Description
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.
Trade Capture Report
Structure
| Tag | Field Name | Req'd | Comments | |
|---|---|---|---|---|
| Component Block - <StandardHeader> | Y | MsgType <35> = AE | ||
| Component Block - <ApplicationSequenceControl> | N | |||
| 571 | TradeReportID | N | 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. | |
| 1003 | TradeID | N | ||
| 1040 | SecondaryTradeID | N | ||
| 1041 | FirmTradeID | N | ||
| 1042 | SecondaryFirmTradeID | N | ||
| 2489 | PackageID | N | ||
| 2490 | TradeNumber | N | ||
| 487 | TradeReportTransType | N | Identifies Trade Report message transaction type. | |
| 856 | TradeReportType | N | ||
| 939 | TrdRptStatus | N |
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. |
|
| 568 | TradeRequestID | N | Request ID if the Trade Capture Report is in response to a Trade Capture Report Request | |
| 828 | TrdType | N | ||
| 829 | TrdSubType | N | ||
| 855 | SecondaryTrdType | N |
Conditionally requires presence of TrdType <828>. |
|
| 2896 | TertiaryTrdType | N |
Conditionally requires presence of SecondaryTrdType <855>. |
|
| 2961 | AnonymousTradeIndicator | N | ||
| 2667 | AlgorithmicTradeIndicator | N | ||
| 1849 | OffsetInstruction | N | ||
| Component Block - <TradePriceConditionGrp> | N | |||
| 1123 | TradeHandlingInstr | N | ||
| 1124 | OrigTradeHandlingInstr | N | ||
| 1125 | OrigTradeDate | N | Used to preserve original trade date when original trade is being referenced in a subsequent trade transaction such as a transfer | |
| 1126 | OrigTradeID | N | Used to preserve original trade id when original trade is being referenced in a subsequent trade transaction such as a transfer | |
| 1127 | OrigSecondaryTradeID | N | Used to preserve original secondary trade id when original trade is being referenced in a subsequent trade transaction such as a transfer | |
| 830 | TransferReason | N | ||
| 150 | ExecType | N |
Type of Execution being reported: Uses subset of ExecType for Trade Capture Reports |
|
| 748 | TotNumTradeReports | N | Number of trade reports returned - if this report is part of a response to a Trade Capture Report Request | |
| 912 | LastRptRequested | N | Indicates if this is the last report in the response to a Trade Capture Report Request | |
| 1028 | ManualOrderIndicator | N |
May be used to indicate manual reporting of the trade. |
|
| 325 | UnsolicitedIndicator | N | 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. | |
| 263 | SubscriptionRequestType | N | Used to subscribe / unsubscribe for trade capture reports. If the field is absent, the value 0 will be the default | |
| 572 | TradeReportRefID | N | The TradeReportID that is being referenced for some action, such as correction or cancellation | |
| 881 | SecondaryTradeReportRefID | N | ||
| 818 | SecondaryTradeReportID | N | ||
| 820 | TradeLinkID | N | Used to associate a group of trades together. Useful for average price calculations. | |
| 880 | TrdMatchID | N | ||
| 17 | ExecID | N | Market (Exchange) assigned Execution Identifier | |
| 19 | ExecRefID | N |
Reference to an execution identifier previously assigned by the market (exchange). If specified, ExecID <17> is required. |
|
| 527 | SecondaryExecID | N | ||
| 378 | ExecRestatementReason | N | Reason for restatement | |
| 2347 | RegulatoryTransactionType | N | ||
| Component Block - <RegulatoryTradeIDGrp> | N | |||
| 570 | PreviouslyReported | N | Indicates if the trade capture report was previously reported to the counterparty | |
| 423 | PriceType | N | Can be used to indicate cabinet trade pricing | |
| Component Block - <PriceQualifierGrp> | N | |||
| 549 | CrossType | N | ||
| Component Block - <RootParties> | N | Insert here the set of "Root Parties" fields defined in "common components of application messages" Used for acting parties that applies to the whole message, not individual legs, sides, etc.. | ||
| 1015 | AsOfIndicator | N | Indicates if the trade is an outtrade from a previous day. | |
