile Exchange

    NYMSW - CME Swaps - NYMEX

    PositionAmountData (repeating) Amt  
    → Amount Type Typ StringThe type of amount being expressed in the Trade Report.OPT (OTC FX), ALLOTC FXOutrightCRES - Cash Residual Amount

    ICPN - Initial Trade Coupon Amount

    IPMT - Upfront Payment

    PREM - Premium Amount

    TVAR - Trade Variation Amount

    → Amount Amt AmtThe amount associated with the trade.OPT (OTC FX), ALLOTC FXOutright 
    → Amount Currency Ccy StringThe currency that the Amount associated with the trade is being denominated in.OPT (OTC FX), ALLOTC FXOutright 
    TrdInstrmtLegGrp (repeating) TrdLeg  
    TrdRegTimestamps (repeating) TrdRegTS  
    → Timestamp TS UTCTimestampExecution time for the deal.ALLALLBoth 
    → Timestamp Type Typ intIndicates type of timestamp.ALLALLBoth1 - Execution Time

    TradeQty (repeating) Qty  
    → Quantity Type Typ intThe Quantity types that are associated with the Trade.   0 - Cleared Qty

    1 - Long Side Claim Qty

    2 - Short Side Claim Qty

    3 - Long Side Rejected Qty

    4 - Short Side Rejected Qty

    5 - Pending Quantity

    → Quantity Qty floatThe trade quantity associated with the quantity.    
    TrdCapRptSideGrp (repeating) RptSide  
    PaymentGrp (repeating)Pmt 
    →Payment TypeTypIntType of Payment 10=Option PremiumOPTOTCFX 10
    →Payment CurrencyCcyStringCurrency of paymentOPTOTCFX USD
    → Payment AmountAmtAmt

    The total payment amount

    • Can be positive or negative, depending on side
      • Buyer = negative
      • Seller = positive
    OPTOTCFX -50000
    →Payment DateDtLocalMktDateAdjusted payment dateOPTOTCFX 2016-09-30
  • Page:
    CME ClearPort API - Trade Capture Report Message - TrdAllocGrp - Inbound

    /TrdCaptRpt/RptSide/Alloc (repeating)

    Field NameFIXML Attribute NameData TypeDescriptionRequired for Transaction TypeRequired for Security TypeRequired for Asset ClassRequired for Outright or SpreadSupported Values
    Allocator Assigned Allocation IDIndAllocID StringIdentifies the allocation ID provided by the allocator.
    Optional:
    Can be used by submitter to reference each allocation if allocating a side to more than one account.
         
    Allocation QtyQty QtyQuantity to be allocated to specific sub-account.
    Conditionally Required:
    Must be used if allocating a side to more than one account.
         
    Allocation Reference Risk Limit Check IDRefRiskLmtChkID StringIndicates the credit approval token for pre-approved trades reported on Swap Execution Facilities (SEFs).     
    Contra AmountCalcCcyLastQty QtyUsed for the calculated quantity of the other side of the currency trade.     
    AllocRegulatoryTradeIDGrp (repeating) RegTrdID  
    → Allocation Regulatory Trade IDID StringRegulatory trade identifier. The Universal Swap Identifier assicated with the allocated trade.     
    → Allocation Regulatory Trade ID SourceSrc StringIdentifier of the reporting entity assigned by regulatory agency.     
    → Allocation Regulatory Trade ID EventEvnt intEvent causing the origination of the identifier. For combinations of events, use the higher enumeration value. E.g. for Allocation plus Clearing use the value 2.    0 - Initial block trade

    1 - Allocation (or determination that the block trade will not be further allocated)

    2 - Clearing

    → Allocation Regulatory Trade ID TypeTyp intType of Regulatory Trade ID being sent.    0 - Current (the default)

    1 - Previous (e.g. when reporting a cleared trade or novation of a previous trade)

    2 - Block (e.g. when reporting an allocated subtrade)

    → Allocation Regulatory Trade ID ScopeScope intIncluded when a trade must be assigned more than one identifier, e.g. one for the clearing member and another for the client on a cleared trade as with the principal model in Europe. Omit if scope does not apply to this instance.    1 - Clearing member

    2 - Client

    NestedParties2 (repeating) Pty  
    → Target Party IDID StringIt's the Party ID of the party taking up the allocation.
    Conditionally Required:
    Must be used if allocating a side to more than one account.
         
