Message TradeCaptureReport (AE)

The Trade Capture Report message can be: - Used to report trades between counterparties. - Used to report trades to a trade matching system. - Sent unsolicited between counterparties. - Sent as a reply to a Trade Capture Report Request. - Used to report unmatched and matched trades.

Added in protocol FIX.4.3

See in: FIX.4.3, FIX.4.4, FIX.5.0, FIX.5.0SP1, FIX.5.0SP2.

Field or Component Name Description Is Required Added Is Deprecated
Block StandardHeader MsgType = AE Y FIX.4.3
Block ApplicationSequenceControl FIX.5.0
571 TradeReportID TradeReportID (571) is conditionally required in a message-chaining model in which a subsequent message may refer to a prior message via TradeReportRefID (572). The alternative to a message-chain model is an entity-based model in which TradeID (1003) is used to identify a trade. In this case, TradeID (1003) is required and TradeReportID (571) can be optionally specified. FIX.4.3
1003 TradeID FIX.4.4
1040 SecondaryTradeID FIX.4.4
1041 FirmTradeID FIX.4.4
1042 SecondaryFirmTradeID FIX.4.4
2489 PackageID FIX.5.0SP2 (192)
2490 TradeNumber FIX.5.0SP2 (192)
487 TradeReportTransType FIX.4.3
856 TradeReportType FIX.4.4
939 TrdRptStatus Status of the trade report. In 3-party listed derivatives model, this is used to convey status of a trade to a counterparty. Used specifically in a "give-up" (also known as "claim") model. FIX.4.4
568 TradeRequestID Identifier for the trade capture report request associated with this trade capture report. FIX.4.3
828 TrdType FIX.4.4
829 TrdSubType FIX.4.4
855 SecondaryTrdType FIX.4.4
2667 AlgorithmicTradeIndicator FIX.5.0SP2 (216)
1849 OffsetInstruction FIX.5.0SP2 (141)
BlockRepeating TradePriceConditionGrp FIX.5.0SP2 (141)
1123 TradeHandlingInstr FIX.4.4
1124 OrigTradeHandlingInstr FIX.4.4
1125 OrigTradeDate FIX.4.4
1126 OrigTradeID FIX.4.4
1127 OrigSecondaryTradeID FIX.4.4
830 TransferReason FIX.4.4
150 ExecType Type of execution being reported. Uses subset of ExecType (150) for trade capture reports. FIX.4.3
748 TotNumTradeReports FIX.4.4
912 LastRptRequested FIX.4.4
325 UnsolicitedIndicator Set to 'Y' if message is sent as a result of a subscription request or out of band configuration. FIX.4.4
263 SubscriptionRequestType If the field is absent, SubscriptionRequestType (263)=0(Snapshot) will be the default. FIX.4.4
572 TradeReportRefID The TradeReportID (571) that is being referenced for trade correction or cancelation. FIX.4.3
881 SecondaryTradeReportRefID FIX.4.4 Y
818 SecondaryTradeReportID FIX.4.4 Y
820 TradeLinkID FIX.4.4
880 TrdMatchID FIX.4.4
17 ExecID Market (exchange) assigned execution identifier. FIX.4.3
527 SecondaryExecID FIX.4.3
378 ExecRestatementReason FIX.4.3
2347 RegulatoryTransactionType FIX.5.0SP2 (176)
BlockRepeating RegulatoryTradeIDGrp FIX.5.0SP2 (161)
570 PreviouslyReported FIX.4.3
423 PriceType Can be used to indicate cabinet trade pricing. FIX.4.4
BlockRepeating PriceQualifierGrp FIX.5.0SP2 (230)
549 CrossType FIX.5.0SP2 (101)
BlockRepeating RootParties Used for acting parties that applies to the whole message, not individual legs, sides, etc. FIX.4.4
1015 AsOfIndicator FIX.4.4
716 SettlSessID FIX.4.4
717 SettlSessSubID FIX.4.4
1430 VenueType FIX.5.0SP1 (77)
