CME ClearPort API - Trade Capture Report Acknowledgment Message - Outbound

Message ID

RptID

String

A Message ID to identify the Trade Capture Report Acknowledgment.

ALL

ALL

Both

Trade Transaction Type

TransTyp

int

Indicates the action being taken on a trade. The Acknowledgment echoes back the Trans Type from the inbound message.

ALL

ALL

Both

• 0 - New

• 1 - Cancel

Trade Report Type

RptTyp

int

Indicates the type of Trade Report being sent. The Acknowledgment message echoes back the Report Type from the initial submission.

ALL

ALL

Both

• 0 - Submit

• 3 - Decline

Trade Type

TrdTyp

int

Type of Trade.

ALL

ALL

Both

• 1 - Block Trade

• 2 - EFP (Exchange for physical)

• 11 - Exchange for Risk (EFR)

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

• 54 - OTC / Large Notional Off Facility Swap

• 58 - Block swap trade

Trade Sub Type

TrdSubTyp

int

Further qualification to the trade type

36 - Converted SWAP (Aged Deal)

Original Trade Date

OrigTrdDt

LocalMktDate

Used to preserve the original trade date when original trade is being referenced in a subsequent trade transaction such as a transfer.

Original Trade ID

OrigTrdID

String

Links an original voided trade report (which has been submitted within regulatory time restrictions) with the resubmitted trade.
Example:
1. A trade with Trade ID of 10001234 is entered into ClearPort API.
2. Trade with Trade ID of 10001234 is voided.
3. A new trade with a Trade ID of 10007777 is entered as a resubmission for the earlier voided trade, and the OrigTrdID can be set as: 10001234.

Message Reference ID

RptRefID

String

This is the Report of the original Trade Report that resulted in the Acknowledgment.

ALL

ALL

Both

Trade Report Status

TrdRptStat

int

Status of Trade in the system.

ALL

ALL

Both

• 0 - Accepted

• 1 - Rejected

• 2 - Cancelled

• 4 - Received Not yet Processed

• 100 - Unmatch

Reject Reason

RejRsn

int

An Internal system assigned reason code associated with the Rejection of Trade Report.

• 1 - Invalid party information

• 2 - Unknown instrument

• 3 - Unauthorized to report trades

• 4 - Invalid trade type

• 99 - Other

Execution ID

ExecID

String

Exchanged assigned Execution ID (Trade Identifier). Is not generated on single-sided Trade Submission.

Secondary Execution ID

ExecID2

String

Used to echo back the client's Trade ID referenced in the submission.

ALL

ALL

Both

Price Type

PxTyp

int

Code to represent the price type.
(For Financing transactions PriceType implies the "repo type" - Fixed or Floating - 9 (Yield) or 6 (Spread) respectively - and Price (44) gives the corresponding "repo rate".
See Volume : "Glossary" for further value definitions)

OPT

OTC FX

Outright

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

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

Quantity Type

QtyTyp

int

Type of quantity specified in a quantity field:

ALL

ALL

Outright

• 0 - Notional / Units

• 1 - Contract term

Trade Quantity

LastQty

Qty

Quantity (e.g. shares) bought/sold on this (last) fill.
(Prior to FIX 4.2 this field was of type int)

ALL

ALL

Outright

Trade Price

LastPx

Price

Price of this (last) fill.

ALL

ALL

Outright

Venue Type

VenuTyp

char

Identifies the type of venue where a trade was executed.

• E - Electronic

• O - Off facility swap

• P - Pit

• R - Registered Market (SEF)

• X - Ex-Pit

Contra Amount

CalcCcyLastQty

Qty

Used for the calculated quantity of the other side of the currency trade. Can be derived from LastQty and LastPx.

Currency

Ccy

Currency

Primary currency of the specified currency pair. Used to qualify LastQty and GrossTradeAmout

ALL

OTC FX

Both

Trade Date

TrdDt

LocalMktDate

Indicates date of trade referenced in this message in YYYYMMDD format. Absence of this field indicates current day (expressed in local time at place of trade). Conditionally present for all accepted trades.

Clear Date

BizDt

LocalMktDate

The "Clearing Business Date" referred to by this message. Conditionally present for all accepted trades.

Transaction Time

TxnTm

UTCTimestamp

Time ACK was issued by matching system, trading system or counterparty

ALL

ALL

Both

Execution Method

ExecMeth

int

Specifies whether the transaction was executed via an automated execution platform or other method.

3 - Voice Brokered

Confirmation Method

CnfmMeth

int

Indication of how a trade was confirmed.

• 0 - non-electronic

• 1 - electronic

Verification Method

VerfMeth

int

Indication of how a trade was verified.