    → Target Party ID SourceSrc charIt's the Party ID Source of the party taking up the allocation.
    Conditionally Required:
    Must be used if allocating a side to more than one account with Account Alias (R=24).
        C - Generally accepted market participant identifier

    D - Proprietary / Custom code

    H - Clearing house participant/member code

    N - LEI

    → Target Party RoleR intIt's the Party role of the party taking up the allocation.
    Conditionally Required:
    Must be used if allocating a side to more than one account.
        1 - Executing Firm

    7 - Trading (Entering) Firm

    17 - Contra Firm

    24 - Customer Account

    30 - Inter Dealer Broker

    36 - Entering trader

    37 - Contra trader

    49 - Asset Manager

    62 - Report originator

    → NstdPtys2SubGrp (repeating) Sub  
    →→ Target Party QualifierID StringThe qualifier of the Allocated to Party.
    Where Sub/@Typ = 26
    1 = Customer
    2 = House
    Conditionally Required:
    Needed when allocating a side to more than one account using Account Alias (R=24). Used to indicate whose alias is being used.
         
    →→ Target Party Qualifier TypeTyp intThe Type of Party Sub ID in the Target Party Sub Tag.
    Conditionally Required:
    Needed when allocating a side to more than one account using Account Alias (R=24). Used to indicate whose alias is being used.
        1 - Firm

    3 - System

    49 - Reporting entity indicator
  • Page:
    CME ClearPort API - Trade Capture Report Message - TrdAllocGrp - Outbound

    /TrdCaptRpt/RptSide/Alloc (repeating)

    Field NameFIXML Attribute NameData TypeDescriptionPresent for Security TypePresent for Asset ClassPresent for Outright or SpreadSupported Values
    Allocator Assigned Allocation ID IndAllocID StringIdentifies the allocation ID provided by the allocator.    
    Allocation Qty Qty QtyQuantity to be allocated to specific sub-account
    (Prior to FIX 4.2 this field was of type int)
        
    Allocation CTI CustCpcty StringCan be used for granular reporting of separate allocation detail within a single trade report or allocation message.    
    CCP Assigned Allocation ID IndAllocID2 StringProvides support for an intermediary assigned allocation ID    
    Status Stat intIdentifies the status of the allocation.   0 - Pending Clear

    1 - Claimed

    2 - Cleared

    3 - Rejected

    Allocation Reference Risk Limit Check ID RefRiskLmtChkID StringIndicates the credit approval token for pre-approved trades reported on Swap Execution Facilities (SEFs).    
    Contra Amount CalcCcyLastQty QtyUsed for the calculated quantity of the other side of the currency trade.    
    AllocRegulatoryTradeIDGrp (repeating) RegTrdID  
    → Allocation Regulatory Trade ID ID StringRegulatory trade identifier. The Universal Swap Identifier assicated with the allocated trade.    
    → Allocation Regulatory Trade ID Source Src StringIdentifier of the reporting entity assigned by regulatory agency.    
    → Allocation Regulatory Trade ID Event Evnt intEvent causing the origination of the identifier. For combinations of events, use the higher enumeration value. E.g. for Allocation plus Clearing use the value 2.   0 - Initial block trade

    1 - Allocation (or determination that the block trade will not be further allocated)

    2 - Clearing

    → Allocation Regulatory Trade ID Type Typ intType of Regulatory Trade ID being sent.   0 - Current (the default)

    1 - Previous (e.g. when reporting a cleared trade or novation of a previous trade)

    2 - Block (e.g. when reporting an allocated subtrade)