1300 MarketSegmentID FIX.5.0SP1 (77)
1301 MarketID FIX.5.0SP1 (77)
2375 TaxonomyType FIX.5.0SP2 (179)
Block Instrument Y FIX.4.3
Block InstrumentExtension FIX.5.0SP2 (192)
Block FinancingDetails FIX.4.4
BlockRepeating PaymentGrp FIX.5.0SP2 (161)
854 QtyType FIX.4.4
Block YieldData FIX.4.4
BlockRepeating UndInstrmtGrp FIX.4.4
BlockRepeating RelatedInstrumentGrp FIX.5.0SP2 (187)
ImplicitBlockRepeating CollateralAmountGrp FIX.5.0SP2 (179)
BlockRepeating RateSource FIX.5.0SP2 (187)
822 UnderlyingTradingSessionID FIX.4.4
823 UnderlyingTradingSessionSubID FIX.4.4
32 LastQty Conditionally required except when reporting trades to parties who will derive trade level quantity from the leg level information for multi-legged trades FIX.4.3
1828 LastQtyVariance FIX.5.0SP2 (132)
2301 LastQtyChanged FIX.5.0SP2 (169)
2368 LastMultipliedQty FIX.5.0SP2 (179)
2367 TotalTradeQty FIX.5.0SP2 (179)
2370 TotalTradeMultipliedQty FIX.5.0SP2 (179)
31 LastPx Conditionally required except when reporting trades to parties who will derive trade level price from the leg level information for multi-legged trades FIX.4.3
631 MidPx FIX.5.0SP2 (175)
1522 DifferentialPrice Used to specify the differential price when reporting the individual leg of a spread trade. FIX.5.0SP2 (107)
1056 CalculatedCcyLastQty FIX.4.4
2762 PriceMarkup Dealer's markup of market price to LastPx (31). FIX.5.0SP2 (240)
Block AveragePriceDetail FIX.5.0SP2 (240)
15 Currency Primary currency of the specified currency pair. Used to qualify LastQty (32) and GrossTradeAmout(381). FIX.4.3
120 SettlCurrency Contra currency of the deal. Used to qualify CalculatedCcyLastQty (1056). FIX.4.3
2366 SettlPriceFxRateCalc For FX trades expresses whether to multiply or divide LastPx (31) to arrive at GrossTradeAmt (381). FIX.5.0SP2 (179)
669 LastParPx FIX.4.4
194 LastSpotRate Applicable for F/X orders FIX.4.3
195 LastForwardPoints Applicable for F/X orders FIX.4.3
1071 LastSwapPoints FIX.4.4
2349 PricePrecision FIX.5.0SP2 (187)
30 LastMkt FIX.4.3
1596 ClearingTradePrice Used when clearing price differs from execution price. FIX.5.0SP2 (111)
1740 TradePriceNegotiationMethod FIX.5.0SP2 (119)
1743 LastUpfrontPrice 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). FIX.5.0SP2 (119)
1741 UpfrontPriceType FIX.5.0SP2 (119)
75 TradeDate Used when reporting other than current day trades. FIX.4.3
715 ClearingBusinessDate FIX.4.4
6 AvgPx If used then the LastPx (31) will contain the original price on the execution. FIX.4.4
Block SpreadOrBenchmarkCurveData FIX.4.4
1731 AvgPxGroupID FIX.5.0SP2 (141)
819 AvgPxIndicator FIX.4.4
2085 ValuationDate FIX.5.0SP2 (169)
2086 ValuationTime FIX.5.0SP2 (169)
2087 ValuationBusinessCenter FIX.5.0SP2 (169)
BlockRepeating PositionAmountData FIX.4.4
442 MultiLegReportingType Type of report if multileg instrument. Provided to support a scenario for trades of multileg instruments between two parties. FIX.4.3
824 TradeLegRefID Reference to the leg of a multileg instrument to which this trade refers. Used when MultiLegReportingType (442) = 2 (Individual leg of a multileg security). FIX.4.4
ImplicitBlockRepeating TrdInstrmtLegGrp Identifies a multileg execution if present and non-zero. FIX.4.4
