Definition
Trade Capture Reporting allows sell-side firms (broker, exchange, ECN) to provide timely reporting of completed trades to an external entity not involved in the execution of the trade.
Message structure 232 distinct fields
Source order, including nested components and groups. Group counts precede the repeated entries. “Required here” is relative to the enclosing component or group, not unconditional in the message. A dash means not marked required; conditional requirements remain in the source notes. This is a reference, not a counterparty-specific validator.
StandardHeaderComponentRequired
MsgType = AD
StandardHeader definition & usage →
FIX.4.4 (Always unencrypted, must be first field in message)
(Always unencrypted, must be second field in message)
(Always unencrypted, must be third field in message)
(Always unencrypted)
(Always unencrypted)
Trading partner company ID used when sending messages via a third party (Can be embedded within encrypted data section.)
Trading partner company ID used when sending messages via a third party (Can be embedded within encrypted data section.)
Required to identify length of encrypted section of message. (Always unencrypted)
Required when message body is encrypted. Always immediately follows SecureDataLen field.
(Can be embedded within encrypted data section.)
(Can be embedded within encrypted data section.)
Sender's LocationID (i.e. geographic location and/or desk) (Can be embedded within encrypted data section.)
"ADMIN" reserved for administrative messages not intended for a specific user. (Can be embedded within encrypted data section.)
Trading partner LocationID (i.e. geographic location and/or desk) (Can be embedded within encrypted data section.)
Trading partner SubID used when delivering messages via a third party. (Can be embedded within encrypted data section.)
Trading partner LocationID (i.e. geographic location and/or desk) used when delivering messages via a third party. (Can be embedded within encrypted data section.)
Trading partner SubID used when delivering messages via a third party. (Can be embedded within encrypted data section.)
Trading partner LocationID (i.e. geographic location and/or desk) used when delivering messages via a third party. (Can be embedded within encrypted data section.)
Always required for retransmitted messages, whether prompted by the sending system or as the result of a resend request. (Can be embedded within encrypted data section.)
Required when message may be duplicate of another message sent under a different sequence number. (Can be embedded within encrypted data section.)
(Can be embedded within encrypted data section.)
Required for message resent as a result of a ResendRequest. If data is not available set to same value as SendingTime (Can be embedded within encrypted data section.)
Required when specifying XmlData to identify the length of a XmlData message block. (Can be embedded within encrypted data section.)
Can contain an XML formatted message block (e.g. FIXML). Always immediately follows XmlDataLen field. (Can be embedded within encrypted data section.) See Volume 1: FIXML Support
Type of message encoding (non-ASCII characters) used in a message’s "Encoded" fields. Required if any "Encoding" fields are used.
The last MsgSeqNum value received by the FIX engine and processed by downstream application, such as trading system or order routing system. Can be specified on every message sent. Useful for detecting a backlog with a counterparty.
HopRepeating groupCount tag 627—
Number of repeating groups of historical "hop" information. Only applicable if OnBehalfOfCompID is used, however, its use is optional. Note that some market regulations or counterparties may require tracking of message hops.
Identifier for the trade request
Used to subscribe / unsubscribe for trade capture reports If the field is absent, the value 0 will be the default (snapshot only - no subscription)
To request a specific trade report
To request a specific trade report
To requst all trades of a specific execution type
To request all trades of a specific trade type
To request all trades of a specific trade sub type
To request all trades for a specific transfer reason
To request all trades of a specific trade sub type
To request all trades of a specific trade link id
To request a trade matching a specific TrdMatchID
PartiesRepeating groupCount tag 453—
Used to specify the parties for the trades to be returned (clearing firm, execution broker, trader id, etc.) ExecutingBroker ClearingFirm ContraBroker ContraClearingFirm SettlementLocation - depository, CSD, or other settlement party ExecutingTrader InitiatingTrader OrderOriginator
Repeating group below should contain unique combinations of PartyID, PartyIDSource, and PartyRole
Used to identify source of PartyID. Required if PartyIDSource is specified. Required if NoPartyIDs > 0.
Used to identify class source of PartyID value (e.g. BIC). Required if PartyID is specified. Required if NoPartyIDs > 0.