    → Allocation Regulatory Trade ID Scope Scope intIncluded when a trade must be assigned more than one identifier, e.g. one for the clearing member and another for the client on a cleared trade as with the principal model in Europe. Omit if scope does not apply to this instance.   1 - Clearing member

    2 - Client

    NestedParties2 (repeating) Pty  
    → Target Party ID ID StringThe Party ID of the party taking up the allocation.    
    → Target Party ID Source Src charThe Party ID Source of the party taking up the allocation.   C - Generally accepted market participant identifier

    D - Proprietary / Custom code

    H - Clearing house participant/member code

    N - LEI

    → Target Party Role R intThe Party role of the party taking up the allocation.   1 - Executing Firm

    7 - Trading (Entering) Firm

    17 - Contra Firm

    24 - Customer Account

    30 - Inter Dealer Broker

    36 - Entering trader

    37 - Contra trader

    44 - Order Entry Operator ID

    49 - Asset Manager

    62 - Report originator

    → NstdPtys2SubGrp (repeating) Sub  
    →→ Target Party Qualifier ID StringThe qualifier of the Allocated to Party.
    Where Sub/@Typ = 26
    1 = Customer
    2 = House
        
    →→ Target Party Qualifier Type Typ intType of Nested2PartySubID (760) value. Second instance of <NestedParties>.
    Same values as PartySubIDType (803)
       1 - Firm

    3 - System

    5 - Full legal name of firm

    9 - Contact name

    26 - Account type or Origin

    49 - Reporting entity indicator

    TradeAllocAmtGrp (repeating) Amt  
    → Allocation Amount Type Typ StringThe type of amount being associated with the allocation.   CRES - Cash Residual Amount

    ICPN - Initial Trade Coupon Amount

    IPMT - Upfront Payment

    TVAR - Trade Variation Amount

    → Allocation Amount Amt floatThe amount associated with the amount type.    
  • Page:
    CME ClearPort API - Trade Capture Report Message - TrdCapRptSideGrp - Inbound

    /TrdCaptRpt/RptSide (repeating)

    Field NameFIXML Attribute NameData TypeDescriptionRequired for Transaction TypeRequired for Security TypeRequired for Asset ClassRequired for Outright or SpreadSupported Values
    Buy Sell Code Side charThe Side of the Trade. It's a Buy or a Sell.Dual-Sided
    Single-Sided
    ALLALLBoth1 - Buy

    2 - Sell

    Side Trade Quantity SideQty intUsed to indicate the quantity on one side of a multi-sided Trade Capture Report     
    Input Source InptSrc StringThe original system from which the trade originated. CME Clearing treats this as a pass-through field on cleared trade confirmations.Dual-Sided
    Single-Sided
    ALLALLBoth 
    Allocation IndicatorAllocIndIntIdentifies how the trade is to be allocatedDual-Sided
    Single-Sided
    ALLALLBoth

    Valid values:
    '0' Allocation not required
    '1' Allocation required (give-up trade) allocation information not provided (incomplete)

    Aggressor IndicatorAgrsrInd BooleanUsed to identify whether or not the order initiator is an aggressor in the trade.    N - Order initiator is passive

    Y - Order initiator is aggressor

    Source Trade IDSrcTrdID StringA Trade ID assigned by the source for the trade Side. Typically used to identify a trade by the submitter while submitting a single-sided trade.Single-SidedALLALLBoth 
    Customer Order Handling InstructionCustOrdHdlInst MultipleStringValueContains the FIA Execution Source.    A - Phone simple

    B - Phone complex

    C - FCM-provided screen

    D - Other-provided screen

    E - Client provided platform controlled by FCM

    F - Client provided platform direct to exchange

    G - FCM API or FIX

    H - Algo Engine

    J - Price at Execution (price added at Initial order entry, trading, middle office or time of give-up)

    W - Desk - Electronic

    X - Desk - Pit

    Y - Client - Electronic

    Z - Client - Pit

    Block Trade Allocation IndicatorBlckTrdAllocInd intIndication that a block trade will be allocated.    0 - Block to be allocated

