CME STP FIX - TradeCaptureReport - EBS FX

CME STP FIX uses the Trade Capture Report (tag 35-MsgType=AE) message to send trades matching criteria stated in Trade Capture Report Request (tag 35-MsgType = AD) to FIX Client.

Messages are comprised of component blocks, which may be non-repeating or repeating. Component block contain FIX fields/tags that define the trade characteristics.

Repeating component blocks are indicated by "(repeating)" in the gray highlighted definition row.
Some components, such as Instrument component, have a large number of fields, and are therefore allocated their own page.
The first defined component block level on any specification page is considered the highest level for that page. Component blocks may have sub-component blocks on the same page, as indicated by an arrow (→) preceding the field name.
A sub-component one level down contains an arrow preceding it in the field name, for example:

→ Sender ID

Two levels down will have two preceding arrows:

→→ Leg Underlying Product Code

The highest level on any page will not be preceded by an arrow, though it may still be a sub-component. For example, Instrument is a sub-component of Trade Capture Report Message, but because it is the highest level for that page, the Field Names will not be preceded by an arrow.

The first field in a repeating group is the leading tag, and mandatory when the corresponding tag indicating the number of blocks in the group (format = NuminGroup) is greater than 0. This allows implementations of the Protocol to use the first field as a "delimiter" indicating a new repeating group entry. If a repeating group field is listed as required, then it must appear in every repeated instance of that repeating group. Nested repeating groups are designated within the message definition with '→' and a repeating tag within a repeating group is designated with double indentation'→→'

