Trade Capture Report (MsgType = AE, FIXML = TrdCaptRpt)

The Trade Capture Report (AE) 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 (AD) .

Can be used to report unmatched and matched trades.

Tag				Field Name	FIXML	Req'd	Comments
<Standard Message Header>						Y	MsgType = AE
<ApplicationSequenceControl>						N
571				TradeReportID	@RptID	N	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 (1003) is used to identify a trade. In this case, TradeID (1003) is required and TradeReportID (571) can be optionally specified.
1003				TradeID	@TrdID	N
1040				SecondaryTradeID	@TrdID2	N
1041				FirmTradeID	@FirmTrdID	N
1042				SecondaryFirmTradeID	@FirmTrdID2	N
487				TradeReportTransType	@TransTyp	N	Identifies Trade Capture Report (AE) message transaction type.
856				TradeReportType	@RptTyp	N
939				TrdRptStatus	@TrdRptStat	N	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.
568				TradeRequestID	@ReqID	N	Request ID if the Trade Capture Report (AE) is in response to a Trade Capture Report Request (AD)
828				TrdType	@TrdTyp	N
829				TrdSubType	@TrdSubTyp	N
855				SecondaryTrdType	@TrdTyp2	N
1123				TradeHandlingInstr	@TrdHandlInst	N
1124				OrigTradeHandlingInstr	@OrigTrdHandlInst	N
1125				OrigTradeDate	@OrigTrdDt	N	Used to preserve original trade date when original trade is being referenced in a subsequent trade transaction such as a transfer
1126				OrigTradeID	@OrigTrdID	N	Used to preserve original trade id when original trade is being referenced in a subsequent trade transaction such as a transfer
1127				OrigSecondaryTradeID	@OrignTrdID2	N	Used to preserve original secondary trade id when original trade is being referenced in a subsequent trade transaction such as a transfer
830				TransferReason	@TrnsfrRsn	N
150				ExecType	@ExecTyp	N	Type of Execution being reported: Uses subset of ExecType (150) for Trade Capture Reports
748				TotNumTradeReports	@TotNumTrdRpts	N	Number of trade reports returned - if this report is part of a response to a Trade Capture Report Request (AD)
912				LastRptRequested	@LastRptReqed	N	Indicates if this is the last report in the response to a Trade Capture Report Request (AD)
325				UnsolicitedIndicator	@Unsol	N	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.
263				SubscriptionRequestType	@SubReqTyp	N	Used to subscribe / unsubscribe for trade capture reports. If the field is absent, the value 0 will be the default
572				TradeReportRefID	@RptRefID	N	The TradeReportID (571) that is being referenced for some action, such as correction or cancelation
881				SecondaryTradeReportRefID	@TrdRptRefID2	N	(Deprecated in FIX.5.0)
818				SecondaryTradeReportID	@TrdRptID2	N	(Deprecated in FIX.5.0)
820				TradeLinkID	@LinkID	N	Used to associate a group of trades together. Useful for average price calculations.
880				TrdMatchID	@MtchID	N
17				ExecID	@ExecID	N	Exchanged assigned Execution ID (Trade Identifier)
39				OrdStatus	@OrdStat	N	Status of order as of this trade report
527				SecondaryExecID	@ExecID2	N
378				ExecRestatementReason	@ExecRstmtRsn	N	Reason for restatement
570				PreviouslyReported	@PrevlyRpted	N	Indicates if the trade capture report was previously reported to the counterparty
423				PriceType	@PxTyp	N	Can be used to indicate cabinet trade pricing
<RootParties>						N	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.
1015				AsOfIndicator	@AsOfInd	N	Indicates if the trade is an outtrade from a previous day.
716				SettlSessID	@SetSesID	N	Intraday(ITD), Regular Trading Hours(EOD),
717				SettlSessSubID	@SetSesSub	N
<Instrument>						Y	Insert here the set of "Instrument" fields defined in "Common Components of Application Messages".
<FinancingDetails>						N	Insert here the set of "FinancingDetails" fields defined in "Common Components of Application Messages".
<OrderQtyData>						N	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 (152) or PercentOrder.
854				QtyType	@QtyTyp	N
<YieldData>						N	Insert here the set of "YieldData" fields defined in "Common Components of Application Messages".
