CME STP FIX for BrokerTec Library

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Standard Header from CME STP FIX to Client System for BrokerTec Trades —

FIX Tag	Field Name	Req	Data Type	Description	Supporting Values
8	BeginString	Y	String	Identifies beginning of new message and protocol version. Always unencrypted, must be first field in message.	FIX4.4
9	BodyLength	Y	Length	Message length, in bytes, forward to the CheckSum field. Always unencrypted, must be second field in message.
35	MsgType	Y	String	Defines message type. Always unencrypted, must be third field in message.
49	SenderCompID	Y	String	Assigned value used to identify firm sending message. Format: ‘CMESTPFIX#’ The value will be increased for each new user at the Firm, e.g., CMESTPFIX1, CMESTPFIX2, CMESTPFIX3, etc. Always unencrypted.
50	SenderSubID	N	String	Only applicable value is 'STP'. Will be populated by CME STP if 57-TargetSubID is provided by client on Session Logon Request.
56	TargetCompID	Y	String	Assigned value as defined by CME Group used to identify receiving firm. Always unencrypted.
57	TargetSubID	N	String	CME STP will populate this value from 50-SenderSubID if provided by client Session Logon Request. Will be present in all messages routed CME STP back to FIX Clients. Always unencrypted.
34	MsgSeqNum	Y	SeqNum	Integer message sequence number.
43	PossDupFlag	N	Boolean	Indicates possible retransmission of message with this sequence number. Required for retransmitted messages.	‘Y’ (Possible duplicate) 'N' (Original transmission)
97	PossResend	N	Boolean	Indicates that message may contain information that has been sent under another sequence number.	‘Y’ (Possible resend) ‘N’ (Original transmission)
52	SendingTime	Y	UTCTimestamp	Time of message transmission (expressed in UTC). UTC Timestamps are sent in number of nanoseconds since Unix epoch synced to a master clock to microsecond accuracy. YYYYMMDD-HH:MM:SS.sss Can be embedded within encrypted data section.
122	OrigSendingTime	N	UTCTimestamp	Original time of message transmission when transmitting messages as the result of resend request (expressed in UTC). UTC Timestamps are sent in number of nanoseconds since Unix epoch synced to a master clock to microsecond accuracy. Required for message resent as a result of a resend request.

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CME STP FIX - CollateralReport for BrokerTec Trades —

FIX Tag	Field Name	FIXML Attribute Name	Data Type	Description	New for BrokerTec	OMnet Mapping	Supported Values
908	CollRptID	RptID	String	Collateral Report Identifier
894	CollReqID	ReqID	String	Collateral Request Identifier
20048	CollateralAllocationID	CollID	String	Globally unique identifier of the collateral allocation.
20049	CollateralAllocationNumber	CollNo	String	Human-readable identifier for the collateral allocation.		allocation_item_number_n
20051	OriginalCollateralAllocationID	OrigCollID	String	In a substitution, this is the CollID of the allocation that was substituted.
20052	OriginalCollateralAllocationNumber	OrigCollNo	String	In a substitution, this is the CollNo of the allocation that was substituted.		orig_item_number_n
60	TransactTime	TxnTm	UTCTimestamp	Timestamp when the business transaction represented by the message occurred.		created_date_s + created_time_s
779	LastUpdateTime	LastUpdateTm	UTCTimestamp	Timestamp of last update to data item (or creation if no updates made since creation).		modified_date_s + modified_time_s
20012	CollateralReportTransactionType	TransTyp	String	Transaction type of the Collateral Report		broadcast_reason	1 - Trade registered 2 - Allocation registered 3 - Substitution registered 6 - Trade is cancelled 7 - Substitution/allocation cancelled 8 - Replace
910	CollStatus	Stat	int	Collateral Status		is_substitution_c	0 - Unassigned 3 - Assigned (Accepted) 1001 - Substituted 1002 - Cancelled
20015	TradeCollateralStatus	TrdCollStat	String	Collateral status of the trade.		allocation_state	0 - Unallocated 1 - Partially allocated 2 - Fully allocated
20016	MaximumCollateralCount	MaxColl	Int	Maximum number of different securities that can be allocated to the trade.		max_nbr_securities_c
1040	SecondaryTradeID	TrdID2	String	Used to carry an internal trade entity ID which may or may not be reported to the firm
53	Quantity	Qty	Qty	Quantity allocated in this Allocation Item		allocated_quantity_i
54	Side	Side	char	Side of order		bought_or_sold	1 - Buy 2 - Sell
44	Price	Px	Price	Price per unit of quantity (e.g. per share)		clean_value_i
20050	DirtyPrice	DirtPx	Price	Dirty price		collateral_value_i
159	AccruedInterestAmt	AcrdIntAmt	Amt	Amount of Accrued Interest for convertible bonds and fixed income		accrued_money_q
921	StartCash	StartCsh	Amt	Starting dirty cash consideration of a financing deal, i.e. paid to the seller on the Start Date.		start_consideration_q
922	EndCash	EndCsh	Amt	Ending dirty cash consideration of a financing deal. i.e. reimbursed to the buyer on the End Date.		end_consideration_q
20054	TotalStartCash	TotStartCsh	Amt	Total start cash of the trade.
20053	TotalEndCash	TotEndCsh	Amt	Total end cash of the trade.		end_consideration_q
715	ClearingBusinessDate	BizDt	LocalMktDate	The "Clearing Business Date" referred to by this maintenance request.		start_consideration_q
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).		created_date_s
20028	SubstitutionIndicator	SubInd	String	Indicates the status of the substitution.		is_alloc_new_c	2 - Original 3 - Substitution 4 - Remainder
20031	SubstitutionsRemaining	SubRmng	int	Number of remaining rights of substitution.		remaining_subs_i
5149	Memo	Mem	String	Free format text field. Supported as follows, depending on source: CME Globex: Supported for all Globex-entered trades. CME Direct: Supports the Memo field value for the non-alleged counterparty when there is an allege and a claim. If both sides allege, then the Memo field is supported on both sides. CME ClearPort GUI: Supports the Memo field value for the non-alleged counterparty. CME ClearPort API: For single-sided submissions, supports the Memo field value for the non-alleged counterparty when there is an allege and a claim. If both sides allege, then the Memo field is supported on both sides. For dual-sided submissions, the Memo field supported on either or both sides, depending on the API submission. A note can be submitted for buy side and the sell side, and they can be different notes.		customer_info_s
20056	SettlementTradeID	SettlTrdID	String	Trade identifier as assigned by BrokerTec Clearing.
30	LastMkt	LastMkt	Exchange	Market of execution for last fill, or an indication of the market where an order was routed.	New field
453	Parties(repeating)	Pty
	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.		long_name
48	→SecurityID	ID	String	The Clearing Product ID.		coll_isin_code_s
22	→SecurityIDSource	Src	String	Identifies class or source of the SecurityID value.			1 - CUSIP 4 - ISIN number H - Clearing House / Clearing Organization
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.			BOND - Bond (generic) EUSOV - Euro Sovereigns EUSUP - Euro Supranational Coupons FUT - Future REPO - Repurchase SOV - UK Gilt SUPRA - USD Supranational Coupons TINT - Interest Strip TB - Treasury Bill - non US TBA - To Be Announced TIPS - Treasury Inflation Protected Security TBILL - US Treasury Bill TBOND - US Treasury Bond TNOTE - US Treasury Note FAC - US Federal Agency Coupon TFRN - US Treasury Floating Rate Note
107	→SecurityDesc	Desc	String	Can be used to provide an optional textual description for a financial
37513	→GUID	GUID	String	Globally unique identifier.
	FinancingDetails	FinDetls
916	→StartDate	StartDt	LocalMktDate	Start date of a financing deal, i.e. the date the buyer pays the seller cash and takes control of the collateral		start_date_s
917	→EndDate	EndDt	LocalMktDate	End date of a financing deal, i.e. the date the seller reimburses the buyer and takes back control of the collateral		end_date_s
1907	RegulatoryTradeIDGrp	RegTrdID
1903	→RegulatoryTradeID	ID	String	Regulatory Trade ID. Will be used to communicate the Unique Swap Identifier associated with a trade execution as required by the CFTC.
1905	→RegulatoryTradeIDSource	Src	String	ID of reporting entity assigned by regulatory agency.
1904	→RegulatoryTradeIDEvent	Evnt	int	Event causing origination of the ID. For combinations, use the higher enumeration value. E.g. for Allocation plus Clearing use the value 2.			0 - Initial block trade
1906	→RegulatoryTradeIDType	Typ	int	Position of ID in trade hierarchy.	New value: 5		0 - Current (the default) 5 - Trading venue transaction identifier
1647	RelatedInstrumentGrp	ReltdInstrmt
1651	→RelatedSecurityIDSource	Src	String	Identifies class or source of the RelatedSecurityID (1650) value.			1 - CUSIP 4 - ISIN
1649	→RelatedSymbol	Sym	String	Symbol of the related security.		long_name
1650	→RelatedSecurityID	ID	String	Related security identifier. Value of RelatedSecurityIDSource (1651) type.		Depending on SecTyp and Src values this can be is_cusip, isin_code_s, subst_isin_code_s
1652	→RelatedSecurityType	SecTyp	String	Security type of the related instrument.			GC - General Collateral SUB - Substituted Collateral
20055	→RelatedSecurityGUID	GUID	String	Globally unique identifier of the security

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Standard Header from Client System to CME STP FIX for BrokerTec Trades —

FIX Tag	Field Name	Req	Data Type	Description	Supporting Values
8	BeginString	Y	String	Identifies beginning of new message and protocol version. Always unencrypted, must be first field in message.	FIX4.4
9	BodyLength	Y	Length	Message length, in bytes, forward to the CheckSum field. Always unencrypted, must be second field in message.
35	MsgType	Y	String	Defines message type. Always unencrypted, must be third field in message.
49	SenderCompID	Y	String	Assigned value as defined by CME Group used to identify firm sending message. Always unencrypted.
50	SenderSubID	N	String	Optional Client Assigned value used to identify specific message originator (user) within a firm. If populated in Logon message, same value must be populated in subsequent messages from client to CME STP. CME STP will populate this value in 57-TargetSubID on messages routed to the client.
56	TargetCompID	Y	String	Assigned value used to identify receiving firm. Format: ‘CMESTPFIX#’ The value will be incremented for each new user at the Firm, e.g., CMESTPFIX1, CMESTPFIX2, CMESTPFIX3, etc. Always unencrypted.
57	TargetSubID	N	String	If populated in Logon message, Only acceptable value is "STP" and same value need to be populated in subsequent messages from client to CME STP. CME STP will populate this value in 50-SenderSubID on messages routed to the client. Always unencrypted.
34	MsgSeqNum	Y	SeqNum	Integer message sequence number.
43	PossDupFlag	N	Boolean	Indicates possible retransmission of message with this sequence number. Required for retransmitted messages.	‘Y’ (Possible duplicate) 'N' (Original transmission)
97	PossResend	N	Boolean	Indicates that message may contain information that has been sent under another sequence number.	‘Y’ (Possible resend) ‘N’ (Original transmission)
52	SendingTime	Y	UTCTimestamp	Time of message transmission (expressed in UTC). YYYYMMDD-HH:MM:SS.sss Can be embedded within encrypted data section. UTC Timestamps are sent in number of nanoseconds since Unix epoch synced to a master clock to microsecond accuracy.
122	OrigSendingTime	N	UTCTimestamp	Original time of message transmission when transmitting messages as the result of resend request (expressed in UTC). UTC Timestamps are sent in number of nanoseconds since Unix epoch synced to a master clock to microsecond accuracy. Required for message resent as a result of a resend request.

