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 |