CME STP FIXML - TradeCaptureReportRequest - BrokerTec FI

The Trade Capture Report Request(XPath: /FIXML/TrdCaptRptReq) message is used by FIXML Client to:

Subscribe (with or without filters) to trades on BrokerTec markets on CME Globex
Request snapshot of trades on BrokerTec markets on CME Globex

CME STP supports implied and non-implied Curve Ratio (RV) Spreads for US Treasury Actives, reflected in MLegRptTyp=2 (leg of spread) messages.

MLegRptTyp=3 (spread) messages are only reflected on non-implied Curve Ratio(RV) spreads messages.

FIXML Attribute Name	Data Type	Description	Supported Values
ReqID	String	Required Trade Capture Report Request ID
TrdID	String	The unique ID assigned to the trade entity once it is received or matched by the exchange or central counterparty.
TrdID2	String	Used to carry an internal trade entity ID which may or may not be reported to the firm
ReqTyp	int	Type of Trade Capture Report.	1 - Matched trades matching criteria provided on request (Parties, ExecID, TradeID, OrderID, Instrument, InputSource, etc.) 3 - Unreported trades that match criteria
SubReqTyp	char	Subscription Request Type	0 - Snapshot 1 - Snapshot + Updates (Subscribe)
ClOrdID	String	Unique identifier for Order as assigned by the buy-side (institution, broker, intermediary etc.) (identified by SenderCompID (49) or OnBehalfOfCompID (5) as appropriate). Uniqueness must be guaranteed within a single trading day. Firms, particularly those that electronically submit multi-day orders, trade globally or throughout market close periods, should ensure uniqueness across days, for example by embedding a date within the ClOrdID field.
BizDt	LocalMktDate	The "Clearing Business Date" referred to by this maintenance request.
MLegRptTyp	char	Used to indicate what an Execution Report represents (e.g. used with multi-leg securities, such as option strategies, spreads, etc.).	2 - Individual leg of a multi-leg security 3 - Multi-leg security
InptSrc	String	Type of input device or system from which the trade was entered.	BTC - BrokerTec Clearing GLBX - Globex
StartTm	UTCTimestamp	Indicates the starting DateTime of the subscription or query. Conditionally required for a subscription (@SubReqTyp=1), the default is to start at the current time, if not present in the initial subscription request. Required for a query request - (@SubReqTyp=0). Time zone: UTC Format: YYYY-MM-DDTHH:MM:SS (Example: "2024-07-24T10:35:00"). The FIX Client can submit requests covering a period of 31 calendar days.
EndTm	UTCTimestamp	Indicates the end time for a query. Conditionally required in query request to limit returned by timestamp. If not provided, defaults to DateTime of the request. Not applicable to subscription (@SubReqTyp=0) request. Time zone: UTC Format: YYYY-MM-DDTHH:MM:SS (Example: "2024-07-24T10:35:00"). The FIX Client can submit requests covering a period of 31 calendar days.
CollInd	char	Indicates whether collateral should be returned in request result.	Y - Yes N - No
Pty	Parties to filter the trades for.
ID	String	Party identifier/code. See PartyIDSource (447) and PartyRole (452).
R	int	Identifies the type or role of the PartyID (448) specified.	7 - Trading (Entering) Firm 30 - Inter Dealer Broker 49 - Asset Manager 79 - Prime Broker
Instrmt
Sym	String	Ticker symbol. Common, "human understood" representation of the security. SecurityID (48) value can be specified if no symbol exists (e.g. non-exchange traded Collective Investment Vehicles)Use "[N/A]" for products which do not have a symbol.
ID	String	The Clearing Product ID.
SecTyp	String	Enables a requestor to filter for a specific SecurityType.	BOND - Bond (generic) EUSOV - Euro Sovereigns EUSUP - Euro Supranational Coupons FRA - Forward Rate Agreement FWD - Forward IRS - Interest Rate Swap MLEG - Multi Leg (Combo) OPT - Option REPO - Repurchase SOV - UK Gilt SUPRA - USD Supranational Coupons SWAPTION - Swaption TB - Treasury Bill - non US TBA - To Be Announced TBILL - US Treasury Bill TBOND - US Treasury Bond TNOTE - US Treasury Note
Exch	Exchange	Market used to help identify a security.	BTEU - BrokerTec EU BTUS - BrokerTec US CME - Chicago Mercantile Exchange
TrdCapDt
TrdDt	LocalMktDate	Indicates date of trade referenced in this message in YYYYMMDD format. Absence of this field indicates current day (expressed in local time at place of trade).