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CME STP FIX - TradeCaptureReportRequest for BrokerTec Trades —

FIX Tag	Field Name	FIXML Attribute Name	Data Type	Description	New for BrokerTec	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) 1 - Matched trades matching criteria provided on request (Parties, ExecID, TradeID, OrderID, Instrument, InputSource, etc.) 3 - Unreported trades that match criteria
263	SubscriptionRequestType	SubReqTyp	char	Subscription Request Type		263	0 - Snapshot 1 - Snapshot + Updates (Subscribe)
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.).			Default '2' (Request outright deals and Individual legs of multileg security), '3' (Request outright deals and summary for multileg deals).
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) 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
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 N - No
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 TBOND - US Treasury Bond 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).

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CME STP FIX - TradeCaptureReportRequestAck for BrokerTec Trades —

FIX Tag	Field Name	FIXML Attribute Name	Data Type	Description	Genium FIX Mapping	Supported Values
568	TradeRequestID	ReqID	String	Trade Capture Report Request ID	568
569	TradeRequestType	ReqTyp	int	Type of Trade Capture Report.	569	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
263	SubscriptionRequestType	SubReqTyp	char	Subscription Request Type	263	0 - Snapshot 1 - Snapshot + Updates (Subscribe)
749	TradeRequestResult	ReqRslt	int	Result of Trade Request	749	0 - Successful (default) 1 - Invalid or unknown instrument 2 - Invalid type of trade requested 3 - Invalid parties 9 - Not authorized 99 - Other
750	TradeRequestStatus	ReqStat	int	Status of Trade Request.		0 - Accepted 1 - Completed 2 - Rejected
58	Text	Txt	String	Free format text string(Note: this field does not have a specified maximum length)	58

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CME STP FIX - CollateralReport - Parties for BrokerTec Trades

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CME STP FIX - TradeCaptureReport - TrdCapRptSideGrp for BrokerTec Trades —

FIX Tag	Field Name	FIXML Attribute Name	Data Type	Description	New for BrokerTec	OMnet Mapping	Genium FIX Mapping	Supported Values
54	Side	Side	char	Side of order.		bought_or_sold	54	1 - Buy 2 - Sell 5 - Sell short 6 - Sell short exempt H - Sell Undisclosed
526	SideSecondaryClOrdID	ClOrdID2	String	Secondary Client Order ID
11	SideClOrdID	ClOrdID	String	Client Order ID
15	SideCurrency	Ccy	Currency	Used to identify the trading currency on the Trade Capture Report Side
578	TradeInputSource	InptSrc	String	Type of input device or system from which the trade was entered. Values include: BTC - BrokerTec Clearing, BTD - BrokerTec Direct, GLBX - Globex, XPIT - Externally registered	New accepted value BTC, BTD	match_type_c + big_attention[16]	20009 + 20034
582	CustOrderCapacity	CustCpcty	int	Capacity of customer placing the orderPrimarily used by futures exchanges to indicate the CTICode (customer type indicator) as required by the US CFTC (Commodity Futures Trading Commission).				1 - Member trading for their own account 2 - Clearing Firm trading for its proprietary account 3 - Member trading for another member 4 - All other
158	AccruedInterestRate	AcrdIntRt	Percentage	The amount the buyer compensates the seller for the portion of the next coupon interest payment the seller has earned but will not receive from the issuer because the issuer will send the next coupon payment to the buyer. Accrued Interest Rate is the annualized Accrued Interest amount divided by the purchase price of the bond.	New field	extended_accrued_interest_q	158
921	StartCash	StartCsh	Amt	Starting dirty cash consideration of a financing deal, i.e. paid to the seller on the Start Date.	New field	consideration_u	921
922	EndCash	EndCsh	Amt	Ending dirty cash consideration of a financing deal. i.e. reimbursed to the buyer on the End Date.	New field	end_consideration_u	922
58	Text	Txt	String	Free format text string(Note: this field does not have a specified maximum length)
826	TradeAllocIndicator	AllocInd	int	Identifies how the trade is to be allocated				0 - Allocation not required 1 - Allocation required (give-up trade) allocation information not provided (incomplete) 100 - SGX Offset 2 - Use allocation provided with the trade 3 - Allocation give-up executor 4 - Allocation from executor 5 - Allocation to claim account 100 - SGX Offset
819	SideAvgPxIndicator	AvgPxInd	int	Average Pricing Indicator for the trade side.
1057	AggressorIndicator	AgrsrInd	Boolean	Used to identify whether or not the order initiator is an aggressor in the trade.	New field	big_attention[5]	1057	Y - Order initiator is aggressor N - Order initiator is passive
10039	SideOrigTradeID	OrigTrdID	String	This field points (backward) to 1040-SecondaryTradeID on the predecessor trade. This will appear on replacement trades (828=0) and clearing offsets (828=3)
1851	StrategyLinkID	StrategyLinkID	String	Identifies the multileg strategy (e.g. spread) to which the trade belongs. This links together trade legs executed as part of a strategy during a single match event.		box_number_i	20033
1031	CustOrderHandlingInst	CustOrdHdlInst	MultipleStringValue	Codes that apply special information that the Broker / Dealer needs to report, as specified by the customer.NOTE: This field and its values have no bearing on the ExecInst and TimeInForce fields. These values should not be used instead of ExecInst or TimeInForce. This field and its values are intended for compliance reporting only.				A - Phone simple B - Phone complex C - FCM-provided screen D - Other-provided screen E - Client provided platform controlled by FCM F - Client provided platform direct to exchange G - FCM API or FIX H - Algo Engine J - Price at Execution (price added at Initial order entry, trading, middle office or time of give-up) W - Desk - Electronic X - Desk - Pit Y - Client - Electronic Z - Client - Pit
37	OrderID	OrdID	String	Unique identifier for Order as assigned by sell-side (broker, exchange, ECN). Uniqueness must be guaranteed within a single trading day. Firms which accept multi-day orders should consider embedding a date within the OrderID field to assure uniqueness across days.	New field	order_number_u	37
793	SecondaryAllocGroupID	GrpID2	String	Indicates the CCP-assigned secondary allocation ID for the average price group.
2361	CompressionGroupID	CmprsnGrpID	String	Identifies all trades in a netting or compression group, including both terminating trades and any remnant trades that result from the operation.
9373	LiquidityFlag	LqdtyFlg	int	Indicates if an order was submitted for market making obligation as required for MiFID. Applicable only for EU fixed income markets.	New field			0=False 1=True
5149	Memo	Mem	String	Free format text field. Supported as follows, depending on source: CME Globex: Supported for all Globex-entered trades. CME Direct: Supports the Memo field value for the non-alleged counterparty when there is an allege and a claim. If both sides allege, then the Memo field is supported on both sides. CME ClearPort GUI: Supports the Memo field value for the non-alleged counterparty. CME ClearPort API: For single-sided submissions, supports the Memo field value for the non-alleged counterparty when there is an allege and a claim. If both sides allege, then the Memo field is supported on both sides. For dual-sided submissions, the Memo field supported on either or both sides, depending on the API submission. A note can be submitted for buy side and the sell side, and they can be different notes.		customer_info_s	58
453	Parties	Pty
10034	SideRegulatoryTradeIDGrp	RegTrdID
2639	CommissionDataGrp	CommData
1016	SideTrdRegTS	TrdRegTS
→1012	→SideTrdRegTimestamp	TS	UTCTimestamp	Will be used in a multi-sided message. Traded Regulatory timestamp value. Used to store time information required by government regulators or self regulatory organizations such as an exchange or clearing house.		execution_timestamp	769 + 20042 + 770=1
→1013	→SideTrdRegTimestampType	Typ	int	Same as TrdRegTimeStampType				1 - Execution Time
1855	RelatedTradeGrp	ReltdTrd
→1856	→RelatedTradeID	ID	String	Identifier of a related trade.
→1857	→RelatedTradeIDSource	Src	int	Describes the source of the identifier that RelatedTradeID(1856) represents.				2 - Secondary trade ID

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CME STP FIX - TradeCaptureReport - Instrument for BrokerTec Trades —

