CME ClearPort API - Trade Capture Report Message - Inbound

Message ID

RptID

String

Identifies the specific trade report being sent. This can also be considered to be as the unique message Id for the Trade being reported. The Trade Report Id may be echoed back on the Acks in the RptRefID.

Dual-Sided
Single-Sided
Void Trade
Cancel Side

ALL

ALL

Both

Transaction Type

TransTyp

int

Indicates the action being taken on a trade. The Acknowledgment echoes back the Trans Type from the inbound message.

Dual-Sided
Single-Sided
Void Trade
Cancel Side

ALL

ALL

Both

• 0 - New

• 1 - Cancel

Trade Report Type

RptTyp

int

Indicates the purpose of the trade within the workflow and determines the action of the receiver of the trade. For example, when a submitter is submitting a new trade or replacing or cancelling an existing trade, a Report Type of Submit is used to indicate the trade is being submitted.
Conditionally Required:
Response to (Reject) Alleged Trade (Single Side Model)

3 - Decline

Trade Type

TrdTyp

int

Specifies the type of trade being submitted to CME Clearing or reported by CME Clearing. Used to distinguish a significant difference in the regulatory or economic requirements surrounding the trade.
Sample values are Regular Trade, Block Trade, Privately Negotiated, Transfer, EFR, EFP, OTC

Dual-Sided
Single-Sided

ALL

ALL

Both

• 1 - Block Trade

• 2 - EFP (Exchange for physical)

• 11 - Exchange for Risk (EFR)

• 22 - Over the Counter Privately Negotiated Trades (OPNT)

• 54 - OTC / Large Notional Off Facility Swap

• 58 - Block swap trade

Trade Sub Type

TrdSubTyp

int

This field further qualifies the Trade Type.
Conditionally Required:
Aged Deal (36)

36 - Converted SWAP (Aged Deal)

Original Trade Date

OrigTrdDt

LocalMktDate

Used to capture original trade date if specified as an Aged deal.
Conditionally Required :
when TrdSubTyp = 36 (Aged Deal)

Original Trade ID

OrigTrdID

String

Links an original voided trade report (which has been submitted within regulatory time restrictions) with the resubmitted trade.
Example:
1. A trade with Trade ID of 10001234 is entered into ClearPort API.
2. Trade with Trade ID of 10001234 is voided.
3. A new trade with a Trade ID of 10007777 is entered as a resubmission for the earlier voided trade, and the OrigTrdID can be set as: 10001234.

Secondary Execution ID

ExecID2

String

This is used to communicate the execution ID of the originating platform. Required only for 2 sided Trade submissions for all asset classes.

Dual-Sided

ALL

ALL

Both

Price Type

PxTyp

int

In most cases represents the type of price in the last price. For example if the trade was traded as a fixed cabinet a Price type of 10 is sent in the attribute.

Dual-Sided
Single-Sided

OPT

OTC FX

Outright

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

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

Venue Type

VenuTyp

char

Identifies the type of venue where a trade was executed.

• E - Electronic

• O - Off facility swap

• P - Pit

• R - Registered Market (SEF)

• X - Ex-Pit

Quantity Type

QtyTyp

int

Indicates the type of quantity being represented in the Last Quantity. In CME clearing implementation, the quantity type is defaulted to what is specified in the contract specifications. Unless the contract can be traded in both terms (notional and contract units) this attribute is optional.

Dual-Sided
Single-Sided

ALL

ALL

Outright

• 0 - Notional / Units

• 1 - Contract term

Trade Quantity

LastQty

Qty

Notional amount of the trade.

Dual-Sided
Single-Sided

ALL

ALL

Outright

Trade Price

LastPx

Price

The price at which a trade is cleared. This is the fill or match price if executed in an open market and the negotiated price if executed privately. In most cases it represents a true price. There are a few exceptions.
Note: Changed from required to conditionally required if leg prices are present. Spread trades may be submitted as a collection of legs without price or quantity specified at the spread level until they are determined by the receiving system. Leg quantity and leg price are used to derive the spread type, at which point the spread price and quantity can usually, but not always, be determined.

Dual-Sided
Single-Sided

ALL

ALL

Outright

Contra Amount

CalcCcyLastQty

Qty

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

Currency

Ccy

Currency

Represents dealt currency. Required only for OTC FX where dealt currency is not in normal terms.

Dual-Sided
Single-Sided

ALL

OTC FX

Both

Transaction Time

TxnTm

UTCTimestamp

The transaction time of the trade. Represents the time that the trade was initially generated either by CME Clearing or firm. The transaction time may be assigned by CME Clearing at the point the trade is reported as cleared. Transaction time can also be provided by an external submitter of the trade at the point the trade is submitted.

Dual-Sided
Single-Sided

ALL

ALL

Both

Execution Method

ExecMeth

int

Specifies whether the transaction was voice brokered.

3 - Voice Brokered

Confirmation Method

CnfmMeth

int

Indication of how a trade was confirmed.

• 0 - non-electronic

• 1 - electronic

Verification Method

VerfMeth

int

Indication of how a trade was verified.

• 0 - non-electronic

• 1 - electronic

Regulatory Report Type

RegRptTyp

Reserved100Plus

Type of regulatory report being submitted.

• 1 - Primary economic terms (PET)

• 4 - Combination of RT and PET

Trade Contingency

TrdCntgncy

int

Only applicable to EFRP (EFS/EOO and EFR) transactions.
Must be specified with a value of Non-contingent trade if the submitter does not want the bilateral trade automatically reported to the CME SDR.

