CME STP - EBS FX - TradeCaptureReport

571

TradeReportID

RptID

Y

String

Unique identifier of the TradeCaptureReport message. Use to check for duplicate TradeCaptureReports.

Up to a maximum of 63 characters

1003

TradeID

TrdID

Y

String

The EBS Deal ID.

1040

SecondaryTradeID

TrdID2

Y

String

A globally unique identifier (GUID) that can be reliably used across trade dates and all markets supported by STP. 

487

TradeReportTransType

TransTyp

Y

int

Identifies Trade Report message transaction type.

• 0 - New (not applicable for eFix)

• 2 - Replace (applicable only for eFix tickets)

856

TradeReportType

RptTyp

Y

int

Type of Trade Report.

101 - Notification

939

TrdRptStatus

TrdRptStat

Y

int

Trade Report Status.

0 - Accepted

568

TradeRequestID

ReqID

Y

String

Request ID from the TradeCaptureReportRequest message. 

828

TrdType

TrdTyp

Y

int

Type of trade, distinguishes between regular trades (0) and eFix trades (1000).

• 0 - Regular Trade

• 1000 - Fixing

829

TrdSubType

TrdSubTyp

C

int

Further qualification to the trade type.

Only set for eFix Trades when TrdTyp (Tag 828) = 1000, otherwise not set.

43 - TAM - Traded at marker

880

TrdMatchID

MtchID

Y

String

For EBS Direct trades this is the EBS Deal ID. LCs will see this in Tag 17 (ExecID) on their Execution Report and LPs will see this as the ClOrdID generated by the match engine. 

For Globex trades this is a system generated identifier common to all sides at a price level within a match event.

This will be common to multiple deal IDs (as a match event can result in multiple deal IDs). Not provided at trade time. Can be used for Post Trade queries.

2490

TradeNumber

TrdNum

N

int

The EBS Deal ID - common to maker and taker on Globex.  

Not provided for EBS Direct trades.

17

ExecID

ExecID

Y

String

Unique identifier of the Execution Report provided in the relevant trading API. 

For Globex maps to Tag 17 in iLink.

For EBS Direct maps to Tag 17 in the LC Execution Report and Tag 11 (ClOrdID) in the LP NOS (because the EBS Direct DealID is the ClOrdID for the LP).

527

SecondaryExecID

ExecID2

C

String

Only provided for EBS Direct disclosed tickets to LCs. Provides the LP's ExecID in the Execution Report returned to EBS Direct by the LP.

37

OrderID

OrdId

C

String

For Globex, this is the iLink OrderID.

For EBS Direct, this is the LC Tag 37 seen in the Execution Report received. Not provided for LP tickets.

11

Client Order ID

ClOrdID

C

String

Only provided on tickets resulting from an API Order, this is the ClOrdId from the order. 

Not provided for LPs on EBS Direct.

Provided to PBs to see their Prime Client's ClOrdID on interdealer tickets only (not synthetic tickets). 

423

PriceType

PxTyp

Y

int

Code to represent the price type.

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

• 101 - Updated actual price

1430

VenueType

VenuTyp

Y

char

Identifies the type of venue where a trade was executed.

• E - Electronic

• Q - Quote-driven Market

854

QtyType

QtyTyp

C

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 FX

32

LastQty

LastQty

Y

Qty

Notional Quantity of currency expressed in dealt currency. 

31

LastPx

LastPx

Y

Price

Price of this (last) trade.

For eFix trades, if no fixing rate is available the ticket will publish with a value of 0. To confirm the rate, contact the GCC.

1056

CalculatedCcyLastQty

CalcCcyLastQty

Y

Qty

The calculated contra quantity of the currency trade. Can be derived from LastQty and LastPx.

75

TradeDate

TrdDt

Y

LocalMktDate

Effective trade date. Trade date will roll according to business rules and therefore may not be the same as actual calendar date.