FIX Tag	Field Name	FIXML Attribute Name	Data Type	Description	New for BrokerTec	OMnet Mapping	Genium FIX Mapping	Supported Values
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.			455 where 456=8
48	SecurityID	ID	String	The Clearing Product ID.
22	SecurityIDSource	Src	String	Identifies class or source of the SecurityID value.				H - Clearing House / Clearing Organization
461	CFICode	CFI	String	Indicates the type of security using ISO 10962 standard, Classification of Financial Instruments (CFI code) values. ISO 10962 is maintained by ANNA (Association of National Numbering Agencies) acting as Registration Authority. It is recommended that CFICode be used instead of SecurityType (167) for non-Fixed Income instruments.
167	SecurityType	SecTyp	String	Indicates type of security. Note: additional values may be used by mutual agreement of the counterparties.	New values BOND, EUSOV, EUSUP, REPO, SOV, SUPRA, TB, TBA, TBILL, TBOND, TNOTE			BOND - Bond (generic) CMDTYSWAP - Commodity Swap EUSOV - Euro Sovereigns EUSUP - Euro Supranational Coupons FRA - Forward Rate Agreement FUT - Future FWD - Forward FXSPOT - FX Spot 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
762	SecuritySubType	SubTyp	String	Sub-type qualification/identification of the SecurityType. For spreads, indicates the strategy type. For BrokerTec, values include: GC - General Collateral GCF - General Collateral Financing	New valid values GC, GCF, RV, SPEC
200	MaturityMonthYear	MMY	MonthYear	Can be used with standardized derivatives vs. the MaturityDate (54) field. Month and Year of the maturity (used for standardized futures and options).Format:YYYYMM (e.g. 199903)YYYYMMDD (e.g. 20030323)YYYYMMwN (e.g. 200303w) for weekA specific date or can be appended to the MaturityMonthYear. For instance, if multiple standard products exist that mature in the same Year and Month, but actually mature at a different time, a value can be appended, such as "w" or "w2" to indicate week as opposed to week 2 expiration. Likewise, the date (0-3) can be appended to indicate a specific expiration (maturity date).
541	MaturityDate	MatDt	LocalMktDate	Maturity Date or Settlement Date of the CDS contract.
224	CouponPaymentDate	CpnPmt	LocalMktDate	This is used to indicate the next date on which Coupon Premium is due. Primarily used for CDS instruments
202	StrikePrice	StrkPx	Price	Strike Price for an Option.
967	StrikeMultiplier	StrkMult	float	Used for derivatives. Multiplier applied to the strike price for the purpose of calculating the settlement value.
1866	StrikeIndex	StrkNdx	String	Specifies the index used to calculate the strike price.
10046	StrikeIndexLocation	StrkNdxLctn	String	Location of the strike price index.
1481	UnderlyingPriceDeterminationMethod	PxDtrmnMeth	int	Specifies how the underlying price is determined at the point of option exercise. The underlying price may be set to the current settlement price, set to a special reference, set to the optimal value of the underlying during the defined period ("Look-back") or set to the average value of the underlying during the defined period ("Asian option").				1 - Regular 2 - Special reference 3 - Optimal value (Lookback) 4 - Average value (Asian option)
6070	ContractMultiplier	Mult	float	The value when multiplied to the Price will give you the $ value of a single Position. It is also known as the Price multiplier.
996	UnitOfMeasure	UOM	String	The unit of measure of the underlying commodity upon which the contract is based. For CDS it indcates the notional currency.				Alw - Allowances Bbl - Barrels Bcf - Billion cubic feet BDFT - Board feet Bu - Bushels CBM - Cubic Meters Ccy - Amount of currency CER - Certified Emissions Reduction CRT - Climate Reserve Tonnes cwt - Hundredweight (US) day - Days dt - Dry metric tons EnvCrd - Environmental Credit EnvOfst - Environmental Offset g - Grams Gal - Gallons GJ - Gigajoules GT - Gross Tons Also known as long tons or imperial tons, equal to 2240 lbs IPNT - Index point kg - Kilograms kL - Kiloliters kW-h - Kilowatt-Hour (electrical capacity) kW-M - Kilowatt-Month (electrical capacity) kWh - Kilowatt hours L - Liters lbs - pounds MMbbl - Million Barrels MMBtu - One Million BTU MW-h - Megawatt-Hour (electrical capacity) MW-M - Megawatt-Month (electrical capacity) MWh - Megawatt hours oz_tr - Troy Ounces PRINC - Principal with relation to debt instrument t - Metric Tons (aka Tonne) thm - Therms tn - Tons (US)
1716	UnitOfMeasureCurrency	UOMCcy	Currency	Indicates the currency of the unit of measure. Conditionally required when UnitOfMeasure = Ccy
1147	UnitOfMeasureQty	UOMQty	Qty	Used to indicate the quantity of the underlying commodity unit of measure on which the contract is based, such as, 2500 lbs of lean cattle, 1000 barrels of crude oil, 1000 bushels of corn, etc. UnitOfMeasureQty is required for UnitOfMeasure(996) Variable Quantity UOMs enumerations. Refer to the definition of UnitOfMeasure(996) for more information on the use of UnitOfMeasureQty.
1191	PriceUnitOfMeasure	PxUOM	String	Used to express the UOM of the price if different from the contract. In futures, this can be different for cross-rate products in which the price is quoted in units differently from the contract				Alw - Allowances BDFT - Board feet Bbl - Barrels Bcf - Billion cubic feet Bu - Bushels CBM - Cubic Meters CER - Certified Emissions Reduction CRT - Climate Reserve Tonnes Ccy - Amount of currency EnvCrd - Environmental Credit EnvOfst - Environmental Offset GJ - Gigajoules GT - Gross Tons Also known as long tons or imperial tons, equal to 2240 lbs Gal - Gallons IPNT - Index point L - Liters MMBtu - One Million BTU MMbbl - Million Barrels MW-M - Megawatt-Month (electrical capacity) MWh - Megawatt hours PRINC - Principal with relation to debt instrument cwt - Hundredweight (US) day - Days dt - Dry metric tons g - Grams kL - Kiloliters kW-M - Kilowatt-Month (electrical capacity) kWh - Kilowatt hours kg - Kilograms lbs - pounds oz_tr - Troy Ounces t - Metric Tons (aka Tonne) thm - Therms tn - Tons (US) USD - US Dollars
1193	SettlMethod	SettlMeth	char	Settlement method for a contract. Can be used as an alternative to CFI Code value.				C - Cash settlement required E - Election at exercise P - Physical settlement required
1194	ExerciseStyle	ExerStyle	int	Type of exercise of a derivatives security				0 - European 1 - American 2 - Bermuda
201	PutOrCall	PutCall	int	Indicates whether an option contract is a put or call				0 - Put 1 - Call
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 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
107	SecurityDesc	Desc	String	Can be used to provide an optional textual description for a financial instrument.
10026	PriceQuoteCurrency	PxQteCcy	Currency	Price Quote Currency
37513	GUID	GUID	String	Globally unique identifier.	New field
454	SecAltIDGrp	AID
→455	→SecurityAltID	AltID	String	Alternate Security identifier value for this security of SecurityAltIDSource (456) type (e.g. CUSIP, SEDOL, ISIN, etc). Requires SecurityAltIDSource.			455
→456	→SecurityAltIDSource	AltIDSrc	String	Identifies class or source of the SecurityAltID (455) value. Required if SecurityAltID is specified.Valid values:Same	New values 1, 4	is_cusip or isin_code_s	456	1 - CUSIP 4 - ISIN number 104 - Red Code 105 - Preferred Reference Obligation 106 - Pair Clip 112 - TAM Marker Price Symbol N - Markit RED entity CLIP P - Markit RED pair CLIP
	SecurityXML	SecXML
1184	→SecurityXMLLen		Length	Lenght of the SecurityXML data block.
1185	→SecurityXML	FpML	XMLData	Actual XML data stream describing a security, normally FpML.
864	EvntGrp	Evnt
→865	→EventType	EventTyp	int	Code to represent the type of event				13 - First Delivery Date 111 - Unadjusted Next Coupon Date 112 - Unadjusted Previous Coupon Date 113 - Unadjusted Previous Previous Coupon Date 121 - Fixing Date
→866	→EventDate	Dt	LocalMktDate	Date of event
	OptionExercise(repeating)	OptExer
	→ OptionExerciseDates	`Dts`
41122	→→ Option Exercise Frequency Period	`FreqPeriod`	int	Time unit multiplier for the frequency of exercise dates. If present OptionExerciseFrequencyUnit(tbd) must be specified.
41123	→→ OptionExerciseFrequencyUnit	`FreqUnit`	String	Time unit associated with the frequency of exercise dates. If present OptionExerciseFrequencyPeriod(tbd) must be specified.				D - Day H - Hour Min - Minute Mo - Month S - Second Wk - Week Yr - Year
40049	StreamGrp	Strm

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CME STP FIX - TradeCaptureReport - UndInstrmtGrp for BrokerTec Trades —

FIX Tag	Field Name	FIXML Attribute Name	Data Type	Description	New for BrokerTec	OMnet Mapping	Genium FIX Mapping	Supported Values
311	UnderlyingSymbol	Sym	String	'Sym'
312	UnderlyingSymbolSfx	Sfx	String	'Sfx'				CD - EUCP with lump-sum interest rather than discount price WI - "When Issued" for a security to be reissued under an old CUSIP or ISIN
309	UnderlyingSecurityID	ID	String	'ID'
305	UnderlyingSecurityIDSource	Src	String	'Src'				H - Clearing House / Clearing Organization
310	UnderlyingSecurityType	SecTyp	String	'SecTyp'				FWD - Forward FUT - Future MLEG - Multi Leg (Combo) CMDTYSWAP - Commodity Swap
313	UnderlyingMaturityMonthYear	MMY	MonthYear	'MMY'
308	UnderlyingSecurityExchange	Exch	Exchange	'Exch'				CBT - Chicago Board of Trade CEE - Stock Exchange Group CME - Chicago Mercantile Exchange COMEX - Commodities Exchange, Inc DME - Dubai Mercantile Exchange 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
810	UnderlyingPx	Px	Price	Underlying price associate with a derivative instrument.	New field	clean_value	5481
882	UnderlyingDirtyPrice	DirtPx	Price	Price (percent-of-par or per unit) of the underlying security or basket. "Dirty" means it includes accrued interest	New field	dirty_market_price	7166
40540	UnderlyingStreamGrp	Strm

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CME STP FIX - TradeCaptureReport - PaymentGrp for BrokerTec Trades —

FIX Tag	Field Name	FIXML Attribute Name	Data Type	Description	Supported Values
40213	Payment Type	`Typ`	int	Type of payment.	10 - Option premium
40214	Payment Pay Side	`PaySide`	int	Side value of party paying the payment.	1 - Buy 2 - Sell
40215	Payment Receive Side	`RcvSide`	int	Side value of party receiving the payment.	1 - Buy 2 - Sell
40216	Payment Currency	`Ccy`	Currency	Specifies the currency in which PaymentAmount(tbd) and/or PaymentRate(tbd) is denominated. Uses ISO 4271 currency codes.
40217	Payment Amount	`Amt`	Amt	The total payment amount.
40222	Payment Date Adjusted	`Dt`	LocalMktDate	Adjusted Payment date.