• 1 - Contingent trade

• 2 - Non-contingent trade

Upfront Points

UpfrntPts

float

If the trade is negotiated in upfront points this field is sent.
Conditionally Required:
when Price Negotiation Method is:
2 = Upfront Points

External Spread Indicator

ExtSprdInd

char

Optional indicator for block trade strategies involving a CME Group exchange product and a product on any non-CME Group exchange.

• Y - Yes

• N - No

→ Sender ID

SID

String

This attribute identifies the party or the Submitter of the message. The value is assigned by CME.

ALL

ALL

Both

→ Target ID

TID

String

This attribute identifies the receiver of the message. This must be set to CME.

ALL

ALL

Both

→ MsgSeqNum

SeqNum

SeqNum

(Can be embedded within encrypted data section.)

→ Sender Qualifier

SSub

String

This attribute qualifies the Sender. The user ID assigned to the sender must be provided.

ALL

ALL

Both

→ Target Qualifier

TSub

String

This qualifies the receiver of the message. For CME ClearPort Trade submission this must be set to CPAPI.

ALL

ALL

Both

→ Regulatory Trade ID

ID

String

Regulatory Trade ID. Will be used to communicate the Unique Transaction Identifier associated with a trade execution as required by the CFTC.

→ Regulatory Trade ID Source

Src

String

With the conversion to Unique Transaction Identifier (UTI), this tag will be empty.

→ Regulatory Trade ID Event

Evnt

int

Event causing origination of the ID. For combinations, use the higher enumeration value. E.g. for Allocation plus Clearing use the value 2.

• 0 - Initial block trade

• 1 - Allocation (or determination that the block trade will not be further allocated)

• 2 - Clearing

→ Regulatory Trade ID Type

Typ

int

The type of Regulatory Trade ID being sent.

• 0 - Current (the default)

• 1 - Previous (e.g. when reporting a cleared trade or novation of a previous trade)

• 2 - Block (e.g. when reporting an allocated subtrade)

→ Regulatory Trade ID Scope

Scope

int

Included when a trade must be assigned more than one identifier, e.g. one for the clearing member and another for the client on a cleared trade as with the principal model in Europe. Omit if scope does not apply to this instance.

• 1 - Clearing member

• 2 - Client

→ Root Party ID

ID

String

Used to identify the party.

→ Root Party ID Source

Src

char

Used to identify source source of PartyID value (e.g. LEI).

N - LEI

→ Root Party Role

R

int

Identifies the type of PartyID (e.g. the original Swap Data Repository, the Execution Venue, etc.)

• 73 - Execution Venue

• 102 - Data Repository (e.g. SDR)

→ Underlying Product Code

ID

String

Used as the primary identifier for the underlying instrument.

Dual-Sided
Single-Sided

OPT

ALL

Outright

→ Underlying Product Code Source

Src

String

Identifies the source responsible for assigning the security identifier of the underlying security. This may be the exchange, CCP, or an international organization.

Dual-Sided
Single-Sided

OPT

ALL

Outright

H - Clearing House / Clearing Organization

→ Underlying Security Type

SecTyp

String

Used to indicate the type of underlying security being reported; Future, Option on Physical, Option on Future, or Multi-leg for spreads.

Dual-Sided
Single-Sided

OPT

ALL

Outright

• FUT - Future

• FWD - Forward

• MLEG - Multi Leg (Combo)

→ Underlying Maturity

MMY

MonthYear

The expiration period code of an underlying instrument. Used in combination with UnderlyingSymbol or UnderlyingSecurityID to specify the instrument identifier. The value can be expressed as YYYYMM, YYYYMMDD or YYYYMMwN where w represents a reference to week.

Dual-Sided
Single-Sided

OPT

ALL

Outright

→ Underlying Product Exchange

Exch

Exchange

The exchange where the underlying security is listed and has traded

Dual-Sided
Single-Sided

OPT

ALL

Outright

• CBT - Chicago Board of Trade

• CEE - Stock Exchange Group

• CME - Chicago Mercantile Exchange

• COMEX - Commodities Exchange, Inc

• DME - Gulf Mercantile Exchange

• NYMEX - New York Mercantile Exchange

• NYMSW - CME Swaps - NYMEX

→ Amount Type

Typ

String

The type of amount being expressed in the Trade Report.
Conditionally Required:
(along with Amt and Ccy)
when Price Negotiation Method is:
3 = Upfront Amount
4 = Upfront Amount and Percent of Par
5 = Upfront Amount and Deal Spread
6 = Upfront Amount and Upfront points
Conditionally Required:
(along with Amt and Ccy)
when submitter wishes to validate calculated Premium for Outright OTC FX Options.

• IPMT - Upfront Payment

• PREM - Premium Amount

→ Amount

Amt

Amt

The amount associated with the trade.
Conditionally Required:
(see Amount Type Desc.)

→ Amount Currency

Ccy

String

The currency that the Amount associated with the trade is being denominated in.
Conditionally Required:
(see Amount Type Desc.)

→ Timestamp

TS

UTCTimestamp

Required to indicate Execution Time for all asset classes.

Dual-Sided
Single-Sided

ALL

ALL

Both

→ Timestamp Type

Typ

int

Required to indicate Execution Time for all asset classes.

Dual-Sided
Single-Sided

ALL

ALL

Both

1 - Execution Time

PaymentGrp (repeating)

Pmt

→Payment Type

Typ

Int

Type of Payment 10=Option Premium

O

OPT

OTCFX

10

→Payment Currency

Ccy

String

Currency of payment

O

OPT

OTCFX

USD

→ Payment Amount

Amt

Amt

The total payment amount

• Can be positive or negative, depending on side

  • Buyer = negative

  • Seller = positive

O

OPT

OTCFX

-50000

→Payment Date

Dt

LocalMktDate

Adjusted payment date

O

OPT

OTCFX

2016-09-30