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
TrdSubTyp	int	Further qualification to the trade type	7 - Differential spread 36 - Converted SWAP (Aged Deal) 37 - Crossed Trade (X) 40 - TAS - Traded at settlement 42 - Auction Trade 43 - TAM - Traded at marker 48 - Multilateral Compression 200 - Delivery Transfer 8 - Implied spread leg executed against an outright (not published for BTec markets).
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.
BlckID	String	Indicates the Platform ID of the block trade. Used for IRS.
PxTyp	int	Code to represent the price type.(For Financing transactions PriceType implies the "repo type" - Fixed or Floating - 9 (Yield) or 6 (Spread) respectively - and Price (44) gives the corresponding "rNew fieldepo rate".	1 - Percentage (i.e. percent of par) 2 - Per unit (i.e. per share or contract) 6 - Spread (basis points spread) 9 - Yield 10 - Fixed cabinet trade price (primarily for listed futures and options) 24 - Interest rate 100 - Tentative placeholder price 101 - Updated actual price 102 - Derived Price Block 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
QtyTyp	int	Type of quantity specified in a quantity field:	0 - Notional / Units 1 - Contract term
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.
CalcCcyLastQty	Qty	Used for the calculated quantity of the other side of the currency trade. Can be derived from LastQty and LastPx.
TrdDt	LocalMktDate	The trade date assigned to an execution on the trading platform.
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
ClrIntn	int	Indicates whether or not the parties intend the trade to clear.	0 - Do not intend to clear 1 - Intend to clear
ClrReqmtExcptn	int	Specifies whether a party to a swap is using the clearing requirement exception pursuant to CEA Section 2(h)(7) and Commission regulations.	0 - No exception 1 - Exception
TrdCollztn	int	Indication of trade collateralization.	0 - Uncollateralized 1 - Partially collateralized 2 - One-way collateralized 3 - Fully collateralized
DiffPx	float	Represents the Differential Price for Spreads.
DiffPxTyp	int	This indicates the type of differential price represented in the Differential Type attribute.	0 - Differential from Settlement Price 1 - Differential between legs
OrigTmUnit	String	Specifies the Time Unit of the original trade.	D - Day H - Hour Min - Minute Mo - Month S - Second Wk - Week Yr - Year
TrdgQty	Qty	Indicates the trading quantity entered, in unit terms (e.g. in MWh), for a trade. This may differ from the cleared quantity, especially in the case of contracts like electricity that follow delivery schedules.
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.
ClrTransTyp	int	Indicates the type of Clearing Transformation that generated this Trade.	1- Exercise 2-Assignment 3-General Transformation 4-Delivery Transformation 5-Fungible
CntraryInstrctnInd	Boolean	Used to indicate when a contrary instruction for exercise or abandonment is being submitted	Y-YES N-NO
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 - Sineepable
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