CME STP - FIXML TradeCaptureReport for BrokerTec Trades

571

TradeReportID

RptID

String 

Unique identifier of trade capture Acknowledgment message.

Up to a maximum of 63 characters

571

1003

TradeID

TrdID

String

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

However this value is not unique across all BTEC products i.e. Repo GC, Repo Special/GCF, and cash. 

trade_number_i

1003

1040

SecondaryTradeID

TrdID2

String

Globally unique across different BrokerTec products and recommended to be used to uniquely identify a trade.

For GC Repo, this tag in TradeCaptureReport (35=AE) ties to it's CollateralReport (35=BA).

10036

PackageID

PackageID

String

This field points (forward) to SecondaryTradeID on the trade replacing this trade. This field is only populated when the trade has been replaced as a result of an amendment

487

TradeReportTransType

TransTyp

int

Identifies Trade Report message transaction type(Prior to FIX 4.4 this field was of type char)

New value 4 - Reversal

487

0 - New
1 - Cancel
2 - Replace
4 - Reverse

856

TradeReportType

RptTyp

int

Type of Trade Report

856

101 - Notification

939

TrdRptStatus

TrdRptStat

int

Trade Report Status

0 - Accepted
7 - Terminated

568

TradeRequestID

ReqID

String

Trade Capture Report Request ID

568

828

TrdType

TrdTyp

int

Type of Trade:

trade_type_c

828

0 - Regular Trade
1 - Block Trade
2 - EFP (Exchange for physical)
3 - Transfer

11 - Exchange for Risk (EFR)
22 - Over the Counter Privately Negotiated Trades (OPNT)
23 - Substitution of Futures for Forwards
45 - Option exercise

54 - OTC / Large Notional Off Facility Swap 

55 - Exchange Basis Facility (EBF)
57 - Netted trade
58 - Block swap trade
59 - Credit event trade
60 - Succession event trade

829

TrdSubType

TrdSubTyp

int

Further qualification to the trade type

deal_source_c

855

7 - Differential spread
36 - Converted SWAP (Aged Deal)
37 - Crossed Trade (X)
40 - TAS - Traded at settlement
42 - Auction Trade
43 - TAM - Traded at marker
48 - Multilateral Compression
200 - Delivery Transfer

Note: 8 - Implied spread leg executed against an outright (not published for BTec markets).

10021

OffsetInstruction

OfstInst

int

Indicates offset or onset due to allocation.

0 - Offset
1 - Onset

830

TransferReason

TrnsfrRsn

String

Reason trade is being transferred

A - Exchange approved transfers between accounts with different beneficial ownership
B - For correcting Rule 527 mis-clears
C - Transfer between accounts in which the underlying beneficial ownership is identical
E - Transfer to correct an error in assignment of account (in-house) or customer/house origin error or firm-to-firm clerical error in clearing a trade
J - For rule 770 transfers
M - Transfer for portfolio margining purposes
N - Transfer of positions to a newly approved clearing firm
O - Option Compression
P - Fungible Transfers and Delivery Transfers (system generated, cannot be submitted by firms)
T - Transfer due to the merger of two or more clearing firms
V - Auto-transfer Offset (system generated, cannot be submitted by firms)
W - Transfer due to withdrawal of a clearing firm
X - For transferring new or offsetting Singapore Exchange executed positions between local firms
Y - Cross Exchange Transfer (OCC)

880

TrdMatchID

MtchID

String

Identifier assigned to a trade by a matching system.

match_id

880

820

TradeLinkID

LinkID

String

Used to link a group of trades together. Useful for linking a group of trades together for average price calculations.

New field

workup_id_n

820

2490

TradeNumber

TrdNum

String

New field

trade_number_i

20011

DealID

DealID

String

BrokerTec Deal ID, common to all participants within an entire trade (not only a match)

deal_number_i

20011

17

ExecID

ExecID

String

Unique identifier of execution message as assigned by sell-side (broker, exchange, ECN) (will be 0 (zero) for ExecType (150)=I (Order Status)).Uniqueness must be guaranteed within a single trading day or the life of a multi-day order. Firms which accept multi-day orders should consider embedding a date within the ExecID field to assure uniqueness across days.(Prior to FIX 4.1 this field was of type int).