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CME STP FIX - TradeCaptureReport - TrdInstrmtLegGrp for BrokerTec Trades —

FIX Tag	Field Name	FIXML Attribute Name	Data Type	Description	Supported Values
	InstrumentLeg	Leg
685	LegOrderQty	OrdQty	Qty	Quantity ordered of this leg.See OrderQty (38) for description and valid values.
687	LegQty	Qty	Qty	Quantity of this leg, e.g. in Quote dialog.See Quantity (53) for description and valid values.
990	LegReportID	RptID	String	Additional attribute to store the Trade ID of the Leg.
1152	LegNumber	LegNo	int	Allow sequencing of Legs for a Strategy to be captured
654	LegRefID	RefID	String	Unique indicator for a specific leg.
637	LegLastPx	LastPx	Price	Execution price assigned to a leg of a multileg instrument.See LastPx (31) field for description and values
686	LegPriceType	PxTyp	int	The price type of the LegBidPx (681) and/or LegOfferPx (684). See PriceType (423) for description.	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
10051	LegPriceSubType	PxSubTyp	int	This is a further qualification of the Price Type.	0 - Initial Price 1 - Final Price
1001	LegOrigTimeUnit	OrigTmUnit	String	Specifies the Time Unit of the original trade leg.	D - Day H - Hour Min - Minute Mo - Month S - Second Wk - Week Yr - Year
2492	LegDifferentialPrice	DiffPx	PriceOffset	Represents the differential price for spreads, or a TAS or TAM differential price.
10052	LegDifferentialPriceType	DiffPxTyp	int	This indicates the type of differential price represented in the Differential Price attribute.	0 - Differential from Settlement Price 1 - Differential between legs
10038	LegTradingQuantity	TrdgQty	Qty	Indicates the trading quantity entered, in unit terms (e.g. in MWh), for a leg of a spread trade. This may differ from the cleared quantity, especially in the case of contracts like electricity that follow delivery schedules.
10055	LegAlternatePrice	LastPx2	Price	Leg alternate price
1586	LegPositionAmountData	Amt
→1587	→TrdInstrmtLegPosAmt	Amt	Amt	Used to capture the FX premium amount.
→1588	→TrdInstmLegPosAmtType	Typ	String	The type of monetary amount associated with a transaction.
→1589	→TrdInstrmtLegPosCurrency	Ccy	Currency	The currency of the amount specified.
1342	TradeCapLegUnderlyingsGrp	Undlys
→1332	→UnderlyingLegSecurityID	ID	String	Refer to definition for SecurityID(48)
→1333	→UnderlyingLegSecurityIDSource	Src	String	Refer to definition for SecurityIDSource(22)	H - Clearing House / Clearing Organization
→1337	→UnderlyingLegSecurityType	SecTyp	String	Refer to definition for SecurityType(167)	FUT - Future FWD - Forward MLEG - Multi Leg (Combo)
→1339	→UnderlyingLegMaturityMonthYear	MMY	MonthYear	Refer to definition for MaturityMonthYear(200)
→1341	→UnderlyingLegSecurityExchange	Exch	String	Refer to definition for SecurityExchange(207)	CBT - Chicago Board of Trade CEE - Stock Exchange Group CME - Chicago Mercantile Exchange COMEX - Commodities Exchange, Inc DME - Dubai Mercantile Exchange 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

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CME STP FIX - TradeCaptureReport - SideRegulatoryTradeIDGrp for BrokerTec Trades —

FIX Tag	Field Name	FIXML Attribute Name	Data Type	Description	Supported Values
10027	Side Regulatory Trade ID	`ID`	String	Regulatory Trade ID for the trade side. Will be used to communicate the Universal Swap Identifier (USI) or Unique Trade Identifier (UTI) associated with a cleared trade.	If bilateral trade (1832=0) indicates Unique Trade Identifier (UTI) If Centrally Cleared trade (1832=1) it indicates the Report Tracking Number (RTN). Note: Only applies to EU Repos
10028	Side Regulatory Trade ID Source	`Src`	String	ID of reporting entity assigned by regulatory agency.
10029	Side Regulatory Trade ID Event	`Evnt`	int	Event causing origination of the ID, e.g. Clearing.	0 - Initial block trade 2 - Clearing
10030	Side Regulatory Trade ID Type	`Typ`	int	The type of Regulatory Trade ID being sent.	0 - Current (the default) 5 - Trading venue transaction identifier
10031	Side Regulatory Leg Reference ID	`LegRefID`	String	When reporting the USI or UTI of a spread or strategy, this indicates the leg number that the USI or UTI references, as communicated in the LegNo field.
10032	Side Regulatory Trade ID Scope	`Scope`	int	Included when a trade must be assigned more than one identifier, e.g. one for the clearing member and another for the client on a cleared trade as with the principal model in Europe.	1 - Clearing member 2 - Client

Page:

CME STP FIX - TradeCaptureReport - Parties for BrokerTec Trades —

FIX Tag	Field Name	FIXML Attribute Name	Data Type	Description	New for BrokerTec	OMnet Mapping	Genium FIX Mapping	Supported Values
448	PartyID	ID	String	Party identifier/code. See PartyIDSource (447) and PartyRole (452).		Depending on Src and R values, this can map to trading_code, bic_code_s, party, cust_info_s, clearer_code_s, account_id_s, user_id	448
447	PartyIDSource	Src	char	Identifies class or source of the PartyID (448) value. Required if PartyID is specified. Note: applicable values depend upon PartyRole (452) specified. Note: R=1/Src=N (LEI) is required for EU trades but is optional for US trades.	New values D, P		447	C - Generally accepted market participant identifier D - Proprietary / Custom code H - Clearing house participant/member code N - LEI P - Short code identifier
452	PartyRole	R	int	Identifies the type or role of the PartyID (448) specified. Note: R=1/Src=N (LEI) is required for EU trades but is optional for US trades.	New values 17, 122		452	1 - GFID, where applicable (Trades executed through CME Globex and group allocations that share a SenderComp ID) 4 - Clearing Firm 7 - Trading (Entering) Firm 12 - Executing Trader (associated with Executing Firm - actually executes) 17 - Contra Firm 21 - Clearing Organization 22 - Exchange 24 - Customer Account 30 - Inter Dealer Broker 36 - Entering trader 44 - Order Entry Operator ID For Brokertec, this is iLink SenderID, also known as GUS (Global User Signature) 49 - Asset Manager 55 - Session ID 62 - Report originator 73 - Execution Venue 79 - Prime Broker 102 - Data Repository (e.g. SDR) 122 - Investment decision maker 1001 - Trading Member Firm ID (Futures and Options only)
802	PtysSubGrp	Sub
523	→PartySubID	ID	String	Sub-identifier (e.g. Clearing Account for PartyRole (452)=Clearing Firm, Locate ID # for PartyRole=Locate/Lending Firm, etc). Not required when using PartyID (448), PartyIDSource (447), and PartyRole.			523
803	→PartySubIDType	Typ	int	Type of PartySubID (523) value4000+ = Reserved and available for bi-laterally agreed upon user defined values			803	5 - Full legal name of firm 9 - Contact name 16 - BIC (Bank Identification Code - SWIFT managed) 17 - Clearing house participant/member code 26 - Account type or Origin 84 - Executing Firm LEI

Page:

CME STP FIX - TradeCaptureReport - CommissionDataGrp for BrokerTec Trades —

FIX Tag	Field Name	FIXML Attribute Name	Data Type	Description	New for BrokerTec	OMnet Mapping	Genium FIX Mapping	Supported Values
2640	Commission Amount	`Amt`	Amt	The total commission amount.
2641	Commission Amount Type	`Typ`	int	Type of Commission.				Value = 0.
2642	Commission Basis	`Basis`	int	Indicates the method used to calculate broker fees.				1 - Per Unit (implying shares, par, currency, etc.) 2 - Percent 3 - Absolute 7 - Basis Points 8 - Amount per contract
2643	Commission Currency	`Ccy`	Currency	Currency of broker fees. Default is USD.
2644	Commission Unit of Measure	`UOM`	String	Unit of measure for computing the broker fees. Used when Basis = Per Unit.				Alw - Allowances BDFT - Board feet Bbl - Barrels Bcf - Billion cubic feet Bu - Bushels CBM - Cubic Meters CER - Certified Emissions Reduction CRT - Climate Reserve Tonnes Ccy - Amount of currency EnvCrd - Environmental Credit EnvOfst - Environmental Offset GJ - Gigajoules GT - Gross Tons Also known as long tons or imperial tons, equal to 2240 lbs Gal - Gallons IPNT - Index point L - Liters MMBtu - One Million BTU MMbbl - Million Barrels MW-M - Megawatt-Month (electrical capacity) MWh - Megawatt hours PRINC - Principal with relation to debt instrument cwt - Hundredweight (US) day - Days dt - Dry metric tons g - Grams kL - Kiloliters kW-M - Kilowatt-Month (electrical capacity) kWh - Kilowatt hours kg - Kilograms lbs - pounds oz_tr - Troy Ounces t - Metric Tons (aka Tonne) thm - Therms tn - Tons (US)
2645	Commission Unit of Measure Currency	`UOMCcy`	Currency	Unit of measure currency for computing the broker fees. Used when Unit of Measure = Ccy.
2646	Commission Rate	`Rt`	float	Rate used to calculate broker fees. For example, $1 per contract, or $0.01 per barrel.
2649	Commission Leg Ref ID	LegRefID	String	Trade leg identifier. Indicates that the broker fees apply to a specific trade leg. For a spread with broker fees specified, this field is present for each leg.
10054	Commission Adjusted Price	Px	Price	Commission adjusted price.	New field	extended_adj_trade_price	7165

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CME STP FIX - TradeCaptureReport - StreamGrp for BrokerTec Trades —

