/
CME STP FIXML - TradeCaptureReport - EBS FX

CME STP FIXML - TradeCaptureReport - EBS FX

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

Req

Data Type

Description

Supported Values

RptID

Y

String

Unique identifier of the TradeCaptureReport message. Use to check for duplicate TradeCaptureReports.

Up to a maximum of 63 characters

Amends and Cancels will have a new TradeReportID value

 

TrdID

Y

String

The EBS Deal ID.

 

TrdID2

Y

String

A globally unique identifier (GUID) that can be reliably used across trade dates and all markets supported by STP. 

 

TransTyp

Y

int

Identifies Trade Report message transaction type.

  • 0 - New (not applicable for eFix)

  • 2 - Replace (applicable only for eFix tickets)

RptTyp

Y

int

Type of Trade Report.

101 - Notification

TrdRptStat

Y

int

Trade Report Status.

0 - Accepted

ReqID

Y

String

Request ID from the TradeCaptureReportRequest message. 

 

TrdTyp

Y

int

Type of trade, distinguishes between regular trades (0) and eFix trades (1000).

  • 0 - Regular Trade

  • 1000 - Fixing

TrdSubTyp

C

int

Further qualification to the trade type.

Only set for eFix Trades when TrdTyp (Tag 828) = 1000, otherwise not set.

43 - TAM - Traded at marker

MtchID

Y

String

For EBS Direct trades this is the EBS Deal ID. LCs will see this in Tag 17 (ExecID) on their Execution Report and LPs will see this as the ClOrdID generated by the match engine. 

For Globex trades this is a system generated identifier common to all sides at a price level within a match event.

This will be common to multiple deal IDs (as a match event can result in multiple deal IDs). Not provided at trade time. Can be used for Post Trade queries.

 

TrdNum

N

int

The EBS Deal ID - common to maker and taker on Globex.  

Not provided for EBS Direct trades.

 

ExecID

Y

String

Unique identifier of the Execution Report provided in the relevant trading API. 

For Globex maps to Tag 17 in iLink.

For EBS Direct maps to Tag 17 in the LC Execution Report and Tag 11 (ClOrdID) in the LP NOS (because the EBS Direct DealID is the ClOrdID for the LP).

 

ExecID2

C

String

Only provided for EBS Direct disclosed tickets to LCs. Provides the LP's ExecID in the Execution Report returned to EBS Direct by the LP.

 

PxTyp

Y

int

Code to represent the price type.

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

  • 101 - Updated actual price

VenuTyp

Y

char

Identifies the type of venue where a trade was executed. Refer to tag 20058 for on SEF or on MTF indicator.

  • E - Electronic

  • Q - Quote-driven Market

QtyTyp

C

int

Indicates the type of quantity being represented in the Last Quantity. The quantity type defaults to what is specified in the contract specifications.

0 - Notional FX

LastQty

Y

Qty

Notional Quantity of currency expressed in dealt currency. 

 

LastPx

Y

Price

Price of this (last) trade.

For eFix trades, if no fixing rate is available the ticket will publish with a value of 0. Please contact GCC to confirm the rate.

 

CalcCcyLastQty

Y

Qty

The calculated contra quantity of the currency trade. Can be derived from LastQty and LastPx.

 

TrdDt

Y

LocalMktDate

Effective trade date. Trade date will roll according to business rules and therefore may not be the same as actual calendar date.

Format: YYYY-MM-DD

 

BizDt

Y

LocalMktDate

Will generally overlap with TrdDt, but can differ either if a trade is canceled or amended, depending on what day it was done or the time of day it was done.

Value format follows Protocol.  FIX: YYYYMMDD, FIXML: YYYY-MM-DD.

 

MLegRptTyp

Y

char

Not relevant to EBS today, STP will always set to '1'. 

1 - Single security

TxnTm

Y

UTCTimestamp

Timestamp when the business transaction represented by the message occurred.

 

SettlDt

Y

LocalMktDate

Specific date of trade settlement (SettlementDate).

Value format follows Protocol.  FIX: YYYYMMDD, FIXML: YYYY-MM-DD.

 

LastUpdateTm

Y

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. Not reset on cancels/amends.

 

Clrd

Y

int

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

Always 0 (zero) for EBS Trades.

0 - Not cleared

TrdgQty

Y

Qty

Notional traded amount always expressed in terms of base currency regardless of dealt currency. Currently only trading in base currency is supported.

 

DiffPx

N

float

Only set on eFix tickets where currently it will only be set to '0'.

 

DiffPxTyp

N

int

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

Will always be set to '0' and only present on eFix tickets.

0 - Differential from Settlement Price

MDTrdEntrID

C

String

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

 

MDStrmID

C

String

The identifier or name of the price stream. Only specific for LP tickets on EBS Direct.

 

PostTrdTyp

C

int

Identifies the type of ticket. 

Interdealer tickets (also known as Market tickets) are received by Bilateral GFIDs or Prime Broker GFIDs (when facing bilateral codes, i.e., not when facing their Prime Customer).

Prime Give Up tickets are also known as synthetic tickets and are those in which either the Prime Broker or Prime of Prime Broker faces their Prime Client OR when the Prime (or Prime of Prime) Client faces their credit parent broker. 

Prime of Prime Broker tickets are similar to Interdealer tickets in nature but are solely when the Prime of Prime Broker faces their credit parent broker.

  • 4 - Prime Give up (Synthetic tickets)

  • 5 - Interdealer 

  • 6 - Prime of Prime Broker - Equivalent of Interdealer ticket (facing the Parent of the Prime of Prime Broker).

PxStat

Y

int

Status of the price.

0 - Final

SettlCcy

Y

Currency

Currency code of settlement denomination. For non-ndfs this will be the same as contra currency. For NDFs this will be the deliverable currency.

 

SettlTyp

Y

String

Settlement Type of trade.

Note: B represents broken date, actual settlement date is reflected in Tag 64.

  • 0 = Spot

  • Mx = FX Tenor expression for months eg. M3

  • B = Broken (NDFs)

SpotDt

C

LocalMktDate

For FXNDF, the associated SPOT settlement date.

Value format follows Protocol.  FIX: YYYYMMDD, FIXML: YYYY-MM-DD.

Note: Not provided for FXSPOT.

 

VenuSubTyp

C

Char

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

  • C - Central limit order book

  • S - Single ticket 

  • W - Sweepable

NonDsclInd

C

Boolean

Indicates whether a trade is Disclosed or Non-Disclosed.

  • N - Disclosed

  • Y - Non-Disclosed

Pty

Root Party details

Instrmt

Instrument details

RptSide

Trade report Side Group

TrdRegPublctn

Regulatory publication Group

 



How was your Client Systems Wiki Experience? Submit Feedback

Copyright © 2024 CME Group Inc. All rights reserved.