CME STP FIXML - TradeCaptureReportRequest - Futures and Options

ReqID

Y

String

Required identifier for the trade query or subscription request. Will be echoed back on the response. 

TrdID

N

String

Used to query for a specific Trade ID (TrdID).

TrdID2

N

String

Used to query for a specific Secondary Trade ID (TrdID2).

ReqTyp

Y

int

Required. The type of trade request. The first query or subscription must specify matched trades (1). Subsequent requests for a query or subscription must specify unreported trades (3).

• 1 - Matched trades matching criteria provided on request (Parties, ExecID, TradeID, OrderID, Instrument, InputSource, etc.)

• 3 - Unreported trades that match criteria

SubReqTyp

Y

char

Required. Used to differentiate between a Snapshot (0) e.g. a single query for trade state at a specific point in time, or a Snapshot + Updates (1), e.g. a subscription, which is an ongoing request for trades matching the subscription criteria.

• 0 - Snapshot

• 1 - Snapshot + Updates (Subscribe)

ClOrdID

N

String

Used to query for a specific Client Order ID (ClOrdID).

BizDt

N

LocalMktDate

Limits the subscription or query to a specific clearing business date.

MLegRptTyp

N

char

Required. 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 - Individual leg of a multi-leg security

• 3 - Multi-leg security

InptSrc

N

String

Used to limit queries and subscriptions 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

Other values may be added without prior notice.

StartTm

C

UTCTimestamp

This FIXML attribute specifies the start date and time for a trade capture report request.

• Query (@SubReqTyp=0): StartTm is required for all query requests.

• Subscription (@SubReqTyp=1): StartTm is Optional for subscriptions. if not present, defaults to date and time of the request.

• Format: YYYY-MM-DDTHH:MM:SS.ns. (Note: 'T' separating the date and time).
  All times must be in UTC.

• Example: 2024-07-24T10:35:00.123000000

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.

EndTm

C

UTCTimestamp

This FIXML attribute specifies the end date and time for a trade capture report request.

• Query (@SubReqTyp=0): EndTm is Optional for Query. if not present, defaults to date and time of the request.

• Subscription (@SubReqTyp=1): EndTm is Optional for Subscriptions and ignored if present.

• Format: YYYY-MM-DDTHH:MM:SS.ns. (Note: 'T' separating the date and time).
  All times must be in UTC.

• Example: 2024-07-24T10:35:00.123000000

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.

ID

C

String

Used to identify the Party that is the subject of the subscription or query. Multiple Parties may be specified. Each Party ID must be in a separate Party (Pty) element.

R

C

int

Indicates the type or role of the Party that is the subject of the subscription or query. Exactly one Party Role must be specified.

• 7 - Trading (Entering) Firm

• 30 - Inter Dealer Broker

• 49 - Asset Manager

ID

N

String

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

SecTyp

N

String

Used to limit a subscription or query to a specific type of security.

• FRA - Forward Rate Agreement

• FUT - Future

• FWD - Forward

• IRS - Interest Rate Swap

• MLEG - Multi Leg (Combo)

• OPT - Option

• SWAPTION - Swaption

Exch

N

Exchange

Used to limit a subscription or query to a specific listing exchange. Required if Security ID is specified.

• CBT - Chicago Board of Trade

• CEE - Stock Exchange Group

• CME - Chicago Mercantile Exchange

• COMEX - Commodities Exchange, Inc

• DME - Gulf Mercantile Exchange

• IFUS - Intercontinental Exchange

• NGXC - Natural Gas Exchange

• NODX - Nodal

• NYMEX - New York Mercantile Exchange

• NYMSW - CME Swaps - NYMEX

• VMAC - VMAC

• XNAS - Nasdaq

• XXXX - OTC Trades

TrdDt

N

LocalMktDate

Limits the subscription or query to a specific trade date. Only one date may be specified.

Format: YYYY-MM-DD