MESSAGE SPECIFICATION

Trade Capture Report (MsgType = AE): Block Trades

The Trade Capture Report message can be:

Used by the broker to send a Block Trade to be confirmed by the counterparties.
Used by the exchange to notify to market about the new Block Trade to be confirmed.
Used by the exchange to send a Block Trade to be confirmed by the counterparties.
Used by the exchange to notify the Block Trade acceptation, or declination.

Tag		FixName	Req	Valid Values	Data Type	Description
Standard Header
31		LastPx	Y		Price	Trade Price.
32		LastQty	Y		Qty	Trade Quantity.
55		Symbol	Y		String	Instrument symbol Name
207		SecurityExchange	N		String	Security exchange identifier. Value defined ROFX.
60		TransactTime	N		UTCTimestamp	Timestamp when the business transaction represented by the message occurred.
75		TradeDate	N		String	Indicates date of trade referenced in this message in YYYYMMDD format.
150		ExecType	C	0 = New 4 = Canceled C = Expired F = Trade	char	Type of execution being reported. Sent the value: New (0): Report BlockTrade request created and awaiting confirmation (does not represent a confirmed trade). Canceled (4): One or more parties rejected the request. Expired (C): No response received within the allowed time. Trade (F): Report all required parties accepted the request.
487		TradeReportTransType	C	0 = New	Int	Identifies Trade Report message transaction type. Required to create a new BlockTrade.
570		PreviouslyReported	N	N = Not reported to counterparty	Boolean	Indicates if the trade capture report was previously reported to the counterparty.
571		TradeReportID	Y		String	Unique identifier of Trade Capture Report (AE)
572		TradeReportRefID	N		String	The TradeReportID that is being referenced for some action, such as correction or cancellation.
828		TrdType	Y	1 = BLOCK_TRADE	Int	Type of Trade.
856		TradeReportType	N	0 = Submit 1 = Alleged 2 = Accept 3 = Decline	Int	Type of Trade Report. Submit (0): use by the broker to request Registration and by the exchange to notify about the new BlockTrade request. Alleged (1): use by the exchange to send a BlockTrade to be confirmed by the involved parties. Accept (2): use by the exchange to report Blocktrade acceptance. Decline (3): use by the exchange to report Blocktrade declination (either explicitly by one of the parties or due to a confirmation timeout).
880		TrdMatchID	C		String	Identifier assigned to a trade by the matching system.
1925		TradeClearingInstruction	C	2 = Bilateral netting only 6 = Clear against central counterparty (Guaranteed)	Int	Specifies the eligibility of this trade for clearing and central counterparty processing. Required when the instrument has the field ClearingInstruction(577) complete in the securityList message.
552		NoSides	Y	2 = Both Sides	NumInGroup	Number of Sides.
->	54	Side	Y	1 = Buy 2 = Sell	Char	Side of order.
->	37	OrderID	N		String	Unique identifier for Order as assigned by sell-side (broker, exchange, ECN).
->	1	Account	Y		String	Account mnemonic as agreed between buy and sell sides. e.g. broker and institution or investor/intermediary and fund manager.
->	40	OrderType	N	2 = Limit	Char	Order type from the order associated with the trade. Sent only when TradeReportType (856) = 0
Block RootParties			N			Insert here the set of “Root Parties” fields defined in Block RootParties If TradeReportType(856) = 1 and TradeClearingInstruction(1925) = 2, the name of the counterparty is sent. If TradeReportType(856) = 3 and it was not rejected by timeout, the user who rejected the BT is sent.
Standard Trailer

TradeCaptureReportAck (MsgType = AR): Block Trades

The Trade Capture Report Ack message can be:

Used by the market to inform about the Block Trades request reception.
Used by the client to accept or reject a Block Trades received from a counterparty.

Tag		FixName	Req	Valid Values	Data Type	Description
Standard Header
31		LastPx	N		Price	Trade Price.
32		LastQty	N		Qty	Trade Quantity.
55		Symbol	Y		String	Instrument symbol Name
207		SecurityExchange	N		String	Security exchange identifier. Value defined ROFX.
58		Text	C		String	Free format text string, used to inform about cause of rejection Sent only when ExecType(150) = 8.
60		TransactTime	N		UTCTimestamp	Timestamp when the business transaction represented by the message occurred.
150		ExecType	N	0 = New 8 = Rejected	Char	Type of Execution being reported: Uses subset of ExecType for Trade Capture Reports.
571		TradeReportID	Y		String	Unique identifier of “trade capture report”.
572		TradeReportRefID	Y		String	Unique Broker identifier of “trade capture report”.
828		TrdType	Y	1 = Block Trade	Int	Type of Trade
856		TradeReportType	Y	2 = Accept 3 = Decline	Int	Type of trade report.
880		TrdMatchID	Y		String	Identifier assigned to a trade by a matching system.
552		NoSides	Y	2 = Both Sides	NumInGroup	Number of Sides.
->	54	Side	C	1 = Buy 2 = Sell	Char	Side of order.
->	1	Account	C		String	Account mnemonic as agreed between buy and sell sides.
Standard Trailer

Block Trade Message sequence diagram

Case with accepted Block Trade

Diagram:

Example messages:

Broker

#New Block Trade Request
8=FIXT.1.1|9=134|35=AE|34=49|49=BT_Broker|52=20251203-19:06:50.496|56=ROFX|31=50|32=7|55=Instrument 01|487=0|571=BT_ID|828=1|552=2|54=1|1=01|54=2|1=02|10=164|
#New Block Trade Request ack
8=FIXT.1.1|9=149|35=AR|34=105|49=ROFX|52=20251203-19:06:50.892|56=BT_Broker|55=Instrument 01|60=20251203-19:06:50.599|150=0|207=ROFX|571=BT_ID|828=1|856=1|880=BT2001|10=209|
#Notify the Block Trade acceptation, or declination
8=FIXT.1.1|9=242|35=AE|34=108|49=ROFX|52=20251203-19:08:08.952|56=BT_Broker|31=50|32=7|55=Instrument 01|60=20251203-19:08:08.436|75=20251203-19:08:08.436|150=F|207=ROFX|570=N|571=3006|572=BT_ID|828=1|856=2|880=BT2001|552=2|54=1|37=3001|1=01|54=2|37=3001|1=02|10=152|

Client_A

#Notify about the new Block Trade to be confirmed
8=FIXT.1.1|9=218|35=AE|34=96|49=ROFX|52=20251203-19:06:50.921|56=Client_A|31=50|32=7|55=Instrument 01|60=20251203-19:06:50.599|75=20251203-19:06:50.599|150=0|207=ROFX|570=N|571=3001|572=BT_ID|828=1|856=0|880=BT2001|552=1|54=1|37=|1=01|10=031|
#A Block Trade is sent to be confirmed by the parties involved
8=FIXT.1.1|9=258|35=AE|34=97|49=ROFX|52=20251203-19:06:50.923|56=Client_A|31=50|32=7|55=Instrument 01|60=20251203-19:06:50.599|75=20251203-19:06:50.599|150=0|207=ROFX|570=N|571=BT2002|572=BT_ID|828=1|856=1|880=BT2001|552=1|54=1|37=-|1=01|1116=1|1117=BT_Broker|1118=D|1119=11|10=061|
#Block Trade confirmation
8=FIXT.1.1|9=134|35=AR|34=55|49=Client_A|52=20251203-19:08:05.952|56=ROFX|55=Instrument 01|571=BT2002|572=BT_ID|828=1|856=2|880=BT2001|552=1|54=1|1=01|10=053|
#Notify the Block Trade acceptation, or declination
8=FIXT.1.1|9=223|35=AE|34=100|49=ROFX|52=20251203-19:08:08.952|56=Client_A|31=50|32=7|55=Instrument 01|60=20251203-19:08:08.436|75=20251203-19:08:08.436|150=F|207=ROFX|570=N|571=3009|572=BT_ID|828=1|856=2|880=BT2001|552=1|54=1|37=3001|1=01|10=032|

Client_B

#Notify about the new Block Trade to be confirmed
8=FIXT.1.1|9=218|35=AE|34=93|49=ROFX|52=20251203-19:06:50.921|56=Client_B|31=50|32=7|55=Instrument 01|60=20251203-19:06:50.599|75=20251203-19:06:50.599|150=0|207=ROFX|570=N|571=3002|572=BT_ID|828=1|856=0|880=BT2001|552=1|54=2|37=|1=02|10=032|
#A Block Trade is sent to be confirmed by the parties involved
8=FIXT.1.1|9=258|35=AE|34=94|49=ROFX|52=20251203-19:06:50.923|56=Client_B|31=50|32=7|55=Instrument 01|60=20251203-19:06:50.599|75=20251203-19:06:50.599|150=0|207=ROFX|570=N|571=BT2003|572=BT_ID|828=1|856=1|880=BT2001|552=1|54=2|37=-|1=02|1116=1|1117=BT_Broker|1118=D|1119=11|10=062|
#Block Trade confirmation
8=FIXT.1.1|9=134|35=AR|34=53|49=Client_B|52=20251203-19:08:08.335|56=ROFX|55=Instrument 01|571=BT2003|572=BT_ID|828=1|856=2|880=BT2001|552=1|54=2|1=02|10=053|
#Notify the Block Trade acceptation, or declination
8=FIXT.1.1|9=222|35=AE|34=97|49=ROFX|52=20251203-19:08:08.952|56=Client_B|31=50|32=7|55=Instrument 01|60=20251203-19:08:08.436|75=20251203-19:08:08.436|150=F|207=ROFX|570=N|571=3008|572=BT_ID|828=1|856=2|880=BT2001|552=1|54=2|37=3001|1=02|10=000|

Client_C

#Notify about the new Block Trade to be confirmed
8=FIXT.1.1|9=218|35=AE|34=91|49=ROFX|52=20251203-19:06:50.921|56=Client_C|31=50|32=7|55=Instrument 01|60=20251203-19:06:50.599|75=20251203-19:06:50.599|150=0|207=ROFX|570=N|571=3003|572=BT_ID|828=1|856=0|880=BT2001|552=1|54=2|37=-|1=-|10=024|
#Notify the Block Trade acceptation, or declination
8=FIXT.1.1|9=218|35=AE|34=94|49=ROFX|52=20251203-19:08:08.952|56=Client_C|31=50|32=7|55=Instrument 01|60=20251203-19:08:08.436|75=20251203-19:08:08.436|150=F|207=ROFX|570=N|571=3007|572=BT_ID|828=1|856=2|880=BT2001|552=1|54=2|37=-|1=-|10=054|

Case with declined Block Trade

Diagram:

Example messages:

Broker

#New Block Trade Request
8=FIXT.1.1|9=134|35=AE|34=75|49=BT_Broker|52=20251203-19:19:29.615|56=ROFX|31=50|32=7|55=Instrument 01|487=0|571=BT_ID|828=1|552=2|54=1|1=01|54=2|1=02|10=166|
#New Block Trade Request ack
8=FIXT.1.1|9=149|35=AR|34=131|49=ROFX|52=20251203-19:19:29.859|56=BT_Broker|55=Instrument 01|60=20251203-19:19:29.735|150=0|207=ROFX|571=BT_ID|828=1|856=1|880=BT2004|10=226|
#Notify the Block Trade acceptation, or declination
8=FIXT.1.1|9=270|35=AE|34=133|49=ROFX|52=20251203-19:20:20.603|56=BT_Broker|31=50|32=7|55=Instrument 01|60=20251203-19:20:20.464|75=20251203-19:20:20.464|150=4|207=ROFX|570=N|571=3016|572=BT_ID|828=1|856=3|880=BT2004|552=2|54=1|37=|1=01|54=2|37=|1=02|1116=1|1117=Client_B|1118=D|1119=11|10=210|

Client_A

#Notify about the new Block Trade to be confirmed
8=FIXT.1.1|9=219|35=AE|34=123|49=ROFX|52=20251203-19:19:29.859|56=Client_A|31=50|32=7|55=Instrument 01|60=20251203-19:19:29.735|75=20251203-19:19:29.735|150=0|207=ROFX|570=N|571=3011|572=BT_ID|828=1|856=0|880=BT2004|552=1|54=1|37=|1=01|10=099|
#A Block Trade is sent to be confirmed by the parties involved
8=FIXT.1.1|9=259|35=AE|34=124|49=ROFX|52=20251203-19:19:29.860|56=Client_A|31=50|32=7|55=Instrument 01|60=20251203-19:19:29.735|75=20251203-19:19:29.735|150=0|207=ROFX|570=N|571=BT2005|572=BT_ID|828=1|856=1|880=BT2004|552=1|54=1|37=-|1=01|1116=1|1117=BT_Broker|1118=D|1119=11|10=121|
#Block Trade acceptation
8=FIXT.1.1|9=134|35=AR|34=80|49=Client_A|52=20251203-19:20:17.622|56=ROFX|55=Instrument 01|571=BT2005|572=BT_ID|828=1|856=2|880=BT2004|552=1|54=1|1=01|10=048|
#Notify the Block Trade acceptation, or declination
8=FIXT.1.1|9=255|35=AE|34=126|49=ROFX|52=20251203-19:20:20.603|56=Client_A|31=50|32=7|55=Instrument 01|60=20251203-19:20:20.464|75=20251203-19:20:20.464|150=4|207=ROFX|570=N|571=3014|572=BT_ID|828=1|856=3|880=BT2004|552=1|54=1|37=|1=01|1116=1|1117=Client_B|1118=D|1119=11|10=039|

Client_B

#Notify about the new Block Trade to be confirmed
8=FIXT.1.1|9=219|35=AE|34=120|49=ROFX|52=20251203-19:19:29.859|56=Client_B|31=50|32=7|55=Instrument 01|60=20251203-19:19:29.735|75=20251203-19:19:29.735|150=0|207=ROFX|570=N|571=3013|572=BT_ID|828=1|856=0|880=BT2004|552=1|54=2|37=|1=02|10=101|
#A Block Trade is sent to be confirmed by the parties involved
8=FIXT.1.1|9=259|35=AE|34=121|49=ROFX|52=20251203-19:19:29.860|56=Client_B|31=50|32=7|55=Instrument 01|60=20251203-19:19:29.735|75=20251203-19:19:29.735|150=0|207=ROFX|570=N|571=BT2006|572=BT_ID|828=1|856=1|880=BT2004|552=1|54=2|37=-|1=02|1116=1|1117=BT_Broker|1118=D|1119=11|10=122|
#Block Trade declination
8=FIXT.1.1|9=134|35=AR|34=78|49=Client_B|52=20251203-19:20:20.354|56=ROFX|55=Instrument 01|571=BT2006|572=BT_ID|828=1|856=3|880=BT2004|552=1|54=2|1=02|10=056|
#Notify the Block Trade acceptation, or declination
8=FIXT.1.1|9=255|35=AE|34=123|49=ROFX|52=20251203-19:20:20.603|56=Client_B|31=50|32=7|55=Instrument 01|60=20251203-19:20:20.464|75=20251203-19:20:20.464|150=4|207=ROFX|570=N|571=3017|572=BT_ID|828=1|856=3|880=BT2004|552=1|54=2|37=|1=02|1116=1|1117=Client_B|1118=D|1119=11|10=042|

Client_C

#Notify about the new Block Trade to be confirmed
8=FIXT.1.1|9=219|35=AE|34=117|49=ROFX|52=20251203-19:19:29.859|56=Client_C|31=50|32=7|55=Instrument 01|60=20251203-19:19:29.735|75=20251203-19:19:29.735|150=0|207=ROFX|570=N|571=3012|572=BT_ID|828=1|856=0|880=BT2004|552=1|54=2|37=-|1=-|10=099|
#Notify the Block Trade acceptation, or declination
8=FIXT.1.1|9=255|35=AE|34=119|49=ROFX|52=20251203-19:20:20.603|56=Client_C|31=50|32=7|55=Instrument 01|60=20251203-19:20:20.464|75=20251203-19:20:20.464|150=4|207=ROFX|570=N|571=3015|572=BT_ID|828=1|856=3|880=BT2004|552=1|54=2|37=-|1=-|1116=1|1117=Client_B|1118=D|1119=11|10=038|

Case with timeout cancellation Block Trade

Diagram:

Example messages:

Broker

#New Block Trade Request
8=FIXT.1.1|9=134|35=AE|34=99|49=BT_Broker|52=20251203-19:30:38.140|56=ROFX|31=50|32=7|55=Instrument 01|487=0|571=BT_ID|828=1|552=2|54=1|1=01|54=2|1=02|10=158|
#New Block Trade Request ack
8=FIXT.1.1|9=149|35=AR|34=155|49=ROFX|52=20251203-19:30:38.402|56=BT_Broker|55=Instrument 01|60=20251203-19:30:38.267|150=0|207=ROFX|571=BT_ID|828=1|856=1|880=BT2007|10=205|
#Notify the Block Trade acceptation, or declination
8=FIXT.1.1|9=234|35=AE|34=161|49=ROFX|52=20251203-19:33:38.417|56=BT_Broker|31=50|32=7|55=Instrument 01|60=20251203-19:33:38.267|75=20251203-19:33:38.267|150=C|207=ROFX|570=N|571=3024|572=BT_ID|828=1|856=3|880=BT2007|552=2|54=1|37=|1=01|54=2|37=|1=02|10=008|

Client_A

#Notify about the new Block Trade to be confirmed
8=FIXT.1.1|9=219|35=AE|34=148|49=ROFX|52=20251203-19:30:38.402|56=Client_A|31=50|32=7|55=Instrument 01|60=20251203-19:30:38.267|75=20251203-19:30:38.267|150=0|207=ROFX|570=N|571=3021|572=BT_ID|828=1|856=0|880=BT2007|552=1|54=1|37=|1=01|10=073|
#A Block Trade is sent to be confirmed by the parties involved
8=FIXT.1.1|9=259|35=AE|34=149|49=ROFX|52=20251203-19:30:38.402|56=Client_A|31=50|32=7|55=Instrument 01|60=20251203-19:30:38.267|75=20251203-19:30:38.267|150=0|207=ROFX|570=N|571=BT2008|572=BT_ID|828=1|856=1|880=BT2007|552=1|54=1|37=-|1=01|1116=1|1117=BT_Broker|1118=D|1119=11|10=105|
#Block Trade acceptation
8=FIXT.1.1|9=135|35=AR|34=102|49=Client_A|52=20251203-19:31:02.350|56=ROFX|55=Instrument 01|571=BT2008|572=BT_ID|828=1|856=2|880=BT2007|552=1|54=1|1=01|10=092|
#Notify the Block Trade acceptation, or declination
8=FIXT.1.1|9=219|35=AE|34=155|49=ROFX|52=20251203-19:33:38.418|56=Client_A|31=50|32=7|55=Instrument 01|60=20251203-19:33:38.267|75=20251203-19:33:38.267|150=C|207=ROFX|570=N|571=3027|572=BT_ID|828=1|856=3|880=BT2007|552=1|54=1|37=|1=01|10=100|

Client_B

#Notify about the new Block Trade to be confirmed
8=FIXT.1.1|9=219|35=AE|34=145|49=ROFX|52=20251203-19:30:38.402|56=Client_B|31=50|32=7|55=Instrument 01|60=20251203-19:30:38.267|75=20251203-19:30:38.267|150=0|207=ROFX|570=N|571=3019|572=BT_ID|828=1|856=0|880=BT2007|552=1|54=2|37=|1=02|10=080|
#A Block Trade is sent to be confirmed by the parties involved
8=FIXT.1.1|9=259|35=AE|34=146|49=ROFX|52=20251203-19:30:38.402|56=Client_B|31=50|32=7|55=Instrument 01|60=20251203-19:30:38.267|75=20251203-19:30:38.267|150=0|207=ROFX|570=N|571=BT2009|572=BT_ID|828=1|856=1|880=BT2007|552=1|54=2|37=-|1=02|1116=1|1117=BT_Broker|1118=D|1119=11|10=106|
#Notify the Block Trade acceptation, or declination
8=FIXT.1.1|9=219|35=AE|34=152|49=ROFX|52=20251203-19:33:38.417|56=Client_B|31=50|32=7|55=Instrument 01|60=20251203-19:33:38.267|75=20251203-19:33:38.267|150=C|207=ROFX|570=N|571=3025|572=BT_ID|828=1|856=3|880=BT2007|552=1|54=2|37=|1=02|10=097|

Client_C

#Notify about the new Block Trade to be confirmed
8=FIXT.1.1|9=219|35=AE|34=141|49=ROFX|52=20251203-19:30:38.402|56=Client_C|31=50|32=7|55=Instrument 01|60=20251203-19:30:38.267|75=20251203-19:30:38.267|150=0|207=ROFX|570=N|571=3022|572=BT_ID|828=1|856=0|880=BT2007|552=1|54=2|37=-|1=-|10=063|
#Notify the Block Trade acceptation, or declination
8=FIXT.1.1|9=219|35=AE|34=147|49=ROFX|52=20251203-19:33:38.417|56=Client_C|31=50|32=7|55=Instrument 01|60=20251203-19:33:38.267|75=20251203-19:33:38.267|150=C|207=ROFX|570=N|571=3026|572=BT_ID|828=1|856=3|880=BT2007|552=1|54=2|37=-|1=-|10=095|