FIX Tag	Field Name	FIXML Attribute Name	Data Type	Description	Supported Values
40050	StreamType	Typ	int	Type of swap stream.	0 - Payment / cash settlement 1 - Physical delivery
40052	StreamPaySide	PaySide	int	Side value of party paying the stream.	1 - Buy 2 - Sell
40053	StreamReceiveSide	RcvSide	int	Side value of party receiving the stream.	1 - Buy 2 - Sell
40054	StreamNotional	Notl	Amt	Notional, or initial notional value for the payment stream. Use <PaymentSchedule> for steps.
41306	StreamNotionalFrequencyPeriod	NotlPeriod	int	Time unit multiplier for the notional frequency. If present StreamNotionalFrequencyUnit(tbd) must be specified.
41307	StreamNotionalFrequencyUnit	NotlUnit	String	Time unit associated with the notional frequency. If present StreamNotionalFrequencyPeriod(tbd) must be specified.	D - Day H - Hour Min - Minute Mo - Month S - Second Wk - Week Yr - Year
41309	StreamNotionalUnitOfMeasure	NotlUOM	String	Stream notional UOM.	Alw - Allowances AUD - Australian Dollars Bbl - Barrels Bcf - Billion cubic feet BDFT - Board feet BRL - Brazil Real Bu - Bushels CAD - Canadian Dollars CBM - Cubic Meters Ccy - Amount of currency CER - Certified Emissions Reduction CHF - Swiss Franc CLP - Chilean Peso CNY - Chinese Renminbi COP - Colombian Pesos CRT - Climate Reserve Tonnes cwt - Hundredweight (US) CZK - Czech Koruna day - Days DEM - Deutsche Mark dt - Dry metric tons EnvCrd - Environmental Credit EnvOfst - Environmental Offset ESP - Spanish Peseta EUR - Euro FRF - French Franc g - Grams Gal - Gallons GBP - British Pound GJ - Gigajoules GT - Gross Tons Also known as long tons or imperial tons, equal to 2240 lbs HUF - Hungarian Forint ILS - Israel Shekel IPNT - Index point ITL - Italian Lira JPY - Japanese Yen kg - Kilograms kL - Kiloliters KRW - Korean Won kW-h - Kilowatt-Hour (electrical capacity) kW-M - Kilowatt-Month (electrical capacity) kWh - Kilowatt hours L - Liters lbs - pounds MMbbl - Million Barrels MMBtu - One Million BTU MW-h - Megawatt-Hour (electrical capacity) MW-M - Megawatt-Month (electrical capacity) MWh - Megawatt hours MXN - Mexican Peso MYR - Malaysia Ringgits NOK - Norway Krone NZD - New Zealand Dollars oz_tr - Troy Ounces PLN - Polish Zloty PRINC - Principal with relation to debt instrument RCER - Relevant Certified Emission Reduction RUB - Russian Ruble SEK - Swedish Kroner t - Metric Tons (aka Tonne) thm - Therms tn - Tons (US) TRY - Turkish Lira USD - US Dollars ZAR - South African Rand
41310	StreamTotalNotional	TotNotl	Amt	Total notional or delivery quantity over the term of the contract.
41311	StreamTotalNotionalUnitOfMeasure	TotNotlUOM	String	Stream total notional UOM.	Alw - Allowances AUD - Australian Dollars Bbl - Barrels Bcf - Billion cubic feet BDFT - Board feet BRL - Brazil Real Bu - Bushels CAD - Canadian Dollars CBM - Cubic Meters Ccy - Amount of currency CER - Certified Emissions Reduction CHF - Swiss Franc CLP - Chilean Peso CNY - Chinese Renminbi COP - Colombian Pesos CRT - Climate Reserve Tonnes cwt - Hundredweight (US) CZK - Czech Koruna day - Days DEM - Deutsche Mark dt - Dry metric tons EnvCrd - Environmental Credit EnvOfst - Environmental Offset ESP - Spanish Peseta EUR - Euro FRF - French Franc g - Grams Gal - Gallons GBP - British Pound GJ - Gigajoules GT - Gross Tons Also known as long tons or imperial tons, equal to 2240 lbs HUF - Hungarian Forint ILS - Israel Shekel IPNT - Index point ITL - Italian Lira JPY - Japanese Yen kg - Kilograms kL - Kiloliters KRW - Korean Won kW-h - Kilowatt-Hour (electrical capacity) kW-M - Kilowatt-Month (electrical capacity) kWh - Kilowatt hours L - Liters lbs - pounds MMbbl - Million Barrels MMBtu - One Million BTU MW-h - Megawatt-Hour (electrical capacity) MW-M - Megawatt-Month (electrical capacity) MWh - Megawatt hours MXN - Mexican Peso MYR - Malaysia Ringgits NOK - Norway Krone NZD - New Zealand Dollars oz_tr - Troy Ounces PLN - Polish Zloty PRINC - Principal with relation to debt instrument RCER - Relevant Certified Emission Reduction RUB - Russian Ruble SEK - Swedish Kroner t - Metric Tons (aka Tonne) thm - Therms tn - Tons (US) TRY - Turkish Lira USD - US Dollars ZAR - South African Rand
	StreamCommodity(repeating)	Cmdty
	StreamEffectiveDate	EfctvDt
40914	→StreamEffectiveDateAdjusted	Dt	LocalMktDate	Adjusted effective date.
	StreamTerminationDate	TrmtnDt
40072	→StreamTerminationDateAdjusted	Dt	LocalMktDate	Adjusted Termination Date.
	PaymentStream(repeating)	PmtStrm
	DeliveryStream	DlvryStrm
41062	→DeliveryStreamDeliveryPoint	DlvryPnt	String	The point at which the commodity product will be delivered and received. Unconstrained string for most commodities. For bullion see http://www.fpml.org/coding-scheme/bullion-delivery-location
41063	→DeliveryStreamDeliveryRestriction	DlvryRstctn	int	Specifies under what conditions the buyer and seller should be excused of their delivery obligations.	1 - Firm (never excused of delivery obligations) 2 - Interruptible or Non-firm (excused when interrupted for any reason or for no reason without liability) 3 - Force majeure (excused when prevented by force majeure). 4 - System firm (must be supplied from the owned or controlled generation or pre-existing purchased power assets of the system specified) 5 - Unit firm (must be supplied from the generation asset specified) 101 - Firm with Liquidating Damages 102 - WSPP Schedule C Firm with Liquidating Damages

Page:

CME STP FIX - TradeCaptureReport - StreamCommodity for BrokerTec Trades —

FIX Tag	Field Name	FIXML Attribute Name	Data Type	Description	Supported Values
41251	StreamCommodityBase	Base	String	Specifies the general base type of the commodity traded. Where possible, this should follow the naming convention used in the 2005 ISDA Commodity Definitions.
41255	StreamCommodityDescription	Desc	String	Description of the commodity asset.
41237	StreamAssetAttributeGrp	AssetAttrb
→41238	→StreamAssetAttributeType	Typ	String	Name of the attribute being specified.	AdjustmentFallback - (Weather) When value is "Y" it indicates that adjustment to the fallback weather station is appropriate. AlternateProvider - (Weather) When value is "Y" it indicates that an alternate data provider is acceptable. ApplicableLaw - (Environmental) For U.S. Emissions Allowance Transactions used to specify the applicable emissions law when this is not defined in Emissions Product Definitions Exhibit. Ash - The ash content of the coal product. AshFusionTemperature - The temperature at which the ash form of the coal product fuses completely in accordance with the ASTM International D1857 Standard Test Methodology. BTUQualityAdjustment - (Coal) The Quality Adjustment formula to be used where the Actual Shipment BTU/Lb value differs from the Standard BTU/Lb value. See values at URL: http://www.fpml.org/coding-scheme/commodity-coal-quality-adjustments. BTUperLB - The number of British Thermal Units per Pound of the coal product. BrandCountry - (Metal) Country where brand is produced. BrandManager - (Metal) Brand name manager. BrandName - (Metal) Brand name. BrandProducer - (Metal) Producer of brand. CalorificValue - The calorific value of the gas to be delivered specified in megajoules per cubic meter. ComplianceEndYear - (Environmental) For E.U. Emissions Allowance Transactions describes the specified compliance period end year for which the allowances are issued. ComplianceStartYear - (Environmental) For E.U. Emissions Allowance Transactions describes the specified compliance period start year for which the allowances are issued. DeliveryMethod - Tanker, Barge, Pipeline, etc. DeliveryPoint - Physical delivery point DeliveryQuality - (Electricity) 0 = Not firm, 1 = Firm EEPApplicable - (Environmental) If Excess Emission Penalty is specified to be applicable in the confirmation then the Excess Emission Penalty will be determined in the manner specified in the confirmation. EEPEquivalentApplicable - (Environmental) When value is "Y" the EEP Equivalent is applicable. See Part [7] definition of EEP Equivalent. EEPPenaltyApplicable - (Environmental) When value is "Y" the Excess Emissions Penalty. is applicable. See Part [7] definition of Excess Emissions Penalty. EEPRiskEndDate - (Environmental) Enddd date used to determine how provisions in Part [7] Page 7 (B) Failure to Deliver Not Remedied are to be applied. EEPRiskStartDate - (Environmental) Start date used to determine how provisions in Part [7] Page 7 (B) Failure to Deliver Not Remedied are to be applied. EmissionsYear - Year for emissions trading, i.e. 'Vintage' FailureToDeliverApplicable - (Environmental) For EU Emissions Allowance Transactions holds the failure to deliver (alternative method) election. Used to determine how provisions in Part [7] Page 7 (B) Failure to Deliver Not Remedied are to be applied. FinalEditedData - (Weather) When value is 'Y' it indicates that provider's data is final. FinesPassingScreen - Fluid - The temperature at which the ash cone flattens. Grade - Grade of the commodity to be delivered, e.g. of oil or of refined product. Grindability - The Hardgrove Grindability Index value of the coal to be delivered. InitialDeformation - The temperature at which an ash cone shows evidence of deformation. LoadShapeForced - When value is "Y" it indicates that the electrical load settlement shape is forced. Moisture - The moisture content of the coal product. Quality - The quality of the gas to be delivered. QualityVariationAdjustment - When value is "Y" Quality Variation Adjustment is applicable. SCoTASpecification - When value is "Y" type and source of coal refer to global SCoTA specifications. SO2 - The sulphur dioxide content of the coal product. SO2QualityAdjustment - (Coal) The Quality Adjustment formula to be used where the Actual Shipment SO2/MMBTU value differs from the Standard SO2/MMBTU value. See values at URL: http://www.fpml.org/coding-scheme/commodity-coal-quality-adjustments. SchemeAbandonment - (Environmental) For U.S. Emissions Allowance Transactions specifies terms which apply in the event of an abandonment of scheme event. Shape - (Metal) Shape. SofteningHeightHalfWidth - The temperature at which the height of an ash cone equals half its width. (Hemisphere temperature). SofteningHeightWidth - The temperature at which the height of an ash cone equals its width. (Softening temperature). SpecialCondition - Free-form description of condition Sulphur - The sulphur content of the coal product. SynopticFallback - When value is "Y" it indicates that synoptic data fallback is acceptable. TopSize - The smallest sieve opening that will result in less than 5% of a sample of the coal product remaining. TrackingSystem - (Environmental) For U.S. Emissions Allowance Transactions used to specify the tracking system when this is not defined in Emissions Product Definitions Exhibit. TransferTerms - Terms for physical transfer Volatile - The volatile content of the coal product. Voltage - The voltage of the electricity to be delivered.
→41239	→StreamAssetAttributeValue	Val	String	Value of the attribute
41289	StreamCommoditySettlementPeriodGrp	SettlPeriod
→41291	→StreamCommoditySettlementTimeZone	TZ	String	Commodity delivery timezone specified as prevailing rather than standard or daylight . E.g. CPT for Central (US) Prevailing Time.
→41292	→StreamCommoditySettlementFlowType	FlowTyp	int	Commodity delivery flow type.	0 - All times 1 - On-peak 2 - Off-peak 3 - Base 4 - Block hours 5 - Other
→41300	→StreamCommoditySettlementHolidaysProcessingInstruction	Holidays	int	Indicates whether holidays are included in the settlement periods. Required for electricity contracts.	0 - Do not include holidays 1 - Include holidays

