The Trade Capture Report Request (tag 35-MsgTyp=AD) message is used by FIX Client to:
- Subscribe (with or without filters) for or unsubscribe from CME Group trades
- Request snapshot of CME Group trades.
FIX Client can specify the following filters in subscription and snapshot requests.
| Filter | Recommended request type | Comments | |
|---|---|---|---|
| Subscription | Snapshot | ||
| TradeID | N | Y | CME Front End Clearing (FEC) Firm Trade ID. |
Secondary Trade ID | N | Y | Unique across all trade dates and all clearing firms. |
Client Order ID | N | Y | OrderID provided for CME Globex trades and the Order ID for Pit trades. |
Instrument details
| Y | Y | Security Exchange and Security Type can be used independently, when Security ID should always be accompanied by Security Exchange. |
Clearing Business Date | Y | Y | One date can be specified per request. |
MultiLeg Reporting Type | Y | Y |
|
Trade Date(s) | Y | Y | Only one trade is allowed. The request will be rejected if more than one Trade date is provided. |
Trade Input Source | Y | Y | The trade input sources. |
| Include Collateral Indicator | Y | Y | Indicates whether collateral should be returned in request result. Optional
|
CME STP supports implied and non-implied Curve Ratio (RV) Spreads for US Treasury Actives, reflected in MLegRptTyp=2 (leg of spread) messages.
MLegRptTyp=3 (spread) messages are only reflected on non-implied Curve Ratio(RV) spreads messages.
Please see Curve Ratio (RV) Spread use cases here: CME STP FIX - Curve Ratio (RV) Spreads Use Cases.
- Use of tag 779-LastUpdateTime: Subscription requests should be equipped with tag 779-LastUpdateTime specifying the start time for subscription. Request without tag 779-LastUpdateTime will default to current date and time. This tag is not used for Snapshot requests and thus will be ignored if present.
- Use of 9593-StartTime and optional tag 9594-EndTime: Snapshot requests should be equipped with mandatory tag 9593-StartTime and optional tag 9594-EndTime. Absent end time means that the request covers the period from start time up to current time. Requests without start time will be rejected. This tag is not used for Subscription requests and thus will be ignored if present.
- Support for Multiple FirmIDs:
- Each Snapshot and Subscription request can be made for one or multiple FirmIDs. It is required that all FirmIDs specified within a single request have the same role (Trading Firm, Brokerage Firm, or Asset Manager). Requests containing multiple FirmIDs with different party roles will be rejected
/TrdCaptRptReq
| FIX Tag | Field Name | FIXML Attribute Name | Data Type | Description | New for BrokerTec | OMnet Mapping | Genium FIX Mapping | Supported Values |
|---|---|---|---|---|---|---|---|---|
| 568 | TradeRequestID | ReqID | String | Required Trade Capture Report Request ID | 568 | |||
| 1003 | TradeID | TrdID | String | The unique ID assigned to the trade entity once it is received or matched by the exchange or central counterparty. | ||||
| 1040 | SecondaryTradeID | TrdID2 | String | Used to carry an internal trade entity ID which may or may not be reported to the firm | ||||
| 569 | TradeRequestType | ReqTyp | int | Type of Trade Capture Report. | 0 - All Trades (NOTE: this is only available for the FIX API, not the FIXML API) | |||
| 263 | SubscriptionRequestType | SubReqTyp | char | Subscription Request Type | 263 | 0 - Snapshot | ||
| 11 | ClOrdID | ClOrdID | String | Unique identifier for Order as assigned by the buy-side (institution, broker, intermediary etc.) (identified by SenderCompID (49) or OnBehalfOfCompID (5) as appropriate). Uniqueness must be guaranteed within a single trading day. Firms, particularly those that electronically submit multi-day orders, trade globally or throughout market close periods, should ensure uniqueness across days, for example by embedding a date within the ClOrdID field. | ||||
