FIX 4.3 : Trade Capture Report <AE> message

Structure | Related Messages

Description

The Trade Capture Report <AE> message can be:

  • Used to report trades between counterparties.
  • Can be sent unsolicited between counterparties.
  • Sent as a reply to a Trade Capture Report Request <AD>.
  • Can be used to report unmatched and matched trades.

Structure

Tag Field Name Req'd Comments
<MessageHeader> Y MsgType <35> = AE
571 TradeReportID Y

Unique identifier for the Trade Capture Report <AE>

487 TradeReportTransType N

Identifies Trade Report message transaction type.

568 TradeRequestID N

Request ID if the Trade Capture Report <AE> is in response to a Trade Capture Report Request <AD>

150 ExecType Y

Type of Execution being reported:

Uses subset of ExecType <150> for Trade Capture Reports

572 TradeReportRefID N

The TradeReportID <571> that is being referenced for some action, such as correction or cancellation

17 ExecID N

Exchanged assigned Execution ID (Trade Identifier)

527 SecondaryExecID N
378 ExecRestatementReason N

Reason for restatement

570 PreviouslyReported Y

Indicates if the trade capture report was previously reported to the counterparty

Component Block - <Instrument> Y

Insert here the set of "<Instrument>" (symbology) fields defined in "COMMON COMPONENTS OF APPLICATION MESSAGES"

Component Block - <OrderQtyData> N

Insert here the set of "<OrderQtyData>" fields defined in "COMMON COMPONENTS OF APPLICATION MESSAGES"

Note: OrderQty <38> field is required unless rejecting or an order ack for a CashOrderQty <152> or PercentOrder.

32 LastQty(formerly named: LastShares prior to FIX 4.3) Y

Quantity (e.g. shares) bought/sold on this (last) fill. Not required ExecType <150> = Order Status When required, should be "0" for non-fills ("fill" defined as ExecType <150>=Trade) unless noted below.

If ExecType <150>=Stopped, represents the quantity stopped/guaranteed/protected for.

31 LastPx Y

Price <44> of this (last) fill. Not required for ExecType <150> = Order Status Should represent the 'all-in' (LastSpotRate <194> + LastForwardPoints <195>) rate for F/X orders. ). When required, should be "0" for non-fills ("fill" defined as ExecType <150>=Trade New) unless noted below.

If ExecType <150>=Stopped, represents the price stopped/guaranteed/protected at.

194 LastSpotRate N

Applicable for F/X orders

195 LastForwardPoints N

Applicable for F/X orders

30 LastMkt N
75 TradeDate Y

Used when reporting other than current day trades.

60 TransactTime Y

Time the transaction represented by this ExecutionReport occurred

63 SettlmntTyp N
64 FutSettDate N

Takes precedence over SettlmntTyp <63> value and conditionally required/omitted for specific SettlmntTyp <63> values.

573 MatchStatus N
574 MatchType N
552 NoSides Y

Number of sides

=> 54 Side Y
=> 37 OrderID Y

OrderID <37> is required to be unique for each chain of orders.

=> 198 SecondaryOrderID N

Can be used to provide order id used by exchange or executing system.

=> 11 ClOrdID N

Required for executions against electronically submitted orders which were assigned an ID by the institution or intermediary. Not required for orders manually entered by the broker or fund manager (for CIV orders).

=> Component Block - <Parties> N

Insert here the set of "<Parties>" (firm identification) fields defined in "COMMON COMPONENTS OF APPLICATION MESSAGES"

Range of values on report:

=> 1 Account N

Required for executions against electronically submitted orders which were assigned an account by the institution or intermediary

=> 581 AccountType N

Specifies type of account

=> 81 ProcessCode N

Used to specify Step-out trades

=> 575 OddLot N
=> 576 NoClearingInstructions N
=> => 577 ClearingInstruction N
=> 635 ClearingFeeIndicator N
=> 578 TradeInputSource N
=> 579 TradeInputDevice N
=> 15 Currency N
=> 376 ComplianceID N
=> 377 SolicitedFlag N
=> 528 OrderCapacity N
=> 529 OrderRestrictions N
=> 582 CustOrderCapacity N
=> 483 TransBkdTime N

A date and time stamp to indicate when this order was booked. For Equities, this is the time at which an order was received by an Exchange or Marketplace. For CIV, this is the time that a Fund Manager booked an order for execution at the next valuation point.

=> 336 TradingSessionID N
=> 625 TradingSessionSubID N
=> Component Block - <CommissionData> N

Insert here the set of "<CommissionData>" fields defined in "COMMON COMPONENTS OF APPLICATION MESSAGES"

Note: On a fill/partial fill messages, it represents value for that fill/partial fill, on ExecType <150>=Calculated, it represents cumulative value for the order. Monetary commission values are expressed in the currency reflected by the Currency <15> field.

=> 381 GrossTradeAmt N
=> 157 NumDaysInterest N
=> 230 ExDate N
=> 158 AccruedInterestRate N
=> 159 AccruedInterestAmt N
=> 238 Concession N
=> 237 TotalTakedown N
=> 118 NetMoney N

Note: On a fill/partial fill messages, it represents value for that fill/partial fill, on ExecType <150>=Calculated, it represents cumulative value for the order. Value expressed in the currency reflected by the Currency <15> field.

=> 119 SettlCurrAmt N

Used to report results of forex accommodation trade

=> 120 SettlCurrency N

Used to report results of forex accommodation trade

=> 155 SettlCurrFxRate N

Foreign exchange rate used to compute SettlCurrAmt <119> from Currency <15> to SettlCurrency <120>

=> 156 SettlCurrFxRateCalc N

Specifies whether the SettlCurrFxRate <155> should be multiplied or divided

=> 77 PositionEffect(formerly named: OpenClose prior to FIX 4.3) N

For use in derivatives omnibus accounting

=> 58 Text N

May be used by the executing market to record any execution Details that are particular to that market

=> 354 EncodedTextLen N

Must be set if EncodedText <355> field is specified and must immediately precede it.

=> 355 EncodedText N

Encoded (non-ASCII characters) representation of the Text <58> field in the encoded format specified via the MessageEncoding <347> field.

=> 442 MultiLegReportingType N

Default is a single security if not specified.

=> 518 NoContAmts N

Number of contract details in this message

** Nested Repeating Group follows **

=> => 519 ContAmtType N

Must be first field in the repeating group.

=> => 520 ContAmtValue N
=> => 521 ContAmtCurr N
=> 136 NoMiscFees N

Required if any miscellaneous fees are reported. Indicates number of repeating entries

** Nested Repeating Group follows **

=> => 137 MiscFeeAmt N

Required if NoMiscFees <136> > 0

=> => 138 MiscFeeCurr N

Required if NoMiscFees <136> > 0

=> => 139 MiscFeeType N

Required if NoMiscFees <136> > 0

<MessageTrailer> Y

 

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