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Trade Capture Reports Query

Trade Capture Reports Query

MESSAGE SPECIFICATION

Trade Capture Report Request (MsgType = AD): Regular Trades (TrdType = 0) by Account

The Trade Capture Report Request can be used to:

  • Request all trades made with a specified account.

  • Request all trades made with a specified account available to canceled.

Tag

FixName

Req

Valid Values

Data Type

Description

 Standard Header

568

TradeRequestID

Y

 

String

Identifier for the trade request.

569

TradeRequestType

Y

1 = MatchedTradesMatchingCriteria

Int

Type of “trade capture report”.

828

TrdType

N

0 = RegularTrade

Int

To request all trades of a specific trade type.

830

TransferReason

C

“AccountDetail”
“TradeCancel”

String

To request all trades for a specific transfer reason.
“AccountDetail” for all trades belonging a specific account.
“TradeCancel” for all trades enables to cancel and belonging a specific account.

Absence of this field is interpreted as AccountDetail.

Block Parties

Y

 

 

Insert here the block defined in Block Parties
In this case PartyRole is Customer Account (24)

 Standard Trailer

 

Trade Capture Report Request (MsgType = AD): Regular Trades (TrdType = 0) by Symbol

The Trade Capture Report Request can be used to:

  • Request all trades made on a specified symbol.

Tag

FixName

Req

Valid Values

Data Type

Description

 Standard Header

568

TradeRequestID

Y

 

String

Identifier for the trade request.

569

TradeRequestType

Y

1 = MatchedTradesMatchingCriteria

Int

Type of “trade capture report”.

828

TrdType

N

0 = RegularTrade

Int

To request all trades of a specific trade type.

55

Symbol

Y

 

String

Ticker symbol. Conditionally required when Trade capture report is request by symbol.

 Standard Trailer

 

Trade Capture Report (MsgType = AE): Regular Trades

The Trade Capture Report message can be:

  • Used to report trades between counterparties.

  • Sent as a reply to a Trade Capture Report Request.

Tag

FixName

Req

Valid Values

Data Type

Description

 Standard Header

17

ExecID

N

 

String

Exchanged assigned Execution ID

31

LastPx

 Y

 

Price

Trade Price

32

LastQty

Y

 

Qty

Trade Quantity

55

Symbol

Y

 

String

The 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.

461

CFICode

N

 

String

Indicate the type of security using ISO 10962.

487

TradeReportTransType

N

0 = New
1 = Cancel
2 = Replace

Int

Identifies Trade Report message transaction type.

568

TradeRequestID

C

 

String

Identifier for the trade capture report request associated with this trade capture report.
Required Trade Capture Report is in response to a Trade Capture Report Request.

570

PreviouslyReported

N

N = Not reported to counterparty
Y = Previously 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.

748

TotNumTradeReports

N

 

int

Total number of trade reports returned.

828

TrdType

Y

0 = REGULAR_TRADE
1 = BLOCK_TRADE
22 = REGISTRATION
1001 = ALLOCATION
1002 = GIVE UP
1003 = FLOOR TRADE
1004 = RFQ TRADE
1005 = FLOOR BLOCK TRADE
1006 = FLOOR REGISTRATION

Int

Type of Trade.

855

SecondaryTrdType

C

9 = Prior Reference Price trade

Int

Conditionally required if the trade was carried out in Phase CPX.

856

TradeReportType

N

0 = Submit

Int

Type of trade report.

912

LastRptRequested

N

N= Not last message
Y= Last message

Boolean

Indicates whether this message is that last report message in response to a request, such as
Order Mass Status Request

552

NoSides

Y

1 = One Side
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.

->

Block Parties

Y

 

 

Insert here the block defined in Block Parties

->

1

Account

N

 

String

Account mnemonic as agreed between buy and sell sides.
“*” when account is from counterparty.

->

1057

AggressorIndicator

N

Y = Order initiator is aggressor
N = Order initiator is passive

Boolean

Used to identify whether the order initiator is an aggressor or not in the trade.

 Standard Trailer

 

Trade Capture Report Request (MsgType = AD): Allocations and Giveups

The Trade Capture Report Request can be used to:

  • Request all trades made with “temporal accounts” available to do “allocations” or “giveups”.

Tag

FixName

Req

Valid Values

Data Type

Description

 Standard Header

568

TradeRequestID

Y

 

String

Identifier for the trade request

569

TradeRequestType

Y

0 = All Trades

Int

Type of “trade capture report”.

263

SubscriptionRequestType

N

0 = Snapshot

Char

Used to subscribe / unsubscribe for trade capture reports
If the field is absent, the value 0 will be the default (snapshot only no subscription)

828

TrdType

Y

1001 = Allocation
1002 = GiveUp

Int

Type of trade

 Standard Trailer

 

Trade Capture Report (MsgType = AE): Allocations and Giveups

The Trade Capture Report message can be:

  • Sent as a reply to a Trade Capture Report Request and used for operations available to be “allocated” or “giveup”.

Tag

FixName

Req

Valid Values

Data Type

Description

 Standard Header

31

LastPx

Y

 

Price

Trade Price.

32

LastQty

Y

 

Qty

Trade Quantity.