FIX Tag	Field Name	Req	Data Type	Description	Supported Values
Standard Header				tag 35-MsgType=AQ
571	TradeReportID	Y	String	Unique identifier of the TradeCaptureReport message. Use to check for duplicate TradeCaptureReports. Up to a maximum of 63 characters Amends and Cancels will have a new TradeReportID value
1003	TradeID	Y	String	The EBS Deal ID.
1040	SecondaryTradeID	Y	String	A globally unique identifier (GUID) that can be reliably used across trade dates and all markets supported by STP.
487	TradeReportTransType	Y	int	Identifies Trade Report message transaction type.	0 - New (not applicable for eFix) 2 - Replace (applicable only for eFix tickets)
856	TradeReportType	Y	int	Type of Trade Report.	101 - Notification
939	TrdRptStatus	Y	int	Trade Report Status.	0 - Accepted
568	TradeRequestID	Y	String	Request ID from the TradeCaptureReportRequest message.
828	TrdType	Y	int	Type of trade, distinguishes between regular trades (0) and eFix trades (1000).	0 - Regular Trade 1000 - Fixing
829	TrdSubType	C	int	Further qualification to the trade type. Only set for eFix Trades when TrdTyp (Tag 828) = 1000, otherwise not set.	43 - TAM - Traded at marker
880	TrdMatchID	Y	String	For EBS Direct trades this is the EBS Deal ID. LCs will see this in Tag 17 (ExecID) on their Execution Report and LPs will see this as the ClOrdID generated by the match engine. For Globex trades this is a system generated identifier common to all sides at a price level within a match event. This will be common to multiple deal IDs (as a match event can result in multiple deal IDs). Not provided at trade time. Can be used for Post Trade queries.
2490	TradeNumber	N	int	The EBS Deal ID - common to maker and taker on Globex. Not provided for EBS Direct trades.
17	ExecID	Y	String	Unique identifier of the Execution Report provided in the relevant trading API. For Globex maps to Tag 17 in iLink. For EBS Direct maps to Tag 17 in the LC Execution Report and Tag 11 (ClOrdID) in the LP NOS (because the EBS Direct DealID is the ClOrdID for the LP).
527	SecondaryExecID	C	String	Only provided for EBS Direct disclosed tickets to LCs. Provides the LP's ExecID in the Execution Report returned to EBS Direct by the LP.
423	PriceType	Y	int	Code to represent the price type.	2 - Per unit (i.e. per share or contract) 101 - Updated actual price
1430	VenueType	Y	char	Identifies the type of venue where a trade was executed. Refer to tag 20058 for on SEF or on MTF indicator.	E - Electronic Q - Quote-driven Market
854	QtyType	C	int	Indicates the type of quantity being represented in the Last Quantity. The quantity type defaults to what is specified in the contract specifications.	0 - Notional FX
32	LastQty	Y	Qty	Notional Quantity of currency expressed in dealt currency.
31	LastPx	Y	Price	Price of this (last) trade. For eFix trades, if no fixing rate is available the ticket will publish with a value of 0. Please contact GCC to confirm the rate.
1056	CalculatedCcyLastQty	Y	Qty	The calculated contra quantity of the currency trade. Can be derived from LastQty and LastPx.
75	TradeDate	Y	LocalMktDate	Effective trade date. Trade date will roll according to business rules and therefore may not be the same as actual calendar date. Format: YYYY-MM-DD
715	ClearingBusinessDate	Y	LocalMktDate	Will generally overlap with TrdDt, but can differ either if a trade is canceled or amended, depending on what day it was done or the time of day it was done. Value format follows Protocol. FIX: YYYYMMDD, FIXML: YYYY-MM-DD.
442	MultiLegReportingType	Y	char	Not relevant to EBS today, STP will always set to '1'.	1 - Single security
60	TransactTime	Y	UTCTimestamp	Timestamp when the business transaction represented by the message occurred.
64	SettlDate	Y	LocalMktDate	Specific date of trade settlement (SettlementDate). Value format follows Protocol. FIX: YYYYMMDD, FIXML: YYYY-MM-DD.
779	LastUpdateTime	Y	UTCTimestamp	Used to indicate the date and time that internal transaction processing of the trade or allocation completed. Should occur on or after the Transaction Time. Not reset on cancels/amends.
1832	ClearedIndicator	Y	int	Indicates whether the position or trade being reported was cleared through a clearing organization. Always 0 (zero) for EBS Trades.	0 - Not cleared
10037	TradingQuantity	Y	Qty	Notional traded amount always expressed in terms of base currency regardless of dealt currency. Currently only trading in base currency is supported.
10033	DifferentialPrice	N	float	Only set on eFix tickets where currently it will only be set to '0'.
10024	DifferentialPriceType	N	int	This indicates the type of differential price represented in the Differential Type attribute. Will always be set to '0' and only present on eFix tickets.	0 - Differential from Settlement Price
37711	MarketDataTradeEntryID	C	String	Unique Trade Identifier that will match to a CME Globex order execution, associated market data message.
1500	MDStreamID	C	String	The identifier or name of the price stream. Only specific for LP tickets on EBS Direct.
99103	PostTradeType	C	int	Identifies the type of ticket. Interdealer tickets (also known as Market tickets) are received by Bilateral GFIDs or Prime Broker GFIDs (when facing bilateral codes, i.e., not when facing their Prime Customer). Prime Give Up tickets are also known as synthetic tickets and are those in which either the Prime Broker or Prime of Prime Broker faces their Prime Client OR when the Prime (or Prime of Prime) Client faces their credit parent broker. Prime of Prime Broker tickets are similar to Interdealer tickets in nature but are solely when the Prime of Prime Broker faces their credit parent broker.	4 - Prime Give up (Synthetic tickets) 5 - Interdealer 6 - Prime of Prime Broker - Equivalent of Interdealer ticket (facing the Parent of the Prime of Prime Broker).
20057	TradePriceStatus	Y	int	Status of the price.	0 - Final
120	SettlCurrency	Y	Currency	Currency code of settlement denomination. For non-ndfs this will be the same as contra currency. For NDFs this will be the deliverable currency.
63	SettlType	Y	String	Settlement Type of trade. Note: B represents broken date, actual settlement date is reflected in Tag 64.	0 = Spot Mx = FX Tenor expression for months eg. M3 B = Broken (NDFs)
5899	SpotDate	C	LocalMktDate	For FXNDF, the associated SPOT settlement date. Value format follows Protocol. FIX: YYYYMMDD, FIXML: YYYY-MM-DD. Note: Not provided for FXSPOT.
20060	VenueSubType	C	Char	Identifies the sub-type of the venue where a trade was executed.	C - Central limit order book S - Single ticket W - Sweepable
20400	NonDisclosedIndicator	C	Boolean	Indicates whether a trade is Disclosed or Non-Disclosed.	N - Disclosed Y - Non-Disclosed
1116	RootParties
	Instrument(repeating)
552	TrdCapRptSideGrp
2668	TrdRegPublicationGrp
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