Definition
The Trade Capture Report message can be:
- Used to report trades between counterparties.
- Used to report trades to a trade matching system
- Can be sent unsolicited between counterparties.
- Sent as a reply to a Trade Capture Report Request.
- Can be used to report unmatched and matched trades.
Message structure 615 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 = AE
StandardHeader definition & usage →
FIXT.1.1 (Always unencrypted, must be first field in message)
(Always unencrypted, must be second field in message)
(Always unencrypted, must be third field in message)
Indicates application version using a service pack identifier. The ApplVerID applies to a specific message occurrence.
Used to support bilaterally agreed custom functionality
(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 a 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.
HopGrpRepeating 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.
ApplicationSequenceControlComponent—
ApplicationSequenceControl definition & usage →
Identifies the application with which a message is associated. Used only if application sequencing is in effect.
Application sequence number assigned to the message by the application generating the message. Used only if application sequencing is in effect. Conditionally required if ApplID has been specified.
The previous sequence number in the application sequence stream. Permits an application to publish messages with sequence gaps where it cannot be avoided. Used only if application sequencing is in effect. Conditionally required if ApplID has been specified
Used to indicate that a message is being sent in response to an Application Message Request. Used only if application sequencing is in effect. It is possible for both ApplResendFlag and PossDupFlag to be set on the same message if the Sender's cache size is greater than zero and the message is being resent due to a session level resend request.
TradeReportID is conditionally required in a message-chaining model in which a subsequent message may refer to a prior message via TradeReportRefID. The alternative to a message-chain model is an entity-based model in which TradeID is used to identify a trade. In this case, TradeID is required and TradeReportID can be optionally specified.
Identifies Trade Report message transaction type.
Status of Trade Report In 3 party listed derivatives model used to convey status of a trade to a counterparty. Used specifically in a "claim" model.
Request ID if the Trade Capture Report is in response to a Trade Capture Report Request
Used to preserve original trade date when original trade is being referenced in a subsequent trade transaction such as a transfer
Used to preserve original trade id when original trade is being referenced in a subsequent trade transaction such as a transfer
Used to preserve original secondary trade id when original trade is being referenced in a subsequent trade transaction such as a transfer
Type of Execution being reported: Uses subset of ExecType for Trade Capture Reports
Number of trade reports returned - if this report is part of a response to a Trade Capture Report Request
Indicates if this is the last report in the response to a Trade Capture Report Request
Set to 'Y' if message is sent as a result of a subscription request or out of band configuration as opposed to a Position Request.
Used to subscribe / unsubscribe for trade capture reports. If the field is absent, the value 0 will be the default
The TradeReportID that is being referenced for some action, such as correction or cancellation
Used to associate a group of trades together. Useful for average price calculations.
Market (Exchange) assigned Execution Identifier
Reason for restatement
Indicates if the trade capture report was previously reported to the counterparty
Can be used to indicate cabinet trade pricing
RootPartiesRepeating groupCount tag 1116—
Used for acting parties that applies to the whole message, not individual legs, sides, etc..
RootParties definition & usage →
Repeating group below should contain unique combinations of RootPartyID, RootPartyIDSource, and RootPartyRole
Used to identify source of RootPartyID. Required if RootPartyIDSource is specified. Required if NoRootPartyIDs > 0.
Used to identify class source of RootPartyID value (e.g. BIC). Required if RootPartyID is specified. Required if NoRootPartyIDs > 0.
Identifies the type of RootPartyID (e.g. Executing Broker). Required if NoRootPartyIDs > 0.
RootSubPartiesRepeating groupCount tag 1120—
Repeating group of RootParty sub-identifiers.
RootSubParties definition & usage →
Repeating group of RootParty sub-identifiers.
Sub-identifier (e.g. Clearing Acct for PartyID=Clearing Firm) if applicable. Required if NoRootPartySubIDs > 0.
Type of Sub-identifier. Required if NoRootPartySubIDs > 0.
Indicates if the trade is an outtrade from a previous day.
InstrumentComponentRequired
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)
Identifies an entire suite of products for a given market. In Futures this may be "interest rates", "agricultural", "equity indexes", etc
An exchange specific name assigned to a group of related securities which may be concurrently affected by market events and actions.
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 NDFs this represents the fixing date of the contract.
For NDFs this represents the fixing time of the contract. It is optional to specify the fixing time.
Indicator to determine if Instrument is Settle on Open.
Gives the current state of the instrument
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.
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).
