Update: CME ClearPort Additional Attributes on Outbound Trade Capture Report Messages

Effective Sunday, February 23, 2014 (trade date Monday, February 24, 2014), the following attributes will be added to the outbound Trade Capture Report messages in the Production environment.:

• For Total Number of Cleared Contracts
  • TrdCaptRpt/@TotTrdQty
  • TrdCaptRpt/TrdLeg/@TotTrdQty
• For Total Amount Traded (In Unit)
  • TrdCaptRpt/@TotTrdMultdQty
  • TrdCaptRpt/TrdLeg/@TotTrdMultdQty

The ClearPort API will support a new Total Trade Quantity attribute for any product cleared that is not expressed in notional terms.

The new attributes will be on all TCR Messages, with the exception of CDS and OTC FX messages.

Sample Messages available below for a 12 Month strip, with a total quantity of 365 lots or 912500 units.

<FIXMLv="5.0 SP2"xv="109"s="20090815"cv="CME.0001">

  <TrdCaptRptRptID="1381230469653"TransTyp="0"TrdRptStat="0"TrdTyp="12"OrigTrdDt="2013-09-25"TrdDt="2013-09-25"BizDt="2013-09-25"ExecID="5927332"TxnTm="2013-09-25T10:27:34.860-05:00"RegRptTyp="4"VenuTyp="O"TrdCntgncy="1"RptTyp="0"LastRptReqed="Y"TotNumTrdRpts="1"ReqID="123456"TotTrdQty="365"TotTrdMultdQty="912500">

    <HdrSID="CME"SSub="CPAPI"TID="RCBK"TSub="rcaf"/>

    <RegTrdIDID="CPB000005927332TN0001"Src="1010000023"Typ="0"Evnt="1"LegRefID="1"/>

    <RegTrdIDID="CPB001005927332TN0001"Src="1010000023"Typ="0"Evnt="1"LegRefID="2"/>

    <RegTrdIDID="CPB002005927332TN0001"Src="1010000023"Typ="0"Evnt="1"LegRefID="3"/>

    <RegTrdIDID="CPB003005927332TN0001"Src="1010000023"Typ="0"Evnt="1"LegRefID="4"/>

    <RegTrdIDID="CPB004005927332TN0001"Src="1010000023"Typ="0"Evnt="1"LegRefID="5"/>

    <RegTrdIDID="CPB005005927332TN0001"Src="1010000023"Typ="0"Evnt="1"LegRefID="6"/>

    <RegTrdIDID="CPB006005927332TN0001"Src="1010000023"Typ="0"Evnt="1"LegRefID="7"/>

    <RegTrdIDID="CPB007005927332TN0001"Src="1010000023"Typ="0"Evnt="1"LegRefID="8"/>

    <RegTrdIDID="CPB008005927332TN0001"Src="1010000023"Typ="0"Evnt="1"LegRefID="9"/>

    <RegTrdIDID="CPB009005927332TN0001"Src="1010000023"Typ="0"Evnt="1"LegRefID="10"/>

    <RegTrdIDID="CPB010005927332TN0001"Src="1010000023"Typ="0"Evnt="1"LegRefID="11"/>

    <RegTrdIDID="CPB011005927332TN0001"Src="1010000023"Typ="0"Evnt="1"LegRefID="12"/>

    <PtyR="102"ID="SNZ2OJLFK8MNNCLQOF39"Src="N"/>

    <InstrmtSecTyp="MLEG"SubTyp="SA"/>

    <TrdLegLegNo="1"QtyTyp="0"LastQty="2500"LastPx="4.0"TotTrdQty="31"TotTrdMultdQty="77500">

      <LegID="NN"Src="H"MMY="201401"SecTyp="FUT"Exch="NYMEX"TmUnit="D"Side="1"/>

    </TrdLeg>

    <TrdLegLegNo="2"QtyTyp="0"LastQty="2500"LastPx="4.0"TotTrdQty="28"TotTrdMultdQty="70000">

      <LegID="NN"Src="H"MMY="201402"SecTyp="FUT"Exch="NYMEX"TmUnit="D"Side="1"/>

    </TrdLeg>

    <TrdLegLegNo="3"QtyTyp="0"LastQty="2500"LastPx="4.0"TotTrdQty="31"TotTrdMultdQty="77500">

      <LegID="NN"Src="H"MMY="201403"SecTyp="FUT"Exch="NYMEX"TmUnit="D"Side="1"/>

    </TrdLeg>

    <TrdLegLegNo="4"QtyTyp="0"LastQty="2500"LastPx="4.0"TotTrdQty="30"TotTrdMultdQty="75000">

      <LegID="NN"Src="H"MMY="201404"SecTyp="FUT"Exch="NYMEX"TmUnit="D"Side="1"/>

    </TrdLeg>

    <TrdLegLegNo="5"QtyTyp="0"LastQty="2500"LastPx="4.0"TotTrdQty="31"TotTrdMultdQty="77500">

      <LegID="NN"Src="H"MMY="201405"SecTyp="FUT"Exch="NYMEX"TmUnit="D"Side="1"/>

    </TrdLeg>

    <TrdLegLegNo="6"QtyTyp="0"LastQty="2500"LastPx="4.0"TotTrdQty="30"TotTrdMultdQty="75000">

