CME ClearPort API - Trade Capture Report Message - Outbound

/TrdCaptRpt

Field Name

FIXML Attribute Name

Data Type

Description

Present for Security Type

Present for Asset Class

Present for Outright or Spread

Supported Values

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.

ALL

ALL

Both

 

Transaction Type

TransTyp

int

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

ALL

ALL

Both

  • 0 - New

  • 1 - Cancel

  • 2 - Replace

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.

ALL

ALL

Both

  • 0 - Submit

  • 1 - Alleged

  • 2 - Accept

  • 3 - Decline

  • 101 - Notification

  • 102 - Opposite Accept

  • 103 - Opposite Reject

Trade Status

TrdRptStat

int

Indicates the status of the trade in Clearing.

ALL

ALL

Both

  • 0 - Accepted

  • 1 - Rejected

  • 2 - Cancelled

  • 4 - Received Not yet Processed

  • 5 - Pending Cancel

  • 100 - Unmatch

  • 101 - Pending Clear

  • 102 - Partially Cleared

  • 103 - Cleared with Reject

Request ID

ReqID

String

Request ID is present if the Trade Capture Report is in response to a Trade Capture Report Request.

 

 

 

 

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

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.

 

 

 

36 - Converted SWAP (Aged Deal)

Original Trade Date

OrigTrdDt

LocalMktDate

Used to preserve original trade date when original trade is being referenced in a subsequent trade transaction such as a transfer

 

 

 

 

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.

 

 

 

 

Total Number of Trades returned

TotNumTrdRpts

int

Number of trade reports returned - if this report is part of a response to a Trade Capture Report Request

ALL

ALL

Both

 

Last Report Indicator

LastRptReqed

Boolean

Indicates if this is the last report in the response to a Trade Capture Report Request

ALL

ALL

Both

  • N - Not last message

  • Y - Last message

Execution ID

ExecID

String

In electronically matched trades, the Execution ID is assigned to each fill by the match engine. In a privately negotiated trade, the Execution ID identifies the deal ID and is provided by the trading platform to identify the deal.

 

 

 

 

Secondary Execution ID

ExecID2

String

This is used to communicate the execution ID of the originating platform.

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.

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.

ALL

ALL

Outright

  • 0 - Notional / Units

  • 1 - Contract term

Trade Quantity

LastQty

Qty

Notional amount of the trade.

ALL

ALL

Outright

 

Total Trade Qty

TotTrdQty

Qty

Expresses the total quantity traded over the life of the contract when the trade quantity is repeated periodically over the term of the contract.

 

 

 

 

Total Trade Multiplied Qty

TotTrdMultdQty

Qty

Expresses the total trade quantity in units. Used when the Contract Multiplier is not 1. This equals Total Trade Qty times Contract Multiplier.

 

 

 

 

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. If the Price Type is a Cabinet, this represents the Cabinet price.
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

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. Conditionally present for OTC FX Future or Forward outrights that are entered in settlement terms.

 

 

 

 

Currency

Ccy

Currency

Primary currency of the specified currency pair. Used to qualify LastQty and GrossTradeAmout

ALL

OTC FX

Both

 

Trade Date

TrdDt

LocalMktDate

The trade date assigned to an execution on the trading platform. For privately negotiated trades, the date the trade has been received by the CCP
Required on all inbound trade submissions and cleared trade reports sent by the CCP

ALL

ALL

Both

 

Clear Date

BizDt

LocalMktDate

The date a trade is formally cleared and settled by the CCP.
Conditionally required on cleared trade reports generated by the CCP

ALL

ALL

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.

ALL

ALL

Both

 

Execution Method

ExecMeth

int

Specifies whether the transaction was voice brokered.

 

 

 

3 - Voice Brokered

Reject Text

RejTxt

String

The reason why the Trade was rejected by the Clearing System.

 

 

 

 

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.
Will appear on cleared trade status reports (HTTP) and positive acknowledgements (MQ) for EFRP transactions. If not specified on the inbound trade submission, a value of TrdCntgncy=1 (Contingent trade) will be returned.

