The Trade Capture Report Request (tag 35-MsgTyp=AD) message is used by FIX Client to:
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- Use of tag 779-LastUpdateTime: Subscription requests should be equipped with tag 779-LastUpdateTime specifying the start time for subscription. Request without tag 779-LastUpdateTime will default to current date and time. This tag is not used for Snapshot requests and thus will be ignored if present.
- Use of 9593-StartTime and optional tag 9594-EndTime: Snapshot requests should be equipped with mandatory tag 9593-StartTime and optional tag 9594-EndTime. Absent end time means that the request covers the period from start time up to current time. Requests without start time will be rejected. This tag is not used for Subscription requests and thus will be ignored if present.
- Support for Multiple FirmIDs:
- Tag 779-LastUpdateTime timestamp on the received Trade Capture Report (tag 35-MsgTyp=AE) messages may be greater, equal to, or less than the tag 779-LastUpdateTime value specified in the Subscription (tag 263-SubscriptionRequestType=1) for the Trade Capture Report Request (tag 35-MsgTyp=AD) message.
- Snapshot or Subscription using tag 442-MultilegReportingType = 3 (Spread Summary) is not supported for spread trades with product legs on or cleared through different Exchanges; tag 442-MultilegReporting = 2 (Individual leg trade) is recommended to receive these trades.
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Tag | Name | FIXML Abbr | Req | Format | Description | Enumerations |
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Standard Message Header |
| Y |
| Tag 35-MsgType = AD |
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568 | TradeRequestID | ReqID | Y | String | Unique identifier for a Trade Capture Report Request. |
| 1003 | TradeID | TrdID | N | String | Used to query for a trade with specific CME Front End Clearing (FEC) Firm Trade ID |
| 1040 | TradeID2 | TrdID2 | N | String | Used to query for a trade with specific Secondary Trade ID (unique across all trade dates and all clearing firms) |
| 569 | TradeRequestType | ReqTyp | Y | Int | Type of Trade Capture Report requested. The first query or subscription must specify matched trades (1). Subsequent requests for a query or subscription must specify unreported trades (3). | '0' (Allegro clients) - '1' (Initial request)
- '3' - Unreported trades that match criteria
| 263 | SubscriptionRequestType | SubReqTyp | Y | Char | Subscription request type. | '0' (Snapshot) - '1' (Subscription)
Subscription request 263=1 timestamped in the past would yield (Snapshot + Subscriptions) During a snapshot request tag 263- SubscriptionRequestType =0, when the message timestamps in tag 779-LastUpdate is greater than the timestamp in Tag 52-SendingTime the subscriptions are current trade messages. | 11 | ClOrdID | ClOrdID | N | String | Used to request trade for specific Client order ID (tag 37-OrderID provided for CME Globex trades and the Order ID for Pit trades) |
| 715 | ClearBusinessDate | BizDt | N | LocalMktDate | Used to limit snapshot and subscription requests to specific clearing date. |
| 442 | MultilegReportingType | MLegRptTyp | Y | Int | Required. Used to indicate if trades are to be returned for the individual legs of a multi-leg instrument (2) or for the overall instrument (3). Multi-leg reporting type.'2' ((3) subscriptions may not return all trades on Covered UDS instruments. Trades that do not include futures allocations are only available via Individual leg (2) subscription. | | 578 | TradeInputSource | InptSrc | N | String | Used to limit snapshot and subscription requests to a specific trade input source | - 'CPC' (CME ClearPort Clearing)
- 'CXPIT' (COMEX Trading Floor)
- 'GLBX' (CME Globex)
- 'NXPIT' (NYMEX Trading Floor)
- 'PCBOT' (CBOT Trading Floor and CBOT Transfers)
'FIRM' Info |
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Other values may be added without prior notice. |
| 779 | LastUpdateTime | LastUpdateTm | C | UTCTimestamp | Date/time which subscription should start pull data from. Format: YYYYMMDD-HH:MM:SS (UTC time zone) - Request without tag 779-LastUpdateTime will default to current date and time.
This tag is not used for Snapshot requests and will be ignored if present. Info |
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The timestamp format for the Trade Capture Report Request response is YYYYMMDD-HH:MM:SS (UTC time zone) Example: 20200520-01:14:39 |
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| 9593 | StartTime | StartTm | C | UTCTimestamp | Start date/time of snapshot request. Format: YYYYMMDD-HH:MM:SS (UTC time zone) Conditionally required for subscription requests (when tag 263- SubscriptionRequestType = ‘1’). Will be ignored for snapshot requests (when tag 263- SubscriptionRequestType = ‘0’). FIX Client is allowed to submit requests covering period of 31 calendar days. |
| 9594 | EndTime | EndTm | N | UTCTimestamp | End date/time of snapshot or subscription request. Optional for subscription requests. Not used for Snapshot requests. Format: YYYYMMDD-HH:MM:SS (UTC time zone)
FIX Client is allowed to submit requests covering period of 31 calendar days. |
| Parties Block (repeating) |
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453 | NoPartyIDs |
| Y | NumInGroup | Number of entries in block. Info |
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It is expected that tag 453-NoPartyIDs should always be present and be >= 1, i.e. request should be made for single FirmID or multiple FirmIDs. |
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| →448 | PartyID | ID | N | String | Firm ID as assigned by CME STP |
| →452 | PartyRole | R | N | Int | Role assigned to the Firm by CME STP during registration. | - '7' (Trading Firm)
- '30' (Brokerage Firm)
'49' (Asset Manager) |
| Instrument Block |
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48 | SecurityID | ID | N | String | Used to limit a subscription or snapshot requests to a specific CME product, e.g. CL. Info |
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tag 48-SecurityID should be specified along with tag 207-SecurityExchange |
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| 167 | SecurityType | SecTyp | N | String | Used to limit a subscription or snapshot requests to a specific security type | | 207 | SecurityExchange | Exch | C | Exchange | Used to limit a subscription or snapshot requests to a specific CME Group listing exchange. Info |
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Tag is required if tag 48-SecurityID is specified. |
| - 'CBT'
- 'CEE'
- 'CMD'
- 'CME'
- 'COMEX'
- 'DME'
- 'NYMEX'
| Trade Dates Block (repeating) |
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580 | NoTradeDates |
| N | NumInGroup | Number of trade dates which subscription or snapshot request is limited to. Only one date may be specified. |
| →75 | TradeDate | TrdDt | N | LocalMktDate | Used to limit a subscription or snapshot requests to a specific dates Format: YYYYMMDD |
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