CME STP - FIXML TradeCaptureReportRequest for BrokerTec Trades

568

TradeRequestID

ReqID

String

Required Trade Capture Report Request ID 

568

1003

TradeID

TrdID

String

The unique ID assigned to the trade entity once it is received or matched by the exchange or central counterparty.

1040

SecondaryTradeID

TrdID2

String

Used to carry an internal trade entity ID which may or may not be reported to the firm

569

TradeRequestType

ReqTyp

int

Type of Trade Capture Report.

• 0 - All Trades (NOTE: this is only available for the FIX API, not the FIXML API)

• 1 - Matched trades matching criteria provided on request (Parties, ExecID, TradeID, OrderID, Instrument, InputSource, etc.) 

• 3 - Unreported trades that match criteria

263

SubscriptionRequestType

SubReqTyp

char

Subscription Request Type

263

• 0 - Snapshot

• 1 - Snapshot + Updates (Subscribe)

11

ClOrdID

ClOrdID

String

Unique identifier for Order as assigned by the buy-side (institution, broker, intermediary etc.) (identified by SenderCompID (49) or OnBehalfOfCompID (5) as appropriate). Uniqueness must be guaranteed within a single trading day. Firms, particularly those that electronically submit multi-day orders, trade globally or throughout market close periods, should ensure uniqueness across days, for example by embedding a date within the ClOrdID field.

715

ClearingBusinessDate

BizDt

LocalMktDate

The "Clearing Business Date" referred to by this maintenance request.

442

MultiLegReportingType

MLegRptTyp

char

Used to indicate what an Execution Report represents (e.g. used with multi-leg securities, such as option strategies, spreads, etc.).

• 2 - Individual leg of a multi-leg security

• 3 - Multi-leg security

578

TradeInputSource

InptSrc

String

Type of input device or system from which the trade was entered. Possible values include: BTC - BrokerTec Clearing, BTD - BrokerTec Direct, GLBX - Globex, XPIT - Externally registered

BTC, BTD

779

LastUpdateTime

LastUpdateTm

UTCTimestamp

Date/time which subscription should start pull data from.

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

• 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.

Example: 20200514-06:20:37

9593

StartTime

StartTm

UTCTimestamp

Start date/time of snapshot request.

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

Required for Snapshot requests (tag 263 - SubscriptionRequestType = 0)

Client is allowed to submit requests covering period of 31 calendar days.

9594

EndTime

EndTm

UTCTimestamp

End date/time of snapshot or subscription request.

Optional for 

Snapshot requests .(tag 263- SubscriptionRequestType =0)

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

Client is allowed to submit requests covering period of 31 calendar days.

10059

IncludeCollateralIndicator

CollInd

char

Indicates whether collateral should be returned in request result.

New field.

• Y - Yes

• N - No

448

→PartyID

ID

String

Party identifier/code. See PartyIDSource (447) and PartyRole (452).

452

→PartyRole

R

int

Identifies the type or role of the PartyID (448) specified.

• 7 - Trading (Entering) Firm

• 30 - Inter Dealer Broker

• 49 - Asset Manager

• 79 - Prime Broker

55

→Symbol

Sym

String

Ticker symbol. Common, "human understood" representation of the security. SecurityID (48) value can be specified if no symbol exists (e.g. non-exchange traded Collective Investment Vehicles)Use "[N/A]" for products which do not have a symbol.

New field.

48

→SecurityID

ID

String

The Clearing Product ID.

167

→SecurityType

SecTyp

String

Enables a requestor to filter for a specific SecurityType.

New values BOND, EUSOV, EUSUP, FUT, MLEG, REPO, SOV, SUPRA, TB, TBA, TBILL, TBOND, TNOTE

• BOND - Bond (generic)

• EUSOV - Euro Sovereigns

• EUSUP - Euro Supranational Coupons

• FRA - Forward Rate Agreement

• FUT - Future

• FWD - Forward

• IRS - Interest Rate Swap

• MLEG - Multi Leg (Combo)

• OPT - Option

• REPO - Repurchase

• SOV - UK Gilt

• SUPRA - USD Supranational Coupons

• SWAPTION - Swaption

• TB - Treasury Bill - non US

• TBA - To Be Announced

• TBILL - US Treasury Bill

• TBOND - US Treasury Bond

• TNOTE - US Treasury Note

207

→SecurityExchange

Exch

Exchange

Market used to help identify a security.

New values BTEU, BTUS

• BTEU - BrokerTec EU

• BTUS - BrokerTec US

• CBT - Chicago Board of Trade

• CEE - Stock Exchange Group

• CMD - Credit Default Swap Exchange

• CME - Chicago Mercantile Exchange

• COMEX - Commodities Exchange, Inc

• DME - Gulf Mercantile Exchange

• FXS - FX Spot

• IFUS - Intercontinental Exchange

• NGXC - Natural Gas Exchange

• NODX - Nodal

• NYMEX - New York Mercantile Exchange

• NYMSW - CME Swaps - NYMEX

• VMAC - VMAC

• XNAS - Nasdaq

• XXXX - OTC Trades

75

→TradeDate

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).