CME STP FIX - TradeCaptureReport

571

TradeReportID

RptID

N

String

Identifies the specific trade report being sent. This is usually the unique message ID for the trade being reported. However, legs of spreads can share the same message ID. TrdID2 and RptID together form a unique key.

Up to a maximum of 63 characters

1003

Trade ID

TrdID

N

String

Trade ID for the trade entity is assigned by the CME clearing system. It is unique per trade side/leg and for the (trading firm / executing firm) and exchange for a given Trade Date. Trade ID will not change during the life of the trade. Note that should a trading firm do business with multiple clearing firms, Trade ID may not be unique. Will not be present for IRS/FRA trades.

1040

Secondary Trade ID

TrdID2

N

String

Used to carry a secondary trade ID. Unlike TrdID, this is unique across all trade dates and all clearing firms.

10036

Package ID

PackageID

N

String

A value that identifies the group of trades or a portfolio of trades cleared simultaneously under the one Package ID.

487

TradeReportTransType

TransTyp

N

int

Indicates the action being taken on a trade. Note that STP does not guarantee new trades must be reported with New(0) prior to reports of Replace(2). STP will initially report Clearport trades using Replace(2).

• 0 - New

• 1 - Cancel

• 2 - Replace

856

TradeReportType

RptTyp

N

int

Indicates the purpose of the trade within the workflow and determines the action of the receiver of the trade.

101 - Notification

939

TradeStatus

TrdRptStat

N

int

Indicates the status of the trade in clearing.

0 - Accepted

568

TradeRequestID

ReqID

N

String

Request ID returns the same value sent on the Trade Capture Report Request.

828

TradeType

TrdTyp

N

int

Specifies the type of trade reported by CME Clearing. Used to distinguish a significant difference in the regulatory or economic requirements surrounding the trade.

• 0 - Regular Trade

• 1 - Block Trade

• 2 - EFP (Exchange for physical)

• 3 - Transfer

• 11 - Exchange for Risk (EFR)

• 22 - Over the Counter Privately Negotiated Trades (OPNT)

• 23 - Substitution of Futures for Forwards

• 45 - Option exercise

• 54 - OTC / Large Notional Off Facility Swap

• 55 - Exchange Basis Facility (EBF)

• 57 - Netted trade

• 58 - Block swap trade

• 59 - Credit event trade

• 60 - Succession event trade

829

TradeSubType

TrdSubTyp

N

int

Represents the CME Trade Type Subset, TAS Flag & the APS Offset and Onset Flag.

• 7 - Differential spread

• 8 - Implied spread leg executed against an outright

• 36 - Converted SWAP (Aged Deal)

• 37 - Crossed Trade (X)

• 40 - TAS - Traded at settlement (Differs from FIXTrading standard)

• 42 - Auction Trade

• 43 - TAM - Traded at marker

• 48 - Multilateral Compression

• 200 - Delivery Transfer

10021

Offset Instruction

OfstInst

N

int

Indicates offset or onset due to allocation.

• 0 - Offset

• 1 - Onset

830

Transfer Reason

TransferReason

N

String

Reason why the trade is being transferred

• A - Exchange approved transfers between accounts with different beneficial ownership

• B - For correcting Rule 527 mis-clears

• C - Transfer between accounts in which the underlying beneficial ownership is identical

• E - Transfer to correct an error in assignment of account (in-house) or customer/house origin error or firm-to-firm clerical error in clearing a trade

• J - For rule 770 transfers

• M - Transfer for portfolio margining purposes

• N - Transfer of positions to a newly approved clearing firm

• O - Option Compression

• P - Fungible Transfers and Delivery Transfers (system generated, cannot be submitted by firms)

• T - Transfer due to the merger of two or more clearing firms

• V - Auto-transfer Offset (system generated, cannot be submitted by firms)

• W - Transfer due to withdrawal of a clearing firm

• X - For transferring new or offsetting Singapore Exchange executed positions between local firms

• Y - Cross Exchange 

880

TrdMatchID

MtchID

N

String

Trade Match ID is assigned by the matching engine or clearing system and used to correlate a cleared trade with a match event. Should be common for all trade sides included in a match event. For CME ClearPort, this represents the deal number and always links strategies. For CME Globex and Floor, this links calendar spreads only. Will not be present for IRS/FRA trades.

