CME STP FIX - Post Trade Events - Messaging
This topic describes the CME STP FIX messages, key fields and values for Top Day Cancel/Correct post trade events for BrokerTec Fixed Income markets.
This page does not cover Cancel/Correct post trade events for General Collateral Repos. They are covered separately in CME STP FIX - Post Trade Events - GC Repos.
Client systems should note that the order of messages is not guaranteed.
Contents
Cancel Model - Full Trade Cancel
For a full top day trade cancellation, the following table outlines key attributes and their values for the cancel model scenario.
Message | 487-TradeReportTransType | 828-TrdType | 1040-SecondaryTradeID | 10039-SideOrigTradeID | 10036-PackageID | Description |
35-MsgType=AE | 0=New | 0=Regular Trade | ABC111 | - | - | Original Trade |
35-MsgType=AE | 1=Cancel | 0=Regular Trade | ABC111 | - | - | Cancellation of original trade |
Cancel Model - Trade Correction
For a top day trade correction, the following table outlines key attributes and their values for the cancel model scenario.
Message | 487-TradeReportTransType | 828-TrdType | 1040-SecondaryTradeID | 10039-SideOrigTradeID | 10036-PackageID | Description |
35-MsgType=AE | 0=New | 0=Regular Trade | ABC222 | - | - | Original Trade |
35-MsgType=AE | 1=Cancel | 0=Regular Trade | ABC222 | - | BCD234 | Cancellation of original trade |
35-MsgType=AE | 0=New | 0=Regular Trade | BCD234 | ABC222 | - | Replacement Trade |
10036-PackageID - In Trade cancel message, value points to @TrdID2 of the replacement trade
10039-SideOrigTradeID - In Trade replacement message, value points to @TrdID2 of the original trade
Offset Model - Full Trade Cancel
For a full top day trade cancellation, the following table outlines the key attributes and their values for the offset model scenario.
Message | 487-TradeReportTransType | 828-TrdType | 1040-SecondaryTradeID | 10039-SideOrigTradeID | 10036-PackageID | Description |
35-MsgType=AE | 0=New | 0=Regular Trade | ABC333 | - | - | Original Trade |
35-MsgType=AE | 2=Replace | 0=Regular Trade | ABC333 | - | - | Update of original trade |
35-MsgType=AE | 0=New | 3=Transfer | BCD222 | ABC333 | - | Replacement Trade |
10039-SideOrigTradeID - In Trade replacement message, value points to tag 1040-SecondaryTradeID of the originally canceled trade
Offset Model - Trade Correction
For a top day trade correction, the following table outlines the key attributes and their values for the offset model scenario.
Message | 487-TradeReportTransType | 828-TrdType | 1040-SecondaryTradeID | 10039-SideOrigTradeID | 10036-PackageID | Description |
35-MsgType=AE | 0=New | 0=Regular Trade | ABC555 | - | - | Original Trade |
35-MsgType=AE | 2=Replace | 0=Regular Trade | ABC555 | - | CDE345 | Update of original trade |
35-MsgType=AE | 0=New | 3=Transfer | BCD222 | ABC555 | - | Offset of Original trade |
35-MsgType=AE | 0=New | 0=Regular Trade | CDE345 | ABC555 | - | Replacement Trade |
10036-PackageID - In Trade cancel message, value points to tag 1040-SecondaryTradeID of the replacement trade
10039-SideOrigTradeID - In Trade replacement message, value points to tag 1040-SecondaryTradeID of the original trade
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