Description
The Trade Capture Report Request can be used to:
- Request one or more trade capture reports based upon selection criteria provided on the trade capture report request
- Subscribe for trade capture reports based upon selection criteria provided on the trade capture report request.
The following criteria can be specified on the Trade Capture Report Request:
- All trades matching specified trade identification: TradeReportID <571>, SecondaryTradeReportID <818>
- All trades matching specified trade types: TrdType <828>, TrdSubType <829>, TransferReason <830>, SecondaryTrdType <855>, TradeLinkID <820>
- All trades matching the order identification information: OrderId, ClOrdID <11>, ExecID <17>
- Trades that have specified MatchStatus <573>
-
All trades for the party defined in the component block <Parties>
- This can be a trader id, firm, broker id, clearing firm
- All trades for a specific instrument, specified using the component block <Instrument>, the component block <UnderlyingInstrument>, and/or the component block <InstrumentLeg>.
- All unreported trades - Executions that have not been sent
- All unmatched trades - Trades that have not been matched
- All trades matching specific date and trading session criteria
- Trades entered via a specific TradeInputSource <578>
- Trades entered via a specific TradeInputDevice <579>
- All Advisories
Each field in the Trade Capture Report Request (other than TradeRequestID <568> and SubscriptionRequestType <263>) identify filters - trade reports that satisfy all Specified filters will be returned. Note that the filters are combined using an implied "and" - a trade report must satisfy every specified filter to be returned.
The optional date or time range-specific filter criteria (within NoDates <580> repeating group) can be used in one of two modes:
- "Since" a time period. NoDates <580>=1 with first TradeDate <75> (and optional TransactTime <60>) indicating the "since" (greater than or equal to operation) point in time.
- "Between" time periods. NoDates <580>=2 with first TradeDate <75> (and optional TransactTime <60>) indicating the "beginning" (greater than or equal to operation) point in time and the second TradeDate <75> (and optional TransactTime <60>) indicating the "ending" (less than or equal to operation) point in time.
Trade Capture Report messages are the normal return type to a Trade Capture Report Request.
The response to a Trade Capture Report Request can be:
- One or more Trade Capture Reports
-
A Trade Capture Report Request Ack followed by one or more Trade Capture Reports in two specific cases:
- When the Trade Capture Reports are being delivered out of band (such as a file transfer),
- When there is a processing delay between the time of the request and when the reports will be sent (for instance in a distributed trading environment where trades are distributed across multiple trading systems).
-
A Trade Capture Report Ack only
- When no trades are found that match the selection criteria specified on the Trade Capture Report Request
- When the Trade Capture Report Request was deemed invalid for business reasons by the counterparty
Trade Capture Report Request
Structure
| Tag | Field Name | Req'd | Comments | |
|---|---|---|---|---|
| Component Block - <StandardHeader> | Y | MsgType <35> = AD | ||
| 568 | TradeRequestID | Y | Identifier for the trade request | |
| 1003 | TradeID | N | ||
| 1040 | SecondaryTradeID | N | ||
| 1041 | FirmTradeID | N | ||
| 1042 | SecondaryFirmTradeID | N | ||
| 569 | TradeRequestType | Y | ||
| 263 | SubscriptionRequestType | N |
Used to subscribe / unsubscribe for trade capture reports If the field is absent, the value 0 will be the default (snapshot only - no subscription) |
|
| 571 | TradeReportID | N | To request a specific trade report | |
| 818 | SecondaryTradeReportID | N | To request a specific trade report | |
| 527 | SecondaryExecID | N |
To request all trades based on secondary execution identifier |
|
| 17 | ExecID | N | ||
| 150 | ExecType | N | To request all trades of a specific execution type | |
| 37 | OrderID | N | ||
| 11 | ClOrdID | N | ||
| 573 | MatchStatus | N | ||
| 828 | TrdType | N | To request all trades of a specific trade type | |
| 829 | TrdSubType | N | To request all trades of a specific trade sub type | |
| 1849 | OffsetInstruction | N | ||
| 1123 | TradeHandlingInstr | N | ||
| 830 | TransferReason | N | To request all trades for a specific transfer reason | |
| 855 | SecondaryTrdType | N | To request all trades of a specific trade sub type | |
| 820 | TradeLinkID | N | To request all trades of a specific trade link id | |
| 880 | TrdMatchID | N | To request a trade matching a specific TrdMatchID | |
| Component Block - <Parties> | N |
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 |
||
| Component Block - <Instrument> | N | Insert here the set of "Instrument" (symbology) fields defined in "Common Components of Application Messages" | ||
| Component Block - <InstrumentExtension> | N | Insert here the set of "InstrumentExtension" fields defined in "Common Components of Application Messages" | ||
| Component Block - <FinancingDetails> | N | Insert here the set of "FinancingDetails" fields defined in "Common Components of Application Messages" | ||
| Component Block - <UndInstrmtGrp> | N | |||
| Component Block - <InstrmtLegGrp> | N | |||
| Component Block - <TrdCapDtGrp> | N | Number of date ranges provided (must be 1 or 2 if specified) | ||
| 715 | ClearingBusinessDate | N | To request trades for a specific clearing business date. | |
| 336 | TradingSessionID | N | To request trades for a specific trading session. | |
| 625 | TradingSessionSubID | N | To request trades for a specific trading session. | |
| 943 | TimeBracket | N | To request trades within a specific time bracket. | |
| 54 | Side | N | To request trades for a specific side of a trade. | |
| 442 | MultiLegReportingType | N | Used to indicate if trades are to be returned for the individual legs of a multileg instrument or for the overall instrument. | |
| 578 | TradeInputSource | N | To requests trades that were submitted from a specific trade input source. | |
| 579 | TradeInputDevice | N | To request trades that were submitted from a specific trade input device. | |
| 725 | ResponseTransportType | N | Ability to specify whether the response to the request should be delivered inband or via pre-arranged out-of-band transport. | |
| 726 | ResponseDestination | N | URI destination name. Used if ResponseTransportType is out-of-band. | |
| 58 | Text | N | Used to match specific values within Text fields | |
| 354 | EncodedTextLen | N | ||
| 355 | EncodedText | N | ||
| 1011 | MessageEventSource | N | Used to identify the event or source which gave rise to a message | |
| Component Block - <StandardTrailer> | Y | |||