TradeCaptureReportRequest <AD> message – FIX 5.0 – FIX Dictionary

Structure | Related Messages

Description

The Trade Capture Report Request <AD> 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 <AD>:

• 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 <37>, 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 <AD> (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 <AE> messages are the normal return type to a Trade Capture Report Request <AD>.

The response to a Trade Capture Report Request <AD> can be:

• One or more Trade Capture Reports
• A Trade Capture Report Request Ack <AQ> 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 <AR> only
• When no trades are found that match the selection criteria specified on the Trade Capture Report Request <AD>
• When the Trade Capture Report Request <AD> was deemed invalid for business reasons by the counterparty

Structure

Tag Field Name Req'd Comments <MessageHeader> 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 (Deprecated in FIX.5.0) To request a specific trade report 17 ExecID N 150 ExecType N To requst 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 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 Component Block - <InstrumentExtension> N Insert here the set of "InstrumentExtension" fields Component Block - <FinancingDetails> N Insert here the set of "FinancingDetails" fields 711 NoUnderlyings N Number of underlyings => Component Block - <UnderlyingInstrument> N Must be provided if Number of underlyings > 0 555 NoLegs N Number of legs Identifies a Multi-leg Execution if present and non-zero. => Component Block - <InstrumentLeg> N Must be provided if Number of legs > 0 580 NoDates N Number of date ranges provided (must be 1 or 2 if specified) => 75 TradeDate N Used when reporting other than current day trades. Conditionally required if NoDates <580> > 0 => 779 LastUpdateTime N => 60 TransactTime N To request trades for a specific time. 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 <MessageTrailer> Y