711				NoUnderlyings	Undly	N	Number of underlyings
=>	<UnderlyingInstrument>					C	Must be provided if Number of underlyings > 0
822				UnderlyingTradingSessionID	@UndSesID	N
823				UnderlyingTradingSessionSubID	@UndSesSub	N
32				LastQty	@LastQty	Y	Trade Quantity.
31				LastPx	@LastPx	Y	Trade Price.
1056				CalculatedCcyLastQty	@CalcCcyLastQty	N
15				Currency	@Ccy	N
120				SettlCurrency	@SettlCcy	N	Used to report results of forex accommodation trade
669				LastParPx	@LastParPx	C	Last price expressed in percent-of-par. Conditionally required for Fixed Income trades when LastPx (31) is expressed in Yield, Spread, Discount or any other price type that is not percent-of-par.
194				LastSpotRate	@LastSpotRt	N	Applicable for F/X orders
195				LastForwardPoints	@LastFwdPnts	N	Applicable for F/X orders
1071				LastSwapPoints	@LastSwapPnts	N
30				LastMkt	@LastMkt	N
75				TradeDate	@TrdDt	N	Used when reporting other than current day trades.
715				ClearingBusinessDate	@BizDt	N
6				AvgPx	@AvgPx	N	Average Price (44) - if present then the LastPx (31) will contain the original price on the execution
<SpreadOrBenchmarkCurveData>						N	Insert here the set of "SpreadOrBenchmarkCurveData" fields defined in "Common Components of Application Messages".
819				AvgPxIndicator	@AvgPxInd	N	Average Pricing indicator
<PositionAmountData>						N	Insert here here the set of "Position Amount Data" fields defined in "Common Components of Application Messages".
442				MultiLegReportingType	@MLegRptTyp	N	Type of report if multileg instrument. Provided to support a scenario for trades of multileg instruments between two parties.
824				TradeLegRefID	@TrdLegRefID	N	Reference to the leg of a multileg instrument to which this trade refers Used when MultiLegReportingType (442) = 2 (Single Leg of a Multileg security)
555				NoLegs	TrdLeg	N	Number of legs Identifies a Multi-leg Execution if present and non-zero.
=>	<InstrumentLeg>					C	Must be provided if Number of legs > 0
=>	687			LegQty	@Qty	N	Deprecated in FIX.5.0 SP1. LegLastQty (1418) should be used.
=>	690			LegSwapType	@SwapTyp	N	Instead of LegQty (687) requests that the sellside calculate LegQty (687) based on opposite Leg
=>	990			LegReportID	@RptID	N	Additional attribute to store the Trade ID of the Leg.
=>	1152			LegNumber	@LegNo	N	Allow sequencing of Legs for a Strategy to be captured
=>	<LegStipulations>					N
=>	564			LegPositionEffect	@PosEfct	N	Provide if the PositionEffect (77) for the leg is different from that specified for the overall multileg security
=>	565			LegCoveredOrUncovered	@Cover	N	Provide if the CoveredOrUncovered (203) for the leg is different from that specified for the overall multileg security.
=>	<NestedParties>					N	Insert here the set of "Nested Parties" (firm identification "nested" within additional repeating group) fields defined in "Common Components of Application Messages". Used for NestedPartyRole=Leg Clearing Firm/Account, Leg Account/Account Type
=>	654			LegRefID	@RefID	N	Used to identify a specific leg.
=>	587			LegSettlType	@SettlTyp	N
=>	588			LegSettlDate	@SettlDt	C	Takes precedence over LegSettlmntTyp value and conditionally required/omitted for specific LegSettlType (587) values.
=>	637			LegLastPx	@LastPx	N	Used to report the execution price assigned to the leg of the multileg instrument
=>	675			LegSettlCurrency	@SettlCcy	N
=>	1073			LegLastForwardPoints	@LegLastFwdPnts	N
=>	1074			LegCalculatedCcyLastQty	@LegCalcCcyLastQty	N
=>	1075			LegGrossTradeAmt	@LegGrossTrdAmt	N	For FX Futures can be used to express the notional value of a trade when LegLastQty and other quantity fields are expressed in terms of number of contracts - LegContractMultiplier (614) (231) is required in this case.