17

ExecID

ExecID

N

String

Exchange assigned execution ID (trade identifier). ExecID will be present for on-exchange trades and blocks, including Invoice Swap Spreads. ExecID will not be present for off-exchange IRS/FRA trades.

527

SecondaryExecID

ExecID2

N

String

This is used to communicate the execution ID of the originating platform, e.g. the ClearPort execution ID.

10035

BlockID

BlckID

N

String

Contains the platform-assigned block ID for the trade.

423

Price Type

PxTyp

N

int

Indicates the type of the price associated with the trade. Will not be present for IRS/FRA trades.

• 1 - Percentage (i.e. percent of par)

• 2 - Per unit (i.e. per share or contract)

• 10 - Fixed cabinet trade price (primarily for listed futures and options)

• 11 - Variable cabinet trade price (primarily for listed futures and options)

• 100 - Tentative placeholder price

• 101 - Updated actual price

• 102 - Derived price block

1430

VenueType

VenuTyp

N

char

Identifies the type of venue where a trade was executed.

• C - Clearing house

• E - Electronic

• O - Off facility swap

• P - Pit

• R - Registered Market (SEF)

• X - Ex-Pit

854

QuantityType

QtyTyp

N

int

Indicates the type of quantity being represented in the Last Quantity. The quantity type defaults to what is specified in the contract specifications.

• ‘0’ (Notional/Units)  

• '1' (Contracts (Default -should specify ContractMultiplier (tag 231)))

32

TradeQuantity

LastQty

Y

Qty

The quantity of the trade.

31

LastPx

LastPx

Y

Price

The price of the trade. Will not be present for IRS/FRA/SWAPTION trades.

For CBOT-Agricultural and Interest rate option products (VCAB) this value will denote recognized dollar amounts inline with CME Group Clearing API.

1056

Calculation Currency Last Quantity

CalcCcyLastQty

N

Qty

Used in calculating the quantity of the other side of the currency trade.

75

TradeDate

TrdDt

Y

LocalMktDate

The trade date assigned to an execution on the trading platform.

715

ClearingBusinessDate

BizDt

N

LocalMktDate

The date on which a trade is formally cleared and settled.

6

AveragePrice

AvgPx

N

Price

Calculated average price. Will be populated for Average Price System (APS) transactions only.

442

MultiLegReportingType

MLegRptTyp

Y

char

Indicates if a trade is being reported as a single-leg outright, the leg of a spread, or a multi-leg trade report.

• 1 - Single security (default if not specified)

• 2 - Individual leg of a multi-leg security

• 3 - Multi-leg security

60

TransactTime

TxnTm

N

UTCTimestamp

The time of the transaction, e.g. the date and time of a trade, allocation, etc. Will not be present for IRS/FRA trades.

Format YYYYMMDD-HH:MM:SS.sTZD (UTC time zone)

Example:  20200520-01:14:39.126000000Z 

2405

ExecutionMethod

ExecMeth

N

int

Specifies the transaction was executed manually via Confirm Hub.

1 - Manual

779

LastUpdateTime

LastUpdateTm

N

UTCTimestamp

Used to indicate the date and time that internal transaction processing of the trade or allocation completed. Should occur on or after the Transaction Time.

Format YYYYMMDD-HH:MM:SS.sTZD (UTC time zone)

Example:  20200520-01:14:39.126000000Z 

1832

Cleared Indicator

Clrd

N

int

Indicates whether the position or trade being reported was cleared through a clearing organization.

• 0 - Not cleared

• 1 - Cleared

1924

Clearing Intention

ClrIntn

N

int

Indicates whether or not the parties intend the trade to clear.

• 0 - Do not intend to clear

• 1 - Intend to clear

1932

Clearing Requirement Exception

ClrReqmtExcptn

N

int

Specifies whether a party to a swap is using the clearing requirement exception pursuant to CEA Section 2(h)(7) and Commission regulations.

• 0 - No exception

• 1 - Exception

1936

Collateralization

TrdCollztn

N

int

Indication of trade collateralization.

• 0 - Uncollateralized

• 1 - Partially collateralized

• 2 - One-way collateralized

• 3 - Fully collateralized

10033

DifferentialPrice

DiffPx

N

float

Represents the differential price for spreads, or a TAS or TAM differental price.

Note:  Not supported for CPC-entered Calendar Spreads

10024

DifferentialPriceType

DiffPxTyp

N

int

This indicates the type of differential price represented in the Differential Price attribute.