    1 - Block not to be allocated

    2 - Allocated trade (i.e. a sub-trade of a block trade)

    Side Risk Limit Check StatusRiskChkStat intIndicates the status of the risk limit check performed on the side of a trade.    13 - Accepted by execution venue

    Reference Risk Limit Check IDRefRiskLmtChkID StringIndicates the credit approval token for pre-approved trades reported on Swap Execution Facilities (SEFs).     
    NotesNotes StringA field for user-created notes.     
    Parties (repeating) Pty  
    → Party IDID StringUsed to identify the Party.Dual-Sided
    Single-Sided
    ALLALLBoth 
    → Party ID SourceSrc charUsed to identify class source of PartyID value (e.g. BIC). Required if PartyID is specified. Required if NoPartyIDs > 0.
    Conditionally Required:
    Needed when submitting with Account Alias (R=24).
        C - Generally accepted market participant identifier

    D - Proprietary / Custom code

    H - Clearing house participant/member code

    N - LEI

    → Party RoleR intIndicates the type of Party or the role of the party in the Party Block.Dual-Sided
    Single-Sided
    ALLALLBoth1 - Executing Firm

    7 - Trading (Entering) Firm

    17 - Contra Firm

    24 - Customer Account

    30 - Inter Dealer Broker

    36 - Entering trader

    37 - Contra trader

    49 - Asset Manager

    62 - Report originator

    → PtysSubGrp (repeating) Sub  
    →→ Party Qualifier IDID StringA Sub ID provides additional information about the Party. For example the Firm long name could be specified for the firm in the Sub Tag with Typ = 9. This is a child of the Party element.
    Where Sub/@Typ = 26
    1 = Customer
    2 = House
    Conditionally Required:
    Needed when submitting with Account Alias (R=24) to indicate whose alias is being used.
         
    →→ Party Qualifier TypeTyp intThe Type of Party Sub ID in the Party Sub Tag.
    Conditionally Required:
    Needed when submitting with Account Alias (R=24) to indicate who s alias is being used:
    1 = Asset Manager
    or Active Trader
    3 = Platform
        1 - Firm

    3 - System

    49 - Reporting entity indicator

    SideRegulatoryTradeIDGrp (repeating) RegTrdID  
    → Side Regulatory Trade IDID StringRegulatory Trade ID for the trade side. Will be used to communicate the Universal Swap Identifier associated with a cleared trade.     
    → Side Regulatory Trade ID SourceSrc StringID of reporting entity assigned by regulatory agency.     
    → Side Regulatory Trade ID EventEvnt intEvent causing origination of the ID. For combinations, use the higher enumeration value. E.g. for Allocation plus Clearing use the value 2.    0 - Initial block trade

    1 - Allocation (or determination that the block trade will not be further allocated)

    2 - Clearing

    → Side Regulatory Trade ID TypeTyp intThe type of Regulatory Trade ID being sent.    0 - Current (the default)

    1 - Previous (e.g. when reporting a cleared trade or novation of a previous trade)

    2 - Block (e.g. when reporting an allocated subtrade)

    → Side Regulatory Trade ID ScopeScope intIncluded when a trade must be assigned more than one identifier, e.g. one for the clearing member and another for the client on a cleared trade as with the principal model in Europe. Omit if scope does not apply to this instance.    1 - Clearing member

    2 - Client

    CommissionDataGrp CommData  
    → Commission BasisBasis intSpecifies the basis or unit used to calculate the commission.    1 - Per Unit (implying shares, par, currency, etc.)

