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 • 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.

Added in protocol FIX.4.3

See in: FIX.4.3, FIX.4.4, FIX.5.0, FIX.5.0SP2, FIX.5.0SP2 EP240.

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 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. FIX.4.3
1003 TradeID FIX.4.4
1040 SecondaryTradeID FIX.4.4
1041 FirmTradeID FIX.4.4
1042 SecondaryFirmTradeID FIX.4.4
487 TradeReportTransType Identifies Trade Report message transaction type. FIX.4.3
856 TradeReportType FIX.4.4
939 TrdRptStatus 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. FIX.4.4
568 TradeRequestID Request ID if the Trade Capture Report is in response to a Trade Capture Report Request FIX.4.3
828 TrdType FIX.4.4
829 TrdSubType FIX.4.4
855 SecondaryTrdType FIX.4.4
1123 TradeHandlingInstr FIX.4.4
1124 OrigTradeHandlingInstr FIX.4.4
1125 OrigTradeDate Used to preserve original trade date when original trade is being referenced in a subsequent trade transaction such as a transfer FIX.4.4
1126 OrigTradeID Used to preserve original trade id when original trade is being referenced in a subsequent trade transaction such as a transfer FIX.4.4
1127 OrigSecondaryTradeID Used to preserve original secondary trade id when original trade is being referenced in a subsequent trade transaction such as a transfer FIX.4.4
830 TransferReason FIX.4.4
150 ExecType Type of Execution being reported: Uses subset of ExecType for Trade Capture Reports FIX.4.3
748 TotNumTradeReports Number of trade reports returned - if this report is part of a response to a Trade Capture Report Request FIX.4.4
912 LastRptRequested Indicates if this is the last report in the response to a Trade Capture Report Request FIX.4.4
325 UnsolicitedIndicator 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. FIX.4.4
263 SubscriptionRequestType Used to subscribe / unsubscribe for trade capture reports. If the field is absent, the value 0 will be the default FIX.4.4
572 TradeReportRefID The TradeReportID that is being referenced for some action, such as correction or cancellation FIX.4.3
881 SecondaryTradeReportRefID FIX.4.4 Y
818 SecondaryTradeReportID FIX.4.4 Y
820 TradeLinkID Used to associate a group of trades together. Useful for average price calculations. FIX.4.4
880 TrdMatchID FIX.4.4
17 ExecID Exchanged assigned Execution ID (Trade Identifier) FIX.4.3
39 OrdStatus Status of order as of this trade report FIX.4.4
527 SecondaryExecID FIX.4.3
378 ExecRestatementReason Reason for restatement FIX.4.3
570 PreviouslyReported Indicates if the trade capture report was previously reported to the counterparty FIX.4.3
423 PriceType Can be used to indicate cabinet trade pricing FIX.4.4
BlockRepeating RootParties 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.. FIX.4.4
1015 AsOfIndicator Indicates if the trade is an outtrade from a previous day. FIX.4.4
716 SettlSessID Intraday(ITD), Regular Trading Hours(EOD), FIX.4.4
717 SettlSessSubID FIX.4.4
Block Instrument Insert here the set of "Instrument" (symbology) fields defined in "Common Components of Application Messages" Y FIX.4.3
Block FinancingDetails Insert here the set of "FinancingDetails" fields defined in "Common Components of Application Messages" FIX.4.4
Block OrderQtyData Insert here the set of "OrderQtyData" fields defined in "Common Components of Application Messages" Note: OrderQty (38) field is required unless rejecting or an order ack for a CashOrderQty or PercentOrder. FIX.4.3
854 QtyType FIX.4.4
Block YieldData Insert here the set of "YieldData" fields defined in "Common Components of Application Messages" FIX.4.4
OptimisedImplicitBlockRepeating UndInstrmtGrp FIX.4.4
822 UnderlyingTradingSessionID FIX.4.4
823 UnderlyingTradingSessionSubID FIX.4.4
32 LastQty Trade Quantity. Y FIX.4.3
31 LastPx Trade Price. Y FIX.4.3
1056 CalculatedCcyLastQty FIX.4.4
15 Currency Primary currency of the specified currency pair. Used to qualify LastQty and GrossTradeAmout FIX.4.3
120 SettlCurrency Contra currency of the deal. Used to qualify CalculatedCcyLastQty FIX.4.3
669 LastParPx 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. 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
30 LastMkt FIX.4.3
75 TradeDate Used when reporting other than current day trades. FIX.4.3
715 ClearingBusinessDate FIX.4.4
6 AvgPx Average Price - if present then the LastPx will contain the original price on the execution FIX.4.4
Block SpreadOrBenchmarkCurveData Insert here the set of "SpreadOrBenchmarkCurveData" fields defined in "Common Components of Application Messages" FIX.4.4
819 AvgPxIndicator Average Pricing indicator FIX.4.4
BlockRepeating PositionAmountData Insert here here the set of "Position Amount Data" fields defined in "Common Components of Application Messages" 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 = 2 (Single Leg of a Multileg security) FIX.4.4
ImplicitBlockRepeating TrdInstrmtLegGrp Number of legs Identifies a Multi-leg Execution if present and non-zero. FIX.4.4
60 TransactTime Time the transaction represented by this Trade Capture Report occurred FIX.4.3
BlockRepeating TrdRegTimestamps FIX.4.4
63 SettlType FIX.4.3
64 SettlDate Takes precedence over SettlType value and conditionally required/omitted for specific SettlType 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
574 MatchType FIX.4.3
1115 OrderCategory FIX.4.4
ImplicitBlockRepeating TrdCapRptSideGrp Number of sides Y FIX.4.4
1188 Volatility FIX.5.0
1380 DividendYield FIX.5.0
1190 RiskFreeRate FIX.5.0
1382 CurrencyRatio FIX.5.0
797 CopyMsgIndicator Indicates drop copy. FIX.4.4
ImplicitBlockRepeating TrdRepIndicatorsGrp Number of trade reporting indicators following FIX.5.0
852 PublishTrdIndicator FIX.4.4 Y
1390 TradePublishIndicator FIX.5.0
853 ShortSaleReason FIX.4.4
994 TierCode Indicates the algorithm (tier) used to match a trade FIX.4.4
1011 MessageEventSource Used to identify the event or source which gave rise to a message 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 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 FIX.4.4
381 GrossTradeAmt FIX.4.3
1328 RejectText FIX.5.0
1329 FeeMultiplier FIX.5.0
Block StandardTrailer Y FIX.4.3