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Broker fee submission on new trades and fee updates on existing trades will be supported for Outrights, Spreads and Allocations via CME ClearPort API.
Flow from CME ClearPort API to CME STP to Client system
Gliffy Diagram
CommData Element
CME STP FIXML trade capture reports have a dedicated block, the /TrdCaptRpt/RptSide/CommData element, for broker fees. Valid attributes are:
Name
FIXML Attribute
Data Type
Description
Basis
Basis
Integer
Type of Rate initially allowed for broker fees:
1 = Per Unit
2 = Percentage
8 = Per Contract
Amount
Amt
Amt
The total commission amount
Rate
Rt
Float
Rate per basis. For example, $1 per contract.
Amount Type
Typ
Integer
Type of Commission
Unit of measure
UOM
String
Unit of measure for trade.
Unit of Measure Currency
UOMCcy
Currency
Currency unit of measure for trade.
Currency
Ccy
String
Trade currency. Default is USD.
Leg Reference ID
LegRefID
Integer
Trade leg identifier. Required on all CommData legs of a spread.
Where accounts are allocated on only one side of the trade, the broker can only submit broker fees at the side level (/TrdCaptRpt/RptSide) and the same @Basis, @Rt, @Ccy; and an enriched @UOM and @UOMCcy will be reported on CME STP FIXML at the Side/Leg level for each allocation.
Broker fees will not be published on CME STP FIXML Trade Capture Reports resulting from the following post-trade allocations:
Allocations / Reassignment from a Customer Holding Account to an actual Customer Account
APS (Average Pricing System)
Although these post-trade activities may change the ownership of the trade, the Broker Fees will only be available to the original trade owner.
FIXML Structure Rules
The order of elements is critical in FIXML. Therefore the new Broker fees element should always be in the following order:
After RegTrdID and
Before TrdRegTS
Each CommData element will represent one Broker fee.
Example Messages
Outright Trade
The following is an example of Outright Crude Oil Trade with the following characteristics:
Basis (way fees are charged) is Per Unit.
Per unit amount is $0.01.
Unit is Barrel, as the CL is traded per barrel.
Line 20 in this Trade Capture Report message sample introduces the new CommData block:
The following is an example of Natural Gas Spread Trade reported at the Spread Level with repeating Leg level trade information with the following characteristics:
Fee for each leg is $1 per contract.
Basis (the way fees are charged) is Per Contract.
Per contract amount is 1.00.
Currency is USD
Client systems should use @LegRefID from Commission Data Block to determine commission of the Trade Leg (/TrdLeg/@LegNo)
Lines 39-43 in this Trade Capture Report message sample introduces the new CommData block: