| Ref | Field | Name | Data Type | Values | Usage | Description |
|---|
| 1 | header |
|
| 2 | → messageType | Message Type | messageType | TRDR TRDR (Trade Response)
| ALWAYS |
|
| 3 | → possibleRetransInd | Possible Retransmission Indicator | yesNoIndicator | NO NO (No) - NoYES YES (Yes) - Yes
| OPTIONAL |
|
| 4 | → sentTime | Sent Time | dateTime |
| ALWAYS | Timestamp of the message leaving the producing application. |
| 5 | → sequenceNbr | Sequence Number | string |
| ALWAYS |
|
| 6 | payload |
|
| 7 | → action | Action | orderAction | | ALWAYS |
|
| 8 | → additionalVenueExecutionId | Additional Venue Execution ID | string |
| ALWAYS |
|
| 9 | → aggressorInd | Aggressor Indicator | yesNoIndicator | NO NO (No) - NoYES YES (Yes) - Yes
| CONDITIONAL | Criteria- ALWAYS when payloadwhen payload.spreadReportType[] IN (OUTRIGHT, SPREAD)
|
| 10 | → cumulativeQtyInt | Cumulative Quantity Integer | int32 |
| ALWAYS |
|
| 11 | → customerOrderId | Customer Order ID | string |
| ALWAYS |
|
| 12 | → delta | Delta | decimal |
| CONDITIONAL | Criteria- OPTIONAL when payloadwhen payload.spreadReportType[] = "LEG"
|
| 13 | → durationType | Duration Type | orderDurationType | DAY DAY (Day) - Order expires at the end of the trading day.- FILL_AND_KILL KILL (Fill and Kill) - Order is immediately executed against any available quantity and any remaining quantity is eliminated
- FILL_OR_KILL KILL (Fill or Kill) - Order is filled completely or else eliminated
- GOOD_TILL_CANCEL CANCEL (Good till Cancel) - Order remains working until cancelled
- GOOD_TILL_DATE DATE (Good till Date) - Order remains working until the end of the trading session of the local market date specified in the ExpirationDate field.
| CONDITIONAL | Criteria- ALWAYS when payloadwhen payload.spreadReportType[] IN (OUTRIGHT, SPREAD)
|
| 14 | → entities |
|
| 15 | → → operatorId | Operator ID | string |
| ALWAYS |
|
| 16 | → → senderCountry | Sender Country | string |
| ALWAYS |
|
| 17 | → → senderState | Sender State | string |
| OPTIONAL |
|
| 18 | → expirationDt | Expiration Date | date |
| CONDITIONAL | Criteria- ALWAYS when payloadwhen payload.spreadReportType[] IN (OUTRIGHT, SPREAD)
|
| 19 | → fills[] |
|
| 20 | → → price | Fill Price | price |
| ALWAYS |
|
| 21 | → → qtyInt | Fill Quantity Integer | int32 |
| ALWAYS |
|
| 22 | → → reason | Fill Reason | orderFillReason |
| Expand |
|---|
AGGRESSOR AGGRESSOR (Aggressor)COVERING COVERING (Covering)- CROSS_BMG BMG (Cross Broker Match Guarantee)
- CROSS_BPM BPM (Cross Better PRice Match)
FIFO FIFO (First In First Out)- FIFO_PERCENT PERCENT (First In First Out Percent)
- FUTURE_HEDGE HEDGE (Future Hedge)
- IMPLIED_OPENING OPENING (Implied Opening)
- INSTITUTIONAL_PRIORITIZATION PRIORITIZATION (Institutional Prioritization)
- LEAD_MARKET_MAKER MAKER (Lead Market Maker)
LEG LEG (Leg)LEVELING LEVELING (Leveling)OPENING OPENING (Opening)- PRICE_DISCRETION DISCRETION (Price Discretion)
- PRO_RATA RATA (Pro Rata)
TOP TOP (Top Order Status)
|
| ALWAYS |
|
| 23 | → → venueExecutionId | Fill Venue Execution ID | string |
| ALWAYS |
|
| 24 | → instrument |
|
| 25 | → → glbxSecurityId | Globex Security ID | int32 |
| ALWAYS |
|
| 26 | → lastTradeCounterCcyNotionalAmt | Last Trade Counter Curency Notional Amount | decimal |
| CONDITIONAL | Criteria- OPTIONAL when payloadwhen payload.spreadReportType[] = "LEG"
|
| 27 | → lastTradeNotionalAmt | Last Trade Notional Amount | decimal |
| CONDITIONAL | Criteria- OPTIONAL when payloadwhen payload.spreadReportType[] = "LEG"
|
| 28 | → lastTradePx | Last Trade Price Integer | price |
| ALWAYS |
|
| 29 | → lastTradeQtyInt | Last Trade Quantity Integer | int32 |
| ALWAYS |
|
| 30 | → legCount | Leg Count | int32 |
| CONDITIONAL | Criteria- OPTIONAL when payloadwhen payload.spreadReportType[] = SPREAD
|
| 31 | → manualInd | Manual Indicator | yesNoIndicator | NO NO (No) - NoYES YES (Yes) - Yes
| CONDITIONAL | Indicates whether the order was generated by automated trading logic. Criteria- ALWAYS when payloadwhen payload.spreadReportType[] IN (OUTRIGHT, SPREAD)
|
| 32 | → marketDataTradeEntryId | Market Data Trade Entry ID | string |
| CONDITIONAL | Criteria- ALWAYS when payloadwhen payload.spreadReportType[] IN (OUTRIGHT, SPREAD)
|
| 33 | → price | Price | price |
| CONDITIONAL | Criteria- ALWAYS when payloadwhen payload.spreadReportType[] IN (OUTRIGHT, SPREAD)
|
| 34 | → qtyInt | Quantity Integer | int32 |
| CONDITIONAL | Criteria- ALWAYS when payloadwhen payload.spreadReportType[] IN (OUTRIGHT, SPREAD)
|
| 35 | → remainingQtyInt | Remaining Quantity Integer | int32 |
| CONDITIONAL | Criteria- ALWAYS when payloadwhen payload.spreadReportType[] IN (OUTRIGHT, SPREAD)
|
| 36 | → riskFreeRt | Risk-Free Rate | decimal |
| CONDITIONAL | Criteria- OPTIONAL when payloadwhen payload.spreadReportType[] = "LEG"
|
| 37 | → settlementDt | Settlement Date | date |
| CONDITIONAL | Criteria- OPTIONAL when payloadwhen payload.spreadReportType[] = "LEG"
|
| 38 | → sideInd | Side Indicator | marketSideIndicator | BUY BUY (Buy) - Identifies a buy side orderCROSS CROSS (Cross)SELL SELL (Sell) - Identifies a sell side order
| ALWAYS |
|
| 39 | → spreadReportType[] | SpreadReportType | spreadReportType | LEG LEG (Leg of Spread)OUTRIGHT OUTRIGHT (Outright)SPREAD SPREAD (Spread)
| ALWAYS |
|
| 40 | → status | Status | orderStatus | FILLED FILLED (Filled)- PARTIALLY_FILLED FILLED (Partially Filled)
| ALWAYS |
|
| 41 | → stopPrice | Stop Price | price |
| CONDITIONAL | Criteria- OPTIONAL when payloadwhen payload.spreadReportType[] IN (OUTRIGHT, SPREAD)
- ALWAYS when payloadwhen payload.type IN (STOP, STOP_LIMIT)
|
| 42 | → tradeDate | Trade Date | date |
| ALWAYS |
|
| 43 | → transactionTime | Transaction Time | dateTime |
| ALWAYS |
|
| 44 | → type | Type | orderType | LIMIT LIMIT (Limit) - A Limit order defines the upper price limit at which to buy an instrument and lower price limit at which to sell an instrument. The price limit is defined in the Price field. If the price is not immediately available, the Limit order will rest until filled or cancelled.MARKET MARKET (Market) - A Market order with protection is filled within a pre-defined range of prices referred to as the protected range. For buy orders, protection points are added to the current best offer price to calculate the protection price limit. For sell orders, protection points are subtracted from the current best bid price.- MARKET_TO_LIMIT LIMIT (Market to Limit) - A Market-limit order is executed at the best price available in the market. If the market-limit order can only be partially filled, the order becomes a limit order and the remaining quantity remains on the order book at the specified limit price.
STOP STOP (Stop) - A Stop order is an order which, when accepted, does not immediately go on the book, but must be "triggered" by a trade in the market at the price level submitted with the order. A Stop order goes on the book as a Market order once triggered.- STOP_LIMIT LIMIT (Stop Limit) - A Stop order is an order which, when accepted, does not immediately go on the book, but must be "triggered" by a trade in the market at the price level submitted with the order. A Stop-Limit order goes on the book as a Limit order once triggered.
| ALWAYS |
|
| 45 | → venueExecutionId | Venue Execution ID | string |
| ALWAYS |
|
| 46 | → venueOrderId | Venue Order ID | string |
| ALWAYS |
|
| 47 | → venueSideId | Venue Side ID | string |
| ALWAYS |
|
| 48 | → volatility | Volatility | decimal |
| CONDITIONAL | Criteria- OPTIONAL when payloadwhen payload.spreadReportType[] = "LEG"
|