FIX 4.4 : Trade Capture Report Request <AD> message

Structure | Related Messages

Description

The Trade Capture Report Request <AD> 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>:

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>.

The response to a Trade Capture Report Request <AD> can be:

  • One or more Trade Capture Reports
  • A Trade Capture Report Request Ack <AQ> followed by one or more Trade Capture Reports in two specific cases:
    • When the Trade Capture Reports are being delivered out of band (such as a file transfer),
    • When there is a processing delay between the time of the request and when the reports will be sent (for instance in a distributed trading environment where trades are distributed across multiple trading systems).
  • A Trade Capture Report Ack <AR> only
  • When no trades are found that match the selection criteria specified on the Trade Capture Report Request <AD>
  • When the Trade Capture Report Request <AD> was deemed invalid for business reasons by the counterparty

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 (snapshot only - no subscription)

571 TradeReportID N

To request a specific trade report

818 SecondaryTradeReportID N

To request a specific trade report

17 ExecID N
150 ExecType N

To requst all trades of a specific execution type

37 OrderID N
11 ClOrdID N
573 MatchStatus N
828 TrdType N

To request all trades of a specific trade type

829 TrdSubType N

To request all trades of a specific trade sub type

830 TransferReason N

To request all trades for a specific transfer reason

855 SecondaryTrdType N

To request all trades of a specific trade sub type

820 TradeLinkID N

To request all trades of a specific trade link id

880 TrdMatchID N

To request a trade matching a specific TrdMatchID <880>

Component Block - <Parties> N

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

ExecutingBroker

ClearingFirm <439>

ContraBroker <375>

ContraClearingFirm <439>

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"

Component Block - <InstrumentExtension> N

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

Component Block - <FinancingDetails> N

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

711 NoUnderlyings N

Indicates number of repeating entries.

** Nested Repeating Group follows **

=> Component Block - <UnderlyingInstrument> N

Required if NoUnderlyings <711> > 0

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

555 NoLegs N

Indicates number of repeating entries.

** Nested Repeating Group follows **

=> Component Block - <InstrumentLeg> N

Required if NoLegs <555> > 0

Insert here the set of "<InstrumentLeg>" 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

To request trades for a specific time.

715 ClearingBusinessDate N

To request trades for a specific clearing business date.

336 TradingSessionID N

To request trades for a specific trading session.

625 TradingSessionSubID N

To request trades for a specific trading session.

943 TimeBracket N

To request trades within a specific time bracket.

54 Side N

To request trades for a specific side of a trade.

442 MultiLegReportingType N

Used to indicate if trades are to be returned for the individual legs of a multileg instrument or for the overall instrument.

578 TradeInputSource N

To requests trades that were submitted from a specific trade input source.

579 TradeInputDevice N

To request trades that were submitted from a specific trade input device.

725 ResponseTransportType N

Ability to specify whether the response to the request should be delivered inband or via pre-arranged out-of-band transport.

726 ResponseDestination N

URI destination name. Used if ResponseTransportType <725> is out-of-band.

58 Text N

Used to match specific values within Text <58> fields

354 EncodedTextLen N
355 EncodedText N
<MessageTrailer> Y

 

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