527

SecondaryExecID

ExecID2

String

Assigned by the Liquidity Provider (LP) who accepts the order.

Will be populated with Liquidity Provider's (LP) ExecID (17) only on disclosed tickets.

10035

BlockID

BlckID

String

Indicates the Platform ID of the block trade. Used for IRS.

423

PriceType

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 "rNew fieldepo rate".

New values 9 - Yield, 1005 - Yield Diff

premium_unit_n

423

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

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

6 - Spread (basis points spread)
9 - Yield

10 - Fixed cabinet trade price (primarily for listed futures and options)

11 - Variable cabinet trade price (primarily for listed futures and options)
24 - Interest rate

100 - Tentative placeholder price
101 - Updated actual price

102 - Derived Price Block
1005 - Yield Diff

1430

VenueType

VenuTyp

char

Identifies the type of venue where a trade was executed

New value Q - Quote-driven Market

match_type_c

20009

 
C - Clearing house
E - Electronic
O - Off facility swap

P - Pit

Q - Quote-driven market

R - Registered Market (SEF)

X - Ex-Pit

854

QtyType

QtyTyp

int

Type of quantity specified in a quantity field:

0 - Notional / Units
1 - Contract term

32

LastQty

LastQty

Qty

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

trade_quantity_i

32

31

LastPx

LastPx

Price

Price of this (last) fill. Will support values up to 9 decimal places of precision.

deal_price_i

31

1056

CalculatedCcyLastQty

CalcCcyLastQty

Qty

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

75

TradeDate

TrdDt

LocalMktDate

The trade date assigned to an execution on the trading platform.

created_date_s

75

715

ClearingBusinessDate

BizDt

LocalMktDate

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

clearing_date_s

715

6

AvgPx

AvgPx

Price

Calculated average price of all fills on this order.For Fixed Income trades AvgPx is always expressed as percent-of-par, regardless of the PriceType (423) of LastPx (31). I.e., AvgPx will contain an average of percent-of-par values (see LastParPx (669)) for issues traded in Yield, Spread or Discount.

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.).

1 - Single security (default if not specified)
2 - Individual leg of a multi-leg security
3 - Multi-leg security

60

TransactTime

TxnTm

UTCTimestamp

Timestamp when the business transaction represented by the message occurred.

asof_date_s + asof_time_s

60

2405

ExecMethod

ExecMeth

int

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

1 - Manual
2 - Automated

64

SettlDate

SettlDt

LocalMktDate

Specific date of trade settlement (SettlementDate) in YYYYMMDD format.

New field

settlement_date_s

64

779

LastUpdateTime

LastUpdateTm

UTCTimestamp

Used to indicate the date and time that internal transaction processing of the trade or allocation completed. Should occur on or after the Transaction Time.

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

Example:  20200520-01:14:39.126000000Z 

modified_date_s + modified_time_s

779

1832

ClearedIndicator

Clrd

int

Indicates whether the position or trade being reported was cleared through a clearing organization.

0 - Not cleared
1 - Cleared

1924

ClearingIntention

ClrIntn

int

Indicates whether or not the parties intend the trade to clear.

0 - Do not intend to clear
1 - Intend to clear

1932

ClearingRequirementException

ClrReqmtExcptn

int

Specifies whether a party to a swap is using the clearing requirement exception pursuant to CEA Section 2(h)(7) and Commission regulations.

0 - No exception
1 - Exception

1936

TradeCollateralization

TrdCollztn

int

Indication of trade collateralization.

0 - Uncollateralized
1 - Partially collateralized
2 - One-way collateralized
3 - Fully collateralized

10033

DifferentialPrice

DiffPx

float

Represents the Differential Price for Spreads.

10024

DifferentialPriceType

DiffPxTyp

int

This indicates the type of differential price represented in the Differential Type attribute.

0 - Differential from Settlement Price
1 - Differential between legs

997

OrigTimeUnit

OrigTmUnit

String

Specifies the Time Unit of the original trade.

