CME STP FIX - Trade Capture Report Request
The Trade Capture Report Request (tag 35-MsgTyp=AD) message is used by FIX Client to:
- Subscribe (with or without filters) to CME Group trades.
- Request snapshot of CME Group trades.
FIX Client can specify the following filters in subscription and snapshot requests.
Filter | Recommended request type | Comments | |
---|---|---|---|
Subscription | Snapshot | ||
TradeID | N | Y | CME Front End Clearing (FEC) Firm Trade ID. |
Secondary Trade ID | N | Y | Unique across all trade dates and all clearing firms. |
Client Order ID | N | Y | OrderID provided for CME Globex trades and the Order ID for Pit trades. |
Instrument details
| Y | Y | Security Exchange and Security Type can be used independently, when Security ID should always be accompanied by Security Exchange. |
Clearing Business Date | Y | Y | One date can be specified per request. |
Trade Date(s) | Y | Y | One or multiple trade dates can be specified in single request. |
Trade Input Source | Y | Y | The trade input sources. |
- Use of tag 779-LastUpdateTime: Subscription requests should be equipped with tag 779-LastUpdateTime specifying the start time for subscription. Request without tag 779-LastUpdateTime will default to current date and time. This tag is not used for Snapshot requests and thus will be ignored if present.
- Use of 9593-StartTime and optional tag 9594-EndTime: Snapshot requests should be equipped with mandatory tag 9593-StartTime and optional tag 9594-EndTime. Absent end time means that the request covers the period from start time up to current time. Requests without start time will be rejected. This tag is not used for Subscription requests and thus will be ignored if present.
- Support for Multiple FirmIDs:
- Each Snapshot and Subscription request can be made for one or multiple FirmIDs. It is required that all FirmIDs specified within a single request have the same role (Trading Firm, Brokerage Firm, or Asset Manager). Requests containing multiple FirmIDs with different party roles will be rejected
Snapshot or Subscription request with multiple FirmIDs containing at least one invalid FirmID will be rejected
- Tag 779-LastUpdateTime timestamp on the received Trade Capture Report (tag 35-MsgTyp=AE) messages may be greater, equal to, or less than the tag 779-LastUpdateTime value specified in the Subscription (tag 263-SubscriptionRequestType=1) for the Trade Capture Report Request (tag 35-MsgTyp=AD) message.
- Snapshot or Subscription using tag 442-MultilegReportingType = 3 (Spread Summary) is not supported for spread trades with product legs on or cleared through different Exchanges; tag 442-MultilegReporting = 2 (Individual leg trade) is recommended to receive these trades.
Tag | Name | FIXML Abbr | Req | Format | Description | Enumerations |
---|---|---|---|---|---|---|
Standard Message Header | Y | Tag 35-MsgType = AD | ||||
568 | TradeRequestID | ReqID | Y | String | Unique identifier for a Trade Capture Report Request. | |
1003 | TradeID | TrdID | N | String | Used to query for a trade with specific CME Front End Clearing (FEC) Firm Trade ID | |
1040 | TradeID2 | TrdID2 | N | String | Used to query for a trade with specific Secondary Trade ID (unique across all trade dates and all clearing firms) | |
569 | TradeRequestType | ReqTyp | Y | Int | Type of Trade Capture Report requested. The first query or subscription must specify matched trades (1). Subsequent requests for a query or subscription must specify unreported trades (3). |
|
263 | SubscriptionRequestType | SubReqTyp | Y | Char | Subscription request type. |
Subscription request 263=1 timestamped in the past would yield (Snapshot + Subscriptions) During a snapshot request tag 263- SubscriptionRequestType =0, when the message timestamps in tag 779-LastUpdate is greater than the timestamp in Tag 52-SendingTime the subscriptions are current trade messages. |
11 | ClOrdID | ClOrdID | N | String | Used to request trade for specific Client order ID (tag 37-OrderID provided for CME Globex trades and the Order ID for Pit trades) | |
715 | ClearBusinessDate | BizDt | N | LocalMktDate | Used to limit snapshot and subscription requests to specific clearing date. | |
442 | MultilegReportingType | MLegRptTyp | Y | Int | 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. |
|
578 | TradeInputSource | InptSrc | N | String | Used to limit snapshot and subscription requests to a specific trade input source |
|
779 | LastUpdateTime | LastUpdateTm | C | UTCTimestamp | Date/time which subscription should start pull data from. Format: YYYYMMDD-HH:MM:SS (UTC time zone)
This tag is not used for Snapshot requests and will be ignored if present. The timestamp format for the Trade Capture Report Request response is YYYYMMDD-HH:MM:SS (UTC time zone) Example: 20200520-01:14:39 | |
9593 | StartTime | StartTm | C | UTCTimestamp | Start date/time of snapshot request. Format: YYYYMMDD-HH:MM:SS (UTC time zone) Conditionally required for subscription requests (when tag 263- SubscriptionRequestType = ‘1’). Will be ignored for snapshot requests (when tag 263- SubscriptionRequestType = ‘0’). FIX Client is allowed to submit requests covering period of 31 calendar days. | |
9594 | EndTime | EndTm | N | UTCTimestamp | End date/time of snapshot or subscription request. Optional for subscription requests. Not used for Snapshot requests. Format: YYYYMMDD-HH:MM:SS (UTC time zone) | |
Parties Block (repeating) | ||||||
453 | NoPartyIDs | Y | NumInGroup | Number of entries in block. It is expected that tag 453-NoPartyIDs should always be present and be >= 1, i.e. request should be made for single FirmID or multiple FirmIDs. | ||
→448 | PartyID | ID | N | String | Firm ID as assigned by CME STP | |
→452 | PartyRole | R | N | Int | Role assigned to the Firm by CME STP during registration. |
|
Instrument Block | ||||||
48 | SecurityID | ID | N | String | Used to limit a subscription or snapshot requests to a specific CME product, e.g. CL. tag 48-SecurityID should be specified along with tag 207-SecurityExchange | |
167 | SecurityType | SecTyp | N | String | Used to limit a subscription or snapshot requests to a specific security type |
|
207 | SecurityExchange | Exch | C | Exchange | Used to limit a subscription or snapshot requests to a specific CME Group listing exchange. Tag is required if tag 48-SecurityID is specified. |
|
Trade Dates Block (repeating) | ||||||
580 | NoTradeDates | N | NumInGroup | Number of trade dates which subscription or snapshot request is limited to. Only one date may be specified. | ||
→75 | TradeDate | TrdDt | N | LocalMktDate | Used to limit a subscription or snapshot requests to a specific dates |
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