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CME STP FIX uses the Trade Capture Report (tag 35-MsgType=AE) message to send trades matching criteria stated in Trade Capture Report Request (tag 35-MsgType = AD) to FIX Client.   

Use this search bar to search within CME STP FIX - Trade Capture Report:

Messages are comprised of elements, which may be non-repeating or repeating. Elements contain Attributes that define the trade characteristics.

  • Repeating Elements are indicated by "(repeating)" in the gray highlighted Element definition row.
  • Some Elements, such as Instrument (Instrmt), have a large number of attributes, and are therefore allocated their own page.
  • The first defined Element level on any specification page is considered the highest level for that page. Elements may have sub-elements on the same page, as indicated by an arrow () preceding the field name.
  • A sub-element one level down contains an arrow preceding it in the field name, for example:

→ Sender ID

Elements two levels down will have two preceding arrows:

→→ Leg Underlying Product Code

  • The highest level on any page will not be preceded by an arrow, though it may still be a sub-element. For example, Instrument is a sub-element of Trade Capture Report Message, but because it is the highest level for that page, the Field Names will not be preceded by an arrow.

The first field in a repeating group is the leading tag, and mandatory when the corresponding tag indicating the number of blocks in the group (format = NuminGroup) is greater than 0. This allows implementations of the Protocol to use the first field as a "delimiter" indicating a new repeating group entry. If a repeating group field is listed as required, then it must appear in every repeated instance of that repeating group. Nested repeating groups are designated within the message definition with '→' and a repeating tag within a repeating group is designated with double indentation'→→'

TagNameFIXML AbbrReqFormatDescriptionEnumerations
Standard Message Header
Y
Tag 35-MsgType = AE
571TradeReportIDRptID NString

Identifies the specific trade report being sent. This is usually the unique message ID for the trade being reported. However, legs of spreads can share the same message ID. TrdID2 and RptID together form a unique key.


1003Trade IDTrdID NStringTrade ID for the trade entity is assigned by the CME clearing system. It is unique per trade side/leg and for the (trading firm / executing firm) and exchange for a given Trade Date. Trade ID will not change during the life of the trade. Note that should a trading firm do business with multiple clearing firms, Trade ID may not be unique. Will not be present for IRS/FRA trades.
1040Secondary Trade IDTrdID2
NStringUsed to carry a secondary trade ID. Unlike TrdID, this is unique across all trade dates and all clearing firms.
10036Package ID PackageID NStringA value that identifies the group of trades or a portfolio of trades cleared simultaneously under the one Package ID.
487TradeReportTransTypeTransTyp NintIndicates the action being taken on a trade. Note that STP does not guarantee new trades must be reported with New(0) prior to reports of Replace(2). STP will initially report Clearport trades using Replace(2).
  • 0 - New
  • 1 - Cancel
  • 2 - Replace
856TradeReportTypeRptTyp
NintIndicates the purpose of the trade within the workflow and determines the action of the receiver of the trade.101 - Notification

939TradeStatusTrdRptStat
NintIndicates the status of the trade in clearing.0 - Accepted

568TradeRequestIDReqID
NStringRequest ID returns the same value sent on the Trade Capture Report Request.
828TradeTypeTrdTyp NintSpecifies the type of trade reported by CME Clearing. Used to distinguish a significant difference in the regulatory or economic requirements surrounding the trade.
  • 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
829TradeSubTypeTrdSubTyp
NintRepresents the CME Trade Type Subset, TAS Flag & the APS Offset and Onset Flag.
  • 7 - Differential spread
  • 8 - Implied spread leg executed against an outright
  • 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
10021Offset InstructionOfstInst
NintIndicates offset or onset due to allocation.
  • 0 - Offset
  • 1 - Onset

830



Transfer ReasonTransferReasonNStringReason why the 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 

880TrdMatchIDMtchID NStringTrade Match ID is assigned by the matching engine or clearing system and used to correlate a cleared trade with a match event. Should be common for all trade sides included in a match event. For CME ClearPort, this represents the deal number and always links strategies. For CME Globex and Floor, this links calendar spreads only. Will not be present for IRS/FRA trades.
17ExecIDExecID NStringExchange assigned execution ID (trade identifier). ExecID will be present for on-exchange trades and blocks, including Invoice Swap Spreads. ExecID will not be present for off-exchange IRS/FRA trades.
527SecondaryExecIDExecID2 NStringThis is used to communicate the execution ID of the originating platform, e.g. the ClearPort execution ID.
10035BlockIDBlckID
NStringContains the platform-assigned block ID for the trade.
423Price TypePxTyp
NintIndicates the type of the price associated with the trade. Will not be present for IRS/FRA trades.
  • 1 - Percentage (i.e. percent of par)
  • 2 - Per unit (i.e. per share or contract)
  • 10 - Fixed cabinet trade price (primarily for listed futures and options)
  • 11 - Variable cabinet trade price (primarily for listed futures and options)
  • 100 - Tentative placeholder price
  • 101 - Updated actual price
1430VenueTypeVenuTyp NcharIdentifies the type of venue where a trade was executed.
  • C - Clearing house
  • E - Electronic
  • O - Off facility swap
  • P - Pit
  • R - Registered Market (SEF)
  • X - Ex-Pit
854QuantityTypeQtyTyp NintIndicates the type of quantity being represented in the Last Quantity. The quantity type defaults to what is specified in the contract specifications.
  • ‘0’ (Notional/Units)  
  • '1' (Contracts (Default -should specify ContractMultiplier (tag 231)))
32TradeQuantityLastQty
YQtyThe quantity of the trade.
31TradePriceLastPx YPriceThe price of the trade. Will not be present for IRS/FRA/SWAPTION trades.
1056Calculation Currency Last QuantityCalcCcyLastQtyNQtyUsed in calculating the quantity of the other side of the currency trade.
75TradeDateTrdDt
YLocalMktDateThe trade date assigned to an execution on the trading platform.
715ClearingBusinessDateBizDt NLocalMktDateThe date on which a trade is formally cleared and settled.
6AveragePriceAvgPx NPriceCalculated average price. Will be populated for Average Price System (APS) transactions only.
442