| 716 | SettlSessID | N | ||
| 717 | SettlSessSubID | N | ||
| 1430 | VenueType | N | ||
| 1300 | MarketSegmentID | N | ||
| 1301 | MarketID | N | ||
| 2375 | TaxonomyType | N | ||
| Component Block - <Instrument> | Y | Insert here the set of "Instrument" (symbology) fields defined in "Common Components of Application Messages" | ||
| Component Block - <InstrumentExtension> | N | |||
| Component Block - <FinancingDetails> | N | Insert here the set of "FinancingDetails" fields defined in "Common Components of Application Messages" | ||
| Component Block - <PaymentGrp> | N | |||
| 854 | QtyType | N | ||
| Component Block - <YieldData> | N | Insert here the set of "YieldData" fields defined in "Common Components of Application Messages" | ||
| Component Block - <UndInstrmtGrp> | N | |||
| Component Block - <RelatedInstrumentGrp> | N | |||
| Component Block - <CollateralAmountGrp> | N | |||
| 2868 | CollateralizationValueDate | N | ||
| Component Block - <RateSource> | N | |||
| Component Block - <TransactionAttributeGrp> | N | |||
| 822 | UnderlyingTradingSessionID | N | ||
| 823 | UnderlyingTradingSessionSubID | N | ||
| 32 | LastQty | N | Trade Quantity. | |
| 1828 | LastQtyVariance | N | ||
| 2301 | LastQtyChanged | N | ||
| 2368 | LastMultipliedQty | N | ||
| 2367 | TotalTradeQty | N | ||
| 2370 | TotalTradeMultipliedQty | N | ||
| 31 | LastPx | N | Trade Price. | |
| 631 | MidPx | N | ||
| 1522 | DifferentialPrice | N |
Used to specify the differential price when reporting the individual leg of a spread trade. |
|
| 1056 | CalculatedCcyLastQty | N | ||
| 2762 | PriceMarkup | N |
Dealer's markup of market price to LastPx <31>. |
|
| Component Block - <AveragePriceDetail> | N | |||
| 15 | Currency | N | Primary currency of the specified currency pair. Used to qualify LastQty and GrossTradeAmout | |
| 2897 | CurrencyCodeSource | N | ||
| 120 | SettlCurrency | N | Contra currency of the deal. Used to qualify CalculatedCcyLastQty | |
| 2899 | SettlCurrencyCodeSource | N | ||
| 2366 | SettlPriceFxRateCalc | N |
For FX trades expresses whether to multiply or divide LastPx <31> to arrive at GrossTradeAmt <381>. |
|
| 669 | LastParPx | N | 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. | |
| 194 | LastSpotRate | N | Applicable for F/X orders | |
| 195 | LastForwardPoints | N | Applicable for F/X orders | |
| 1071 | LastSwapPoints | N | ||
| 2349 | PricePrecision | N | ||
| 30 | LastMkt | N | ||
| 1596 | ClearingTradePrice | N |
Used when clearing price differs from execution price. |
|
| 1740 | TradePriceNegotiationMethod | N | ||
| 1743 | LastUpfrontPrice | N |
Upfront Price for CDS transactions. Conditionally required if TradePriceNegotiationMethod <1740> = 4(Percent of par and upfront amount), 5(Deal spread and upfront amount) or 6(Upfront points and upfront amount). |
|
| 1741 | UpfrontPriceType | N | ||
| 75 | TradeDate | N | Used when reporting other than current day trades. | |
| 715 | ClearingBusinessDate | N | ||
| 2870 | ClearingPortfolioID | N | ||
| 6 | AvgPx | N | Average Price - if present then the LastPx will contain the original price on the execution | |
| Component Block - <SpreadOrBenchmarkCurveData> | N | Insert here the set of "SpreadOrBenchmarkCurveData" fields defined in "Common Components of Application Messages" | ||
| 1731 | AvgPxGroupID | N | ||
| 819 | AvgPxIndicator | N | Average Pricing indicator | |
| 2085 | ValuationDate | N | ||
| 2086 | ValuationTime | N | ||
| 2087 | ValuationBusinessCenter | N | ||
| Component Block - <PositionAmountData> | N | Insert here here the set of "Position Amount Data" fields defined in "Common Components of Application Messages" | ||
| 442 | MultiLegReportingType | N |
Type of report if multileg instrument. Provided to support a scenario for trades of multileg instruments between two parties. |
|
| 824 | TradeLegRefID | N |
Reference to the leg of a multileg instrument to which this trade refers Used when MultiLegReportingType = 2 (Single Leg of a Multileg security) |
|