=>	1379			LegVolatility	@LegVolatility	N
=>	1381			LegDividendYield	@LegDividendYield	N
=>	1383			LegCurrencyRatio	@LegCurrencyRatio	N
=>	1384			LegExecInst	@LegExecInst	N
=>	1418			LegLastQty	@LastQty	N
=>	1342			NoOfLegUnderlyings	TradeCapLegUndlyGrp	N	Number of legs for the underlying instrument
=>	=>	1330		UnderlyingLegSymbol	@Sym	C
=>	=>	1331		UnderlyingLegSymbolSfx	@Sfx	N
=>	=>	1332		UnderlyingLegSecurityID	@ID	N
=>	=>	1333		UnderlyingLegSecurityIDSource	@Src	N
=>	=>	1334		NoUnderlyingLegSecurityAltID	AID	N
=>	=>	=>	1335	UnderlyingLegSecurityAltID	@AltID	C
=>	=>	=>	1336	UnderlyingLegSecurityAltIDSource	@AltIDSrc	N
=>	=>	1344		UnderlyingLegCFICode	@CFI	C
=>	=>	1337		UnderlyingLegSecurityType	@SecType	N
=>	=>	1338		UnderlyingLegSecuritySubType	@SubType	N
=>	=>	1339		UnderlyingLegMaturityMonthYear	@MMY	N
=>	=>	1345		UnderlyingLegMaturityDate	@MatDt	N
=>	=>	1405		UnderlyingLegMaturityTime	@MatTm	C
=>	=>	1340		UnderlyingLegStrikePrice	@StrkPx	N
=>	=>	1391		UnderlyingLegOptAttribute	@OptAt	N
=>	=>	1343		UnderlyingLegPutOrCall	@PutCall	N
=>	=>	1341		UnderlyingLegSecurityExchange	@Exch	N
=>	=>	1392		UnderlyingLegSecurityDesc	@Desc	N
60				TransactTime	@TxnTm	N	Time the transaction represented by this Trade Capture Report (AE) occurred
<TrdRegTimestamps>						N
63				SettlType	@SettlTyp	N
64				SettlDate	@SettlDt	C	Takes precedence over SettlType (63) value and conditionally required/omitted for specific SettlType (63) values.
987				UnderlyingSettlementDate	@StlDt	N	The settlement date for the underlying instrument of a derivatives security.
573				MatchStatus	@MtchStat	N
574				MatchType	@MtchTyp	N
1115				OrderCategory	@OrdCat	N
552				NoSides	RptSide	Y	Number of sides
=>	54			Side	@Side	Y
=>	37			OrderID	@OrdID	N	OrderID should be conditionally required when Trade Capture Report (AE) is used for back office processing.
=>	198			SecondaryOrderID	@OrdID2	N	Can be used to provide order id used by exchange or executing system.
=>	11			ClOrdID	@ClOrdID	N	Required for executions against electronically submitted orders which were assigned an ID by the institution or intermediary. In the case of quotes can be mapped to: QuoteMsgID (1166) of a single Quote, QuoteID (117) of a Mass Quote
=>	19			ExecRefID	@ExecRefID	N
=>	526			SecondaryClOrdID	@ClOrdID2	N	Can be used to provide secondary client order identifiers associated with this trade. In the case of quotes can be mapped to: QuoteID (117) of a single Quote, QuoteEntryID (299) of a Mass Quote
=>	66			ListID	@ListID	N
=>	1009			SideQty	@SideQty	N	Used to indicate the quantity on one side of a multi-sided Trade Capture Report
=>	1005			SideTradeReportID	@RptID	N	Used to indicate the report ID on one side of a multi-sided Trade Capture Report
=>	1006			SideFillStationCd	@FillStationCd	N	Used for order routing to indicate the Fill Station Code on one side of a multi-sided Trade Capture Report
=>	1007			SideReasonCd	@RsnCD	N	Used to indicate the reason of a multi-sided Trade Capture Report
=>	83			RptSeq	@RptSeq	N	Used for order routing to indicate the fill sequence on one side of a multi-sided Trade Capture Report
=>	1008			SideTrdSubTyp	@TrdSubTyp	N	Used to support multi-sided orders of different trade types
=>	430			NetGrossInd	@NetGrossInd	N	Code to represent whether value is net (inclusive of tax) or gross.
=>	1154			SideCurrency	@Ccy	N	Used to Identify the Currency of the Trade Report Side.
=>	1155			SideSettlCurrency	@SettlCcy	N	Used to Identify the Settlement Currency of the Trade Report Side.