 

 

 

  • 1 - Contingent trade

  • 2 - Non-contingent trade

Trade Reject Reason

RejRsn

int

The reason code associated with the trade reject.

 

 

 

  • 1 - Invalid party information

  • 2 - Unknown instrument

  • 3 - Unauthorized to report trades

  • 4 - Invalid trade type

  • 99 - Other

Upfront Points

UpfrntPts

float

If the trade is negotiated in upfront points this field is sent.

 

 

 

 

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

StandardHeader

Hdr

 

→ Sender ID

SID

String

This attribute identifies the party or the Submitter of the message. This is set to CME.

ALL

ALL

Both

 

→ Target ID

TID

String

This attribute identifies the receiver of the message. This could be a Broker or Platform or any other valid Trading entity. This value is pre-assigned by CME.

ALL

ALL

Both

 

→ MsgSeqNum

SeqNum

SeqNum

(Can be embedded within encrypted data section.)

 

 

 

 

→ Sender Qualifier

SSub

String

This attribute qualifies the Sender. For messages sent by the CME ClearPort API this is set to CPAPI.

ALL

ALL

Both

 

→ Target Qualifier

TSub

String

This qualifies the receiver of the message. This is set to the CME ClearPort UserID of the Sender.

ALL

ALL

Both

 

RegulatoryTradeIDGrp (repeating)

RegTrdID

 

→ 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

RootParties (repeating)

Pty

 

→ Root Party ID

ID

String

Used to identify the party.

 

 

 

 

→ Root Party ID Source

Src

char

Used to identify the 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)

Instrument

Instrmt

 

UnderlyingInstrument (repeating)

Undly

 

→ Underlying Product Code

ID

String

Used as the primary identifier for the underlying instrument.

OPT

ALL

Both

 

→ 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.

OPT

ALL

Both

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.

OPT

ALL

Both

  • 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

OPT

ALL

Both

 

→ Underlying Product Exchange

Exch

Exchange

The exchange where the underlying security is listed and has traded

OPT

ALL

Both

  • 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

PositionAmountData (repeating)

Amt

 

→ Amount Type

Typ

String

The type of amount being expressed in the Trade Report.

OPT (OTC FX), ALL

OTC FX

Outright

  • CRES - Cash Residual Amount

  • ICPN - Initial Trade Coupon Amount

  • IPMT - Upfront Payment

  • PREM - Premium Amount

  • TVAR - Trade Variation Amount

→ Amount

Amt

Amt

The amount associated with the trade.

OPT (OTC FX), ALL

OTC FX

Outright

 

→ Amount Currency

Ccy

String

The currency that the Amount associated with the trade is being denominated in.

OPT (OTC FX), ALL

OTC FX

Outright

 

TrdInstrmtLegGrp (repeating)

TrdLeg

 

TrdRegTimestamps (repeating)

TrdRegTS

 

→ Timestamp

TS

UTCTimestamp

Execution time for the deal.

ALL

ALL

Both

 

→ Timestamp Type

Typ

int

Indicates type of timestamp.

ALL

ALL

Both

1 - Execution Time


TradeQty (repeating)

Qty

 

→ Quantity Type

Typ

int

The Quantity types that are associated with the Trade.

 

 

 

  • 0 - Cleared Qty

  • 1 - Long Side Claim Qty

  • 2 - Short Side Claim Qty

  • 3 - Long Side Rejected Qty

  • 4 - Short Side Rejected Qty

  • 5 - Pending Quantity

→ Quantity

Qty

float

The trade quantity associated with the quantity.

 

 

 

 

TrdCapRptSideGrp (repeating)

RptSide

 

PaymentGrp (repeating)

Pmt

 

→Payment Type

Typ

Int

Type of Payment 10=Option Premium

OPT

OTCFX

 

10

→Payment Currency

Ccy

String

Currency of payment

OPT

OTCFX

 

USD

→ Payment Amount

Amt

Amt

The total payment amount

  • Can be positive or negative, depending on side

    • Buyer = negative

    • Seller = positive

OPT

OTCFX

 

-50000

→Payment Date

Dt

LocalMktDate

Adjusted payment date

OPT

OTCFX

 

2016-09-30




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