Page tree
Skip to end of metadata
Go to start of metadata

You are viewing an old version of this page. View the current version.

Compare with Current View Page History

« Previous Version 70 Next »

Use this search bar to search topics within the CME STP.

The selected root page could not be found.

This page describes supported CME STP message types:

 

Trade Capture Report and Notifications

Related Content
Unable to render {children}. Page not found: Portfolio Manager API.

The PM API supports the following information in Trade Capture Report messages:

Single trade allocations are treated as group allocations, where the group has just one trade.

    1. Trade marked / unmarked for allocation
    2. Offset and Onset trades when an allocation is claimed
    3. Offset and Onset trades when an allocation is released / reversed
    4. MOS (Mutual Offset System) allocations, allowing foreign exchanges to allocate to a CME Firm and vice versa, are treated like normal allocations.
  • Spread and Leg level messages
  • Change of Firm. When the Trading Firm is changed on the transaction, the PM API sends a Cancel Notification to the previous Trading Firm and a New Trade Notification is sent to the new Trading Firm.

Subscriptions and Queries

The PM API supports data retrieval using subscriptions and queries.  Queries return trade messages only up to the date and time that the query request was received by the API.  Subscriptions continue to send trade messages to the user on an ongoing basis; there is no end date time.

Continuing a Subscription or Query

When responding to a successful Subscription Request, the PM API sends a token to the user so that the user may continue the subscription. When responding to a successful Query Request, the PM API sends a token if the results of the query are incomplete (for example, more data is available). For a Subscription, the user must wait wait a minimum of three seconds before continuing the subscription, which requires making another HTTP call that contains the token. For a Query, the user may make another HTTP call containing the token immediately.

The PM API will only accept a subscription or query request without token if it is a new subscription or query; all continuations of existing subscriptions or queries must include a token.

API Input API Output

Subscription / Query Request: FIXML Trade Capture Report Request


Successful Subscription / Query Response: FIXML Trade Capture Report

 

Subscription / Query Error Response: FIXML Trade Capture Report Request Ack

Tokens

API input messages continuing prior Subscription or Query Requests must send the token in the custom x-cme-token HTTP header. API output messages will contain the token both in the x-cme-token HTTP header as well as in the /FIXML/Batch/@ID XPath within the message.

Each successful response from the PM API may return a different token. The user must send that new token in the next continued Subscription or Query Request.

Identifiers and Modes

The user must supply a unique identifier with each query in /FIXML/TrdCaptRptReq/@ReqID which the PM API will echo back in /FIXML/Batch/TrdCaptRpt/@ReqID for successful requests, and in /FIXML/TrdCaptRptReqAck/@ReqID in case of errors. This enables the user to match the request with the resulting messages. When continuing a Subscription or a Request, the user may reuse the original @ReqID or may send a new identifier. The PM API will respond with with the @ReqID sent on the request.

The user must indicate in /FIXML/TrdCaptRptReq/@SubReqTyp whether the message is a Subscription, a Query, or whether it disables a previous Subscription. The user must also indicate via /FIXML/TrdCaptRptReq/@ReqTyp whether this is a new Subscription or Query, or a continuation of a prior Subscription or Query.

Subscription and Query Parameters

Use ONLY the following parameters to filter the query and/ or subscription results. Note that every continuation of a Subscription or Query must contain all of the filter criteria of the original subscription or query. Omitting, changing, or adding filter criteria may cause undesired results.

Parameter Usage XPath

Party ID and Role

(e.g. Trading Firm, Asset Manager, Broker)

Required

(one only)

/FIXML/TrdCaptRptReq/Pty/@ID

/FIXML/TrdCaptRptReq/Pty/@R

Trade Date Optional /FIXML/TrdCaptRptReq/TrdCapDt/@TrdDt
Clearing Business Date Optional /FIXML/TrdCaptRptReq/@BizDt
Venue (Input Source) Optional /FIXML/TrdCaptRptReq/@InptSrc
Product Optional /FIXML/TrdCaptRptReq/Instrmt/@ID
Product Type (e.g. FUT, OPT) Optional /FIXML/TrdCaptRptReq/Instrmt/@SecTyp
Exchange Optional /FIXML/TrdCaptRptReq/Instrmt/@Exch
Trade ID Optional /FIXML/TrdCaptRptReq/@TrdID
Secondary Trade ID Optional /FIXML/TrdCaptRptReq/@TrdID2
Client Order ID Optional /FIXML/TrdCaptRptReq/@ClOrdID
Spread Type Required /FIXML/TrdCaptRptReq/@MLegRptTyp
Start Time Optional /FIXML/TrdCaptRptReq/@StartTm
End Time

Not Allowed on Requests

Optional on Queries

/FIXML/TrdCaptRptReq/@SEndTm

 

   

  • No labels