Used for derivatives, such as options and covered warrants
Used for derivatives
Used for derivatives. Multiplier applied to the strike price for the purpose of calculating the settlement value.
Used for derivatives. The number of shares/units for the financial instrument involved in the option trade.
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.
Minimum price increment for the instrument. Could also be used to represent tick value.
Minimum price increment amount associated with the MinPriceIncrement [969]. For listed derivatives, the value can be calculated by multiplying MinPriceIncrement by ContractValueFactor [231]
0
Settlement method for a contract. Can be used as an alternative to CFI Code value
Type of exercise of a derivatives security
Cash amount indicating the pay out associated with an option. For binary options this is a fixed amount
Method for price quotation
Indicates type of valuation method used.
Indicates whether the instruments are pre-listed only or can also be defined via user request
Used to express the ceiling price of a capped call
Used to express the floor price of a capped put
Used to express option right
Used to indicate if a security has been defined as flexible according to "non-standard" means. Analog to CFICode Standard/Non-standard indicator
Used to indicate if a product or group of product supports the creation of flexible securities
Used to indicate a time unit for the contract (e.g., days, weeks, months, etc.)
For Fixed Income.
Can be used to identify the security.
Position Limit for the instrument.
Near-term Position Limit for the instrument.
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.
SecurityXMLComponent—
Embedded XML document describing security.
SecurityXML definition & usage →
Must be set if SecurityXML field is specified and must immediately precede it.
XML payload or content describing the Security information.
XML Schema used to validate the XML used to describe the Security.
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.
Specific time of event. To be used in combination with EventDate [866]
If different from IssueDate
If different from IssueDate and DatedDate
InstrumentPartiesRepeating groupCount tag 1018—
Used to identify the parties listing a specific instrument
InstrumentParties definition & usage →
Repeating group below should contain unique combinations of InstrumentPartyID, InstrumentPartyIDSource, and InstrumentPartyRole
Used to identify party id related to instrument
Used to identify source of instrument party id
Used to identify the role of instrument party id
InstrumentPtysSubGrpRepeating groupCount tag 1052—
Repeating group of InstrumentParty sub-identifiers.
InstrumentPtysSubGrp definition & usage →
ComplexEventsRepeating groupCount tag 1483—
ComplexEvents definition & usage →
Number of complex events
Identifies the type of complex event. Required if NoComplexEvents > 0.
ComplexEventCondition is conditionally required when there are more than one ComplexEvent occurrences. A chain of ComplexEvents must be linked together through use of the ComplexEventCondition in which the relationship between any two events is described. For any two ComplexEvents the first occurrence will specify the ComplexEventCondition which links it with the second event.
ComplexEventDatesRepeating groupCount tag 1491—
Used to specify the dates and time ranges when a complex event is in effect.
ComplexEventDates definition & usage →
Number of complex event date occurrences for a given complex event.
Required if NoComplexEventDates(1491) > 0.
Required if NoComplexEventDates(1491) > 0.
ComplexEventTimesRepeating groupCount tag 1494—
ComplexEventTimes definition & usage →
Required if NoComplexEventTimes(1494) > 0.
Required if NoComplexEventTimes(1494) > 0.
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—
UndInstrmtGrp definition & usage →
Number of underlyings
UnderlyingInstrumentComponent—
Must be provided if Number of underlyings > 0
UnderlyingInstrument definition & usage →
Used to indicate a time unit for the contract (e.g., days, weeks, months, etc.)
Specific to the < UnderlyingInstrument > Percent of the Strike Price that this underlying represents. Necessary for derivatives that deliver into more than one underlying instrument.
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 > Indicates order settlement period for the underlying deliverable component.
Specific to the < UnderlyingInstrument > Cash amount associated with the underlying component. Necessary for derivatives that deliver into more than one underlying instrument and one of the underlying's is a fixed cash value.
Specific to the < UnderlyingInstrument > Used for derivatives that deliver into cash underlying. Indicates that the cash is either fixed or difference value (difference between strike and current underlying price)
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
Specific to the <UnderlyingInstrument> (not in <Instrument>). For listed derivatives margin management, this is the number of shares adjusted for upcoming corporate action. Used only for securities which are optionable and are between ex-date and settlement date (4 days).
Specific to the <UnderlyingInstrument> (not in <Instrument>). Foreign exchange rate used to compute UnderlyingCurrentValue (885) (or market value) from UnderlyingCurrency (318) to Currency (15).