| 715 | ClearingBusinessDate | BizDt | LocalMktDate | The "Clearing Business Date" referred to by this maintenance request. | ||||
| 442 | MultiLegReportingType | MLegRptTyp | char | Used to indicate what an Execution Report represents (e.g. used with multi-leg securities, such as option strategies, spreads, etc.). |
| |||
| 578 | TradeInputSource | InptSrc | String | Type of input device or system from which the trade was entered. Possible values include: BTC - BrokerTec Clearing, BTD - BrokerTec Direct, GLBX - Globex, XPIT - Externally registered | BTC, BTD | |||
| 779 | LastUpdateTime | LastUpdateTm | UTCTimestamp | Date/time which subscription should start pull data from. Format: YYYYMMDD-HH:MM:SS (UTC time zone)
This tag is not used for Snapshot requests and will be ignored if present. Example: 20200514-06:20:37 | ||||
| 9593 | StartTime | StartTm | UTCTimestamp | Start date/time of snapshot request. Format: YYYYMMDD-HH:MM:SS (UTC time zone) Required for Snapshot requests (tag 263- SubscriptionRequestType =0) FIX Client is allowed to submit requests covering period of 31 calendar days. | ||||
| 9594 | EndTime | EndTm | UTCTimestamp | End date/time of snapshot or subscription request. Optional for Snapshot requests (tag 263- SubscriptionRequestType =0) Format: YYYYMMDD-HH:MM:SS (UTC time zone) FIX Client is allowed to submit requests covering period of 31 calendar days. | ||||
| 10059 | IncludeCollateralIndicator | CollInd | char | Indicates whether collateral should be returned in request result. | New field. | Y - Yes | ||
| 453 | Parties | Pty | ||||||
| 448 | →PartyID | ID | String | Party identifier/code. See PartyIDSource (447) and PartyRole (452). | ||||
| 452 | →PartyRole | R | int | Identifies the type or role of the PartyID (448) specified. | 7 - Trading (Entering) Firm 30 - Inter Dealer Broker 49 - Asset Manager 79 - Prime Broker | |||
| Instrument | Instrmt | |||||||
| 55 | →Symbol | Sym | String | Ticker symbol. Common, "human understood" representation of the security. SecurityID (48) value can be specified if no symbol exists (e.g. non-exchange traded Collective Investment Vehicles)Use "[N/A]" for products which do not have a symbol. | New field. | |||
| 48 | →SecurityID | ID | String | The Clearing Product ID. | ||||
| 167 | →SecurityType | SecTyp | String | Indicates type of security. Security type enumerations are grouped by Product(460) field value. NOTE: Additional values may be used by mutual agreement of the counterparties. | New values BOND, EUSOV, EUSUP, FUT, MLEG, REPO, SOV, SUPRA, TB, TBA, TBILL, TBOND, TNOTE | BOND - Bond (generic) EUSOV - Euro Sovereigns EUSUP - Euro Supranational Coupons FRA - Forward Rate Agreement FUT - Future FWD - Forward IRS - Interest Rate Swap MLEG - Multi Leg (Combo) OPT - Option REPO - Repurchase SOV - UK Gilt SUPRA - USD Supranational Coupons SWAPTION - Swaption TB - Treasury Bill - non US TBA - To Be Announced TBILL - US Treasury Bill TNOTE - US Treasury Note | ||
| 207 | →SecurityExchange | Exch | Exchange | Market used to help identify a security. | New values BTEU, BTUS | BTEU - BrokerTec EU BTUS - BrokerTec US CBT - Chicago Board of Trade CEE - Stock Exchange Group CMD - Credit Default Swap Exchange CME - Chicago Mercantile Exchange COMEX - Commodities Exchange, Inc DME - Dubai Mercantile Exchange FXS - FX Spot IFUS - Intercontinental Exchange NGXC - Natural Gas Exchange NODX - Nodal NYMEX - New York Mercantile Exchange NYMSW - CME Swaps - NYMEX VMAC - VMAC XNAS - Nasdaq XXXX - OTC Trades | ||
| 580 | TrdCapDtGrp | TrdCapDt | ||||||
| 75 | →TradeDate | TrdDt | LocalMktDate | Indicates 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). |