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 |