=>	<Parties>					N	Insert here the set of "Parties" (firm identification) fields defined in "Common Components of Application Messages". Range of values on report:
=>	1			Account	@Acct	N	Required for executions against electronically submitted orders which were assigned an account by the institution or intermediary
=>	660			AcctIDSource	@AcctIDSrc	N
=>	581			AccountType	@AcctTyp	N	Specifies type of account
=>	81			ProcessCode	@ProcCode	N	Used to specify Step-out trades
=>	1093			LotType	@LotTyp	N
=>	575			OddLot	@OddLot	N
=>	576			NoClearingInstructions	ClrInst	N	Nested Repeating Group follows
=>	=>	577		ClearingInstruction	@ClrngInstrctn	C	Required if NoClearingInstructions (576) > 0
=>	578			TradeInputSource	@InptSrc	N
=>	579			TradeInputDevice	@InptDev	N
=>	821			OrderInputDevice	@OrdInptDev	N
=>	376			ComplianceID	@ComplianceID	N
=>	377			SolicitedFlag	@SolFlag	N
=>	528			OrderCapacity	@Cpcty	N	The capacity of the participant for this trade ( principal or agent for example).
=>	529			OrderRestrictions	@Rstctions	N	Restrictions associated with the participant and their capacity for this trade.
=>	582			CustOrderCapacity	@CustCpcty	N	The customer capacity for this trade
=>	40			OrdType	@OrdTyp	N	Order type from the order associated with the trade
=>	18			ExecInst	@ExecInst	N	Execution Instruction from the order associated with the trade
=>	483			TransBkdTime	@TransBkdTm	N	A date and time stamp to indicate when this order was booked. For Equities, this is the time at which an order was received by an Exchange or Marketplace. For CIV, this is the time that a Fund Manager booked an order for execution at the next valuation point.
=>	336			TradingSessionID	@SesID	N
=>	625			TradingSessionSubID	@SesSub	N
=>	943			TimeBracket	@TmBkt	N
=>	<CommissionData>					N	Insert here the set of "CommissionData" fields defined in "Common Components of Application Messages". Note: On a fill/partial fill messages, it represents value for that fill/partial fill, on ExecType=Calculated, it represents cumulative value for the order. Monetary commission values are expressed in the currency reflected by the Currency (15) field.
=>	157			NumDaysInterest	@NumDaysInt	N
=>	230			ExDate	@ExDt	N
=>	158			AccruedInterestRate	@AcrdIntRt	N
=>	159			AccruedInterestAmt	@AcrdIntAmt	N
=>	738			InterestAtMaturity	@IntAtMat	N
=>	920			EndAccruedInterestAmt	@EndAcrdIntAmt	N	For repurchase agreements the accrued interest on termination.
=>	921			StartCash	@StartCsh	N	For repurchase agreements the start (dirty) cash consideration
=>	922			EndCash	@EndCsh	N	For repurchase agreements the end (dirty) cash consideration
=>	238			Concession	@Concession	N
=>	237			TotalTakedown	@TotTakedown	N
=>	118			NetMoney	@NetMny	N	Note: On a fill/partial fill messages, it represents value for that fill/partial fill, on ExecType=Calculated, it represents cumulative value for the order. Value expressed in the currency reflected by the Currency (15) field.
=>	119			SettlCurrAmt	@SettlCurrAmt	N	Used to report results of forex accommodation trade
=>	155			SettlCurrFxRate	@SettlCurrFxRt	N	Foreign exchange rate used to compute SettlCurrAmt (119) from Currency (15) to SettlCurrency
=>	156			SettlCurrFxRateCalc	@SettlCurrFxRtCalc	N	Specifies whether the SettlCurrFxRate (155) should be multiplied or divided
=>	77			PositionEffect	@PosEfct	N	For use in derivatives omnibus accounting
=>	58			Text	@Txt	N	May be used by the executing market to record any execution Details that are particular to that market
=>	354			EncodedTextLen	@EncTxtLen	C	Must be set if EncodedText (355) field is specified and must immediately precede it.
=>	355			EncodedText	@EncTxt	C	Encoded (non-ASCII characters) representation of the Text (58) field in the encoded format specified via the MessageEncoding (347) field.
=>	752			SideMultiLegReportingType	@MLegRptTyp	N	Default is a single security if not specified. Provided to support the scenario where a single leg instrument trades against an individual leg of a multileg instrument.