Identifies the type of PartyID (e.g. Executing Broker). Required if NoPartyIDs > 0.
PtysSubGrpRepeating groupCount tag 802—
Repeating group of Party sub-identifiers.
PtysSubGrp definition & usage →
InstrumentComponent—
Instrument definition & usage →
Common, "human understood" representation of the security. SecurityID value can be specified if no symbol exists (e.g. non-exchange traded Collective Investment Vehicles) Use "[N/A]" for products which do not have a symbol.
Used in Fixed Income with a value of "WI" to indicate "When Issued" for a security to be reissued under an old CUSIP or ISIN or with a value of "CD" to indicate a EUCP with lump-sum interest rather than discount price.
Takes precedence in identifying security to counterparty over SecurityAltID block. Requires SecurityIDSource if specified.
Required if SecurityID is specified.
SecAltIDGrpRepeating groupCount tag 454—
Number of alternate Security Identifiers
SecAltIDGrp definition & usage →
Indicates the type of product the security is associated with (high-level category)
Indicates the type of security using ISO 10962 standard, Classification of Financial Instruments (CFI code) values. It is recommended that CFICode be used instead of SecurityType for non-Fixed Income instruments.
It is recommended that CFICode be used instead of SecurityType for non-Fixed Income instruments. Required for Fixed Income. Refer to Volume 7 - Fixed Income Futures and Options should be specified using the CFICode[461] field instead of SecurityType[167] (Refer to Volume 7 - Recommendations and Guidelines for Futures and Options Markets.)
Sub-type qualification/identification of the SecurityType (e.g. for SecurityType="MLEG"). If specified, SecurityType is required.
Specifies the month and year of maturity. Applicable for standardized derivatives which are typically only referenced by month and year (e.g. S&P futures). Note MaturityDate (a full date) can also be specified.
Specifies date of maturity (a full date). Note that standardized derivatives which are typically only referenced by month and year (e.g. S&P futures).may use MaturityMonthYear and/or this field. When using MaturityMonthYear, it is recommended that markets and sell sides report the MaturityDate on all outbound messages as a means of data enrichment.
For Options.
Date interest is to be paid. Used in identifying Corporate Bond issues.
Date instrument was issued. For Fixed Income IOIs for new issues, specifies the issue date.
(Deprecated, use UnderlyingSecurityType (310) )
(Deprecated, use TerminationType (788) )
(Deprecated, use Price (44) )
For Fixed Income: Amortization Factor for deriving Current face from Original face for ABS or MBS securities, note the fraction may be greater than, equal to or less than 1. In TIPS securities this is the Inflation index. Qty * Factor * Price = Gross Trade Amount For Derivatives: Contract Value Factor by which price must be adjusted to determine the true nominal value of one futures/options contract. (Qty * Price) * Factor = Nominal Value
The location at which records of ownership are maintained for this instrument, and at which ownership changes must be recorded. Can be used in conjunction with ISIN to address ISIN uniqueness issues.
ISO Country code of instrument issue (e.g. the country portion typically used in ISIN). Can be used in conjunction with non-ISIN SecurityID (e.g. CUSIP for Municipal Bonds without ISIN) to provide uniqueness.
A two-character state or province abbreviation.
The three-character IATA code for a locale (e.g. airport code for Municipal Bonds).
(Deprecated, use YieldRedemptionDate (696) in <YieldData> component block)
Used for derivatives, such as options and covered warrants
Used for derivatives
Used for derivatives, such as options and covered warrants to indicate a versioning of the contract when required due to corporate actions to the underlying. Should not be used to indicate type of option - use the CFICode[461] for this purpose.
For Fixed Income, Convertible Bonds, Derivatives, etc. Note: If used, quantities should be expressed in the "nominal" (e.g. contracts vs. shares) amount.
For Fixed Income.
Can be used to identify the security.
Must be set if EncodedIssuer field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the Issuer field in the encoded format specified via the MessageEncoding field.
Must be set if EncodedSecurityDesc field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the SecurityDesc field in the encoded format specified via the MessageEncoding field.
Identifies MBS / ABS pool
Must be present for MBS/TBA
The program under which a commercial paper is issued
The registration type of a commercial paper issuance
EvntGrpRepeating groupCount tag 864—
Number of repeating EventType group entries.