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CME STP FIX - TradeCaptureReport - PaymentStream for BrokerTec Trades —

FIX Tag	Field Name	FIXML Attribute Name	Data Type	Description	Supported Values
	PaymentStreamPaymentDates	PmtDts
42615	→PaymentStreamPaymentFrequencyPeriod	FreqPeriod	int	The period of frequency of payments.
42616	→PaymentStreamPaymentFrequencyUnit	FreqUnit	String	The unit of frequency of payments.	D - Day Mo - Month T - Term Wk - Week Yr - Year
	PaymentStreamFixedRate	Fixed
40784	→PaymentStreamRate	Rt	Percentage	Rate if the payment stream is a fixed rate stream.
40786	→PaymentStreamRateOrAmountCurrency	Ccy	Currency	Specifies the currency in which PaymentStreamFixedAmount(40785) or PaymentStreamRate(40784) is denomincated. Uses ISO 4271 currency codes.
	PaymentStreamFloatingRate	Float
40789	→PaymentStreamRateIndex	Ndx	String	Floating Rate Index.
41196	→PaymentStreamRateIndexLocation	NdxLctn	String	Specifies the location of the floating rate index.
40793	→PaymentStreamRateMultiplier	RtMult	float	A rate multiplier to apply to the floating rate. A multiplier schedule is expressed as explicit multipliers and dates. In the case of a schedule, the step dates may be subject to adjustment in accordance with any adjustments specified in the calculationPeriodDatesAdjustments. The multiplier can be less than or greater than 1 (one). This element should only be included if the multiplier is not equal to 1 (one) for the term of the stream.
40794	→PaymentStreamRateSpread	Spread	PriceOffset	Spread from floating rate index.

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CME STP FIX - TradeCaptureReport - UnderlyingStreamGrp for BrokerTec Trades —

FIX Tag	Field Name	FIXML Attribute Name	Data Type	Description	Supported Values
40541	UnderlyingStreamType	Typ	int	Type of swap stream.	0 - Payment / cash settlement 1 - Physical delivery
40543	UnderlyingStreamPaySide	PaySide	int	Side value of party paying the stream.	1 - Buy 2 - Sell
40544	UnderlyingStreamReceiveSide	RcvSide	int	Side value of party receiving the stream.	1 - Buy 2 - Sell
40545	UnderlyingStreamNotional	Notl	Amt	Notional, or initial notional value for the payment stream. Use <SwapSchedule> for steps.
42019	UnderlyingStreamNotionalFrequencyPeriod	NotlPeriod	int	Time unit multiplier for the notional frequency. If present UnderlyingStreamNotionalFrequencyUnit(tbd) must be specified.
42020	UnderlyingStreamNotionalFrequencyUnit	NotlUnit	String	Time unit associated with the notional frequency. If present UnderlyingStreamNotionalFrequencyPeriod(tbd) must be specified.	D - Day H - Hour Min - Minute Mo - Month S - Second Wk - Week Yr - Year
42022	UnderlyingStreamNotionalUnitOfMeasure	NotlUOM	String	Delivery UnderlyingStream quantity UOM.	Alw - Allowances AUD - Australian Dollars Bbl - Barrels Bcf - Billion cubic feet BDFT - Board feet BRL - Brazil Real Bu - Bushels CAD - Canadian Dollars CBM - Cubic Meters Ccy - Amount of currency CER - Certified Emissions Reduction CHF - Swiss Franc CLP - Chilean Peso CNY - Chinese Renminbi COP - Colombian Pesos CRT - Climate Reserve Tonnes cwt - Hundredweight (US) CZK - Czech Koruna day - Days DEM - Deutsche Mark dt - Dry metric tons EnvCrd - Environmental Credit EnvOfst - Environmental Offset ESP - Spanish Peseta EUR - Euro FRF - French Franc g - Grams Gal - Gallons GBP - British Pound GJ - Gigajoules GT - Gross Tons Also known as long tons or imperial tons, equal to 2240 lbs HUF - Hungarian Forint ILS - Israel Shekel IPNT - Index point ITL - Italian Lira JPY - Japanese Yen kg - Kilograms kL - Kiloliters KRW - Korean Won kW-a - Kilowatt-Year (electrical capacity) kW-d - Kilowatt-Day (electrical capacity) kW-h - Kilowatt-Hour (electrical capacity) kW-M - Kilowatt-Month (electrical capacity) kW-min - Kilowatt-Minute (electrical capacity) kWh - Kilowatt hours L - Liters lbs - pounds MMbbl - Million Barrels MMBtu - One Million BTU MW-a - Megawatt-Year (electrical capacity) MW-d - Megawatt-Day (electrical capacity) MW-h - Megawatt-Hour (electrical capacity) MW-M - Megawatt-Month (electrical capacity) MW-min - Megawatt-Minute (electrical capacity) MWh - Megawatt hours MXN - Mexican Peso MYR - Malaysia Ringgits NOK - Norway Krone NZD - New Zealand Dollars oz_tr - Troy Ounces PLN - Polish Zloty PRINC - Principal with relation to debt instrument RCER - Relevant Certified Emission Reduction RUB - Russian Ruble SEK - Swedish Kroner t - Metric Tons (aka Tonne) thm - Therms tn - Tons (US) TRY - Turkish Lira USD - US Dollars ZAR - South African Rand
42023	UnderlyingStreamTotalNotional	TotNotl	Amt	Total notional or delivery quantity over the term of the contract.
42024	UnderlyingStreamTotalNotionalUnitOfMeasure	TotNotlUOM	String	Delivery UnderlyingStream quantity UOM.	Alw - Allowances AUD - Australian Dollars Bbl - Barrels Bcf - Billion cubic feet BDFT - Board feet BRL - Brazil Real Bu - Bushels CAD - Canadian Dollars CBM - Cubic Meters Ccy - Amount of currency CER - Certified Emissions Reduction CHF - Swiss Franc CLP - Chilean Peso CNY - Chinese Renminbi COP - Colombian Pesos CRT - Climate Reserve Tonnes cwt - Hundredweight (US) CZK - Czech Koruna day - Days DEM - Deutsche Mark dt - Dry metric tons EnvCrd - Environmental Credit EnvOfst - Environmental Offset ESP - Spanish Peseta EUR - Euro FRF - French Franc g - Grams Gal - Gallons GBP - British Pound GJ - Gigajoules GT - Gross Tons Also known as long tons or imperial tons, equal to 2240 lbs HUF - Hungarian Forint ILS - Israel Shekel IPNT - Index point ITL - Italian Lira JPY - Japanese Yen kg - Kilograms kL - Kiloliters KRW - Korean Won kW-a - Kilowatt-Year (electrical capacity) kW-d - Kilowatt-Day (electrical capacity) kW-h - Kilowatt-Hour (electrical capacity) kW-M - Kilowatt-Month (electrical capacity) kW-min - Kilowatt-Minute (electrical capacity) kWh - Kilowatt hours L - Liters lbs - pounds MMbbl - Million Barrels MMBtu - One Million BTU MW-a - Megawatt-Year (electrical capacity) MW-d - Megawatt-Day (electrical capacity) MW-h - Megawatt-Hour (electrical capacity) MW-M - Megawatt-Month (electrical capacity) MW-min - Megawatt-Minute (electrical capacity) MWh - Megawatt hours MXN - Mexican Peso MYR - Malaysia Ringgits NOK - Norway Krone NZD - New Zealand Dollars oz_tr - Troy Ounces PLN - Polish Zloty PRINC - Principal with relation to debt instrument RCER - Relevant Certified Emission Reduction RUB - Russian Ruble SEK - Swedish Kroner t - Metric Tons (aka Tonne) thm - Therms tn - Tons (US) TRY - Turkish Lira USD - US Dollars ZAR - South African Rand
	UnderlyingStreamCommodity(repeating)	Cmdty
	UnderlyingStreamEffectiveDate	EfctvDt
40064	→UnderlyingStreamEffectiveDateAdjusted	Dt	LocalMktDate	Adjusted effective date.
	UnderlyingStreamTerminationDate	TrmtnDt
40555	→UnderlyingStreamTerminationDateAdjusted	Dt	LocalMktDate	Adjusted Termination Date.
	UnderlyingPaymentStream(repeating)	PmtStrm
	UnderlyingDeliveryStream	DlvryStrm
41781	→UnderlyingDeliveryStreamDeliveryPoint	DlvryPnt	String	The point at which the commodity product will be delivered and received. Unconstrained string for most commodities. For bullion see http://www.fpml.org/coding-scheme/bullion-delivery-location
41782	→UnderlyingDeliveryStreamDeliveryRestriction	DlvryRstctn	int	Specifies under what conditions the buyer and seller should be excused of their delivery obligations.	1 - Firm (never excused of delivery obligations) 2 - Interruptible or Non-firm (excused when interrupted for any reason or for no reason without liability) 3 - Force majeure (excused when prevented by force majeure). 4 - System firm (must be supplied from the owned or controlled generation or pre-existing purchased power assets of the system specified) 5 - Unit firm (must be supplied from the generation asset specified) 101 - Firm with Liquidating Damages 102 - WSPP Schedule C Firm with Liquidating Damages

