The Trade Capture Report 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.
  • Can be used to report unmatched and matched trades.

Trade Capture Report


Tag Field Name Req'd Comments
Component Block - <StandardHeader> Y MsgType = AE
Component Block - <ApplicationSequenceControl> N
571 TradeReportID N TradeReportID is conditionally required in a message-chaining model in which a subsequent message may refer to a prior message via TradeReportRefID. The alternative to a message-chain model is an entity-based model in which TradeID is used to identify a trade. In this case, TradeID is required and TradeReportID can be optionally specified.
1003 TradeID N
1040 SecondaryTradeID N
1041 FirmTradeID N
1042 SecondaryFirmTradeID N
2489 PackageID N
2490 TradeNumber N
487 TradeReportTransType N Identifies Trade Report message transaction type.
856 TradeReportType N
939 TrdRptStatus N

Status of Trade Report

In 3 party listed derivatives model used to convey status of a trade to a counterparty. Used specifically in a "claim" model.

568 TradeRequestID N Request ID if the Trade Capture Report is in response to a Trade Capture Report Request
828 TrdType N
829 TrdSubType N
855 SecondaryTrdType N
2667 AlgorithmicTradeIndicator N
1849 OffsetInstruction N
Component Block - <TradePriceConditionGrp> N
1123 TradeHandlingInstr N
1124 OrigTradeHandlingInstr N
1125 OrigTradeDate N Used to preserve original trade date when original trade is being referenced in a subsequent trade transaction such as a transfer
1126 OrigTradeID N Used to preserve original trade id when original trade is being referenced in a subsequent trade transaction such as a transfer
1127 OrigSecondaryTradeID N Used to preserve original secondary trade id when original trade is being referenced in a subsequent trade transaction such as a transfer
830 TransferReason N
150 ExecType N

Type of Execution being reported:

Uses subset of ExecType 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
912 LastRptRequested N Indicates if this is the last report in the response to a Trade Capture Report Request
1028 ManualOrderIndicator N

May be used to indicate manual reporting of the trade.

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 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 Market (Exchange) assigned Execution Identifier
19 ExecRefID N

Reference to an execution identifier previously assigned by the market (exchange).

If specified, ExecID <17> is required.

527 SecondaryExecID N
378 ExecRestatementReason N Reason for restatement
2347 RegulatoryTransactionType N
Component Block - <RegulatoryTradeIDGrp> N
570 PreviouslyReported N 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 - <PriceQualifierGrp> N
549 CrossType N
Component Block - <RootParties> N Insert here the set of "Root Parties" fields defined in "common components of application messages" Used for acting parties that applies to the whole message, not individual legs, sides, etc..
1015 AsOfIndicator N Indicates if the trade is an outtrade from a previous day.
716 SettlSessID N
717 SettlSessSubID N
1430 VenueType N
1300 MarketSegmentID N
1301 MarketID N
2375 TaxonomyType N
Component Block - <Instrument> Y Insert here the set of "Instrument" (symbology) fields defined in "Common Components of Application Messages"
Component Block - <InstrumentExtension> N
Component Block - <FinancingDetails> N Insert here the set of "FinancingDetails" fields defined in "Common Components of Application Messages"
Component Block - <PaymentGrp> N
854 QtyType N
Component Block - <YieldData> N Insert here the set of "YieldData" fields defined in "Common Components of Application Messages"
Component Block - <UndInstrmtGrp> N
Component Block - <RelatedInstrumentGrp> N
Component Block - <CollateralAmountGrp> N
2868 CollateralizationValueDate N
Component Block - <RateSource> N
Component Block - <TransactionAttributeGrp> N
822 UnderlyingTradingSessionID N
823 UnderlyingTradingSessionSubID N
32 LastQty N Trade Quantity.
1828 LastQtyVariance N
2301 LastQtyChanged N
2368 LastMultipliedQty N
2367 TotalTradeQty N
2370 TotalTradeMultipliedQty N
31 LastPx N Trade Price.
631 MidPx N
1522 DifferentialPrice N

Used to specify the differential price when reporting the individual leg of a spread trade.

1056 CalculatedCcyLastQty N
2762 PriceMarkup N

Dealer's markup of market price to LastPx <31>.

Component Block - <AveragePriceDetail> N
15 Currency N Primary currency of the specified currency pair. Used to qualify LastQty and GrossTradeAmout
120 SettlCurrency N Contra currency of the deal. Used to qualify CalculatedCcyLastQty
2366 SettlPriceFxRateCalc N

For FX trades expresses whether to multiply or divide LastPx <31> to arrive at GrossTradeAmt <381>.

