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:

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:

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

Tag Field Name Req'd Comments
Component Block - <StandardHeader> Y MsgType <35> = AD
568 TradeRequestID Y Identifier for the trade request
1003 TradeID N
1040 SecondaryTradeID N
1041 FirmTradeID N
1042 SecondaryFirmTradeID N
569 TradeRequestType Y
263 SubscriptionRequestType N

Used to subscribe / unsubscribe for trade capture reports

If the field is absent, the value 0 will be the default (snapshot only - no subscription)

571 TradeReportID N To request a specific trade report
818 SecondaryTradeReportID N To request a specific trade report
527 SecondaryExecID N

To request all trades based on secondary execution identifier

17 ExecID N
150 ExecType N To request all trades of a specific execution type
37 OrderID N
11 ClOrdID N
573 MatchStatus N
828 TrdType N To request all trades of a specific trade type
829 TrdSubType N To request all trades of a specific trade sub type
1849 OffsetInstruction N
1123 TradeHandlingInstr N
830 TransferReason N To request all trades for a specific transfer reason
855 SecondaryTrdType N To request all trades of a specific trade sub type
820 TradeLinkID N To request all trades of a specific trade link id
880 TrdMatchID N To request a trade matching a specific TrdMatchID
Component Block - <Parties> N

Used to specify the parties for the trades to be returned (clearing firm, execution broker, trader id, etc.)

ExecutingBroker

ClearingFirm

ContraBroker

ContraClearingFirm

SettlementLocation - depository, CSD, or other settlement party

ExecutingTrader

InitiatingTrader

OrderOriginator

Component Block - <Instrument> N Insert here the set of "Instrument" (symbology) fields defined in "Common Components of Application Messages"
Component Block - <InstrumentExtension> N Insert here the set of "InstrumentExtension" 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 - <UndInstrmtGrp> N
Component Block - <InstrmtLegGrp> N
Component Block - <TrdCapDtGrp> N Number of date ranges provided (must be 1 or 2 if specified)
715 ClearingBusinessDate N To request trades for a specific clearing business date.
336 TradingSessionID N To request trades for a specific trading session.
625 TradingSessionSubID N To request trades for a specific trading session.
943 TimeBracket N To request trades within a specific time bracket.
54 Side N To request trades for a specific side of a trade.
442 MultiLegReportingType N Used to indicate if trades are to be returned for the individual legs of a multileg instrument or for the overall instrument.
578 TradeInputSource N To requests trades that were submitted from a specific trade input source.
579 TradeInputDevice N To request trades that were submitted from a specific trade input device.
725 ResponseTransportType N Ability to specify whether the response to the request should be delivered inband or via pre-arranged out-of-band transport.
726 ResponseDestination N URI destination name. Used if ResponseTransportType is out-of-band.
58 Text N Used to match specific values within Text fields
354 EncodedTextLen N
355 EncodedText N
1011 MessageEventSource N Used to identify the event or source which gave rise to a message
Component Block - <StandardTrailer> Y