FIX 5.0 : TradeCaptureReport <AE> message

Structure | Related Messages

Description

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

Structure

Tag Field Name Req'd Comments
<MessageHeader> Y MsgType <35> = AE
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.
487 TradeReportTransType N Identifies Trade Report message transaction type.
856 TradeReportType N
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
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
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 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 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 - <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 field is required unless rejecting or an order ack for a CashOrderQty or PercentOrder.
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
822 UnderlyingTradingSessionID N
823 UnderlyingTradingSessionSubID N
32 LastQty Y Trade Quantity.
31 LastPx Y Trade Price.
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
30 LastMkt N
75 TradeDate Y Used when reporting other than current day trades.
715 ClearingBusinessDate 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"
819 AvgPxIndicator N Average Pricing indicator
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
Component Block - <TrdRegTimestamps> N
63 SettlType N
64 SettlDate N Takes precedence over SettlType value and conditionally required/omitted for specific SettlType values.
573 MatchStatus N
574 MatchType N
1115 OrderCategory N
Component Block - <TrdCapRptSideGrp> Y Number of sides
797 CopyMsgIndicator N Indicates drop copy.
852 PublishTrdIndicator N
853 ShortSaleReason 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.
1015 AsOfIndicator N Indicates if the trade is an outtrade from a previous day.
716 SettlSessID N Intraday(ITD), Regular Trading Hours(EOD),
717 SettlSessSubID 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.
1003 TradeID N
1040 SecondaryTradeID N
1041 FirmTradeID N
1042 SecondaryFirmTradeID N
1056 CalculatedCcyLastQty N
1071 LastSwapPoints N
987 UnderlyingSettlementDate N The settlement date for the underlying instrument of a derivatives security.
381 GrossTradeAmt 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..
1115 OrderCategory 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
1132 TZTransactTime N
1134 ReportedPxDiff N The reason(s) for the price difference should be stated by using field (Tag 828 ) TrdType and, if required, field (Tag 829) TrdSubType as well
<MessageTrailer> Y

 

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