60 TransactTime Time the transaction represented by when this TradeCaptureReport (AE) occurred. Execution time of trade. Also describes the time of block trades. FIX.4.3
BlockRepeating TrdRegTimestamps FIX.4.4
63 SettlType FIX.4.3
64 SettlDate Takes precedence over SettlType (63) value and conditionally required/omitted for specific SettlType (63) values. FIX.4.3
987 UnderlyingSettlementDate The settlement date for the underlying instrument of a derivatives security. FIX.4.4
573 MatchStatus FIX.4.3
2405 ExecMethod FIX.5.0SP2 (186)
574 MatchType FIX.4.3
BlockRepeating TradeQtyGrp FIX.5.0SP2 (141)
ImplicitBlockRepeating TrdCapRptSideGrp Y FIX.4.4
1188 Volatility FIX.5.0
1189 TimeToExpiration FIX.5.0SP2 (141)
1380 DividendYield FIX.5.0
1190 RiskFreeRate FIX.5.0
811 PriceDelta FIX.5.0SP2 (141)
1382 CurrencyRatio FIX.5.0
797 CopyMsgIndicator FIX.4.4
ImplicitBlockRepeating TrdRepIndicatorsGrp FIX.5.0
852 PublishTrdIndicator FIX.4.4 Y
1390 TradePublishIndicator FIX.5.0
BlockRepeating TrdRegPublicationGrp FIX.5.0SP2 (216)
853 ShortSaleReason FIX.4.4
994 TierCode Indicates the algorithm (tier) used to match a trade. FIX.4.4
1011 MessageEventSource FIX.4.4
779 LastUpdateTime Used to indicate reports after a specific time. FIX.4.4
991 RndPx Specifies the rounded price to quoted precision. FIX.4.4
1132 TZTransactTime FIX.4.4
1134 ReportedPxDiff FIX.4.4
381 GrossTradeAmt (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. FIX.4.3
2369 TotalGrossTradeAmt FIX.5.0SP2 (179)
751 TradeReportRejectReason Indicates the reason that a trade report was rejected. FIX.5.0SP2 (107)
1328 RejectText FIX.5.0
1664 EncodedRejectTextLen FIX.5.0SP2 (105)
1665 EncodedRejectText FIX.5.0SP2 (105)
1329 FeeMultiplier FIX.5.0
1832 ClearedIndicator FIX.5.0SP2 (161)
1924 ClearingIntention FIX.5.0SP2 (161)
1925 TradeClearingInstruction FIX.5.0SP2 (161)
1926 BackloadedTradeIndicator FIX.5.0SP2 (161)
1927 ConfirmationMethod FIX.5.0SP2 (161)
1928 MandatoryClearingIndicator FIX.5.0SP2 (161)
BlockRepeating MandatoryClearingJurisdictionGrp FIX.5.0SP2 (169)
1929 MixedSwapIndicator FIX.5.0SP2 (161)
2527 MultiAssetSwapIndicator FIX.5.0SP2 (193)
2526 InternationalSwapIndicator FIX.5.0SP2 (193)
1930 OffMarketPriceIndicator FIX.5.0SP2 (161)
1931 VerificationMethod FIX.5.0SP2 (161)
1932 ClearingRequirementException FIX.5.0SP2 (161)
1933 IRSDirection FIX.5.0SP2 (161)
1934 RegulatoryReportType FIX.5.0SP2 (161)
1935 VoluntaryRegulatoryReport FIX.5.0SP2 (161)
1936 TradeCollateralization FIX.5.0SP2 (161)
1937 TradeContinuation FIX.5.0SP2 (161)
2387 TradeContingency FIX.5.0SP2 (187)
2302 TradeVersion FIX.5.0SP2 (169)
2303 HistoricalReportIndicator FIX.5.0SP2 (169)
2596 DeltaCrossed FIX.5.0SP2 (208)
2374 TradeContinuationText FIX.5.0SP2 (179)
2372 EncodedTradeContinuationTextLen Must be set if EncodedTradeContinuationText (2371) field is specified and must immediately precede it. FIX.5.0SP2 (179)
2371 EncodedTradeContinuationText Encoded (non-ASCII characters) representation of the TradeContinuationText (2374) field in the encoded format specified via the MessageEncoding (347) field. FIX.5.0SP2 (179)
2373 IntraFirmTradeIndicator FIX.5.0SP2 (179)
2525 AffiliatedFirmsTradeIndicator FIX.5.0SP2 (193)
BlockRepeating AttachmentGrp FIX.5.0SP2 (167)
2343 RiskLimitCheckStatus FIX.5.0SP2 (172)
Block StandardTrailer Y FIX.4.3