CME STP - FIXML TradeCaptureReport - TrdCapRptSideGrp for BrokerTec Trades

54

Side

Side

char

Side of order

bought_or_sold

54

1 - Buy

2 - Sell

5 - Sell short

6 - Sell short exempt

H - Sell Undisclosed

526

SideSecondaryClOrdID

ClOrdID2

String

Secondary Client Order ID

11

SideClOrdID

ClOrdID

String

Client Order ID

1154

SideCurrency

Ccy

Currency

Used to identify the trading currency on the Trade Capture Report Side

578

TradeInputSource

InptSrc

String

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

New accepted value BTC, BTD

match_type_c + big_attention[16]

20009 + 20034

582

CustOrderCapacity

CustCpcty

int

Capacity of customer placing the orderPrimarily used by futures exchanges to indicate the CTICode (customer type indicator) as required by the US CFTC (Commodity Futures Trading Commission).

1 - Member trading for their own account

2 - Clearing Firm trading for its proprietary account

3 - Member trading for another member

4 - All other

921

StartCash

StartCsh

Amt

Starting dirty cash consideration of a financing deal, i.e. paid to the seller on the Start Date.

New field

consideration_u

921

922

EndCash

EndCsh

Amt

Ending dirty cash consideration of a financing deal. i.e. reimbursed to the buyer on the End Date.

New field

end_consideration_u

922

58

Text

Txt

String

Free format text string(Note: this field does not have a specified maximum length)

826

TradeAllocIndicator

AllocInd

int

Identifies how the trade is to be allocated

0 - Allocation not required
1 - Allocation required (give-up trade) allocation information not provided (incomplete)
100 - SGX Offset
2 - Use allocation provided with the trade
3 - Allocation give-up executor
4 - Allocation from executor
5 - Allocation to claim account

100 - SGX Offset

1853

SideAvgPxIndicator

AvgPxInd

int

Average Pricing Indicator for the trade side.

1057

AggressorIndicator

AgrsrInd

Boolean

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

New field

big_attention[5]

1057

Y - Order initiator is aggressor
N - Order initiator is passive

10039

SideOrigTradeID

OrigTrdID

String

This field points (backward) to SecondaryTradeID on the predecessor trade. This will appear on replacement trades (828=0) and clearing offsets (828=3)

1851

StrategyLinkID

StrategyLinkID

String

Identifies the multileg strategy (e.g. spread) to which the trade belongs. This links together trade legs executed as part of a strategy during a single match event.

box_number_i

20033

1031

CustOrderHandlingInst

CustOrdHdlInst

MultipleStringValue

Codes that apply special information that the Broker / Dealer needs to report, as specified by the customer.NOTE: This field and its values have no bearing on the ExecInst and TimeInForce fields. These values should not be used instead of ExecInst or TimeInForce. This field and its values are intended for compliance reporting only.

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

37

OrderID

OrdID

String

Unique identifier for Order as assigned by sell-side (broker, exchange, ECN). Uniqueness must be guaranteed within a single trading day. Firms which accept multi-day orders should consider embedding a date within the OrderID field to assure uniqueness across days.

Maximum length of 38 characters

New field

order_number_u

37

793

SecondaryAllocGroupID

GrpID2

String

Indicates the CCP-assigned secondary allocation ID for the average price group.

2361

CompressionGroupID

CmprsnGrpID

String

Identifies all trades in a netting or compression group, including both terminating trades and any remnant trades that result from the operation.

9373

Liquidity Flag

LqdtyFlg

int

Indicates if an order was submitted for market making obligation as required for MiFID.

Applicable only for EU fixed income markets.

0=False

1=True

5149

Memo

Mem

String

Free format text field. Supported as follows, depending on source:

• CME Globex: Supported for all Globex-entered trades.

• CME Direct: Supports the Memo field value for the non-alleged counterparty when there is an allege and a claim. If both sides allege, then the Memo field is supported on both sides.

• CME ClearPort GUI: Supports the Memo field value for the non-alleged counterparty.

• CME ClearPort API:

  • For single-sided submissions, supports the Memo field value for the non-alleged counterparty when there is an allege and a claim. If both sides allege, then the Memo field is supported on both sides.

  • For dual-sided submissions, the Memo field supported on either or both sides, depending on the API submission. A note can be submitted for buy side and the sell side, and they can be different notes.

customer_info_s

58

158

AccruedInterestRate

AcrdIntRt

Percentage

The amount the buyer compensates the seller for the portion of the next coupon interest payment the seller has earned but will not receive from the issuer because the issuer will send the next coupon payment to the buyer. Accrued Interest Rate is the annualized Accrued Interest amount divided by the purchase price of the bond.

New field

extended_accrued_interest_q

158

5106

FundDesignation

FundDsgntn

String

Fund Designation as specified at order submission.

453

Parties

Pty

10034

SideRegulatoryTradeIDGrp

RegTrdID

2639

CommissionDataGrp

CommData

→1012

→SideTrdRegTimestamp

TS

UTCTimestamp

Will be used in a multi-sided message. Traded Regulatory timestamp value. Used to store time information required by government regulators or self regulatory organizations such as an exchange or clearing house.

execution_timestamp

769 + 20042 + 770=1

→1013

→SideTrdRegTimestampType

Typ

int

Same as TrdRegTimeStampType

1 - Execution Time

→1856

→RelatedTradeID

ID

String

Identifier of a related trade.

→1857

→RelatedTradeIDSource

Src

int

Describes the source of the identifier that RelatedTradeID(1856) represents.

2 - Secondary trade ID