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/TrdCaptRpt 

See also: CME STP - Trade Capture Report Party Block Use Cases

FIX TagField NameFIXML Attribute NameData TypeDescriptionNew for BrokerTecOMnet MappingGenium FIX MappingSupported Values
571TradeReportIDRptIDString Unique identifier of trade capture Acknowledgement message.

571
1003TradeIDTrdIDString

The unique ID assigned to the trade entity once it is received or matched by the exchange or central counterparty.

However this value is not unique across all BTEC products i.e. Repo GC, Repo Special/GCF, and cash. 


trade_number_i1003
1040SecondaryTradeIDTrdID2String

Globally unique across different BrokerTec products and recommended to be used to uniquely identify a trade.

For GC Repo, this tag in TradeCaptureReport (35=AE) ties to it's CollateralReport (35=BA).





10036PackageIDPackageIDStringThis field points (forward) to SecondaryTradeID on the trade replacing this trade. This field is only populated when the trade has been replaced as a result of an amendment



487TradeReportTransTypeTransTypintIdentifies Trade Report message transaction type(Prior to FIX 4.4 this field was of type char)New value 4 - Reversal
487

0 - New
1 - Cancel
2 - Replace
4 - Reverse

856TradeReportTypeRptTypintType of Trade Report

856101 - Notification
939TrdRptStatusTrdRptStatintTrade Report Status


0 - Accepted
7 - Terminated

568TradeRequestIDReqIDStringTrade Capture Report Request ID

568
828TrdTypeTrdTypintType of Trade:
trade_type_c828

0 - Regular Trade
1 - Block Trade
2 - EFP (Exchange for physical)
3 - Transfer

11 - Exchange for Risk (EFR)
22 - Over the Counter Privately Negotiated Trades (OPNT)
23 - Substitution of Futures for Forwards
45 - Option exercise

54 - OTC / Large Notional Off Facility Swap 

55 - Exchange Basis Facility (EBF)
57 - Netted trade
58 - Block swap trade
59 - Credit event trade
60 - Succession event trade

829TrdSubTypeTrdSubTypintFurther qualification to the trade type
deal_source_c855

7 - Differential spread
36 - Converted SWAP (Aged Deal)
37 - Crossed Trade (X)
40 - TAS - Traded at settlement
42 - Auction Trade
43 - TAM - Traded at marker
48 - Multilateral Compression
200 - Delivery Transfer

Note: 8 - Implied spread leg executed against an outright (not published for BTec markets).

10021OffsetInstructionOfstInstintIndicates offset or onset due to allocation.


0 - Offset
1 - Onset

830TransferReasonTrnsfrRsnStringReason trade is being transferred


A - Exchange approved transfers between accounts with different beneficial ownership
B - For correcting Rule 527 mis-clears
C - Transfer between accounts in which the underlying beneficial ownership is identical
E - Transfer to correct an error in assignment of account (in-house) or customer/house origin error or firm-to-firm clerical error in clearing a trade
J - For rule 770 transfers
M - Transfer for portfolio margining purposes
N - Transfer of positions to a newly approved clearing firm
O - Option Compression
P - Fungible Transfers and Delivery Transfers (system generated, cannot be submitted by firms)
T - Transfer due to the merger of two or more clearing firms
V - Auto-transfer Offset (system generated, cannot be submitted by firms)
W - Transfer due to withdrawal of a clearing firm
X - For transferring new or offsetting Singapore Exchange executed positions between local firms
Y - Cross Exchange Transfer (OCC)

880TrdMatchIDMtchIDStringIdentifier assigned to a trade by a matching system.
match_id880
820TradeLinkIDLinkIDStringUsed to link a group of trades together. Useful for linking a group of trades together for average price calculations.New fieldworkup_id_n820
2490TradeNumberTrdNumString
New fieldtrade_number_i

20011DealIDDealIDStringBrokerTec Deal ID, common to all participants within an entire trade (not only a match)New fielddeal_number_i20011
17ExecIDExecIDStringUnique identifier of execution message as assigned by sell-side (broker, exchange, ECN) (will be 0 (zero) for ExecType (150)=I (Order Status)).Uniqueness must be guaranteed within a single trading day or the life of a multi-day order. Firms which accept multi-day orders should consider embedding a date within the ExecID field to assure uniqueness across days.(Prior to FIX 4.1 this field was of type int).