Note:  Not supported for CPC-entered Calendar Spreads

• 0 - Differential from Settlement Price

• 1 - Differential between legs

997

OriginalTimeUnit

OrigTmUnit

N

String

Specifies the Time Unit of the original trade, e.g. whether it was entered as contracts per day or per month. Note that all trades are normalized to default units in STP, regardless of the units originally used to enter the trade.

• D - Day

• H - Hour

• Min - Minute

• Mo - Month

• S - Second

• Wk - Week

• Yr - Year

10037

TradingQuantity

TrdgQty

N

Qty

Quantity per Original Time Unit as submitted on a CME ClearPort API trade report when a product has multiple time units, or, Product Variable Quantity Unit (VQU) is not 'S' (standard), and the product subtype (Monthly, daily, weekly) is not equal to the time unit entered for the trade.

10047

ConfirmHubTradeType

CHTrdTyp

N

String

Custom field to represent specific Confirm Hub Trade Types

37711

Market Data Trade Entry ID

MDTrdEntrID 

N

String

Unique Trade Identifier that will match to a CME Globex order execution, associated market data message and STP messaging.

1832

Cleared Indicator

Clrd

N

int

Indicates whether the position or trade being reported was cleared through a clearing organization.

Note: only sent for Bilateral and Cleared Elsewhere (BaCE) trades.

• 0 - Not cleared

• 1 - Cleared

830

Transfer Reason

TransferReason

N

String

The reason a trade is being transferred.

1329

Fee Multiplier

FeeMult

N

Float

Multiplier that Clearing (Fee system) will use to calculate fees and will be sent to the firms on their confirms.

99400

Clearing Transformation Type

ClrTransTyp 

N

int

Indicates the type of Clearing Transformation that generated this Trade.

• 1- Exercise

• 2-Assignment

• 3-General Transformation

• 4-Delivery Transformation

• 5-Fungible

719

Contrary Instruction Indicator

CntraryInstrctnInd 

N

Boolean

Used to indicate when a contrary instruction for exercise or abandonment is being submitted

• Y-YES

• N-NO

99401

Option Exercise Time Frame

OptExerTmFm 

N

int

For Exercise/Assignment Transformation, this indicates whether or not the resulting Future was the result of an Early Exercise Instruction (Prior to Settlement Date)

• 0 - Early

• 1 - Expiration

20063

FeeQuantityThresholdIndicator

FeeQtyThrshldInd

N

String

Indicator flag used to determine the eligibility of fee discount based on threshold level

• L1 - Threshold Level 1 - The highest threshold level was met or surpassed.

• L2 - Threshold Level 2 - The middle threshold level was met.

• L3 - Threshold Level 3 - The lowest threshold level was met.

• LN - Eligible but does not meet set thresholds.

→1116

NoRootPartyIDs

N

NumInGroup

Number of entries in block.

→1117

Root Party ID

ID

N

String

Used to identify the Party.

→1118

Root Party ID Source

Src

N

char

Used to identify the source of the Party.

N - LEI

→1119

Root Party Role

R

N

int

Indicates the type or role of the Party.

73 - Execution Venue

40212

NoPayments

N

NumInGroup

→40213

PaymentType

Typ

N

int

Type of payment.

10 - Option Premium

→40214

Payment Pay Side

PaySide

N

int

Side value of party paying the payment.

• 1 - Buy

• 2 - Sell

→40215

Payment Receive Side

RcvSide

N

int

Side value of party receiving the payment.

• 1 - Buy

• 2 - Sell

→40216

Payment Currency

Ccy

N

Currency

Specifies the currency in which PaymentAmount(tbd) and/or PaymentRate(tbd) is denominated. Uses ISO 4271 currency codes.

→ 40217

Payment Amount

Amt

N

Amt

The total payment amount.

→ 40222

Payment Date Adjusted

Dt

N

 LocalMktDate

The adjusted payment date.

753

NoPosAmt

N

→707

Amount Type

Typ

N

String

The type of the position amount represented.

• CRES - Cash Residual Amount

• ICPN - Initial Trade Coupon Amount

• IPMT - Upfront Payment

• PREM - Premium Amount

• TVAR - Trade Variation Amount

→708

Amount

Amt

N

Amt

The position amount represented.

→1055

Amount Currency

Ccy

N

String

The currency associated with the position amount represented.

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