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'→→'
|Standard Message Header||Y||Tag 35-MsgType = AE|
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.
|1003||Trade ID||N||String||Trade 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.|
|1040||Secondary Trade ID||N||String||Used to carry a secondary trade ID. Unlike TrdID, this is unique across all trade dates and all clearing firms.|
|10036||Package ID||N||String||A value that identifies the group of trades or a portfolio of trades cleared simultaneously under the one Package ID.|
|487||TradeReportTransType||N||int||Indicates 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).|
|856||TradeReportType||N||int||Indicates the purpose of the trade within the workflow and determines the action of the receiver of the trade.||101 - Notification|
|939||TradeStatus||N||int||Indicates the status of the trade in clearing.||0 - Accepted|
|568||TradeRequestID||N||String||Request ID returns the same value sent on the Trade Capture Report Request.|
|828||TradeType||N||int||Specifies the type of trade reported by CME Clearing. Used to distinguish a significant difference in the regulatory or economic requirements surrounding the trade.|
|829||TradeSubType||N||int||Represents the CME Trade Type Subset, TAS Flag & the APS Offset and Onset Flag.|
|10021||Offset Instruction||N||int||Indicates offset or onset due to allocation.|
|Transfer Reason||TransferReason||N||String||Reason why the trade is being transferred|
A - Exchange approved transfers between accounts with different beneficial ownership
O - Option Compression
|880||TrdMatchID||N||String||Trade 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.|
|17||ExecID||N||String||Exchange 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.|
|527||SecondaryExecID||N||String||This is used to communicate the execution ID of the originating platform, e.g. the ClearPort execution ID.|
|10035||BlockID||N||String||Contains the platform-assigned block ID for the trade.|
|423||Price Type||N||int||Indicates the type of the price associated with the trade. Will not be present for IRS/FRA trades.|
|1430||VenueType||N||char||Identifies the type of venue where a trade was executed.|
|854||QuantityType||N||int||Indicates the type of quantity being represented in the Last Quantity. The quantity type defaults to what is specified in the contract specifications.|
|32||TradeQuantity||Y||Qty||The quantity of the trade.|
|31||TradePrice||Y||Price||The price of the trade. Will not be present for IRS/FRA/SWAPTION trades.|
|1056||Calculation Currency Last Quantity||CalcCcyLastQty||N||Qty||Used in calculating the quantity of the other side of the currency trade.|
|75||TradeDate||Y||LocalMktDate||The trade date assigned to an execution on the trading platform.|
|715||ClearingBusinessDate||N||LocalMktDate||The date on which a trade is formally cleared and settled.|
|6||AveragePrice||N||Price||Calculated average price. Will be populated for Average Price System (APS) transactions only.|
|Y||char||Indicates if a trade is being reported as a single-leg outright, the leg of a spread, or a multi-leg trade report.|
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)
|2405||ExecutionMethod||N||int||Specifies the transaction was executed manually via Confirm Hub.|
1 - Manual
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)
|1832||Cleared Indicator||N||int||Indicates whether the position or trade being reported was cleared through a clearing organization.|
|1924||Clearing Intention||N||int||Indicates whether or not the parties intend the trade to clear.|
|1932||Clearing Requirement Exception||N||int||Specifies whether a party to a swap is using the clearing requirement exception pursuant to CEA Section 2(h)(7) and Commission regulations.|
|1936||Collateralization||N||int||Indication of trade collateralization.|
Represents the differential price for spreads, or a TAS or TAM differental price.
Note: Not supported for CPC-entered Calendar Spreads
This indicates the type of differential price represented in the Differential Price attribute.
Note: Not supported for CPC-entered Calendar Spreads
|997||OriginalTimeUnit||N||String||Specifies 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.|
|10037||TradingQuantity||N||Qty||Quantity 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.|
|10047||ConfirmHubTradeType||N||String||Custom field to represent specific Confirm Hub Trade Types|
|37711||Market Data Trade Entry ID|
|N||int||Unique Trade Identifier that will match to a CME Globex order execution, associated market data message and STP messaging.|
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 cleared1 - Cleared
|830||Transfer Reason||TransferReason||N||String||The reason a trade is being transferred.|
|1329||Fee Multiplier||FeeMult||N||Float||Multiplier that Clearing (Fee system) will use to calculate fees and will be sent to the firms on their confirms.|
|99400||Clearing Transformation Type||N||int|
Indicates the type of Clearing Transformation that generated this Trade.
|719||Contrary Instruction Indicator||N||Boolean|
Used to indicate when a contrary instruction for exercise or abandonment is being submitted
|99401||Option Exercise Time Frame||N||int|
For Exercise/Assignment Transformation, this indicates whether or not the resulting Future was the result of an Early Exercise Instruction (Prior to Settlement Date)
Number of entries in block.
|→1117||Root Party ID||N||String||Used to identify the Party.|
|→1118||Root Party ID Source||N||char||Used to identify the source of the Party.||N - LEI|
|→1119||Root Party Role||N||int||Indicates the type or role of the Party.||73 - Execution Venue|
|→40213||PaymentType||Typ||N||int||Type of payment.||10 - Option Premium|
|→40214||Payment Pay Side||N||int||Side value of party paying the payment.|
|→40215||Payment Receive Side||N||int||Side value of party receiving the payment.|
|→40216||Payment Currency||N||Currency||Specifies the currency in which PaymentAmount(tbd) and/or PaymentRate(tbd) is denominated. Uses ISO 4271 currency codes.|
|→ 40217||Payment Amount||N||Amt||The total payment amount.|
|→ 40222||Payment Date Adjusted||Dt||N||LocalMktDate||The adjusted payment date.|
|→707||Amount Type||N||String||The type of the position amount represented.|
|→708||Amount||N||Amt||The position amount represented.|
|→1055||Amount Currency||N||String||The currency associated with the position amount represented.|
|Standard Message Trailer|