Value format follows Protocol.  FIX: YYYYMMDD, FIXML: YYYY-MM-DD

715

ClearingBusinessDate

BizDt

Y

LocalMktDate

Will generally overlap with TrdDt, but can differ either if a trade is canceled or amended, depending on what day it was done or the time of day it was done.

Value format follows Protocol.  FIX: YYYYMMDD, FIXML: YYYY-MM-DD.

442

MultiLegReportingType

MLegRptTyp

Y

char

Not relevant to EBS today, STP will always set to '1'. 

1 - Single security

60

TransactTime

TxnTm

Y

UTCTimestamp

Timestamp when the business transaction represented by the message occurred.

64

SettlDate

SettlDt

Y

LocalMktDate

Specific date of trade settlement (SettlementDate).

Value format follows Protocol.  FIX: YYYYMMDD, FIXML: YYYY-MM-DD.

779

LastUpdateTime

LastUpdateTm

Y

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. Not reset on cancels/amends.

1832

ClearedIndicator

Clrd

Y

int

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

Always 0 (zero) for EBS Trades.

0 - Not cleared

10037

TradingQuantity

TrdgQty

Y

Qty

Notional traded amount always expressed in terms of base currency regardless of dealt currency. Currently only trading in base currency is supported.

10033

DifferentialPrice

DiffPx

N

float

Only set on eFix tickets where currently it will only be set to '0'.

10024

DifferentialPriceType

DiffPxTyp

N

int

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

Will always be set to '0' and only present on eFix tickets.

0 - Differential from Settlement Price

37711

MarketDataTradeEntryID

MDTrdEntrID

C

String

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

1500

MDStreamID

MDStrmID

C

String

The identifier or name of the price stream. Only specific for LP tickets on EBS Direct.

99103

PostTradeType

PostTrdTyp

C

int

Identifies the type of ticket. 

Interdealer tickets (also known as Market tickets) are received by Bilateral GFIDs or Prime Broker GFIDs (when facing bilateral codes, i.e., not when facing their Prime Customer).

Prime Give Up tickets are also known as synthetic tickets and are those in which either the Prime Broker or Prime of Prime Broker faces their Prime Client OR when the Prime (or Prime of Prime) Client faces their credit parent broker. 

Prime of Prime Broker tickets are similar to Interdealer tickets in nature but are solely when the Prime of Prime Broker faces their credit parent broker.

• 4 - Prime Give up (Synthetic tickets)

• 5 - Interdealer 

• 6 - Prime of Prime Broker - Equivalent of Interdealer ticket (facing the Parent of the Prime of Prime Broker).

20057

TradePriceStatus

PxStat

Y

int

Status of the price.

0 - Final

120

SettlCurrency

SettlCcy

Y

Currency

Currency code of settlement denomination. For non-NDFs this will be the same as contra currency.

For NDFs this will be the deliverable currency.

63

SettlType

SettlTyp

Y

String

Settlement Type of trade.

Note: B represents broken date, actual settlement date is reflected in Tag 64.

• 0 = Spot

• Mx = FX Tenor expression for months eg. M3

• B = Broken (NDFs)

5899

SpotDate

SpotDt

C

LocalMktDate

For FXNDF, the associated SPOT settlement date.

Value format follows Protocol.  FIX: YYYYMMDD, FIXML: YYYY-MM-DD.

Note: Not provided for FXSPOT.

20060

VenueSubType

VenuSubTyp

C

Char

Identifies the sub-type of the venue where a trade was executed.

• C - Central limit order book

• S - Single ticket 

• W - Sweepable

20400

NonDisclosedIndicator

NonDsclInd

C

Boolean

Indicates whether a trade is Disclosed or Non-Disclosed.

• N - Disclosed

• Y - Non-Disclosed

1116

RootParties

Pty

Instrument(repeating)

Instrmt

552

TrdCapRptSideGrp

RptSide

2668

TrdRegPublicationGrp

TrdRegPublctn