527SecondaryExecIDExecID2StringAssigned by the party which accepts the order. Can be used to provide the ExecID (17) used by an exchange or executing system.



10035BlockIDBlckIDStringIndicates the Platform ID of the block trade. Used for IRS.



423PriceTypePxTypintCode 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".New values 9 - Yield, 1005 - Yield Diffpremium_unit_n423

1 - Percentage (i.e. percent of par)

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

6 - Spread (basis points spread)
9 - Yield

10 - Fixed cabinet trade price (primarily for listed futures and options)

11 - Variable cabinet trade price (primarily for listed futures and options)
24 - Interest rate

100 - Tentative placeholder price
101 - Updated actual price

102 - Derived Price Block
1005 - Yield Diff

1430VenueTypeVenuTypcharIdentifies the type of venue where a trade was executedNew value Q - Quote-driven Marketmatch_type_c20009

 
C - Clearing house
E - Electronic
O - Off facility swap

P - Pit

Q - Quote-driven market

R - Registered Market (SEF)

X - Ex-Pit

854QtyTypeQtyTypintType of quantity specified in a quantity field:


0 - Notional / Units
1 - Contract term

32LastQtyLastQtyQtyQuantity (e.g. shares) bought/sold on this (last) fill.(Prior to FIX 4.2 this field was of type int)
trade_quantity_i32
31LastPxLastPxPricePrice of this (last) fill.
deal_price_i31
1056CalculatedCcyLastQtyCalcCcyLastQtyQtyUsed for the calculated quantity of the other side of the currency trade. Can be derived from LastQty and LastPx.



75TradeDateTrdDtLocalMktDateThe trade date assigned to an execution on the trading platform.
created_date_s75
715ClearingBusinessDateBizDtLocalMktDateThe "Clearing Business Date" referred to by this maintenance request.
clearing_date_s715
6AvgPxAvgPxPriceCalculated average price of all fills on this order.For Fixed Income trades AvgPx is always expressed as percent-of-par, regardless of the PriceType (423) of LastPx (31). I.e., AvgPx will contain an average of percent-of-par values (see LastParPx (669)) for issues traded in Yield, Spread or Discount.



442MultiLegReportingTypeMLegRptTypcharUsed to indicate what an Execution Report represents (e.g. used with multi-leg securities, such as option strategies, spreads, etc.).


1 - Single security (default if not specified)
2 - Individual leg of a multi-leg security
3 - Multi-leg security

60TransactTimeTxnTmUTCTimestampTimestamp when the business transaction represented by the message occurred.
asof_date_s + asof_time_s60
2405ExecMethodExecMethintSpecifies whether the transaction was executed via an automated execution platform or other method.


1 - Manual
2 - Automated
64SettlDateSettlDtLocalMktDateSpecific date of trade settlement (SettlementDate) in YYYYMMDD format.If present, this field overrides SettlType (63). This field is required if the value of SettlType (63) is 6 (Future) or 8 (Sellers Option). This field must be omitted if the value of SettlType (63) is 7 (When and If Issued)(expressed in local time at place of settlement)New fieldsettlement_date_s64
779LastUpdateTimeLastUpdateTmUTCTimestamp

Used to indicate the date and time that internal transaction processing of the trade or allocation completed. Should occur on or after the Transaction Time.

Format YYYYMMDD-HH:MM:SS.sTZD (UTC time zone)

Example:  20200520-01:14:39.126000000Z 

modified_date_s + modified_time_s779
1832ClearedIndicatorClrdintIndicates whether the position or trade being reported was cleared through a clearing organization.


0 - Not cleared
1 - Cleared

1924ClearingIntentionClrIntnintIndicates whether or not the parties intend the trade to clear.


0 - Do not intend to clear
1 - Intend to clear

1932ClearingRequirementExceptionClrReqmtExcptnintSpecifies whether a party to a swap is using the clearing requirement exception pursuant to CEA Section 2(h)(7) and Commission regulations.


0 - No exception
1 - Exception
1936TradeCollateralizationTrdCollztnintIndication of trade collateralization.