    2 - Percent

    8 - Amount per contract

    → Commission CurrencyCcy CurrencySpecifies the currency denomination of the commission amount if different from the trade's currency.     
    → Commission RateRt floatRate per basis. For example, $1 per contract, or $0.01 per unit (e.g. barrel).     
    → Commission Leg Ref IDLegRefID StringTrade leg identifier for spread trade submissions. Required on all CommData blocks for each leg of a spread.     
    TrdAllocGrp (repeating) Alloc
  • Page:
    CME ClearPort API - Trade Capture Report Message - TrdCapRptSideGrp - Outbound

    /TrdCaptRpt/RptSide (repeating)

    Field NameFIXML Attribute NameData TypeDescriptionPresent for Security TypePresent for Asset ClassPresent for Outright or SpreadSupported Values
    Buy Sell Code Side charThe Side of the Trade. It's a Buy or a Sell.ALLALLBoth1 - Buy

    2 - Sell

    Side Trade Quantity SideQty intUsed to indicate the quantity on one side of a multi-sided Trade Capture Report    
    Client Order ID ClOrdID StringUnique identifier for Order as assigned for that side.    
    Input Source InptSrc StringThe original system from which the trade originated. CME Clearing treats this as a pass-through field on cleared trade confirmations.ALLALLBoth 
    Input Device InptDev StringThe device type from which the trade originated. May be specified as API, UI, or System Generated.ALLALLBothAPI - API submitted

    UI - GUI used for Submission

    CTI CustCpcty intThe customer capacity for this tradeALLALLBoth1 - Member trading for their own account

    2 - Clearing Firm trading for its proprietary account

    3 - Member trading for another member

    4 - All other

    Text Txt StringCan indicate the reason for a side rejecting, e.g. insufficient RAV or position limits.    
    Allocation IndicatorAllocIndIntIdentifies how the trade is to be allocatedDual-Sided 
    Single-Sided
    ALLALLBoth
    Aggressor Indicator AgrsrInd BooleanUsed to identify whether or not the order initiator is an aggressor in the trade.   N - Order initiator is passive

    Y - Order initiator is aggressor

    Trade ID TrdID StringThe Trade ID for the Side as assigned by the CCP system. Typically used when single sided Trades are submitted.    
    Source Trade ID SrcTrdID StringA Trade ID assigned by the source for the trade Side. Typically used to identify a trade by the submitter while submitting a single-sided trade.    
    Customer Order Handling Instruction CustOrdHdlInst MultipleStringValueContains the FIA Execution Source.   A - Phone simple

    B - Phone complex

    C - FCM-provided screen

    D - Other-provided screen

    E - Client provided platform controlled by FCM

    F - Client provided platform direct to exchange

    G - FCM API or FIX

    H - Algo Engine

    J - Price at Execution (price added at Initial order entry, trading, middle office or time of give-up)

    W - Desk - Electronic

    X - Desk - Pit

    Y - Client - Electronic

    Z - Client - Pit

    Block Trade Allocation Indicator BlckTrdAllocInd intIndication that a block trade will be allocated.   0 - Block to be allocated

    1 - Block not to be allocated

    2 - Allocated trade (i.e. a sub-trade of a block trade)

    Side Risk Limit Check Status RiskChkStat intIndicates the status of the risk limit check performed on the side of a trade.   13 - Accepted by execution venue

    Reference Risk Limit Check ID RefRiskLmtChkID StringIndicates the credit approval token for pre-approved trades reported on Swap Execution Facilities (SEFs).    
    Notes Notes StringA field for user-created notes.    
    Parties (repeating) Pty  
    → Party ID ID StringUsed to identify the Party.ALLALLBoth 
    → Party ID Source Src charUsed to identify class source of PartyID value (such as BIC). Required if PartyID is specified. Required if NoPartyIDs > 0.ALLALLBothC - Generally accepted market participant identifier

    D - Proprietary / Custom code

    H - Clearing house participant/member code

    N - LEI

    → Party Role R intIndicates the type of Party or the role of the party in the Party Block.ALLALLBoth1 - Executing Firm

