CME STP FIX - Trade Capture Report Request

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yesterday at 11:06 AM
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The Trade Capture Report Request (tag 35-MsgTyp=AD) message is used by FIX Client to:

  • Subscribe (with or without filters) to CME Group trades.

  • Request snapshot of CME Group trades.

FIX Client can specify the following filters in subscription and snapshot requests.

Filter

Recommended request type

Comments

Subscription

Snapshot

TradeID

N

Y

CME Front End Clearing (FEC) Firm Trade ID. 

Secondary Trade ID

N

Y

Unique across all trade dates and all clearing firms.

Client Order ID

N

Y

OrderID provided for CME Globex trades and the Order ID for Pit trades.

Instrument details

  • Security ID

  • Security Exchange

  • Security Type

Y

Y

Security Exchange and Security Type can be used independently, when Security ID should always be accompanied by Security Exchange.

Clearing Business Date

Y

Y

One date can be specified per request.

Trade Date(s)

Y

Y

One or multiple trade dates can be specified in single request.

Trade Input Source

Y

Y

The trade input sources.



  • Tag 779-LastUpdateTime:

    • Applicable only to Snapshot + Update (Subscription - 263=1|569=1)

    • Subscriptions requests without tag 779-LastUpdateTime will default to current date and time of the request

  • Tag 9593-StartTime and optional tag 9594-EndTime:

    • Applicable only to Snapshot request (263=0|569=1)

    • Tag 9594-EndTime is optional and defaults to the time of request if not present

    • Snapshot requests without Tag 9593-StartTime will be rejected

  • Tag 779-LastUpdateTime timestamp on the received Trade Capture Report (tag 35-MsgTyp=AE) messages may be greater than/equal to/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.

  • Support for Multiple FirmIDs:

    • Each Snapshot and Subscription request can be made for one or multiple FirmIDs. It is required that all FirmIDs specified within a single request have the same role (Trading Firm, Brokerage Firm, or Asset Manager). Requests containing multiple FirmIDs with different party roles will be rejected

    • Snapshot or Subscription request with multiple FirmIDs containing at least one invalid FirmID will be rejected

  • 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.





Tag

Name

FIXML Abbr

Req

Format

Description

Enumerations

Standard Message Header



Y



Tag 35-MsgType = AD



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. 

  • 0 - Allegro clients

  • 1 - Initial request

263

SubscriptionRequestType

SubReqTyp

Y

Char

Subscription request type.

  • 0 - Snapshot

  • 1 - Snapshot + Updates (Subscribe)

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 (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.

  • 2 - Request outright deals and Individual legs of multileg security

  • 3 - Request outright deals and summary for multileg deals

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' 





779

LastUpdateTime

LastUpdateTm

C

UTCTimestamp

Date/time that a Snapshot + Update (263=1|569=1) Request should start to pull data from

  • Format: YYYYMMDD-HH:MM:SS (UTC time zone)
    Example:  20200520-01:14:39 

  • Snapshot + Updates 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.

A FIX Client can request data for the last 31 calendar days.



9593

StartTime

StartTm

C

UTCTimestamp

Date/time that a Snapshot (263=0|569=1) request should start to pull data from

  • Format: YYYYMMDD-HH:MM:SS (UTC time zone)
    Example:  20200520-01:14:39

  • Required for Snapshot (263=0|569=1) requests

  • Will be ignored for Snapshot + Update (263=1|569=1) requests 

A FIX Client can request data for the last 31 calendar days.



9594

EndTime

EndTm

N

UTCTimestamp

End date/time of a Snapshot (263=0|569=1) request

  • Format: YYYYMMDD-HH:MM:SS (UTC time zone)
    Example:  20200520-01:14:39

  • End Time cannot be in the future

  • Optional for Snapshot requests.

  • Will be ignored for Snapshot + Update (263=1|569=1) request

A FIX Client can request data for the last 31 calendar days.



Parties Block (repeating)

453

NoPartyIDs



Y

NumInGroup

Number of entries in block.

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.





→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

48

SecurityID

ID

N

String

Used to limit a subscription or snapshot requests to a specific CME product, e.g. CL.

tag 48-SecurityID should be specified along with tag 207-SecurityExchange





167

SecurityType

SecTyp

N

String

Used to limit a subscription or snapshot requests to a specific security type

  • 'FUT' (Future) 

  • 'OPT' (Option) 

  • 'MLEG' (Multi-leg) 

  • 'FWD' (Forward)  

  • 'IRS' (Interest Rate Swaps)

  • 'FRA' (Forward Rate Agreement)

207

SecurityExchange

Exch

C

Exchange

Used to limit a subscription or snapshot requests to a specific CME Group listing exchange.



  • 'CBT'

  • 'CEE'

  • 'CMD'

  • 'CME'

  • 'COMEX'

  • 'DME'

  • 'NYMEX'

Trade Dates Block (repeating)

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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