CME STP FIX - TradeCaptureReport - BrokerTec FI

571

TradeReportID

String

Unique identifier of the TradeCaptureReport message. Use to check for duplicate Trade Capture Reports.

Up to a maximum of 63 characters.

1003

TradeID

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.  

1040

SecondaryTradeID

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).

10036

PackageID

String

This field points (forward) to tag 1040-SecondaryTradeID on the trade replacing this trade. This field is only populated when the trade has been replaced as a result of an amendment

487

TradeReportTransType

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

856

TradeReportType

int

Type of Trade Report

101 - Notification

939

TrdRptStatus

int

Trade Report Status

• 0 - Accepted

• 7 - Terminated

568

TradeRequestID

String

Trade Capture Report Request ID

828

TrdType

int

Type of Trade:

• 0 - Regular Trade

• 3 - Transfer

880

TrdMatchID

String

Identifier assigned to a trade by a matching system.

820

TradeLinkID

String

Used to link a group of trades together. Useful for linking a group of trades together for average price calculations.

2490

TradeNumber

String

20011

DealID

String

BrokerTec Deal ID, common to all participants within an entire trade (not only a match)

17

ExecID

String

Unique identifier of execution message as assigned by sell-side. 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).

527

SecondaryExecID

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.

423

PriceType

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 "repo rate".

• 1 - Percentage (i.e. percent of par)

• 2 - Per unit (i.e. per share or contract)

• 6 - Spread (basis points spread)

• 9 - Yield

• 1005 - Yield Diff

1430

VenueType

char

Identifies the type of venue where a trade was executed

• C - Clearing house

• E - Electronic

• Q - Quote-driven market

32

LastQty

Qty

Quantity (e.g. shares) bought/sold on this (last) fill.

31

LastPx

Price

Price of this (last) fill.

Will support values up to 9 decimal places of precision.

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).

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 spreads, etc.).

• 1 - Single security

• 2 - Individual leg of a multi-leg security

• 3 - Multi-leg security

60

TransactTime

UTCTimestamp

Timestamp when the business transaction represented by the message occurred.

64

SettlDate

LocalMktDate

Specific date of trade settlement (SettlementDate) in YYYYMMDD format.

779

LastUpdateTime

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 

1832

ClearedIndicator

int

Indicates whether the position or trade being reported was cleared through a clearing organization.

• 0 - Not cleared

• 1 - Cleared

10033

DifferentialPrice

float

Represents the Differential Price for Spreads.

10024

DifferentialPriceType

int

This indicates the type of differential price represented in the Differential Type attribute.

• 0 - Differential from Settlement Price

• 1 - Differential between legs

37711

MarketDataTradeEntryID

String

Unique Trade Identifier that will match to a CME Globex order execution, associated market data message and STP messaging

10053

SplitIndicator

char

Indicates whether or not a trade is split

• Y - Split trade

• N - Whole trade

20043

AlternatePrice

Price

Alternate Price. Trade price in Price format or Yield depending on actual trade price 31-LastPx

20056

SettlementTradeID

String

Trade identifier as assigned by BrokerTec Clearing.

30

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

20400

NonDisclosedIndicator

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

20060

VenueSubType

String

Identifies the sub-type of the venue where a trade was executed.

• S - Single Ticket

• W - Sweepable

1500

MDStreamID

String

The identifier or name of the price stream.

e.g. "GOLD", 

"Z1AC" etc. 

Instrument

Instrument details

916

→StartDate

LocalMktDate

Start date of a financing deal, i.e. the date the buyer pays the seller cash and takes control of the collateral

917

→EndDate

LocalMktDate

End date of a financing deal, i.e. the date the seller reimburses the buyer and takes back control of the collateral

711

UndInstrmtGrp

Underlying Instrument

555

TrdInstrmtLegGrp

Leg details of the Spread trade

552

TrdCapRptSideGrp

→2669

→TrdRegPublicationType

int

2 - Exempt from publication

→2670

→TrdRegPublicationReason

int

12 - Exempted due to European System of Central Banks (ESCB) policy transactions