CME STP FIXML - TradeCaptureReport - BrokerTec FI

CME STP FIXML uses the Trade Capture Report (XPath: /FIXML/TrdCaptRpt) message to send trades matching criteria stated in Trade Capture Report Request (XPath: /FIXML/TrdCaptRptReq) to FIXML Client.

Messages are comprised of Elements, which may be non-repeating or repeating. Elements contain FIXML Attributes that define the trade characteristics.

Repeating Elements are indicated by "(repeating)" in the gray highlighted definition row.
Some Elements, such as Instrument , have a large number of fields, and are therefore allocated their own page.
The first defined Element level on any specification page is considered the highest level for that page. Elements may have sub-Elements on the same page, as indicated by an arrow (→) preceding the field name.
A sub-Element 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-element 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.

FIXML Attribute Name	Data Type	Description	Supported Values
RptID	String	Unique identifier of trade capture Acknowledgement message.
TrdID	String	The unique ID assigned to the trade entity once it is received or matched by the exchange or central counterparty. However this value is not unique across all BTEC products i.e. Repo GC, Repo Special/GCF, and cash.
TrdID2	String	Globally unique across different BrokerTec products and recommended to be used to uniquely identify a trade. For GC Repo, this tag in TradeCaptureReport (35=AE) ties to it's CollateralReport (35=BA).
PackageID	String	This field points (forward) to SecondaryTradeID on the trade replacing this trade. This field is only populated when the trade has been replaced as a result of an amendment
TransTyp	int	Identifies Trade Report message transaction type(Prior to FIX 4.4 this field was of type char)	0 - New 1 - Cancel 2 - Replace 4 - Reverse
RptTyp	int	Type of Trade Report	101 - Notification
TrdRptStat	int	Trade Report Status	0 - Accepted 7 - Terminated
ReqID	String	Trade Capture Report Request ID
TrdTyp	int	Type of Trade:	0 - Regular Trade
MtchID	String	Identifier assigned to a trade by a matching system.
LinkID	String	Used to link a group of trades together. Useful for linking a group of trades together for average price calculations.
TrdNum	String
DealID	String	BrokerTec Deal ID, common to all participants within an entire trade (not only a match)
ExecID	String	Unique identifier of execution message as assigned by sell-side (broker, exchange, ECN) (will be 0 (zero) for ExecType (150)=I (Order Status)).Uniqueness must be guaranteed within a single trading day or the life of a multi-day order. Firms which accept multi-day orders should consider embedding a date within the ExecID field to assure uniqueness across days.(Prior to FIX 4.1 this field was of type int).
ExecID2	String	Assigned by the Liquidity Provider (LP) who accepts the order. Will be populated with Liquidity Provider's (LP) ExecID (17) only on disclosed tickets.
PxTyp	int	Code to represent the price type.	1 - Percentage (i.e. percent of par) 2 - Per unit (i.e. per share or contract) 6 - Spread (basis points spread) 9 - Yield 22 - Basis points. When the price is not spread based. 1005 - Yield Diff
VenuTyp	char	Identifies the type of venue where a trade was executed	C - Clearing house E - Electronic O - Off facility swap Q - Quote-driven market R - Registered Market (SEF) X - Ex-Pit
LastQty	Qty	Quantity (e.g. shares) bought/sold on this (last) fill.(Prior to FIX 4.2 this field was of type int)
LastPx	Price	Price of this (last) fill. Will support values up to 9 decimal places of precision.
TrdDt	LocalMktDate	The trade date assigned to an execution on the trading platform. Format: YYYY-MM-DD
BizDt	LocalMktDate	The "Clearing Business Date" referred to by this maintenance request.
AvgPx	Price	Calculated average price of all fills on this order.For Fixed Income trades AvgPx is always expressed as percent-of-par, regardless of the PriceType (423) of LastPx (31). I.e., AvgPx will contain an average of percent-of-par values (see LastParPx (669)) for issues traded in Yield, Spread or Discount.
MLegRptTyp	char	Used to indicate what an Execution Report represents (e.g. used with multi-leg securities, such as option strategies, spreads, etc.).	1 - Single security (default if not specified) 2 - Individual leg of a multi-leg security 3 - Multi-leg security
TxnTm	UTCTimestamp	Timestamp when the business transaction represented by the message occurred.
ExecMeth	int	Specifies whether the transaction was executed via an automated execution platform or other method.	1 - Manual 2 - Automated
SettlDt	LocalMktDate	Specific date of trade settlement (SettlementDate) in YYYYMMDD format.
LastUpdateTm	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. Format YYYYMMDD-HH:MM:SS.sTZD (UTC time zone) Example: 20200520-01:14:39.126000000Z
Clrd	int	Indicates whether the position or trade being reported was cleared through a clearing organization.	0 - Not cleared 1 - Cleared
DiffPx	float	Represents the Differential Price for Spreads.
DiffPxTyp	int	This indicates the type of differential price represented in the Differential Type attribute.	1 - Differential between legs
TrdgQty	Qty	Calculated Trading Quantity in Notional. @LastQty * @UOMQty
MDTrdEntrID	int	Unique Trade Identifier that will match to a CME Globex order execution, associated market data message and STP messaging
FeeMult	float	This is a multiplier that Clearing (Fee system) will use to calculate fees and will be sent to the firms on their confirms.
SplitInd	char	Indicates whether or not a trade is split	Y - Split trade N - Whole trade
LastPx2	Price	Alternate Price
SettlTrdID	String	Trade identifier as assigned by BrokerTec Clearing.
LastMkt	Exchange	Market of execution for last fill, or an indication of the market where an order was routed. MIC Code for BrokerTec markets	BTEC BTAM BTEE
NonDiscInd	String	A flag indicating if this was a non-disclosed trade. All non-disclosed trades will include this tag/attribute with "Y" All disclosed trades will not include this tag/attribute.	Y
VenuSubTyp	String	Identifies the sub-type of the venue where a trade was executed.	S - Sweepable
MDStrmID	String	The identifier or name of the price stream.	e.g. "GOLD", "Z1AC" etc.
Pty	Root Party Details
ID	String	PartyID value within a root parties component. Same values as PartyID (448)
Src	char	PartyIDSource value within a root parties component. Same values as PartyIDSource (447)	N - LEI
R	int	PartyRole value within a root parties component. Same values as PartyRole (452)	73 - Execution Venue
Instrmt	Instrument Details
FinDetls
StartDt	LocalMktDate	Start date of a financing deal, i.e. the date the buyer pays the seller cash and takes control of the collateral
EndDt	LocalMktDate	End date of a financing deal, i.e. the date the seller reimburses the buyer and takes back control of the collateral
Undly	Underlying Instrument
TrdLeg	Trade Leg details
RptSide	Trade report Side group
TrdRegPublctn
Typ	int		2 - Exempt from publication
Rsn	int		12 - Exempted due to European System of Central Banks (ESCB) policy transactions