If different from IssueDate
If different from IssueDate and DatedDate
InstrumentExtensionComponent—
InstrumentExtension definition & usage →
Identifies the form of delivery.
Percent at risk due to lowest possible call.
AttrbGrpRepeating groupCount tag 870—
Number of repeating InstrAttrib group entries.
FinancingDetailsComponent—
FinancingDetails definition & usage →
The full name of the base standard agreement, annexes and amendments in place between the principals and applicable to this deal
A common reference to the applicable standing agreement between the principals
A reference to the date the underlying agreement was executed.
Currency of the underlying agreement.
For Repos the timing or method for terminating the agreement.
Settlement date of the beginning of the deal
Repayment / repurchase date
Delivery or custody arrangement for the underlying securities
Percentage of cash value that underlying security collateral must meet.
UndInstrmtGrpRepeating groupCount tag 711—
Indicates number of repeating entries. ** Nested Repeating Group follows **
UndInstrmtGrp definition & usage →
UnderlyingInstrumentComponent—
UnderlyingInstrument definition & usage →
(Deprecated, not applicable/used for Repos)
(Deprecated, not applicable/used for Repos)
(Deprecated, not applicable/used for Repos)
(Deprecated, use YieldRedemptionDate (696) in <YieldData> component block)
Specific to the <UnderlyingInstrument> (not in <Instrument>)
Specific to the <UnderlyingInstrument> (not in <Instrument>) Unit amount of the underlying security (par, shares, currency, etc.)
Specific to the <UnderlyingInstrument> (not in <Instrument>) In a financing deal clean price (percent-of-par or per unit) of the underlying security or basket.
Specific to the <UnderlyingInstrument> (not in <Instrument>) In a financing deal price (percent-of-par or per unit) of the underlying security or basket. "Dirty" means it includes accrued interest
Specific to the <UnderlyingInstrument> (not in <Instrument>) In a financing deal price (percent-of-par or per unit) of the underlying security or basket at the end of the agreement.
Specific to the <UnderlyingInstrument> (not in <Instrument>) Currency value attributed to this collateral at the start of the agreement
Specific to the <UnderlyingInstrument> (not in <Instrument>) Currency value currently attributed to this collateral
Specific to the <UnderlyingInstrument> (not in <Instrument>) Currency value attributed to this collateral at the end of the agreement
UnderlyingStipulationsRepeating groupCount tag 887—
Specific to the <UnderlyingInstrument> (not in <Instrument>)
UnderlyingStipulations definition & usage →
Required if NoUnderlyingStips >0
InstrmtLegGrpRepeating groupCount tag 555—
Indicates number of repeating entries. ** Nested Repeating Group follows **
InstrmtLegGrp definition & usage →
InstrumentLegComponent—
InstrumentLeg definition & usage →
(Deprecated, not applicable/used for Repos)
(Deprecated, not applicable/used for Repos)
(Deprecated, not applicable/used for Repos)
(Deprecated, use YieldRedemptionDate (696) in <YieldData> component block)
Specific to the <InstrumentLeg> (not in <Instrument>)
Specific to the <InstrumentLeg> (not in <Instrument>)
Specific to the <InstrumentLeg> (not in <Instrument>)
Identifies MBS / ABS pool
TrdCapDtGrpRepeating groupCount tag 580—
Number of date ranges provided (must be 1 or 2 if specified)
TrdCapDtGrp definition & usage →
To request trades for a specific clearing business date.
To request trades for a specific trading session.
To request trades for a specific trading session.
To request trades within a specific time bracket.
To request trades for a specific side of a trade.
Used to indicate if trades are to be returned for the individual legs of a multileg instrument or for the overall instrument.
To requests trades that were submitted from a specific trade input source.
To request trades that were submitted from a specific trade input device.
Ability to specify whether the response to the request should be delivered inband or via pre-arranged out-of-band transport.
URI destination name. Used if ResponseTransportType is out-of-band.
Used to match specific values within Text fields
StandardTrailerComponentRequired
StandardTrailer definition & usage →
Required when trailer contains signature. Note: Not to be included within SecureData field
Note: Not to be included within SecureData field
(Always unencrypted, always last field in message)