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

DateTime that a Snapshot + Update (263=1) subscription request should start to pull data from.

Format: YYYYMMDD-HH:MM:SS (UTC time zone)
Example: 20200520-01:00:00

• Request without tag 779-LastUpdateTime will default to current date and time.

This tag is not used for Snapshot (263=0) requests and will be ignored if present.

The FIX Client can submit requests covering a period of 31 calendar days.

9593

StartTime

C

UTCTimestamp

Datetime that a Snapshot (263=0) request should start to pull data from.

Format: YYYYMMDD-HH:MM:SS (UTC time zone)
Example: 20200520-01:00:00

Required for Snapshot (263=0) Requests.
Will be ignored for Snapshot + Update (263=1) requests.

FIX Client is allowed to submit requests covering period of 31 calendar days.

9594

EndTime

N

UTCTimestamp

End DateTime of a Snapshot (263=0) request.

Optional for Snapshot (263=0) requests. Defaults to current datetime of the request when not present in the request. Value cannot be in future.

Will be ignored for Snapshot + Update (263=1) requests.

Format: YYYYMMDD-HH:MM:SS (UTC time zone)
Example: 20200520-01:30:00

The FIX Client is allowed to submit requests covering a 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