    7 - Trading (Entering) Firm

    17 - Contra Firm

    24 - Customer Account

    30 - Inter Dealer Broker

    36 - Entering trader

    37 - Contra trader

    44 - Order Entry Operator ID

    49 - Asset Manager

    62 - Report originator

    → PtysSubGrp (repeating) Sub  
    →→ Party Qualifier ID ID StringA Sub ID provides additional information about the Party. For example the Firm long name could be specified for the firm in the Sub Tag with Typ = 9. This is a child of the Party element.
    Where Sub/@Typ = 26
    1 = Customer
    2 = House
    ALLALLBoth 
    →→ Party Qualifier Type Typ intThe Type of Party Sub ID in the Party Sub Tag.ALLALLBoth1 - Firm

    3 - System

    5 - Full legal name of firm

    9 - Contact name

    26 - Account type or Origin

    49 - Reporting entity indicator

    SideRegulatoryTradeIDGrp (repeating) RegTrdID  
    → Side Regulatory Trade ID ID StringRegulatory Trade ID for the trade side. Will be used to communicate the Universal Swap Identifier associated with a cleared trade.    
    → Side Regulatory Trade ID Source Src StringID of reporting entity assigned by regulatory agency.    
    → Side Regulatory Trade ID Event Evnt intEvent causing origination of the ID. For combinations, use the higher enumeration value. E.g. for Allocation plus Clearing use the value 2.   0 - Initial block trade

    1 - Allocation (or determination that the block trade will not be further allocated)

    2 - Clearing

    → Side Regulatory Trade ID Type Typ intThe type of Regulatory Trade ID being sent.   0 - Current (the default)

    1 - Previous (e.g. when reporting a cleared trade or novation of a previous trade)

    2 - Block (e.g. when reporting an allocated subtrade)

    → Side Regulatory Trade ID Scope Scope intIncluded when a trade must be assigned more than one identifier, e.g. one for the clearing member and another for the client on a cleared trade as with the principal model in Europe. Omit if scope does not apply to this instance.   1 - Clearing member

    2 - Client

    CommissionDataGrp CommData  
    → Commission Basis Basis intSpecifies the basis or unit used to calculate the commission.   1 - Per Unit (implying shares, par, currency, etc.)

    2 - Percent

    8 - Amount per contract

    → Commission Currency Ccy CurrencySpecifies the currency denomination of the commission amount if different from the trade's currency.    
    → Commission Rate Rt floatRate per basis. For example, $1 per contract, or $0.01 per unit (e.g. barrel).    
    → Commission Leg Ref ID LegRefID StringTrade leg identifier for spread trade submissions. Required on all CommData blocks for each leg of a spread.    
    TrdAllocGrp (repeating) Alloc  
  • Page:
    CME ClearPort API - Trade Capture Report Message - TrdInstrmtLegGrp - Inbound

    /TrdCaptRpt/TrdLeg (repeating)

    Field NameFIXML Attribute NameData TypeDescriptionRequired for Transaction TypeRequired for Security TypeRequired for Asset ClassRequired for Outright or SpreadSupported Values
    Leg Number LegNo intA number identifying the leg within a strategy or spread. When reporting a USI, UTI, or commission, the field LegRefID will reference this number.     
    Leg Last Price LastPx PriceUsed to report the trade price or execution price assigned to the leg of the multileg instrument. Not required if spread is Intracommodity and Diff Price (Top-level LastPx) is specified.Dual-Sided
    Single-Sided
    ALLALLSpread 
    Leg Last Quantity LastQty QtyFill quantity for the leg instrumentDual-Sided
    Single-Sided
    ALLALLSpread 
    Leg Price Type PxTyp intThe price type of the LegBidPx (681) and/or LegOfferPx (684).
    See PriceType (423) for description.
    Dual-Sided
    Single-Sided
    OPTOTC FXSpread1 - Percentage (i.e. percent of par)

    2 - Per unit (i.e. per share or contract)

    Leg Quantity Type QtyTyp intThe leg quantity type specified at the leg level. Can be different for each legDual-Sided
    Single-Sided
    ALLALLSpread0 - Units (shares, par, currency)

