TradeCaptureReportRequest <AD> message – FIX 5.0 SP2 – FIX Dictionary

Structure | Related Messages

Description

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:

• All trades matching specified trade identification: TradeReportID <571>, SecondaryTradeReportID <818>
• All trades matching specified trade types: TrdType <828>, TrdSubType <829>, TransferReason <830>, SecondaryTrdType <855>, TradeLinkID <820>
• All trades matching the order identification information: OrderId, ClOrdID <11>, ExecID <17>
• Trades that have specified MatchStatus <573>
• All trades for the party defined in the component block <Parties>
  • This can be a trader id, firm, broker id, clearing firm
• All trades for a specific instrument, specified using the component block <Instrument>, the component block <UnderlyingInstrument>, and/or the component block <InstrumentLeg>.
• 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>
• All Advisories

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:

• "Since" a time period. NoDates <580>=1 with first TradeDate <75> (and optional TransactTime <60>) indicating the "since" (greater than or equal to operation) point in time.
• "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:
  • 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 only
  • When no trades are found that match the selection criteria specified on the Trade Capture Report Request
  • When the Trade Capture Report Request was deemed invalid for business reasons by the counterparty

Trade Capture Report Request

Structure

Related Messages