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Trade Capture Report and Notifications

CME STP supports the following information in Trade Capture Report messages:

• Cleared Trade Notifications and Trade Cancellations
• Allocations
  • Trade marked / unmarked for allocation
  • Offset and Onset trades when an allocation is claimed
  • Offset and Onset trades when an allocation is released / reversed
  • MOS (Mutual Offset System) allocations, allowing foreign exchanges to allocate to a CME Firm and vice versa, are treated like normal allocations.

• Spread and Leg level messages
• Change of Firm. When the Trading Firm is changed on the transaction, CME STP sends a Cancel Notification to the previous Trading Firm and a New Trade Notification is sent to the new Trading Firm.

Subscriptions and Queries

The CME STP supports data retrieval using subscriptions and queries: 

• Queries return trade messages only up to the date and time that the query request was received by the API. 
  
• Subscriptions continue to send trade messages to the user on an ongoing basis; there is no end date time.

CME STP supports subscription or query requests for a specific Party Role (Inter-Dealer Broker, Asset Manager, Trading Firm). Separate subscription or query requests must be submitted for each Party Role to obtain complete information.

Continuing a Subscription or Query

When responding to a successful Subscription Request, the API sends a token to the user so that the user may continue the subscription. When responding to a successful Query Request, the API sends a token if the results of the query are incomplete (for example, more data is available).

• Upon receiving a successful response, submit a new Subscription request no sooner than three seconds later, which requires making another HTTP call that contains the token. 
• For a Query, the user may make another HTTP call containing the token immediately

CME STP will only accept a subscription or query request without token if it is a new subscription or query; all continuations of existing subscriptions or queries must include a token.

Tokens

API input messages continuing prior Subscription or Query Requests must send the token in the custom x-cme-token HTTP header. API output messages will contain the token in the x-cme-token HTTP header.

Each successful response from the API may return a different token. The user must send that new token in the next continued Subscription or Query Request.

Identifiers and Modes

The user must supply a unique identifier with each query in /FIXML/TrdCaptRptReq/@ReqID which the API will echo back in /FIXML/Batch/TrdCaptRpt/@ReqID for successful requests, and in /FIXML/TrdCaptRptReqAck/@ReqID in case of errors. This enables the user to match the request with the resulting messages. When continuing a Subscription or a Request, the user may reuse the original @ReqID or may send a new identifier. The API will respond with with the @ReqID sent on the request.

The user must indicate in /FIXML/TrdCaptRptReq/@SubReqTyp whether the message is a Subscription or a Query. The user must also indicate via /FIXML/TrdCaptRptReq/@ReqTyp whether this is a new Subscription or Query, or a continuation of a prior Subscription or Query.

Subscription and Query Parameters

Use ONLY the following parameters to filter the query and/ or subscription results. Omitting, changing, or adding filter criteria may cause undesired results. Every continuation of a Subscription or Query must contain all of the filter criteria of the original subscription or query. Times below, e.g. Start Time and End Time, use the XML xs:dateTime syntax in ISO 8601 format. The time should include an offset, e.g. 2013-10-22T11:00:00-05:00 represents October 22, 2013 11:00 AM local time, where local time has an offset of -5 hours from UTC.

Subscription Usage

Users requiring a continuous record of all trading activity may continue a subscription from one business day to the next. The user ceases sending HTTP requests and, on the next business day, continues the subscription with an HTTP request using the last token received on the previous day. This method ensures that the API will send the user any trading activity that occurred during the time period that the user made no HTTP requests.

Alternately, users may begin a new subscription each day, specifying a Start Time encompassing any time the user did not send HTTP requests following the end of the prior business day's subscription. Users should exercise caution with this method to guarantee that they do not miss trading activity by sending too narrow a time window that misses trading activity, or that they do not process any duplicate any trades should the window overlap trades already received on the prior business day.

If the user begins a new subscription and does not send a Start Time, the subscription will begin at the present time and include no past trading activity. This method may result in missed trades should any trading occur after the user ceased sending HTTP requests on the prior business day and before the user initiated the new subscription.

Allocations

CME STP supports allocations, which means one firm "gives-up" trades to another firm. The firm that executed a trade (i.e. Executing firm) may want to "allocate" or "give-up" a trade to a different firm (i.e. Claiming firm).

The Executing firm will receive an Offset message to indicate that the trade is being removed and the Claiming Firm will receive an Onset message to indicate the trade is now on their books.

In addition to Offset and Onset messages, CME STP sends a notification when the trade is marked for allocation. CME STP supports allocations only at a leg (and not spread) level.

In summary, the following are the steps for the allocation of legs of a Spread:

• Leg marked for allocation: MLegRptTyp2 message received indicting which leg was marked for allocation sent to Executing Firm. See Mark for Allocation (Spread) in the Allocations section for details of this message
• Allocation accepted by Claiming Firm: MLegRptTyp1 message sent to Executing and Claiming Firms. 
• Both of the above messages will be available in CME STP when Subscription or Query filter is MLegRptTyp=3

Reverse or Release

An allocation is reversed or released on the following trading day.

In the case of a reversal or release of an allocation, CME STP will report both the offset and onset trades as cancelled (@TransTyp = 1).  Parameters on the cancel will mirror those of the original offset or onset, e.g. the side of the cancel message will match the side of the respective offset or onset message.

The Trade fields at the Trade Capture Report Level  are specific to reversals and releases.

Correction

Price or quantity on a trade is corrected after the trade has cleared.

The Trade fields at the Trade Capture Report Level, Amt and RptSide message block contain fields that are specific to corrections.

See the following message samples: