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	DateTime that a Snapshot + Update (263=1) subscription request should start to pull data from. Format: YYYYMMDD-HH:MM:SS (UTC time zone) Example: 20200520-01:00:00 Request without tag 779-LastUpdateTime will default to current date and time. This tag is not used for Snapshot (263=0) requests and will be ignored if present. The FIX Client can submit requests covering a period of 31 calendar days.	Format: YYYYMMDD-HH:MM:SS (UTC time zone) Example: 20200514-06:00:00
9593	StartTime	UTCTimestamp	Datetime that a Snapshot (263=0) request should start to pull data from. Format: YYYYMMDD-HH:MM:SS (UTC time zone) Example: 20200520-01:00:00 Required for Snapshot (263=0) Requests. Will be ignored for Snapshot + Update (263=1) requests. FIX Client is allowed to submit requests covering period of 31 calendar days.
9594	EndTime	UTCTimestamp	End DateTime of a Snapshot (263=0) request. Optional for Snapshot (263=0) requests. Defaults to current datetime of the request when not present in the request. Value cannot be in future. Will be ignored for Snapshot + Update (263=1) requests. Format: YYYYMMDD-HH:MM:SS (UTC time zone) Example: 20200520-01:30:00 The FIX Client is allowed to submit requests covering a 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)