Specific to the <UnderlyingInstrument> (not in <Instrument>). Specified whether UnderlyingFxRate (1045) should be multiplied or divided to derive UnderlyingCurrentValue (885).
UndlyInstrumentPartiesRepeating groupCount tag 1058—
UndlyInstrumentParties definition & usage →
Repeating group below should contain unique combinations of InstrumentPartyID, InstrumentPartyIDSource, and InstrumentPartyRole
Used to identify party id related to instrument
Used to identify source of instrument party id
Used to identify the role of instrument party id
UndlyInstrumentPtysSubGrpRepeating groupCount tag 1062—
Repeating group of InstrumentParty sub-identifiers.
UndlyInstrumentPtysSubGrp definition & usage →
Used to express option right
Trade Quantity.
Trade Price.
Primary currency of the specified currency pair. Used to qualify LastQty and GrossTradeAmout
Contra currency of the deal. Used to qualify CalculatedCcyLastQty
Last price expressed in percent-of-par. Conditionally required for Fixed Income trades when LastPx is expressed in Yield, Spread, Discount or any other price type that is not percent-of-par.
Applicable for F/X orders
Applicable for F/X orders
Used when reporting other than current day trades.
Average Price - if present then the LastPx will contain the original price on the execution
SpreadOrBenchmarkCurveDataComponent—
SpreadOrBenchmarkCurveData definition & usage →
For Fixed Income
Must be present if BenchmarkPrice is used.
The identifier of the benchmark security, e.g. Treasury against Corporate bond.
Source of BenchmarkSecurityID. If not specified, then ID Source is understood to be the same as that in the Instrument block.
Average Pricing indicator
PositionAmountDataRepeating groupCount tag 753—
PositionAmountData definition & usage →
Number of Position Amount entries
Type of report if multileg instrument. Provided to support a scenario for trades of multileg instruments between two parties.
Reference to the leg of a multileg instrument to which this trade refers Used when MultiLegReportingType = 2 (Single Leg of a Multileg security)
TrdInstrmtLegGrpRepeating groupCount tag 555—
Number of legs Identifies a Multi-leg Execution if present and non-zero.
TrdInstrmtLegGrp definition & usage →
Number of legs Identifies a Multi-leg Execution if present and non-zero.
InstrumentLegComponent—
Must be provided if Number of legs > 0
InstrumentLeg definition & usage →
Used to indicate a time unit for the contract (e.g., days, weeks, months, etc.)
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
Used to express option right
LegOptionRatio is provided on covering leg to create a delta neutral spread. In Listed Derivatives, the delta of the leg is multiplied by LegOptionRatio and OrderQty to determine the covering quantity.
Used to specify an anchor price for a leg as part of the definition or creation of the strategy - not used for execution price.
Instead of LegQty - requests that the sellside calculate LegQty based on opposite Leg
Additional attribute to store the Trade ID of the Leg.
Allow sequencing of Legs for a Strategy to be captured
LegStipulationsRepeating groupCount tag 683—
LegStipulations definition & usage →
Required if NoLegStipulations >0
Provide if the PositionEffect for the leg is different from that specified for the overall multileg security
Provide if the CoveredOrUncovered for the leg is different from that specified for the overall multileg security.
NestedPartiesRepeating groupCount tag 539—
Used for NestedPartyRole=Leg Clearing Firm/Account, Leg Account/Account Type
NestedParties definition & usage →
Repeating group below should contain unique combinations of NestedPartyID, NestedPartyIDSource, and NestedPartyRole
Used to identify source of NestedPartyID. Required if NestedPartyIDSource is specified. Required if NoNestedPartyIDs > 0.
Used to identify class source of NestedPartyID value (e.g. BIC). Required if NestedPartyID is specified. Required if NoNestedPartyIDs > 0.
Identifies the type of NestedPartyID (e.g. Executing Broker). Required if NoNestedPartyIDs > 0.
NstdPtysSubGrpRepeating groupCount tag 804—
Repeating group of NestedParty sub-identifiers.
NstdPtysSubGrp definition & usage →
Used to identify a specific leg.
Takes precedence over LegSettlmntTyp value and conditionally required/omitted for specific LegSettlType values.
Used to report the execution price assigned to the leg of the multileg instrument
For FX Futures can be used to express the notional value of a trade when LegLastQty and other quantity fields are expressed in terms of number of contracts - LegContractMultiplier (614) is required in this case.