    1 - Contracts

    InstrumentLeg Leg  
    TradeCapLegUnderlyingsGrp (repeating) Undlys  
    → UnderlyingLegInstrument Undly  
    →→ Leg Underlying Product Code ID StringRefer to definition for SecurityID(48)Dual-Sided
    Single-Sided
    OPTALLSpread 
    →→ Leg Underlying Product Code Source Src StringRefer to definition for SecurityIDSource(22)Dual-Sided
    Single-Sided
    OPTALLSpreadH - Clearing House / Clearing Organization

    →→ Leg Underlying Security Type SecTyp StringRefer to definition for SecurityType(167)Dual-Sided
    Single-Sided
    OPTALLSpreadFUT - Future

    FWD - Forward

    MLEG - Multi Leg (Combo)

    →→ Leg Underlying Maturity MMY MonthYearRefer to definition for MaturityMonthYear(200)Dual-Sided
    Single-Sided
    OPTALLSpread 
    →→ Leg Underlying Product Exchange Exch StringRefer to definition for SecurityExchange(207)Dual-Sided
    Single-Sided
    OPTALLSpreadCBT - Chicago Board of Trade

    CEE - Stock Exchange Group

    CME - Chicago Mercantile Exchange

    COMEX - Commodities Exchange, Inc

    DME - Dubai Mercantile Exchange

    NYMEX - New York Mercantile Exchange

    NYMSW - CME Swaps - NYMEX

    LegPositionAmountData (repeating) Amt  
    → Leg Position Amount Amt AmtUsed to capture the FX premium amount.     
    → Leg Position Amount Type Typ StringThe type of monetary amount associated with a transaction.    CRES - Cash Residual Amount

    PREM - Premium Amount

    → Leg Position Amount Currency Ccy CurrencyThe currency of the amount specified.    
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    CME ClearPort API - Trade Capture Report Message - TrdInstrmtLegGrp - Outbound

    /TrdCaptRpt/TrdLeg (repeating)

    Field NameFIXML Attribute NameData TypeDescriptionPresent for Security TypePresent for Asset ClassPresent for Outright or SpreadSupported Values
    Leg Number LegNo intA number identifying the leg within a strategy or spread. When reporting a USI, UTI, or commission, the field LegRefID will reference this number.ALLALLSpread 
    Leg Last Price LastPx PriceUsed to report the trade price or execution price assigned to the leg of the multileg instrument.ALLALLSpread 
    Leg Contra Amount LegCalcCcyLastQty QtyUsed for the calculated quantity of the other side of the currency for this leg. Can be derived from LegQty and LegLastPx. Conditionally present for OTC FX Future or Forward spreads that are entered in settlement terms.    
    Leg Last Quantity LastQty QtyFill quantity for the leg instrumentALLALLSpread 
    Leg Price Type PxTyp intThe price type of the LegBidPx (681) and/or LegOfferPx (684).
    See PriceType (423) for description.
    OPTOTC FXSpread1 - Percentage (i.e. percent of par)

    2 - Per unit (i.e. per share or contract)

    Leg Quantity Type QtyTyp intThe leg quantity type specified at the leg level. Can be different for each legALLALLSpread0 - Units (shares, par, currency)

    1 - Contracts

    Leg Total Trade Qty TotTrdQty QtyExpresses the total quantity traded over the life of the contract when the trade quantity is repeated periodically over the term of the contract.    
    Leg Total Trade Multiplied Qty TotTrdMultdQty QtyExpresses the total trade quantity in units. Used when the Contract Multiplier is not 1. This equals Total Trade Qty times Contract Multiplier.    
    InstrumentLeg Leg  
    TradeCapLegUnderlyingsGrp (repeating) Undlys  
    → UnderlyingLegInstrument Undly  
    →→ Leg Underlying Product Code ID StringRefer to definition for SecurityID(48)OPTALLSpread 
    →→ Leg Underlying Product Code Source Src StringRefer to definition for SecurityIDSource(22)OPTALLSpreadH - Clearing House / Clearing Organization