D - Day
H - Hour

Min - Minute

Mo - Month
S - Second
Wk - Week
Yr - Year

10037

TradingQuantity

TrdgQty

Qty

Indicates the trading quantity entered, in unit terms (e.g. in MWh), for a trade. This may differ from the cleared quantity, especially in the case of contracts like electricity that follow delivery schedules.

10047

ConfirmHubTradeType

CHTrdTyp

String

Custom field to represent specific Confirm Hub Trade Types

37711

MarketDataTradeEntryID

MDTrdEntrID

int

Unique Trade Identifier that will match to a CME Globex order execution, associated market data message and STP messaging

1832

ClearedIndicator

Clrd

int

Indicates whether the position or trade being reported was cleared through a clearing organization.

Note: only sent for Bilateral and Cleared Elsewhere (BaCE) trades.

0 - Not cleared

1 - Cleared

1329

FeeMultiplier

FeeMult

float

This is a multiplier that Clearing (Fee system) will use to calculate fees and will be sent to the firms on their confirms.

10053

SplitIndicator

SplitInd

char

Indicates whether or not a trade is split

New field

Y - Split trade
N - Whole trade

20043

AlternatePrice

LastPx2

Price

Alternate Price

New field

alternate_price_i

20043

20056

SettlementTradeID

SettlTrdID

String

Trade identifier as assigned by BrokerTec Clearing.

New field

99400

Clearing Transformation Type

ClrTransTyp

int

Indicates the type of Clearing Transformation that generated this Trade.

1- Exercise

2-Assignment

3-General Transformation

4-Delivery Transformation

5-Fungible

719

Contrary Instruction Indicator

CntraryInstrctnInd

Boolean

Used to indicate when a contrary instruction for exercise or abandonment is being submitted

Y-YES

N-NO

99401

Option Exercise Time Frame

OptExerTmFm

int

For Exercise/Assignment Transformation, this indicates whether or not the resulting Future was the result of an Early Exercise Instruction (Prior to Settlement Date)

1-Early

2-Expiration

30

LastMkt

LastMkt

Exchange

Market of execution for last fill, or an indication of the market where an order was routed

New field

20400

NonDisclosedIndicator

NonDiscInd

String

A flag indicating if this was a non-disclosed trade. 

• All non-disclosed trades will include this tag/attribute with "Y"

• All disclosed trades will not include this tag/attribute. 

Y

20060

VenueSubType

VenuSubTyp

String

Identifies the sub-type of the venue where a trade was executed.

S - Single Ticket

W - Sweepable

1500

MDStreamID

MDStrmID

String

The identifier or name of the price stream.

e.g. "GOLD", 

"Z1AC" etc. 

→1117

→RootPartyID

ID

String

PartyID value within a root parties component. Same values as PartyID (448)

→1118

→RootPartyIDSource

Src

char

PartyIDSource value within a root parties component. Same values as PartyIDSource (447)

N - LEI

→1119

→RootPartyRole

R

int

PartyRole value within a root parties component. Same values as PartyRole (452)

73 - Execution Venue

Instrument

Instrmt

916

→StartDate

StartDt

LocalMktDate

Start date of a financing deal, i.e. the date the buyer pays the seller cash and takes control of the collateral

New field

start_date_s

916

917

→EndDate

EndDt

LocalMktDate

End date of a financing deal, i.e. the date the seller reimburses the buyer and takes back control of the collateral

New field

end_date_s

917

40212

PaymentGrp

Pmt

711

UndInstrmtGrp

Undly

→707

→PosAmtType

Typ

String

Type of Position amount

CRES - Cash Residual Amount
ICPN - Initial Trade Coupon Amount
IPMT - Upfront Payment
PREM - Premium Amount

TVAR - Trade Variation Amount

→708

→PosAmt

Amt

Amt

Position amount

→1055

→PositionCurrency

Ccy

String

The Currency in which the position Amount is denominated

555

TrdInstrmtLegGrp

TrdLeg

552

TrdCapRptSideGrp

RptSide

2668

TrdRegPublicationGrp

TrdRegPublctn

→2669

→TrdRegPublicationType

Typ

int

New field

2 - Exempt from publication

→2670

→TrdRegPublicationReason

Rsn

int

New field

12 - Exempted due to European System of Central Banks (ESCB) policy transactions