TradeCapLegUnderlyingsGrpRepeating groupCount tag 1342—
TradeCapLegUnderlyingsGrp definition & usage →
Number of legs for the underlying instrument
UnderlyingLegInstrumentComponent—
UnderlyingLegInstrument definition & usage →
UnderlyingLegSecurityAltIDGrpRepeating groupCount tag 1334—
UnderlyingLegSecurityAltIDGrp definition & usage →
Time the transaction represented by this Trade Capture Report occurred. Execution Time of trade. Also describes the time of block trades.
TrdRegTimestampsRepeating groupCount tag 768—
TrdRegTimestamps definition & usage →
Required if NoTrdRegTimestamps > 1
Required if NoTrdRegTimestamps > 1
Type of Trading desk
Takes precedence over SettlType value and conditionally required/omitted for specific SettlType values.
The settlement date for the underlying instrument of a derivatives security.
TrdCapRptSideGrpRepeating groupCount tag 552Required
Number of sides
TrdCapRptSideGrp definition & usage →
Number of sides
Execution Identifier assigned by Market - used when each side of a trade is assigned its own unique ExecID
Used to indicate the quantity on one side of a multi-sided Trade Capture Report
Used to indicate the report ID on one side of a multi-sided Trade Capture Report
Used for order routing to indicate the Fill Station Code on one side of a multi-sided Trade Capture Report
Used to indicate the reason of a multi-sided Trade Capture Report
Used for order routing to indicate the fill sequence on one side of a multi-sided Trade Capture Report
Used to support multi-sided orders of different trade types
Code to represent whether value is net (inclusive of tax) or gross.
Used to Identify the Currency of the Trade Report Side.
Used to Identify the Settlement Currency of the Trade Report Side.
PartiesRepeating groupCount tag 453—
Range of values on report:
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 →
Required for executions against electronically submitted orders which were assigned an account by the institution or intermediary
Specifies type of account
Used to specify Step-out trades
ClrInstGrpRepeating groupCount tag 576—
ClrInstGrp definition & usage →
Required if NoClearingInstructions > 0
The customer capacity for this trade
Usually the same for all sides of a trade, if reported only on the first side the same TradingSessionID then applies to all sides of the trade
Usually the same for all sides of a trade, if reported only on the first side the same TradingSessionSubID then applies to all sides of the trade
CommissionDataComponent—
Note: On a fill/partial fill messages, it represents value for that fill/partial fill, on ExecType=Calculated, it represents cumulative value for the order. Monetary commission values are expressed in the currency reflected by the Currency field.
CommissionData definition & usage →
For repurchase agreements the accrued interest on termination.
For repurchase agreements the start (dirty) cash consideration
For repurchase agreements the end (dirty) cash consideration
Note: On a fill/partial fill messages, it represents value for that fill/partial fill, on ExecType=Calculated, it represents cumulative value for the order. Value expressed in the currency reflected by the Currency field.
Used to report results of forex accommodation trade
Foreign exchange rate used to compute SettlCurrAmt from Currency to SettlCurrency
Specifies whether the SettlCurrFxRate should be multiplied or divided
For use in derivatives omnibus accounting
May be used by the executing market to record any execution Details that are particular to that market
Must be set if EncodedText field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
Default is a single security if not specified. Provided to support the scenario where a single leg instrument trades against an individual leg of a multileg instrument.
ContAmtGrpRepeating groupCount tag 518—
ContAmtGrp definition & usage →
Number of contract details in this message (number of repeating groups to follow)
Must be first field in the repeating group.
StipulationsRepeating groupCount tag 232—
Stipulations definition & usage →
Required if NoStipulations >0
MiscFeesGrpRepeating groupCount tag 136—
MiscFeesGrp definition & usage →
Required if any miscellaneous fees are reported. Indicates number of repeating entries.
Required if NoMiscFees > 0
Required if NoMiscFees > 0
Used to report any exchange rules that apply to this trade.
Identifies if the trade is to be allocated
Used to assign an ID to the block of preallocations
TrdAllocGrpRepeating groupCount tag 78—
TrdAllocGrp definition & usage →
Number of repeating groups for trade allocation
Required if NoAllocs > 0. Must be first field in repeating group.
NestedParties2Repeating groupCount tag 756—
NestedParties2 definition & usage →
Repeating group below should contain unique combinations of Nested2PartyID, Nested2PartyIDSource, and Nested2PartyRole
Used to identify source of Nested2PartyID. Required if Nested2PartyIDSource is specified. Required if NoNested2PartyIDs > 0.
