CME STP - TradeCaptureReportRequest - STP

Request ID

ReqID

String

Required identifier for the trade query or subscription request. Will be echoed back on the response. 

Trade ID

TrdID

String

Used to query for a specific Trade ID (TrdID).

Secondary Trade ID

TrdID2

String

Used to query for a specific Secondary Trade ID (TrdID2).

Request Type

ReqTyp

int

Required. The type of trade request. The first query or subscription must specify matched trades (1). Subsequent requests for a query or subscription must specify unreported trades (3).

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

• 3 - Unreported trades that match criteria

Subscription Request Type

SubReqTyp

char

Required. Used to differentiate between a Snapshot (0) e.g. a single query for trade state at a specific point in time, or a Snapshot + Updates (1), e.g. a subscription, which is an ongoing request for trades matching the subscription criteria.

• 0 - Snapshot

• 1 - Snapshot + Updates (Subscribe)

Client Order ID

ClOrdID

String

Used to query for a specific Client Order ID (ClOrdID).

Clear Date

BizDt

LocalMktDate

Limits the subscription or query to a specific clearing business date.

Multi Leg Reporting Type

MLegRptTyp

char

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 - Individual leg of a multi-leg security

• 3 - Multi-leg security

Input Source

InptSrc

String

Used to limit queries and subscriptions 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'

Other values may be added without prior notice.

Start Time

StartTm

UTCTimestamp

Indicates the starting time of the subscription or query. For a subscription, the default is to start at the current time.

When entering the UTC timestamp client systems should always include the timezone offset (ex. StartTm="2024-07-24T10:35:00-05:00"). This field is required for a query.

End Time

EndTm

UTCTimestamp

Indicates the ending time of the query.

→ Sender ID

SID

String

Identifies the entity which is sending the message.

→ Target ID

TID

String

Set to CME

→ MsgSeqNum

SeqNum

SeqNum

Can be embedded within encrypted data section.

→ Sender Qualifier

SSub

String

Assigned value used to identify specific message originator (user, etc.)

→ Target Qualifier

TSub

String

Set to STP

→ Party ID

ID

String

Used to identify the Party that is the subject of the subscription or query. Multiple Parties may be specified. Each Party ID must be in a separate Party (Pty) element.

→ Party Role

R

int

Indicates the type or role of the Party that is the subject of the subscription or query. Exactly one Party Role must be specified.

• 7 - Trading (Entering) Firm

• 30 - Inter Dealer Broker

• 49 - Asset Manager

→ Product Code

ID

String

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

→ Security Type

SecTyp

String

Used to limit a subscription or query to a specific type of security.

• FRA - Forward Rate Agreement

• FUT - Future

• FWD - Forward

• IRS - Interest Rate Swap

• MLEG - Multi Leg (Combo)

• OPT - Option

• SWAPTION - Swaption

→ Product Exchange

Exch

Exchange

Used to limit a subscription or query to a specific listing exchange. Required if Security ID is specified.

• CBT - Chicago Board of Trade

• CEE - Stock Exchange Group

• CME - Chicago Mercantile Exchange

• COMEX - Commodities Exchange, Inc

• DME - Gulf Mercantile Exchange

• 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

→ Trade Date

TrdDt

LocalMktDate

Limits the subscription or query to a specific trade date. Only one date may be specified.