CME STP FIX - TradeCaptureReportRequest - BrokerTec FI

The Trade Capture Report Request (tag 35-MsgTyp=AD) message is used by FIX 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.

FIX Tag	Field Name	Data Type	Description	Supported Values
568	TradeRequestID	String	Required Trade Capture Report Request ID
1003	TradeID	String	The unique ID assigned to the trade entity once it is received or matched by the exchange or central counterparty.
1040	SecondaryTradeID	String	Used to carry an internal trade entity ID which may or may not be reported to the firm.
569	TradeRequestType	int	Type of Trade Capture Report	1 - Matched trades matching criteria provided on request (Parties, ExecID, TradeID, OrderID, Instrument, InputSource, etc.)
263	SubscriptionRequestType	char	Subscription Request Type	0 - Snapshot 1 - Snapshot + Updates (Subscribe)
11	SideClOrdID	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 SideClOrdID field.
715	ClearingBusinessDate	LocalMktDate	The "Clearing Business Date" referred to by this maintenance request
442	MultiLegReportingType	char	Used to indicate what an Execution Report represents (e.g. used with multi-leg securities, such as option strategies, spreads, etc.)	Default '2' (Request outright deals and Individual legs of multileg security), '3' (Request outright deals and summary for multileg deals).
578	TradeInputSource	String	Type of input device or system from which the trade was entered	BTC - BrokerTec Clearing BTD - BrokerTec Direct GLBX - Globex
779	LastUpdateTime	UTCTimestamp	For a Snapshot + Update (263=1) subscription request, this tag specifies the date and time that the request should start to stream trade data from. If tag 779 is not present, the request will default to the current datetime of the subscription. Tag 779 is not applicable to Snapshot-only (263=0). These requests will be rejected. Format: Tag 779-LastUpdateTime must be formatted as YYYYMMDD-HH:MM:SS.ns All times must be in UTC. CME STP will not accept timezone offsets. Example: 20200520-01:14:39.126000000 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.
9593	StartTime	UTCTimestamp	For a Snapshot (263=0) request this required tag specifies the start date and time to pull data from. Tag 9593 is not applicable to Snapshot + Update (263=1), requests including this tag will be rejected. Format: Tag 9593-StartTime must be formatted as YYYYMMDD-HH:MM:SS.ns All times must be in UTC. CME STP will not accept timezone offsets. Example: 20200520-01:14:39.126000000 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.
9594	EndTime	UTCTimestamp	For a Snapshot (263=0) request this optional tag specifies the end date and time of the request. This value cannot be in the future. Client systems that submit requests without tag 9594, will default to the current date and time of the request. Tag 9594 is not applicable to Snapshot + Update (263=1), requests including this tag will be rejected. Format: Tag 9594-EndTime must be formatted as YYYYMMDD-HH:MM:SS.ns All times must be in UTC. CME STP will not accept timezone offsets. Example: 20200520-01:14:39.126000000 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.
10059	IncludeCollateralIndicator	char	Indicates whether collateral should be returned in request result	Y - Yes N - No
453	Parties
448	→PartyID	String	Party identifier/code. See PartyIDSource (447) and PartyRole (452)
452	→PartyRole	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
	Instrument
55	→Symbol	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.
48	→SecurityID	String	The Clearing Product ID
167	→SecurityType	String	Enables a requestor to filter for a specific SecurityType	BOND - Bond (generic) EUSOV - Euro Sovereigns EUSUP - Euro Supranational Coupons FRA - Forward Rate Agreement MLEG - Multi Leg (Combo) REPO - Repurchase SOV - UK Gilt SUPRA - USD Supranational Coupons TB - Treasury Bill - non US TBA - To Be Announced TBILL - US Treasury Bill TBOND - US Treasury Bond TNOTE - US Treasury Note
207	→SecurityExchange	Exchange	Market used to help identify a security	BTEU - BrokerTec EU BTUS - BrokerTec US
580	TrdCapDtGrp
75	→TradeDate	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)