FIX 4.4 : Trade Capture Report <AE> message

Structure | Related Messages

Description

The Trade Capture Report <AE> message can be:

  • Used to report trades between counterparties.
  • Used to report trades to a trade matching system
  • 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.

856 TradeReportType N
568 TradeRequestID N

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

828 TrdType N
829 TrdSubType N
855 SecondaryTrdType N
830 TransferReason N
150 ExecType N

Type of Execution being reported:

Uses subset of ExecType <150> for Trade Capture Reports

748 TotNumTradeReports N

Number of trade reports returned - if this report is part of a response to a Trade Capture Report Request <AD>

912 LastRptRequested N

Indicates if this is the last report in the response to a Trade Capture Report Request <AD>

325 UnsolicitedIndicator N

Set to 'Y' if message is sent as a result of a subscription request or out of band configuration as opposed to a Position Request.

263 SubscriptionRequestType N

Used to subscribe / unsubscribe for trade capture reports. If the field is absent, the value 0 will be the default

572 TradeReportRefID N

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

881 SecondaryTradeReportRefID N
818 SecondaryTradeReportID N
820 TradeLinkID N

Used to associate a group of trades together. Useful for average price calculations.

880 TrdMatchID N
17 ExecID N

Exchanged assigned Execution ID (Trade Identifier)

39 OrdStatus N

Status of order as of this trade report

527 SecondaryExecID N
378 ExecRestatementReason N

Reason for restatement

570 PreviouslyReported Y

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

423 PriceType N

Can be used to indicate cabinet trade pricing

Component Block - <Instrument> Y

Insert here the set of "<Instrument>" (symbology) 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"

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.

854 QtyType N
Component Block - <YieldData> N

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

711 NoUnderlyings N
=> Component Block - <UnderlyingInstrument> N

Required when NoUnderlyings <711> > 0

822 UnderlyingTradingSessionID N
823 UnderlyingTradingSessionSubID N
32 LastQty Y

Trade Quantity <53>.

31 LastPx Y

Trade Price <44>.

669 LastParPx N

Last price expressed in percent-of-par. Conditionally required for Fixed Income trades when LastPx <31> is expressed in Yield <236>, Spread <218>, Discount or any other price type that is not percent-of-par.

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.

715 ClearingBusinessDate N
6 AvgPx N

Average Price <44> - if present then the LastPx <31> will contain the original price on the execution

Component Block - <SpreadOrBenchmarkCurveData> N

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

819 AvgPxIndicator N

Average Pricing indicator

Component Block - <PositionAmountData> N

Used to report mark to market and residual amount

442 MultiLegReportingType N

Type of report if multileg instrument.

Provided to support a scenario for trades of multileg instruments between two parties.

824 TradeLegRefID N

Reference to the leg of a multileg instrument to which this trade refers

Used when MultiLegReportingType <442> = 2 (Single Leg of a Multileg security)

555 NoLegs N

Number of legs

Identifies a Multi-leg Execution if present and non-zero.

=> Component Block - <InstrumentLeg> N

Must be provided if Number of legs > 0

=> 687 LegQty N
=> 690 LegSwapType N

Instead of LegQty <687> - requests that the sellside calculate LegQty <687> based on opposite Leg

=> Component Block - <LegStipulations> N
=> 564 LegPositionEffect N

Provide if the PositionEffect <77> for the leg is different from that specified for the overall multileg security

=> 565 LegCoveredOrUncovered N

Provide if the CoveredOrUncovered <203> for the leg is different from that specified for the overall multileg security.

=> Component Block - <NestedParties> N

Insert here the set of "<NestedParties>" (firm identification "nested" within additional repeating group) fields defined in "COMMON COMPONENTS OF APPLICATION MESSAGES"

Used for NestedPartyRole <538>=Leg Clearing Firm/Account <1>, Leg Account <1>/Account <1> Type

=> 654 LegRefID N

Used to identify a specific leg.

=> 566 LegPrice N

Provide only if a Price <44> is required for a specific leg. Used for anchoring the overall multileg security price to a specific leg Price <44>.

=> 587 LegSettlType N
=> 588 LegSettlDate N

Takes precedence over LegSettlmntTyp value and conditionally required/omitted for specific LegSettlType <587> values.

=> 637 LegLastPx N

Used to report the execution price assigned to the leg of the multileg instrument

60 TransactTime Y

Time the transaction represented by this Trade Capture Report <AE> occurred

Component Block - <TrdRegTimestamps> N
63 SettlType N
64 SettlDate N

Takes precedence over SettlType <63> value and conditionally required/omitted for specific SettlType <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).

=> 526 SecondaryClOrdID N

Can be used to provide secondary client order identifiers associated with this trade.

=> 66 ListID N
=> 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

=> 660 AcctIDSource N
=> 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
=> 821 OrderInputDevice N
=> 15 Currency N
=> 376 ComplianceID N
=> 377 SolicitedFlag N
=> 528 OrderCapacity N

The capacity of the participant for this trade ( principal or agent for example).

=> 529 OrderRestrictions N

Restrictions associated with the participant and their capacity for this trade.

=> 582 CustOrderCapacity N

The customer capacity for this trade

=> 40 OrdType N

Order type from the order associated with the trade

=> 18 ExecInst N

Execution Instruction from the order associated with the trade

=> 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
=> 943 TimeBracket 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
=> 738 InterestAtMaturity N
=> 920 EndAccruedInterestAmt N

For repurchase agreements the accrued interest on termination.

=> 921 StartCash N

For repurchase agreements the start (dirty) cash consideration

=> 922 EndCash N

For repurchase agreements the end (dirty) cash consideration

=> 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 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.

=> 752 SideMultiLegReportingType N

Default is a single security if not specified.

Provided to support the scenario where a single leg instrument trades against an individual leg of a multileg instrument.

=> 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
=> Component Block - <Stipulations> 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
=> => 139 MiscFeeType N

Required if NoMiscFees <136> > 0

=> => 891 MiscFeeBasis N
=> 825 ExchangeRule N

Used to report any exchange rules that apply to this trade.

=> 826 TradeAllocIndicator N

Identifies if the trade is to be allocated

=> 591 PreallocMethod N
=> 70 AllocID N

Used to assign an ID to the block of preallocations

=> 78 NoAllocs N

Number of repeating groups for trade allocation

=> => 79 AllocAccount N

Required if NoAllocs <78> > 0. Must be first field in repeating group.

=> => 661 AllocAcctIDSource N
=> => 736 AllocSettlCurrency N
=> => 467 IndividualAllocID N
=> => Component Block - <NestedParties2> N

Insert here the set of "<NestedParties2>" (firm identification "nested" within additional repeating group) fields defined in "COMMON COMPONENTS OF APPLICATION MESSAGES"

=> => 80 AllocQty N
797 CopyMsgIndicator N

Indicates drop copy.

852 PublishTrdIndicator N
853 ShortSaleReason N
<MessageTrailer> Y

 

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