• 0 - non-electronic

• 1 - electronic

Regulatory Report Type

RegRptTyp

Reserved100Plus

Type of regulatory report being submitted.

• 1 - Primary economic terms (PET)

• 4 - Combination of RT and PET

Trade Acknowledgment Status

TrdAckStat

int

The Status of the Trade Report that was submitted.

ALL

ALL

Both

• 0 - Accepted

• 1 - Rejected

Reject Text

RejTxt

String

Used by firms to send a reason for rejecting a trade in an allocate claim model.

Upfront Points

UpfrntPts

float

The Upfront Points that can be exchanged as part of a deal.

External Spread Indicator

ExtSprdInd

char

Optional indicator for block trade strategies involving a CME Group exchange product and a product on any non-CME Group exchange

• Y - Yes

• N - No

→ Sender ID

SID

String

This attribute identifies the party or the Submitter of the message. This is set to CME.

ALL

ALL

Both

→ Target ID

TID

String

This attribute identifies the receiver of the message. This could be a Broker or Platform or any other valid Trading entity. This value is pre-assigned by CME.

ALL

ALL

Both

→ MsgSeqNum

SeqNum

SeqNum

(Can be embedded within encrypted data section.)

→ Sender Qualifier

SSub

String

This attribute qualifies the Sender. For messages sent by the CME ClearPort API this is set to CPAPI.

ALL

ALL

Both

→ Target Qualifier

TSub

String

This qualifies the receiver of the message. This is set to the CME ClearPort UserID of the Sender.

ALL

ALL

Both

→ Regulatory Trade ID

ID

String

Regulatory Trade ID. Will be used to communicate the Unique Swap Identifier associated with a trade execution as required by the CFTC.

→ Regulatory Trade ID Source

Src

String

ID of reporting entity assigned by regulatory agency.

→ 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

→ 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)

→ 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

→ Root Party ID

ID

String

Used to identify the Party.

→ Root Party ID Source

Src

char

Used to identify source source of PartyID value (e.g. LEI).

N - LEI

→ Root Party Role

R

int

Identifies the type of PartyID (e.g. the original Swap Data Repository, the Execution Venue, etc.)

• 73 - Execution Venue

• 102 - Data Repository (e.g. SDR)

→ Underlying Product Code

ID

String

Used as the primary identifier for the underlying instrument.

OPT

ALL

Both

→ Underlying Product Code Source

Src

String

Identifies the source responsible for assigning the security identifier of the underlying security. This may be the exchange, CCP, or an international organization.

OPT

ALL

Both

H - Clearing House / Clearing Organization

→ Underlying Security Type

SecTyp

String

Used to indicate the type of underlying security being reported; Future, Option on Physical, Option on Future, or Multi-leg for spreads.

OPT

ALL

Both

• FUT - Future

• FWD - Forward

• MLEG - Multi Leg (Combo)

→ Underlying Maturity

MMY

MonthYear

The expiration period code of an underlying instrument. Used in combination with UnderlyingSymbol or UnderlyingSecurityID to specify the instrument identifier. The value can be expressed as YYYYMM, YYYYMMDD or YYYYMMwN where w represents a reference to week.

OPT

ALL

Both

→ Underlying Product Exchange

Exch

Exchange

The exchange where the underlying security is listed and has traded

OPT

ALL

Both

• CBT - Chicago Board of Trade

• CEE - Stock Exchange Group

• CME - Chicago Mercantile Exchange

• COMEX - Commodities Exchange, Inc

• DME - Gulf Mercantile Exchange

• NYMEX - New York Mercantile Exchange

• NYMSW - CME Swaps - NYMEX

→ Amount Type

Typ

String

The type of amount being expressed in the Trade Report.

• CRES - Cash Residual Amount

• ICPN - Initial Trade Coupon Amount

• IPMT - Upfront Payment

• PREM - Premium Amount

• TVAR - Trade Variation Amount

→ Amount

Amt

Amt

The amount associated with the trade.

→ Amount Currency

Ccy

String

The currency that the Amount associated with the trade is being denominated in.

→ Timestamp

TS

UTCTimestamp

Execution time for the deal.

ALL

ALL

Both

→ Timestamp Type

Typ

int

Indicates type of timestamp.

ALL

ALL

Both

1 - Execution Time

→Payment Type

Typ

Int

Type of Payment 10=Option Premium

O

OPT

OTCFX

10

→Payment Currency

Ccy

String

Currency of payment

O

OPT

OTCFX

USD

→ Payment Amount

Amt

Amt

The total payment amount

• Can be positive or negative, depending on side

  • Buyer = negative

  • Seller = positive

O

OPT

OTCFX

-50000

→Payment Date

Dt

LocalMktDate

Adjusted payment date

O

OPT

OTCFX

2016-09-30