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Trade Capture Report and Notifications
Below are the various needed.
- Cleared Trade Notifications and Trade Void Notifications
- Allocations: See the message flow for this function.
- Allocation Notifications (single trade allocations are treated as group allocations, where the group has just one trade
- Allocation Release/ Reversal Notifications
- Spreads are supported in the PM API. The Portfolio Manager API will support both Spread and Leg level messages.
Deltas: When the Trading Firm is changed on the transaction, a Cancel Notification is sent to the previous Trading Firm and a New Trade Notification is sent to the new Trading Firm. Note that only changes to Trading Firm are supported. See the message flow for this function.
MOS Allocations- CME firm offsets and onsets included. CME Group does not include the SGX offsets and onsets.
Subscriptions permit users to retrieve only real time data. See the message flow for this function.
|API Input||API Output|
Subscription Request for all data
Successful Subscription Response for all data
Subscription Error Response – Inappropriate permission
Subscription Request with Filters
|Subscription Error Response – Inappropriate permission|
|Subscription Polling Request||Subscription Polling Response|
|Subscription Signoff Request||
Successful Subscription Signoff
Subscription Signoff Error Response
Queries permit data retrieval for one previous day (ie. prior to the current 24 hour window).
The Portfolio Manager API uses both REST style HTTP parameters for queries and FIXML message (e.g. TrdCaptRptReq) parameters.
The Query responses continue as long as the client passes a token to the Portfolio Manager API.
See the message flow for this function.
Subscription and Query Parameters
- Party Role (R) <<Broker, Asset Manager, Trading Firm>>
- Trade Date (TrdDt)
- Venue (InptSrc)
- Product (Instrmt.ID)
- Product Type <<SecTyp eg. FUT, OPT, MLEG>>
- Exchange (Exch)