    →→ Leg Underlying Security Type SecTyp StringRefer to definition for SecurityType(167)OPTALLSpreadFUT - Future

    FWD - Forward

    MLEG - Multi Leg (Combo)

    →→ Leg Underlying Maturity MMY MonthYearRefer to definition for MaturityMonthYear(200)OPTALLSpread 
    →→ Leg Underlying Product Exchange Exch StringRefer to definition for SecurityExchange(207)OPTALLSpreadCBT - Chicago Board of Trade

    CEE - Stock Exchange Group

    CME - Chicago Mercantile Exchange

    COMEX - Commodities Exchange, Inc

    DME - Dubai Mercantile Exchange

    NYMEX - New York Mercantile Exchange

    NYMSW - CME Swaps - NYMEX

    LegPositionAmountData (repeating) Amt  
    → Leg Position Amount Amt AmtUsed to capture the FX premium amount.OPTOTC FXSpread 
    → Leg Position Amount Type Typ StringThe type of monetary amount associated with a transaction.OPTOTC FXSpreadCRES - Cash Residual Amount

    PREM - Premium Amount

    → Leg Position Amount Currency Ccy CurrencyThe currency of the amount specified.OPTOTC FXSpread 
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    CME ClearPort API - Trade Capture Report Request Acknowledgment Message - Outbound

    /TrdCaptRptReqAck

    Field NameFIXML Attribute NameData TypeDescriptionPresent for Security TypePresent for Asset ClassPresent for Outright or SpreadSupported Values
    Message ID RptID StringA Message ID to identify the Trade Capture Report Request Acknowledgement.ALLALLBoth 
    Request ID ReqID StringIdentifier for the Trade Capture Report Request.ALLALLBoth 
    Request Result ReqRslt intResult of Trade RequestALLALLBoth99 - Other

    Request Status ReqStat intStatus of Trade RequestALLALLBoth1 - Completed

    2 - Rejected

    Request Result Description Txt StringText field indicating the reason for the reject.ALLALLBoth 
    StandardHeader Hdr  
    → Sender ID SID StringThis attribute identifies the party or the Submitter of the message. This is set to CME.ALLALLBoth 
    → Target ID TID StringThis attribute identifies the receiver of the message. This could be a Broker or Platform or any other valid Trading entity. This value is pre-assigned by CME.ALLALLBoth 
    → MsgSeqNum SeqNum SeqNum(Can be embedded within encrypted data section.)    
    → Sender Qualifier SSub StringThis attribute qualifies the Sender. For messages sent by the CME ClearPort API this is set to CPAPI.ALLALLBoth 
    → Target Qualifier TSub StringThis qualifies the receiver of the message. This is set to the CME ClearPort UserID of the Sender.ALLALLBoth 
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    CME ClearPort API - User Request
    Field NameFIXML Attribute NameData TypeDescriptionRequired for Transaction TypeSupported Values

    UserReq

    User Request ID

    UserReqID

    String

    Unique identifier for a User Request.

    ALL

     

    User Request Type

    UserReqTyp

    int

    Indicates the action required by a User Request Message

    ALL

    1 = Log On User

    2 = Log Off User

    Username

    Username

    String

    Username (login ID) assigned by CME's Market Operations Technical Support.

    ALL

     

    Password

    Password

    String

    Password assigned by CME's Market Operations Technical Support.

    Login

     
  • Page:
    CME ClearPort API - User Response
    Field NameFIXML Attribute NameData TypeDescriptionPresent for Transaction TypeSupported Values

    UserRsp

    User Request ID

    UserReqID

    String

    Request ID associated with the User Request leading to this Response message.

    ALL

     

    Username

    Username

    String

    Username (login ID) assigned by CME's Market Operations Technical Support.

    ALL

     

    User Status

    UserStat

    int

    Indicates the status of a user

    ALL

    1 = Logged In

    2 = Not Logged In

    3 = User Not Recognized

    4 = Password Incorrect

    6 = Other

    User Status Text

    UserStatText

    String

    Reason a request was not carried out