=>	518			NoContAmts	ContAmt	N	Number of contract details in this message (number of repeating groups to follow)
=>	=>	519		ContAmtType	@ContAmtTyp	C	Must be first field in the repeating group.
=>	=>	520		ContAmtValue	@ContAmtValu	N
=>	=>	521		ContAmtCurr	@ContAmtCurr	N
=>	<Stipulations>					N
=>	136			NoMiscFees	MiscFees	N	Required if any miscellaneous fees are reported. Indicates number of repeating entries. Repeating group. Nested Repeating Group follows
=>	=>	137		MiscFeeAmt	@Amt	C	Required if NoMiscFees (136) > 0
=>	=>	138		MiscFeeCurr	@Curr	N
=>	=>	139		MiscFeeType	@Typ	C	Required if NoMiscFees (136) > 0
=>	=>	891		MiscFeeBasis	@Basis	N
=>	825			ExchangeRule	@ExchRule	N	Used to report any exchange rules that apply to this trade.
=>	826			TradeAllocIndicator	@AllocInd	N	Identifies if the trade is to be allocated
=>	591			PreallocMethod	@PreallocMeth	N
=>	70			AllocID	@AllocID	N	Used to assign an ID to the block of preallocations
=>	78			NoAllocs	Alloc	N	Number of repeating groups for trade allocation
=>	=>	79		AllocAccount	@Acct	C	Required if NoAllocs (78) > 0. Must be first field in repeating group.
=>	=>	661		AllocAcctIDSource	@ActIDSrc	N
=>	=>	736		AllocSettlCurrency	@AllocSettlCcy	N
=>	=>	467		IndividualAllocID	@IndAllocID	N
=>	=>	<NestedParties2>				N	Insert here the set of "NestedParties2" (firm identification "nested" within additional repeating group) fields defined in "Common Components of Application Messages".
=>	=>	80		AllocQty	@Qty	N
=>	=>	993		AllocCustomerCapacity	@CustCpcty	N	Can be used for granular reporting of separate allocation detail within a single trade report or allocation message.
=>	=>	1002		AllocMethod	@Meth	N	Specifies the method under which a trade quantity was allocated.
=>	=>	989		SecondaryIndividualAllocID	@IndAllocID2	N	Provides support for an intermediary assigned allocation ID
=>	=>	1136		AllocClearingFeeIndicator	@ClrFeeInd	N
=>	<SideTrdRegTS>					N	Used to indicate the regulatory time stamp on one side of a multi-sided Trade Capture Report.
=>	1158			NoSettlDetails	SettlDetails	N
=>	=>	1164		SettlObligSource	@SettlSrc	C
=>	=>	<SettlParties>				N	Carries settlement account information
=>	1072			SideGrossTradeAmt	@SideGrossTradeAmt	N
=>	1057			AggressorIndicator	@AgrsrInd	N
=>	1139			ExchangeSpecialInstructions	@ExchSpeclInstr	N
1188				Volatility	@Vol	N
1380				DividendYield	@DividendYield	N
1190				RiskFreeRate	@RFR	N
1382				CurrencyRatio	@CurrencyRatio	N
797				CopyMsgIndicator	@CopyMsgInd	N	Indicates drop copy.
1387				NoTrdRepIndicators	TrdRepIndicatorsGrp	N	Number of trade publication indicators following
=>	1388			TrdRepPartyRole	@PtyRole	C
=>	1389			TrdRepIndicator	@TrdRepInd	N
852				PublishTrdIndicator	@PubTrdInd	N	Deprecated in FIX 5.0 SP1
1390				TradePublishIndicator	@TrdPubInd	N
853				ShortSaleReason	@ShrtSaleRsn	N
994				TierCode	@TierCD	N	Indicates the algorithm (tier) used to match a trade
1011				MessageEventSource	@MsgEvtSrc	N	Used to identify the event or source which gave rise to a message
779				LastUpdateTime	@LastUpdateTm	N	Used to indicate reports after a specific time
991				RndPx	@RndPx	N	Specifies the rounded price to quoted precision.
1132				TZTransactTime	@TZTransactTime	N
1134				ReportedPxDiff	@ReportedPxDiff	N	The reason(s) for the price difference should be stated by using field TrdType (828) and, if required, field TrdSubType (829) as well
381				GrossTradeAmt	@GrossTrdAmt	N
1328				RejectText	@RejTxt	N
1329				FeeMultiplier	@FeeMult	N
<Standard Message Trailer>						Y

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