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CME STP FIX - TradeCaptureReport - UnderlyingStreamCommodity for BrokerTec Trades —

FIX Tag	Field Name	FIXML Attribute Name	Data Type	Description	Supported Values
41964	UnderlyingStreamCommodityBase	Base	String	Specifies the general base type of the commodity traded. Where possible, this should follow the naming convention used in the 2005 ISDA Commodity Definitions.
41968	UnderlyingStreamCommodityDescription	Desc	String	Description of the commodity asset.
41800	UnderlyingStreamAssetAttributeGrp	AssetAttrb
41801	→UnderlyingStreamAssetAttributeType	Typ	String	Name of the attribute being specified.	AdjustmentFallback - (Weather) When value is "Y" it indicates that adjustment to the fallback weather station is appropriate. AlternateProvider - (Weather) When value is "Y" it indicates that an alternate data provider is acceptable. ApplicableLaw - (Environmental) For U.S. Emissions Allowance Transactions used to specify the applicable emissions law when this is not defined in Emissions Product Definitions Exhibit. Ash - The ash content of the coal product. AshFusionTemperature - The temperature at which the ash form of the coal product fuses completely in accordance with the ASTM International D1857 Standard Test Methodology. BTUQualityAdjustment - (Coal) The Quality Adjustment formula to be used where the Actual Shipment BTU/Lb value differs from the Standard BTU/Lb value. See values at URL: http://www.fpml.org/coding-scheme/commodity-coal-quality-adjustments. BTUperLB - The number of British Thermal Units per Pound of the coal product. BrandCountry - (Metal) Country where brand is produced. BrandManager - (Metal) Brand name manager. BrandName - (Metal) Brand name. BrandProducer - (Metal) Producer of brand. CalorificValue - The calorific value of the gas to be delivered specified in megajoules per cubic meter. ComplianceEndYear - (Environmental) For E.U. Emissions Allowance Transactions describes the specified compliance period end year for which the allowances are issued. ComplianceStartYear - (Environmental) For E.U. Emissions Allowance Transactions describes the specified compliance period start year for which the allowances are issued. DeliveryMethod - Tanker, Barge, Pipeline, etc. DeliveryPoint - Physical delivery point DeliveryQuality - (Electricity) 0 = Not firm, 1 = Firm EEPApplicable - (Environmental) If Excess Emission Penalty is specified to be applicable in the confirmation then the Excess Emission Penalty will be determined in the manner specified in the confirmation. EEPEquivalentApplicable - (Environmental) When value is "Y" the EEP Equivalent is applicable. See Part [7] definition of EEP Equivalent. EEPPenaltyApplicable - (Environmental) When value is "Y" the Excess Emissions Penalty. is applicable. See Part [7] definition of Excess Emissions Penalty. EEPRiskEndDate - (Environmental) Enddd date used to determine how provisions in Part [7] Page 7 (B) Failure to Deliver Not Remedied are to be applied. EEPRiskStartDate - (Environmental) Start date used to determine how provisions in Part [7] Page 7 (B) Failure to Deliver Not Remedied are to be applied. EmissionsYear - Year for emissions trading, i.e. 'Vintage' FailureToDeliverApplicable - (Environmental) For EU Emissions Allowance Transactions holds the failure to deliver (alternative method) election. Used to determine how provisions in Part [7] Page 7 (B) Failure to Deliver Not Remedied are to be applied. FinalEditedData - (Weather) When value is 'Y' it indicates that provider's data is final. FinesPassingScreen - Fluid - The temperature at which the ash cone flattens. Grade - Grade of the commodity to be delivered, e.g. of oil or of refined product. Grindability - The Hardgrove Grindability Index value of the coal to be delivered. InitialDeformation - The temperature at which an ash cone shows evidence of deformation. LoadShapeForced - When value is "Y" it indicates that the electrical load settlement shape is forced. Moisture - The moisture content of the coal product. Quality - The quality of the gas to be delivered. QualityVariationAdjustment - When value is "Y" Quality Variation Adjustment is applicable. SCoTASpecification - When value is "Y" type and source of coal refer to global SCoTA specifications. SO2 - The sulphur dioxide content of the coal product. SO2QualityAdjustment - (Coal) The Quality Adjustment formula to be used where the Actual Shipment SO2/MMBTU value differs from the Standard SO2/MMBTU value. See values at URL: http://www.fpml.org/coding-scheme/commodity-coal-quality-adjustments. SchemeAbandonment - (Environmental) For U.S. Emissions Allowance Transactions specifies terms which apply in the event of an abandonment of scheme event. Shape - (Metal) Shape. SofteningHeightHalfWidth - The temperature at which the height of an ash cone equals half its width. (Hemisphere temperature). SofteningHeightWidth - The temperature at which the height of an ash cone equals its width. (Softening temperature). SpecialCondition - Free-form description of condition Sulphur - The sulphur content of the coal product. SynopticFallback - When value is "Y" it indicates that synoptic data fallback is acceptable. TopSize - The smallest sieve opening that will result in less than 5% of a sample of the coal product remaining. TrackingSystem - (Environmental) For U.S. Emissions Allowance Transactions used to specify the tracking system when this is not defined in Emissions Product Definitions Exhibit. TransferTerms - Terms for physical transfer Volatile - The volatile content of the coal product. Voltage - The voltage of the electricity to be delivered.
41802	→UnderlyingStreamAssetAttributeValue	Val	String	Value of the attribute
42002	UnderlyingStreamCommoditySettlementPeriodGrp	SettlPeriod
42004	→UnderlyingStreamCommoditySettlementTimeZone	TZ	String	Commodity delivery timezone specified as prevailing rather than standard or daylight . E.g. CPT for Central (US) Prevailing Time.
42005	→UnderlyingStreamCommoditySettlementFlowType	FlowTyp	int	Commodity delivery flow type.	0 - All times 1 - On-peak 2 - Off-peak 3 - Base 4 - Block hours 5 - Other
42013	→UnderlyingStreamCommoditySettlementHolidaysProcessingInstruction	Holidays	int	Indicates whether holidays are included in the settlement periods. Required for electricity contracts.	0 - Do not include holidays 1 - Include holidays

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CME STP FIX - TradeCaptureReport - UnderlyingPaymentStream for BrokerTec Trades —

STP Tag	Field Name	FIXML Attribute Name	Data Type	Description	Supported Values
	UnderlyingPaymentStreamPaymentDates	PmtDts
40583	→UnderlyingPaymentStreamPaymentFrequencyPeriod	FreqPeriod	int	The period of frequency of payments.
40584	→UnderlyingPaymentStreamPaymentFrequencyUnit	FreqUnit	String	The unit of frequency of payments.	D - Day Mo - Month T - Term Wk - Week Yr - Year
	UnderlyingPaymentStreamFixedRate	Fixed
40615	→UnderlyingPaymentStreamRate	Rt	Percentage	Rate if the payment stream is a fixed rate stream.
40617	→UnderlyingPaymentStreamRateOrAmountCurrency	Ccy	Currency	Specifies the currency in which UnderlyingPaymentStreamFixedAmount(40616) or UnderlyingPaymentStreamRate(40615) is denominated. Users ISO 4271 currency codes.
	UnderlyingPaymentStreamFloatingRate	Float
40620	→UnderlyingPaymentStreamRateIndex	Ndx	String	Floating Rate Index.
41913	→UnderlyingPaymentStreamRateIndexLocation	NdxLctn	String	Specifies the location of the floating rate index.
40624	→UnderlyingPaymentStreamRateMultiplier	RtMult	float	A rate multiplier to apply to the floating rate. A multiplier schedule is expressed as explicit multipliers and dates. In the case of a schedule, the step dates may be subject to adjustment in accordance with any adjustments specified in the calculationPeriodDatesAdjustments. The multiplier can be less than or greater than 1 (one). This element should only be included if the multiplier is not equal to 1 (one) for the term of the stream.
40625	→UnderlyingPaymentStreamRateSpread	Spread	PriceOffset	Spread from floating rate index.

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CME STP FIX - TradeCaptureReport - InstrumentLeg for BrokerTec Trades —

FIX Tag	Field Name	FIXML Attribute Name	Data Type	Description	New for BrokerTec	Supported Values
600	LegSymbol	Sym	String	'Sym'
602	LegSecurityID	ID	String	'ID'
603	LegSecurityIDSource	Src	String	'Src'		H - Clearing House / Clearing Organization
608	LegCFICode	CFI	String	'CFI'
609	LegSecurityType	SecTyp	String	Refer to definition of SecurityType(167)		BOND - Bond (generic) EUSOV - Euro Sovereigns EUSUPRA - Euro Supranational Coupons FUT - Future FWD - Forward MLEG - Multi Leg (Combo) OPT - Option REPO - Repurchase SOV - UK Gilt SUPRA - USD Supranational Coupons TB - Treasury Bill - non US TBA - To Be Announced TBILL - US Treasury Bill TBOND - US Treasury Bond TNOTE - US Treasury Note IRS - Interest Rate Swap PROV - Canadian Provincial Bonds
764	LegSecuritySubType	SecSubTyp	String	SecuritySubType of the leg instrument.See SecuritySubType (762) field for description. Values include: GC - General Collateral GCF - General Collateral Financing	New Field
610	LegMaturityMonthYear	MMY	MonthYear	'MMY'
611	LegMaturityDate	Mat	LocalMktDate	'Mat'
612	LegStrikePrice	Strk	Price	'Strk'
10045	LegContractMultiplier	Mult	float	'Mult'
999	LegUnitOfMeasure	UOM	String	Refer to defintion of UnitOfMeasure(996)		Alw - Allowances BDFT - Board feet Bbl - Barrels Bcf - Billion cubic feet Bu - Bushels CBM - Cubic Meters CER - Certified Emissions Reduction CRT - Climate Reserve Tonnes Ccy - Amount of currency EnvCrd - Environmental Credit EnvOfst - Environmental Offset GJ - Gigajoules GT - Gross Tons Also known as long tons or imperial tons, equal to 2240 lbs Gal - Gallons IPNT - Index point L - Liters MMBtu - One Million BTU MMbbl - Million Barrels MW-M - Megawatt-Month (electrical capacity) MW-h - Megawatt-Hour (electrical capacity) MWh - Megawatt hours PRINC - Principal with relation to debt instrument cwt - Hundredweight (US) day - Days dt - Dry metric tons g - Grams kL - Kiloliters kW-M - Kilowatt-Month (electrical capacity) kW-h - Kilowatt-Hour (electrical capacity) kWh - Kilowatt hours kg - Kilograms lbs - pounds oz_tr - Troy Ounces t - Metric Tons (aka Tonne) thm - Therms tn - Tons (US)
1224	LegUnitOfMeasureQty	UOMQty	Qty	Refer to definition of UnitOfMeasureQty(1147)
1720	LegUnitOfMeasureCurrency	UOMCcy	Currency	Indicates the currency of the unit of measure. Conditionally required when LegUnitOfMeasure(999) = Ccy
616	LegSecurityExchange	Exch	Exchange	'Exch'	New values BTEU, BTUS, TPICAP	BTEU - BrokerTec EU BTUS - BrokerTec US CBT - Chicago Board of Trade CEE - Stock Exchange Group CME - Chicago Mercantile Exchange COMEX - Commodities Exchange, Inc DME - Dubai Mercantile Exchange IFUS - Intercontinental Exchange NGXC - Natural Gas Exchange NODX - Nodal NYMEX - New York Mercantile Exchange NYMSW - CME Swaps - NYMEX TPICAP - TP-ICAP VMAC - VMAC XNAS - Nasdaq XXXX - OTC Trades
620	LegSecurityDesc	Desc	String	Description of a leg of a multileg instrument.See SecurityDesc(107).
624	LegSide	Side	char	The side of this individual leg (multileg security).See Side (54) field for description and values		1 - Buy 2 - Sell
1358	LegPutOrCall	PutCall	int	Refer to definition of PutOrCall(201)		0 - Put 1 - Call
2192	LegSettlMethod	SettlMeth	char	Settlement method for a contract or instrument. Additional values may be used with bilateral agreement.		P - Physical settlement required C - Cash settlement required E - Election at exercise
10056	LegInstrumentGUID	GUID	String	Leg globally unique identifier	New Field
604	LegSecAltIDGrp	LegAID
→605	→LegSecurityAltID	SecAltID	String	'SecAltID'
→606	→LegSecurityAltIDSource	SecAltIDSrc	String	'SecAltIDSrc'	New values 1, 4	1 - CUSIP 4 - ISIN number 112 - TAM Marker Price Symbol

