CME ClearPort API - Trade Capture Report Message - TrdCapRptSideGrp - Inbound

Buy Sell Code

Side

char

The Side of the Trade. It's a Buy or a Sell.

Dual-Sided
Single-Sided

ALL

ALL

Both

• 1 - Buy

• 2 - Sell
  
  

Side Trade Quantity

SideQty

int

Used to indicate the quantity on one side of a multi-sided Trade Capture Report

Client Order ID

ClOrdID

String

Unique identifier for order as assigned for that side.

Input Source

InptSrc

String

The original system from which the trade originated. CME Clearing treats this as a pass-through field on cleared trade confirmations.

Dual-Sided
Single-Sided

ALL

ALL

Both

Allocation Indicator

AllocInd

Int

Identifies how the trade is to be allocated

Dual-Sided
Single-Sided

ALL

ALL

Both

Valid values:

• 0 - Allocation not required

• 1 - Allocation required (give-up trade) allocation information not provided (incomplete)

Aggressor Indicator

AgrsrInd

Boolean

Used to identify whether or not the order initiator is an aggressor in the trade.

• N - Order initiator is passive

• Y - Order initiator is aggressor
  
  

Source Trade ID

SrcTrdID

String

A Trade ID assigned by the source for the trade Side. Typically used to identify a trade by the submitter while submitting a single-sided trade.

Single-Sided

ALL

ALL

Both

Customer Order Handling Instruction

CustAOrdHdlInst

MultipleStringValue

Contains the FIA Execution Source.

• A - Phone simple

• B - Phone complex

• C - FCM-provided screen

• D - Other-provided screen

• E - Client provided platform controlled by FCM

• F - Client provided platform direct to exchange

• G - FCM API or FIX

• H - Algo Engine

• J - Price at Execution (price added at Initial order entry, trading, middle office or time of give-up)

• W - Desk - Electronic

• X - Desk - Pit

• Y - Client - Electronic

• Z - Client - Pit

Block Trade Allocation Indicator

BlckTrdAllocInd

int

Indication that a block trade will be allocated.

• 0 - Block to be allocated

• 1 - Block not to be allocated

• 2 - Allocated trade (i.e. a sub-trade of a block trade)

Side Risk Limit Check Status

RiskChkStat

int

Indicates the status of the risk limit check performed on the side of a trade.

13 - Accepted by execution venue

Reference Risk Limit Check ID

RefRiskLmtChkID

String

Indicates the credit approval token for pre-approved trades reported on Swap Execution Facilities (SEFs).

Notes

Notes

String

A field for user-created notes.

Parties (repeating)

Pty

→ Party ID

ID

String

Used to identify the Party.

Dual-Sided
Single-Sided

ALL

ALL

Both

→ Party ID Source

Src

char

Used to identify class source of PartyID value (e.g. BIC). Required if PartyID is specified. Required if NoPartyIDs > 0.
Conditionally Required:
Needed when submitting with Account Alias (R=24).

• C - Generally accepted market participant identifier

• D - Proprietary / Custom code

• H - Clearing house participant/member code

• N - LEI

• P – PLID (Privacy Law Identifier)

• Q – NPID (Natural Person Identifier)

→ Party Role

R

int

Indicates the type of Party or the role of the party in the Party Block.

Dual-Sided
Single-Sided

ALL

ALL

Both

• 1 - Executing Firm

• 7 - Trading (Entering) Firm

• 17 - Contra Firm

• 24 - Customer Account

• 30 - Inter Dealer Broker

• 36 - Entering trader

• 37 - Contra trader

• 49 - Asset Manager

• 62 - Report originator
  
  

→ PtysSubGrp (repeating)

Sub

→→ Party Qualifier ID

ID

String

A Sub ID provides additional information about the Party. For example the Firm long name could be specified for the firm in the Sub Tag with Typ = 9. This is a child of the Party element.
Where Sub/@Typ = 26

• 1 = Customer

• 2 = House

Conditionally Required:
Needed when submitting with Account Alias (R=24) to indicate whose alias is being used.

→→ Party Qualifier Type

Typ

int

The Type of Party Sub ID in the Party Sub Tag.
Conditionally Required:
Needed when submitting with Account Alias (R=24) to indicate who s alias is being used:

• 1 = Asset Manager
  or Active Trader

• 3 = Platform

• 1 - Firm

• 3 - System

• 49 - Reporting entity indicator
  
  

SideRegulatoryTradeIDGrp (repeating)

RegTrdID

→ Side Regulatory Trade ID

ID

String

Regulatory Trade ID for the trade side. Will be used to communicate the Universal Swap Identifier associated with a cleared trade.

→ Side Regulatory Trade ID Source

Src

String

ID of reporting entity assigned by regulatory agency.

→ Side Regulatory Trade ID Event

Evnt

int

Event causing origination of the ID. For combinations, use the higher enumeration value. E.g. for Allocation plus Clearing use the value 2.

• 0 - Initial block trade

• 1 - Allocation (or determination that the block trade will not be further allocated)

• 2 - Clearing

→ Side Regulatory Trade ID Type

Typ

int

The type of Regulatory Trade ID being sent.

• 0 - Current (the default)

• 1 - Previous (e.g. when reporting a cleared trade or novation of a previous trade)

• 2 - Block (e.g. when reporting an allocated subtrade)

→ Side Regulatory Trade ID Scope

Scope

int

Included when a trade must be assigned more than one identifier, e.g. one for the clearing member and another for the client on a cleared trade as with the principal model in Europe. Omit if scope does not apply to this instance.

• 1 - Clearing member

• 2 - Client
  
  

CommissionDataGrp

CommData

→ Commission Basis

Basis

int

Specifies the basis or unit used to calculate the commission.

• 1 - Per Unit (implying shares, par, currency, etc.)

• 2 - Percent

• 8 - Amount per contract

→ Commission Currency

Ccy

Currency

Specifies the currency denomination of the commission amount if different from the trade's currency.

→ Commission Rate

Rt

float

Rate per basis. For example, $1 per contract, or $0.01 per unit (e.g. barrel).

→ Commission Leg Ref ID

LegRefID

String

Trade leg identifier for spread trade submissions. Required on all CommData blocks for each leg of a spread.

TrdAllocGrp (repeating)

Alloc