The Trade Capture Report Request 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:
Trades that have specified MatchStatus <573>
All trades for the party defined in the component block <<Parties>>
o This can be a trader id, firm, broker id, clearing firm
All unreported trades Executions that have not been sent
All unmatched trades Trades that have not been matched
All trades matching specific date and trading session criteria
Trades entered via a specific TradeInputSource <578>
Trades entered via a specific TradeInputDevice <579>
Each field in the Trade Capture Report Request (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:
"Between" time periods. NoDates <580>=2 with first TradeDate <75> (and optional TransactTime <60>) indicating the "beginning" (greater than or equal to operation) point in time and the second TradeDate <75> (and optional TransactTime <60>) indicating the "ending" (less than or equal to operation) point in time.
Trade Capture Report messages are the normal return type to a Trade Capture Report Request.
The response to a Trade Capture Report Request can be:
One or more Trade Capture Reports
A Trade Capture Report Request Ack followed by one or more Trade Capture Reports in two specific cases:
o When the Trade Capture Reports are being delivered out of band (such as a file transfer),
o 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 only
o When no trades are found that match the selection criteria specified on the Trade Capture Report Request
o When the Trade Capture Report Request was deemed invalid for business reasons by the counterparty
Trade Capture Report Request