      <LegID="NN"Src="H"MMY="201406"SecTyp="FUT"Exch="NYMEX"TmUnit="D"Side="1"/>

    </TrdLeg>

    <TrdLegLegNo="7"QtyTyp="0"LastQty="2500"LastPx="4.0"TotTrdQty="31"TotTrdMultdQty="77500">

      <LegID="NN"Src="H"MMY="201407"SecTyp="FUT"Exch="NYMEX"TmUnit="D"Side="1"/>

    </TrdLeg>

    <TrdLegLegNo="8"QtyTyp="0"LastQty="2500"LastPx="4.0"TotTrdQty="31"TotTrdMultdQty="77500">

      <LegID="NN"Src="H"MMY="201408"SecTyp="FUT"Exch="NYMEX"TmUnit="D"Side="1"/>

    </TrdLeg>

    <TrdLegLegNo="9"QtyTyp="0"LastQty="2500"LastPx="4.0"TotTrdQty="30"TotTrdMultdQty="75000">

      <LegID="NN"Src="H"MMY="201409"SecTyp="FUT"Exch="NYMEX"TmUnit="D"Side="1"/>

    </TrdLeg>

    <TrdLegLegNo="10"QtyTyp="0"LastQty="2500"LastPx="4.0"TotTrdQty="31"TotTrdMultdQty="77500">

      <LegID="NN"Src="H"MMY="201410"SecTyp="FUT"Exch="NYMEX"TmUnit="D"Side="1"/>

    </TrdLeg>

    <TrdLegLegNo="11"QtyTyp="0"LastQty="2500"LastPx="4.0"TotTrdQty="30"TotTrdMultdQty="75000">

      <LegID="NN"Src="H"MMY="201411"SecTyp="FUT"Exch="NYMEX"TmUnit="D"Side="1"/>

    </TrdLeg>

    <TrdLegLegNo="12"QtyTyp="0"LastQty="2500"LastPx="4.0"TotTrdQty="31"TotTrdMultdQty="77500">

      <LegID="NN"Src="H"MMY="201412"SecTyp="FUT"Exch="NYMEX"TmUnit="D"Side="1"/>

    </TrdLeg>

    <TrdRegTSTS="2013-09-25T10:25:00-05:00"Typ="1"/>

    <RptSideSide="1"InptDev="UI"InptSrc="CPC"CustCpcty="4">

      <PtyR="44"ID="rcaf"/>

      <PtyR="30"ID="RCAF_BRKR">

        <SubTyp="5"ID="Rich Caf Brokerage"/>

      </Pty>

      <PtyR="62"ID="rcaf">

        <SubTyp="9"ID="RCaf Broker"/>

      </Pty>

      <PtyR="36"ID="rcaf1">

        <SubTyp="9"ID="RCaf Trader1"/>

      </Pty>

      <PtyR="30"ID="55555555555555555555"Src="N"/>

      <PtyR="37"ID="rcaf">

        <SubTyp="9"ID="RCaf Broker"/>

      </Pty>

      <PtyR="1"ID="685">

        <SubTyp="5"ID="MBF CLEARING CORP."/>

      </Pty>

      <PtyR="24"ID="RCACCT1B"Src="C">

        <SubTyp="26"ID="2"/>

      </Pty>

      <PtyR="7"ID="RCAF_TRD1">

        <SubTyp="5"ID="Rich Caf Trading 1"/>

      </Pty>

      <PtyR="7"ID="CME00000000000006693"Src="N"/>

    </RptSide>

    <RptSideSide="2"InptDev="UI"InptSrc="CPC"CustCpcty="4">

      <PtyR="44"ID="rcaf"/>

      <PtyR="30"ID="RCAF_BRKR">

        <SubTyp="5"ID="Rich Caf Brokerage"/>

      </Pty>

      <PtyR="62"ID="rcaf">

        <SubTyp="9"ID="RCaf Broker"/>

      </Pty>

      <PtyR="36"ID="rcaf2">

        <SubTyp="9"ID="RCaf Trader2"/>

      </Pty>

      <PtyR="30"ID="55555555555555555555"Src="N"/>

      <PtyR="37"ID="rcaf">

        <SubTyp="9"ID="RCaf Broker"/>

      </Pty>

      <PtyR="1"ID="072">

        <SubTyp="5"ID="GOLDMAN, SACHS &amp; CO."/>

      </Pty>

      <PtyR="24"ID="RCACCT2B"Src="C">

        <SubTyp="26"ID="2"/>

      </Pty>

      <PtyR="7"ID="RCAF_TRD2">

        <SubTyp="5"ID="Rich Caf Trading 2"/>

      </Pty>

      <PtyR="7"ID="RCAFLEI0000000000002"Src="N"/>

    </RptSide>

  </TrdCaptRpt>

</FIXML>

These changes will be available in New Release for customer testing on Monday, January 29, 2014.

For additional information as well as links to message specifications and message samples, please see the CME ClearPort Implementation Guides.

If you have questions, please contact Certification Support for Electronic Trading (CSET) in the U.S. at +1 312 930 2322, in Europe at +44 20 3379 3803, or in Asia at +65 6593 5593.