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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.

FilterRecommended request typeComments
SubscriptionSnapshot
TradeIDNYCME 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

  • Security ID
  • Security Exchange
  • Security Type

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

  • Default '2' (Request outright deals and Individual legs of multileg security), 
  • '3' (Request outright deals and summary for multileg deals).

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 IndicatorYY

Indicates whether collateral should be returned in request result.

Optional

  • N - No
  • Y - Yes (default)

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.

Tag 779-LastUpdateTime timestamp on the received Trade Capture Report (tag 35-MsgTyp=AE) messages may be greater, equal to or less than the Tag 779-LastUpdateTime value specified in the Subscription(tag 263-SubscriptionRequestType=1) for the Trade Capture Report Request (tag 35-MsgTyp=AD) message.
  • 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 TagField NameFIXML Attribute NameData TypeDescriptionNew for BrokerTecOMnet MappingGenium FIX MappingSupported Values
568TradeRequestIDReqIDStringRequired Trade Capture Report Request ID

568
1003TradeIDTrdIDStringThe unique ID assigned to the trade entity once it is received or matched by the exchange or central counterparty.



1040SecondaryTradeIDTrdID2StringUsed to carry an internal trade entity ID which may or may not be reported to the firm



569TradeRequestTypeReqTypintType of Trade Capture Report.


0 - All Trades (NOTE: this is only available for the FIX API, not the FIXML API)
1 - Matched trades matching criteria provided on request (Parties, ExecID, TradeID, OrderID, Instrument, InputSource, etc.)
3 - Unreported trades that match criteria

263SubscriptionRequestTypeSubReqTypcharSubscription Request Type

263

0 - Snapshot
1 - Snapshot + Updates (Subscribe)

11ClOrdIDClOrdIDStringUnique 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.



715ClearingBusinessDateBizDtLocalMktDateThe "Clearing Business Date" referred to by this maintenance request.



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


  • Default '2' (Request outright deals and Individual legs of multileg security), 
  • '3' (Request outright deals and summary for multileg deals).

578TradeInputSourceInptSrcStringType of input device or system from which the trade was entered. Possible values include: BTC - BrokerTec Clearing, BTD - BrokerTec Direct, GLBX - Globex, XPIT - Externally registeredBTC, BTD


779LastUpdateTimeLastUpdateTmUTCTimestamp

Date/time which subscription should start pull data from.

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

  • Request without tag 779-LastUpdateTime will default to current date and time.

This tag is not used for Snapshot requests and will be ignored if present.

Example: 20200514-06:20:37





9593StartTimeStartTmUTCTimestamp

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.





9594EndTimeEndTmUTCTimestamp

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.





10059IncludeCollateralIndicatorCollIndcharIndicates whether collateral should be returned in request result.New field.

Y - Yes
N - No

453PartiesPty





448→PartyIDIDStringParty identifier/code. See PartyIDSource (447) and PartyRole (452). 



452→PartyRoleRintIdentifies the type or role of the PartyID (448) specified.


7 - Trading (Entering) Firm

30 - Inter Dealer Broker

49 - Asset Manager

79 - Prime Broker


InstrumentInstrmt





55→SymbolSymStringTicker 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→SecurityIDIDStringThe Clearing Product ID.



167→SecurityTypeSecTypStringIndicates 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

TBOND - US Treasury Bond

TNOTE - US Treasury Note

207→SecurityExchangeExchExchangeMarket 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

580TrdCapDtGrpTrdCapDt





75→TradeDateTrdDtLocalMktDateIndicates 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).