Used to identify class source of Nested2PartyID value (e.g. BIC). Required if Nested2PartyID is specified. Required if NoNested2PartyIDs > 0.
Identifies the type of Nested2PartyID (e.g. Executing Broker). Required if NoNested2PartyIDs > 0.
NstdPtys2SubGrpRepeating groupCount tag 806—
Repeating group of Nested2Party sub-identifiers.
NstdPtys2SubGrp definition & usage →
Can be used for granular reporting of separate allocation detail within a single trade report or allocation message.
Specifies the method under which a trade quantity was allocated.
Provides support for an intermediary assigned allocation ID
SideTrdRegTSRepeating groupCount tag 1016—
Used to indicate the regulatory time stamp on one side of a multi-sided Trade Capture Report.
SideTrdRegTS definition & usage →
SettlDetailsRepeating groupCount tag 1158—
Conveys settlement account details reported as part of obligation
SettlDetails definition & usage →
Number of settlement parties
Indicates the Source of the Settlement Instructions
SettlPartiesRepeating groupCount tag 781—
Carries settlement account information
SettlParties definition & usage →
Repeating group below should contain unique combinations of SettlPartyID, SettlPartyIDSource, and SettlPartyRole
Used to identify source of SettlPartyID. Required if SettlPartyIDSource is specified. Required if NoSettlPartyIDs > 0.
Used to identify class source of SettlPartyID value (e.g. BIC). Required if SettlPartyID is specified. Required if NoSettlPartyIDs > 0.
Identifies the type of SettlPartyID (e.g. Executing Broker). Required if NoSettlPartyIDs > 0.
SettlPtysSubGrpRepeating groupCount tag 801—
Repeating group of SettlParty sub-identifiers.
SettlPtysSubGrp definition & usage →
TradeReportOrderDetailComponent—
Order details for the order associated with this side of the trade
TradeReportOrderDetail definition & usage →
In the case of quotes can be mapped to QuoteMsgID(1166) of a single Quote(MsgType=S) or QuoteID(117) of a MassQuote(MsgType=i).
In the case of quotes can be mapped to QuoteID(117) of a single Quote(MsgType=S) or QuoteEntryID(299) of a MassQuote(MsgType=i).
Some hosts assign an order a new order id under special circumstances. The RefOrdID field will connect the same underlying order across changing OrderIDs.
The reason for updating the RefOrdID
Order type from the order associated with the trade
Order price at time of trade
Stop/Limit order price
Execution Instruction from the order associated with the trade
Status of order as of this trade report
OrderQtyDataComponent—
Order quantity at time of trade
OrderQtyData definition & usage →
One of CashOrderQty, OrderQty, or (for CIV only) OrderPercent is required. Note that unless otherwise specified, only one of CashOrderQty, OrderQty, or OrderPercent should be specified.
One of CashOrderQty, OrderQty, or (for CIV only) OrderPercent is required. Note that unless otherwise specified, only one of CashOrderQty, OrderQty, or OrderPercent should be specified. Specifies the approximate "monetary quantity" for the order. Broker is responsible for converting and calculating OrderQty in tradeable units (e.g. shares) for subsequent messages.
For CIV - Optional. One of CashOrderQty, OrderQty or (for CIV only) OrderPercent is required. Note that unless otherwise specified, only one of CashOrderQty, OrderQty, or OrderPercent should be specified.
For CIV - Optional
For CIV - Optional
The order expiration date/time in UTC
DisplayInstructionComponent—
DisplayInstruction definition & usage →
Required when DisplayMethod = 3
Required when DisplayMethod = 3
Can be used to specify larger increments than the standard increment provided by the market. Optionally used when DisplayMethod = 3
Required when DisplayMethod = 2
Indicates drop copy.
TrdRepIndicatorsGrpRepeating groupCount tag 1387—
Number of trade reporting indicators following
TrdRepIndicatorsGrp definition & usage →
Number of trade publication indicators following
Indicates the algorithm (tier) used to match a trade
Used to identify the event or source which gave rise to a message
Used to indicate reports after a specific time
Specifies the rounded price to quoted precision.
The reason(s) for the price difference should be stated by using field (Tag 828 ) TrdType and, if required, field (Tag 829) TrdSubType as well
(LastQty(32) * LastPx(31) or LastParPx(669)) For Fixed Income, LastParPx(669) is used when LastPx(31) is not expressed as "percent of par" price.
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)