FIX 4.3 : Trade Capture Report Request <AD> message

Structure | Related Messages

Description

The Trade Capture Report <AE> can be used to:

  • Request one or more trade capture reports based upon selection criteria provided on the trade capture report request
  • Subscribe for trade capture reports based upon selection criteria provided on the trade capture report request.

The following criteria can be specified on the Trade Capture Report Request <AD>:

  • All Trades matching the order identification information
  • All Trades for the party defined in the component block <<Parties>>
  • This can be a trader id, firm, broker id, clearing firm
  • All Trades that match component block <<Instrument>>
  • All Unreported trades - Executions that have not been sent
  • All unmatched trades - Trades that have not been matched
  • Trades that have specified MatchStatus <573>
  • Trades for a specific OrderID <37>
  • Trades for a specific ClOrdID <11>
  • Trades for a specific ExecID <17>
  • Trades entered via a specific TradeInputSource <578>
  • Trades entered via a specific TradeInputDevice <579>
  • All Advisories

Each field in the Trade Capture Report Request <AD> (other than TradeRequestID <568> and SubscriptionRequestType <263>) identify filters - trade reports that satisfy all Specified filters will be returned. Note that the filters are combined using an implied "and" - a trade report must satisfy every specified filter to be returned.

The optional date or time range-specific filter criteria (within NoDates <580> repeating group) can be used in one of two modes:

Trade Capture Report <AE> messages are the normal return type to a Trade Capture Report Request <AD>.

Use the Business Message Reject <j> to reject an invalid Trade Capture Report Request <AD>.

Structure

Tag Field Name Req'd Comments
<MessageHeader> Y MsgType <35> = AD
568 TradeRequestID Y

Identifier for the trade request

569 TradeRequestType Y
263 SubscriptionRequestType N

Used to subscribe / unsubscribe for trade capture reports

If the field is absent, the value 0 will be the default

17 ExecID N
37 OrderID N
11 ClOrdID N
573 MatchStatus N
Component Block - <Parties> N

Used to specify the parties for the trades to be returned (clearing firm, execution broker, trader id, etc.)

ExecutingBroker

ClearingFirm

ContraBroker <375>

ContraClearingFirm

SettlementLocation - depository, CSD, or other settlement party

ExecutingTrader

InitiatingTrader

OrderOriginator

Component Block - <Instrument> N

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

580 NoDates N

Number of date ranges provided (must be 1 or 2 if specified)

=> 75 TradeDate N

Used when reporting other than current day trades.

Conditionally required if NoDates <580> > 0

=> 60 TransactTime N

Time the transaction represented by this ExecutionReport occurred

54 Side N
58 Text N

Used to match specific values within Text <58> fields

354 EncodedTextLen N
355 EncodedText N
578 TradeInputSource N
579 TradeInputDevice N
<MessageTrailer> Y

 

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