CME STP FIX - Trade Capture Report Request - Futures and Options

Standard Message Header

568

TradeRequestID

Y

String

Unique identifier for a Trade Capture Report Request.

1003

TradeID

N

String

Used to query for a trade with specific CME Front End Clearing (FEC) Firm Trade ID

1040

SecondaryTradeID

N

String

Used to query for a trade with specific Secondary Trade ID (unique across all trade dates and all clearing firms)

569

TradeRequestType

Y

Int

Type of Trade Capture Report requested.

• 0 (Allegro clients)

• 1 (Initial request)

263

SubscriptionRequestType

Y

Char

Subscription request type.

• 0 (Snapshot)

• 1 (Subscription)

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

SideClOrdID

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

N

LocalMktDate

Used to limit snapshot and subscription requests to specific clearing date.

442

MultilegReportingType

N

Int

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.

• 2 - Request outright deals and Individual legs of multileg security

• 3 - Request outright deals and summary for multileg deals

578

TradeInputSource

N

String

Used to limit snapshot and subscription requests to a specific trade input source

• CPC (CME ClearPort Clearing) 

• CXPIT (COMEX Trading Floor) 

• GLBX (CME Globex) 

• NXPIT (NYMEX Trading Floor) 

• PCBOT (CBOT Trading Floor and CBOT Transfers) 

• FIRM 

779

LastUpdateTime

C

UTCTimestamp

For a Snapshot + Update (263=1) subscription request, this tag specifies the date and time that the request should start to stream trade data from. If tag 779 is not present, the request will default to the current datetime of the subscription.

Tag 779 is not applicable to Snapshot-only (263=0). These requests will be rejected.

• Format: Tag 779-LastUpdateTime must be formatted as YYYYMMDD-HH:MM:SS.ns
  All times must be in UTC. CME STP will not accept timezone offsets.

• Example: 20200520-01:14:39.126000000

While client systems may submit the timestamp with up to nanosecond precision, CME STP will truncate the data to the second during request processing.

Back dated requests can be submitted for maximum period of 31 calendar days.

9593

StartTime

C

UTCTimestamp

For a Snapshot (263=0) request this required tag specifies the start date and time to pull data from.

Tag 9593 is not applicable to Snapshot + Update (263=1), requests including this tag will be rejected.

• Format: Tag 9593-StartTime must be formatted as YYYYMMDD-HH:MM:SS.ns
  All times must be in UTC. CME STP will not accept timezone offsets.

• Example: 20200520-01:14:39.126000000

While client systems may submit the timestamp with up to nanosecond precision, CME STP will truncate the data to the second during request processing.

Back dated requests can be submitted for maximum period of 31 calendar days.

9594

EndTime

N

UTCTimestamp

For a Snapshot (263=0) request this optional tag specifies the end date and time of the request. This value cannot be in the future. Client systems that submit requests without tag 9594, will default to the current date and time of the request.

Tag 9594 is not applicable to Snapshot + Update (263=1), requests including this tag will be rejected.

• Format: Tag 9594-EndTime must be formatted as YYYYMMDD-HH:MM:SS.ns
  All times must be in UTC. CME STP will not accept timezone offsets.

• Example: 20200520-01:14:39.126000000

While client systems may submit the timestamp with up to nanosecond precision, CME STP will truncate the data to the second during request processing.

Back dated requests can be submitted for maximum period of 31 calendar days.

Parties Block (repeating)

453

NoPartyIDs

Y

NumInGroup

Number of entries in block.

→448

PartyID

C

String

Firm ID as assigned by CME STP

→452

PartyRole

C

Int

Role assigned to the Firm by CME STP during registration.

• 7 (Trading Firm)

• 30 (Brokerage Firm)

• 49 (Asset Manager)

Instrument Block

48

SecurityID

N

String

Used to limit a subscription or snapshot requests to a specific CME product, e.g. CL.

167

SecurityType

N

String

Used to limit a subscription or snapshot requests to a specific security type

• FUT (Future) 

• OPT (Option) 

• MLEG (Multi-leg) 

• FWD (Forward)  

• IRS (Interest Rate Swaps)

• FRA (Forward Rate Agreement)

207

SecurityExchange

C

Exchange

Used to limit a subscription or snapshot requests to a specific CME Group listing exchange.

• CBT

• CEE

• CMD

• CME

• COMEX

• GME

• NYMEX

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

N

LocalMktDate

Used to limit a subscription or snapshot requests to a specific dates
Format: YYYYMMDD