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CME STP FIX - TradeCaptureReport for BrokerTec Trades —

FIX Tag	Field Name	FIXML Attribute Name	Data Type	Description	New for BrokerTec	OMnet Mapping	Genium FIX Mapping	Supported Values
571	TradeReportID	RptID	String	Unique identifier of trade capture Acknowledgement message.			571
1003	TradeID	TrdID	String	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_i	1003
1040	SecondaryTradeID	TrdID2	String	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).
10036	PackageID	PackageID	String	This field points (forward) to tag 1040-SecondaryTradeID on the trade replacing this trade. This field is only populated when the trade has been replaced as a result of an amendment
487	TradeReportTransType	TransTyp	int	Identifies 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
856	TradeReportType	RptTyp	int	Type of Trade Report			856	101 - Notification
939	TrdRptStatus	TrdRptStat	int	Trade Report Status				0 - Accepted 7 - Terminated
568	TradeRequestID	ReqID	String	Trade Capture Report Request ID			568
828	TrdType	TrdTyp	int	Type of Trade:		trade_type_c	828	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
829	TrdSubType	TrdSubTyp	int	Further qualification to the trade type		deal_source_c	855	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)
10021	OffsetInstruction	OfstInst	int	Indicates offset or onset due to allocation.				0 - Offset 1 - Onset
830	TransferReason	TrnsfrRsn	String	Reason 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)
880	TrdMatchID	MtchID	String	Identifier assigned to a trade by a matching system.		match_id	880
820	TradeLinkID	LinkID	String	Used to link a group of trades together. Useful for linking a group of trades together for average price calculations.	New field	workup_id_n	820
2490	TradeNumber	TrdNum	String		New Field	trade_number_i
20011	DealID	DealID	String	BrokerTec Deal ID, common to all participants within an entire trade (not only a match)	New Field	deal_number_i	20011
17	ExecID	ExecID	String	Unique identifier of execution message as assigned by sell-side. 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).
527	SecondaryExecID	ExecID2	String	Assigned by the party which accepts the order. Can be used to provide the ExecID (17) used by an exchange or executing system.
10035	BlockID	BlckID	String	Indicates the Platform ID of the block trade. Used for IRS.
423	PriceType	PxTyp	int	Code 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 Diff	premium_unit_n	423	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
1430	VenueType	VenuTyp	char	Identifies the type of venue where a trade was executed	New value Q - Quote-driven Market	match_type_c	20009	C - Clearing house E - Electronic O - Off facility swap P - Pit Q - Quote-driven market R - Registered Market (SEF) X - Ex-Pit
854	QtyType	QtyTyp	int	Type of quantity specified in a quantity field:				0 - Notional / Units 1 - Contract term
32	LastQty	LastQty	Qty	Quantity (e.g. shares) bought/sold on this (last) fill.		trade_quantity_i	32
31	LastPx	LastPx	Price	Price of this (last) fill.		deal_price_i	31
1056	CalculatedCcyLastQty	CalcCcyLastQty	Qty	Used for the calculated quantity of the other side of the currency trade. Can be derived from LastQty and LastPx.
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).		created_date_s	75
715	ClearingBusinessDate	BizDt	LocalMktDate	The "Clearing Business Date" referred to by this maintenance request.		clearing_date_s	715
6	AvgPx	AvgPx	Price	Calculated 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 for issues traded in Yield, Spread or Discount.
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.).				1 - Single security (default if not specified) 2 - Individual leg of a multi-leg security 3 - Multi-leg security
60	TransactTime	TxnTm	UTCTimestamp	Timestamp when the business transaction represented by the message occurred.		asof_date_s + asof_time_s	60
2405	ExecMethod	ExecMeth	int	Specifies whether the transaction was executed via an automated execution platform or other method.				1 - Manual 2 - Automated
64	SettlDate	SettlDt	LocalMktDate	Specific 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 field	settlement_date_s	64
779	LastUpdateTime	LastUpdateTm	UTCTimestamp	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_s	779
1832	ClearedIndicator	Clrd	int	Indicates whether the position or trade being reported was cleared through a clearing organization.				0 - Not cleared 1 - Cleared
1924	ClearingIntention	ClrIntn	int	Indicates whether or not the parties intend the trade to clear.				0 - Do not intend to clear 1 - Intend to clear
1932	ClearingRequirementException	ClrReqmtExcptn	int	Specifies 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
1936	TradeCollateralization	TrdCollztn	int	Indication of trade collateralization.				0 - Uncollateralized 1 - Partially collateralized 2 - One-way collateralized 3 - Fully collateralized
10033	DifferentialPrice	DiffPx	float	Represents the Differential Price for Spreads.
10024	DifferentialPriceType	DiffPxTyp	int	This indicates the type of differential price represented in the Differential Type attribute.				0 - Differential from Settlement Price 1 - Differential between legs
997	OrigTimeUnit	OrigTmUnit	String	Specifies the Time Unit of the original trade.				D - Day H - Hour Min - Minute Mo - Month S - Second Wk - Week Yr - Year
10037	TradingQuantity	TrdgQty	Qty	Indicates 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.
10047	ConfirmHubTradeType	CHTrdTyp	String	Custom field to represent specific Confirm Hub Trade Types
37711	MarketDataTradeEntryID	MDTrdEntrID	String	Unique Trade Identifier that will match to a CME Globex order execution, associated market data message and STP messaging
1832	ClearedIndicator	Clrd	int	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
1329	FeeMultiplier	FeeMult	float	This is a multiplier that Clearing (Fee system) will use to calculate fees and will be sent to the firms on their confirms.
10053	SplitIndicator	SplitInd	char	Indicates whether or not a trade is split	New field			Y - Split trade N - Whole trade
20043	AlternatePrice	LastPx2	Price	Alternate Price	New field	alternate_price_i	20043
20056	SettlementTradeID	SettlTrdID	String	Trade identifier as assigned by BrokerTec Clearing.	New field
99400	Clearing Transformation Type	ClrTransTyp	int	Indicates the type of Clearing Transformation that generated this Trade.				1- Exercise 2-Assignment 3-General Transformation 4-Delivery Transformation 5-Fungible
719	Contrary Instruction Indicator	CntraryInstrctnInd	Boolean	Used to indicate when a contrary instruction for exercise or abandonment is being submitted				Y-YES N-NO
99401	Option Exercise Time Frame	OptExerTmFm	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)				1-Early 2-Expiration
30	LastMkt	LastMkt	Exchange	Market of execution for last fill, or an indication of the market where an order was routed	New field
1116	RootParties	Pty
→1117	→RootPartyID	ID	String	PartyID value within a root parties component. Same values as PartyID (448)
→1118	→RootPartyIDSource	Src	char	PartyIDSource value within a root parties component. Same values as PartyIDSource (447)				N - LEI
→1119	→RootPartyRole	R	int	PartyRole value within a root parties component. Same values as PartyRole (452)				73 - Execution Venue
	Instrument	Instrmt
	FinancingDetails	FinDetls
916	→StartDate	StartDt	LocalMktDate	Start date of a financing deal, i.e. the date the buyer pays the seller cash and takes control of the collateral	New field	start_date_s	916
917	→EndDate	EndDt	LocalMktDate	End date of a financing deal, i.e. the date the seller reimburses the buyer and takes back control of the collateral	New field	end_date_s	917
40212	PaymentGrp	Pmt
711	UndInstrmtGrp	Undly
753	PositionAmountData	Amt
→707	→PosAmtType	Typ	String	Type of Position amount				CRES - Cash Residual Amount ICPN - Initial Trade Coupon Amount IPMT - Upfront Payment PREM - Premium Amount TVAR - Trade Variation Amount
→708	→PosAmt	Amt	Amt	Position amount
→1055	→PositionCurrency	Ccy	String	The Currency in which the position Amount is denominated
555	TrdInstrmtLegGrp	TrdLeg
552	TrdCapRptSideGrp	RptSide
2668	TrdRegPublicationGrp	TrdRegPublctn
→2669	→TrdRegPublicationType	Typ	int		New field			2 - Exempt from publication
→2670	→TrdRegPublicationReason	Rsn	int		New field			12 - Exempted due to European System of Central Banks (ESCB) policy transactions

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CME STP FIX for BrokerTec Library