669 LastParPx N Last price expressed in percent-of-par. Conditionally required for Fixed Income trades when LastPx is expressed in Yield, Spread, 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
1071 LastSwapPoints N
2349 PricePrecision N
30 LastMkt N
1596 ClearingTradePrice N

Used when clearing price differs from execution price.

1740 TradePriceNegotiationMethod N
1743 LastUpfrontPrice N

Upfront Price for CDS transactions. Conditionally required if TradePriceNegotiationMethod <1740> = 4(Percent of par and upfront amount), 5(Deal spread and upfront amount) or 6(Upfront points and upfront amount).

1741 UpfrontPriceType N
75 TradeDate N Used when reporting other than current day trades.
715 ClearingBusinessDate N
2870 ClearingPortfolioID N
6 AvgPx N Average Price - if present then the LastPx 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"
1731 AvgPxGroupID N
819 AvgPxIndicator N Average Pricing indicator
2085 ValuationDate N
2086 ValuationTime N
2087 ValuationBusinessCenter N
Component Block - <PositionAmountData> N Insert here here the set of "Position Amount Data" fields defined in "Common Components of Application Messages"
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 = 2 (Single Leg of a Multileg security)

Component Block - <TrdInstrmtLegGrp> N

Number of legs

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

60 TransactTime N Time the transaction represented by this Trade Capture Report occurred. Execution Time of trade. Also describes the time of block trades.
Component Block - <TrdRegTimestamps> N
63 SettlType N
64 SettlDate N Takes precedence over SettlType value and conditionally required/omitted for specific SettlType values.
2878 TerminationDate N
987 UnderlyingSettlementDate N The settlement date for the underlying instrument of a derivatives security.
573 MatchStatus N
2405 ExecMethod N
574 MatchType N
Component Block - <TradeQtyGrp> N
Component Block - <TrdCapRptSideGrp> Y Number of sides
1188 Volatility N
1189 TimeToExpiration N
1380 DividendYield N
1190 RiskFreeRate N
811 PriceDelta N
1382 CurrencyRatio N
797 CopyMsgIndicator N Indicates drop copy.
Component Block - <TrdRepIndicatorsGrp> N Number of trade reporting indicators following
2524 TradeReportingIndicator N
852 PublishTrdIndicator N
1390 TradePublishIndicator N
Component Block - <TrdRegPublicationGrp> N
853 ShortSaleReason N
994 TierCode N Indicates the algorithm (tier) used to match a trade
1011 MessageEventSource N Used to identify the event or source which gave rise to a message
779 LastUpdateTime N Used to indicate reports after a specific time
991 RndPx N Specifies the rounded price to quoted precision.
1132 TZTransactTime N
1134 ReportedPxDiff N The reason(s) for the price difference should be stated by using field TrdType <828> and, if required, field TrdSubType <829> as well
381 GrossTradeAmt N (LastQty <32> * LastPx <31> or LastParPx <669>) For Fixed Income, LastParPx <669> is used when LastPx <31> is not expressed as "percent of par" price.
2369 TotalGrossTradeAmt N
751 TradeReportRejectReason N

Indicates the reason that a trade report was rejected.

1328 RejectText N
1664 EncodedRejectTextLen N
1665 EncodedRejectText N
1329 FeeMultiplier N
1832 ClearedIndicator N
1924 ClearingIntention N
1925 TradeClearingInstruction N
1926 BackloadedTradeIndicator N
1927 ConfirmationMethod N
1928 MandatoryClearingIndicator N
Component Block - <MandatoryClearingJurisdictionGrp> N
1929 MixedSwapIndicator N
2527 MultiAssetSwapIndicator N
2526 InternationalSwapIndicator N
1930 OffMarketPriceIndicator N
1931 VerificationMethod N
1932 ClearingRequirementException N
1933 IRSDirection N
1934 RegulatoryReportType N
2869 RegulatoryReportTypeBusinessDate N

May be used when the business event date differs from when the regulatory report is actually being submitted (typically specified in TrdRegTimestamps component).

1935 VoluntaryRegulatoryReport N
1936 TradeCollateralization N
1937 TradeContinuation N
2387 TradeContingency N
2302 TradeVersion N
2303 HistoricalReportIndicator N
2596 DeltaCrossed N
2374 TradeContinuationText N
2372 EncodedTradeContinuationTextLen N

Must be set if EncodedTradeContinuationText <2371> field is specified and must immediately precede it.

2371 EncodedTradeContinuationText N

Encoded (non-ASCII characters) representation of the TradeContinuationText <2374> field in the encoded format specified via the MessageEncoding <347> field.

2373 IntraFirmTradeIndicator N
2525 AffiliatedFirmsTradeIndicator N
Component Block - <AttachmentGrp> N
2343 RiskLimitCheckStatus N
Component Block - <StandardTrailer> Y