0 - Uncollateralized
1 - Partially collateralized
2 - One-way collateralized
3 - Fully collateralized

10033DifferentialPriceDiffPxfloatRepresents the Differential Price for Spreads.



10024DifferentialPriceTypeDiffPxTypintThis indicates the type of differential price represented in the Differential Type attribute.


0 - Differential from Settlement Price
1 - Differential between legs

997OrigTimeUnitOrigTmUnitStringSpecifies the Time Unit of the original trade.


D - Day
H - Hour

Min - Minute

Mo - Month
S - Second
Wk - Week
Yr - Year

10037TradingQuantityTrdgQtyQtyIndicates the trading quantity entered, in unit terms (e.g. in MWh), for a trade. This may differ from the cleared quantity, especially in the case of contracts like electricity that follow delivery schedules.



10047ConfirmHubTradeTypeCHTrdTypStringCustom field to represent specific Confirm Hub Trade Types



37711MarketDataTradeEntryIDMDTrdEntrIDintUnique Trade Identifier that will match to a CME Globex order execution, associated market data message and STP messaging



1832ClearedIndicatorClrdint

Indicates whether the position or trade being reported was cleared through a clearing organization.

Note: only sent for Bilateral and Cleared Elsewhere (BaCE) trades.



0 - Not cleared

1 - Cleared
1329FeeMultiplierFeeMultfloatThis is a multiplier that Clearing (Fee system) will use to calculate fees and will be sent to the firms on their confirms.



10053SplitIndicatorSplitIndcharIndicates whether or not a trade is splitNew field

Y - Split trade
N - Whole trade

20043AlternatePriceLastPx2PriceAlternate PriceNew fieldalternate_price_i20043
20056SettlementTradeIDSettlTrdIDStringTrade identifier as assigned by BrokerTec Clearing.New field


99400Clearing Transformation TypeClrTransTypintIndicates the type of Clearing Transformation that generated this Trade.


1- Exercise

2-Assignment

3-General Transformation

4-Delivery Transformation

5-Fungible

719Contrary Instruction IndicatorCntraryInstrctnIndBooleanUsed to indicate when a contrary instruction for exercise or abandonment is being submitted


Y-YES

N-NO

99401Option Exercise Time FrameOptExerTmFmintFor Exercise/Assignment Transformation, this indicates whether or not the resulting Future was the result of an Early Exercise Instruction (Prior to Settlement Date)


1-Early

2-Expiration

30LastMktLastMktExchangeMarket of execution for last fill, or an indication of the market where an order was routedNew field


1116RootPartiesPty





→1117→RootPartyIDIDStringPartyID value within a root parties component. Same values as PartyID (448)



→1118→RootPartyIDSourceSrccharPartyIDSource value within a root parties component. Same values as PartyIDSource (447)


N - LEI

→1119→RootPartyRoleRintPartyRole value within a root parties component. Same values as PartyRole (452)


73 - Execution Venue


InstrumentInstrmt






FinancingDetailsFinDetls





916→StartDateStartDtLocalMktDateStart date of a financing deal, i.e. the date the buyer pays the seller cash and takes control of the collateralNew fieldstart_date_s916
917→EndDateEndDtLocalMktDateEnd date of a financing deal, i.e. the date the seller reimburses the buyer and takes back control of the collateralNew fieldend_date_s917
40212PaymentGrpPmt





711UndInstrmtGrpUndly





753PositionAmountDataAmt





→707→PosAmtTypeTypStringType of Position amount


CRES - Cash Residual Amount
ICPN - Initial Trade Coupon Amount
IPMT - Upfront Payment
PREM - Premium Amount

TVAR - Trade Variation Amount

→708→PosAmtAmtAmtPosition amount



→1055→PositionCurrencyCcyStringThe Currency in which the position Amount is denominated



555TrdInstrmtLegGrpTrdLeg





552TrdCapRptSideGrpRptSide





2668TrdRegPublicationGrpTrdRegPublctn





→2669→TrdRegPublicationTypeTypint
New field

2 - Exempt from publication
→2670→TrdRegPublicationReasonRsnint
New field

12 - Exempted due to European System of Central Banks (ESCB) policy transactions