| Component Block - <TrdInstrmtLegGrp> | N |
Number of legs Identifies a Multi-leg Execution if present and non-zero. |
||
| 60 | TransactTime | N | Time the transaction represented by this Trade Capture Report occurred. Execution Time of trade. Also describes the time of block trades. | |
| Component Block - <TrdRegTimestamps> | N | |||
| 63 | SettlType | N | ||
| 64 | SettlDate | N | Takes precedence over SettlType value and conditionally required/omitted for specific SettlType values. | |
| 2878 | TerminationDate | N | ||
| 987 | UnderlyingSettlementDate | N | The settlement date for the underlying instrument of a derivatives security. | |
| 573 | MatchStatus | N | ||
| 2405 | ExecMethod | N | ||
| 574 | MatchType | N | ||
| Component Block - <TradeQtyGrp> | N | |||
| Component Block - <TrdCapRptSideGrp> | Y | Number of sides | ||
| 1188 | Volatility | N | ||
| 1189 | TimeToExpiration | N | ||
| 1380 | DividendYield | N | ||
| 1190 | RiskFreeRate | N | ||
| 811 | PriceDelta | N | ||
| 1382 | CurrencyRatio | N | ||
| 797 | CopyMsgIndicator | N | Indicates drop copy. | |
| Component Block - <TrdRepIndicatorsGrp> | N | Number of trade reporting indicators following | ||
| 2524 | TradeReportingIndicator | N | ||
| 852 | PublishTrdIndicator | N | ||
| 1390 | TradePublishIndicator | N | ||
| Component Block - <TrdRegPublicationGrp> | N | |||
| 853 | ShortSaleReason | N | ||
| 994 | TierCode | N | Indicates the algorithm (tier) used to match a trade | |
| 1011 | MessageEventSource | N | Used to identify the event or source which gave rise to a message | |
| 779 | LastUpdateTime | N | Used to indicate reports after a specific time | |
| 991 | RndPx | N | Specifies the rounded price to quoted precision. | |
| 1132 | TZTransactTime | N | ||
| 1134 | ReportedPxDiff | N | The reason(s) for the price difference should be stated by using field TrdType <828> and, if required, field TrdSubType <829> as well | |
| 381 | GrossTradeAmt | N | (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. | |
| 2369 | TotalGrossTradeAmt | N | ||
| 751 | TradeReportRejectReason | N |
Indicates the reason that a trade report was rejected. |
|
| 1328 | RejectText | N | ||
| 1664 | EncodedRejectTextLen | N | ||
| 1665 | EncodedRejectText | N | ||
| 1329 | FeeMultiplier | N | ||
| 1832 | ClearedIndicator | N | ||
| 1924 | ClearingIntention | N | ||
| 1925 | TradeClearingInstruction | N | ||
| 1926 | BackloadedTradeIndicator | N | ||
| 1927 | ConfirmationMethod | N | ||
| 1928 | MandatoryClearingIndicator | N | ||
| Component Block - <MandatoryClearingJurisdictionGrp> | N | |||
| 1929 | MixedSwapIndicator | N | ||
| 2527 | MultiAssetSwapIndicator | N | ||
| 2526 | InternationalSwapIndicator | N | ||
| 1930 | OffMarketPriceIndicator | N | ||
| 1931 | VerificationMethod | N | ||
| 1932 | ClearingRequirementException | N | ||
| 1933 | IRSDirection | N | ||
| 1934 | RegulatoryReportType | N | ||
| 2869 | RegulatoryReportTypeBusinessDate | N |
May be used when the business event date differs from when the regulatory report is actually being submitted (typically specified in TrdRegTimestamps component). |
|
| 1935 | VoluntaryRegulatoryReport | N | ||
| 1936 | TradeCollateralization | N | ||
| 1937 | TradeContinuation | N | ||
| 2387 | TradeContingency | N | ||
| 2302 | TradeVersion | N | ||
| 2303 | HistoricalReportIndicator | N | ||
| 2596 | DeltaCrossed | N | ||
| 2374 | TradeContinuationText | N | ||
| 2372 | EncodedTradeContinuationTextLen | N |
Must be set if EncodedTradeContinuationText <2371> field is specified and must immediately precede it. |
|
| 2371 | EncodedTradeContinuationText | N |
Encoded (non-ASCII characters) representation of the TradeContinuationText <2374> field in the encoded format specified via the MessageEncoding <347> field. |
|
| 2373 | IntraFirmTradeIndicator | N | ||
| 2525 | AffiliatedFirmsTradeIndicator | N | ||
| Component Block - <AttachmentGrp> | N | |||
| 2343 | RiskLimitCheckStatus | N | ||
| Component Block - <StandardTrailer> | Y | |||