MultiLegReportingType

MLegRptTyp
YcharIndicates if a trade is being reported as a single-leg outright, the leg of a spread, or a multi-leg trade report.
  • 1 - Single security (default if not specified)
  • 2 - Individual leg of a multi-leg security
  • 3 - Multi-leg security
60TransactTimeTxnTm
NUTCTimestamp

The time of the transaction, e.g. the date and time of a trade, allocation, etc. Will not be present for IRS/FRA trades.

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

Example:  20200520-01:14:39.126000000Z 


2405ExecutionMethodExecMeth NintSpecifies the transaction was executed manually via Confirm Hub.

1 - Manual

779LastUpdateTimeLastUpdateTmNUTCTimestamp

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 


1832Cleared IndicatorClrd
NintIndicates whether the position or trade being reported was cleared through a clearing organization.
  • 0 - Not cleared
  • 1 - Cleared
1924Clearing IntentionClrIntn
NintIndicates whether or not the parties intend the trade to clear.
  • 0 - Do not intend to clear
  • 1 - Intend to clear
1932Clearing Requirement ExceptionClrReqmtExcptn
NintSpecifies 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
1936CollateralizationTrdCollztn NintIndication of trade collateralization.
  • 0 - Uncollateralized
  • 1 - Partially collateralized
  • 2 - One-way collateralized
  • 3 - Fully collateralized
10033DifferentialPriceDiffPx
Nfloat

Represents the differential price for spreads, or a TAS or TAM differental price.

Note:  Not supported for CPC-entered Calendar Spreads


10024DifferentialPriceTypeDiffPxTyp Nint

This indicates the type of differential price represented in the Differential Price attribute.

Note:  Not supported for CPC-entered Calendar Spreads

  • 0 - Differential from Settlement Price
  • 1 - Differential between legs
997OriginalTimeUnitOrigTmUnit NStringSpecifies the Time Unit of the original trade, e.g. whether it was entered as contracts per day or per month. Note that all trades are normalized to default units in STP, regardless of the units originally used to enter the trade.
  • D - Day
  • H - Hour
  • Min - Minute
  • Mo - Month
  • S - Second
  • Wk - Week
  • Yr - Year
10037TradingQuantityTrdgQty NQtyQuantity per Original Time Unit as submitted on a CME ClearPort API trade report when a product has multiple time units, or, Product Variable Quantity Unit (VQU) is not 'S' (standard), and the product subtype (Monthly, daily, weekly) is not equal to the time unit entered for the trade.
10047ConfirmHubTradeTypeCHTrdTyp
NStringCustom field to represent specific Confirm Hub Trade Types
37711Market Data Trade Entry ID

MDTrdEntrID 

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


1832Cleared IndicatorClrdNint

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
830Transfer ReasonTransferReasonNStringThe reason a trade is being transferred.
1329Fee MultiplierFeeMultNFloatMultiplier that Clearing (Fee system) will use to calculate fees and will be sent to the firms on their confirms.
99400Clearing Transformation TypeClrTransTyp Nint

Indicates the type of Clearing Transformation that generated this Trade.

1- Exercise

2-Assignment

3-General Transformation

4-Delivery Transformation

5-Fungible

719Contrary Instruction IndicatorCntraryInstrctnInd NBoolean

Used to indicate when a contrary instruction for exercise or abandonment is being submitted

Y-YES

N-NO

99401Option Exercise Time FrameOptExerTmFm Nint

For 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

RootParties (repeating) Pty

1116

NoRootPartyIDs


N

NumInGroup

Number of entries in block.


→1117Root Party IDID
NStringUsed to identify the Party.
→1118Root Party ID SourceSrc NcharUsed to identify the source of the Party.N - LEI
→1119Root Party RoleR NintIndicates the type or role of the Party.73 - Execution Venue

Instrument Instrmt
PaymentGrp (repeating) Pmt
40212NoPayments
NNumInGroup

→40213PaymentTypeTypNintType of payment.10 - Option Premium
→40214Payment Pay SidePaySide
NintSide value of party paying the payment.
  • 1 - Buy
  • 2 - Sell
→40215Payment Receive SideRcvSide NintSide value of party receiving the payment.
  • 1 - Buy
  • 2 - Sell
→40216Payment CurrencyCcy
NCurrencySpecifies the currency in which PaymentAmount(tbd) and/or PaymentRate(tbd) is denominated. Uses ISO 4271 currency codes.
→ 40217Payment AmountAmt
NAmtThe total payment amount.
→ 40222Payment Date AdjustedDtN LocalMktDateThe adjusted payment date.
UndInstrmtGrp (repeating)
Undly



PositionAmountData (repeating) Amt

753NoPosAmt
N


→707Amount TypeTyp
NStringThe type of the position amount represented.
  • CRES - Cash Residual Amount
  • ICPN - Initial Trade Coupon Amount
  • IPMT - Upfront Payment
  • PREM - Premium Amount
  • TVAR - Trade Variation Amount
→708AmountAmt NAmtThe position amount represented.
→1055Amount CurrencyCcy NStringThe currency associated with the position amount represented.
TrdInstrmtLegGrp (repeating) TrdLeg
TrdCapRptSideGrp (repeating) RptSide
Standard Message Trailer