Trade Capture Report Request (MsgType = AD, FIXML = TrdCaptRptReq)

The Trade Capture Report Request (AD) can be used to:

Request one or more trade capture reports based upon selection criteria provided on the trade capture report request (AD)
Subscribe for trade capture reports based upon selection criteria provided on the trade capture report request (AD) .

The following criteria can be specified on the Trade Capture Report Request (AD) :

All trades matching specified trade identification: TradeReportID (571) , SecondaryTradeReportID (818)
All trades matching specified trade types: TrdType (828) , TrdSubType (829) , TransferReason (830) , SecondaryTrdType (855) , TradeLinkID (820)
All trades matching the order identification information: OrderId (37) , ClOrdID (11) , ExecID (17)
Trades that have specified MatchStatus (573)
All trades for the party defined in the component block Parties . This can be a trader id, firm, broker id, clearing firm
All trades for a specific instrument, specified using the component block Instrument , the component block UnderlyingInstrument , and/or the component block InstrumentLeg .
All unreported trades Executions that have not been sent
All unmatched trades Trades that have not been matched
All trades matching specific date and trading session criteria
Trades entered via a specific TradeInputSource (578)
Trades entered via a specific TradeInputDevice (579)
All Advisories

Each field in the Trade Capture Report Request (AD) (other than TradeRequestID (568) and SubscriptionRequestType) identify filters - trade reports that satisfy all Specified filters will be returned. Note that the filters are combined using an implied "and" - a trade report must satisfy every specified filter to be returned.

The optional date or time range-specific filter criteria (within NoDates (580) repeating group) can be used in one of two modes:

"Since" a time period. NoDates=1 with first TradeDate (75) (and optional TransactTime) indicating the "since" (greater than or equal to operation) point in time.
"Between" time periods. NoDates=2 with first TradeDate (75) (and optional TransactTime) indicating the "beginning" (greater than or equal to operation) point in time and the second TradeDate (75) (and optional TransactTime) indicating the "ending" (less than or equal to operation) point in time.

Trade Capture Report messages are the normal return type to a Trade Capture Report (AE) Request.

The response to a Trade Capture Report Request (AD) can be:

One or more Trade Capture Reports
A Trade Capture Report Request Ack (AQ) followed by one or more Trade Capture Reports in two specific cases:
- When the Trade Capture Reports are being delivered out of band (such as a file transfer),
- When there is a processing delay between the time of the request and when the reports will be sent (for instance in a distributed trading environment where trades are distributed across multiple trading systems).
A Trade Capture Report Ack (AR) only
When no trades are found that match the selection criteria specified on the Trade Capture Report Request (AD)
When the Trade Capture Report Request (AD) was deemed invalid for business reasons by the counterparty

Tag		Field Name	FIXML	Req'd	Comments
<Standard Message Header>				Y	MsgType = AD
568		TradeRequestID	@ReqID	Y	Identifier for the trade request
1003		TradeID	@TrdID	N
1040		SecondaryTradeID	@TrdID2	N
1041		FirmTradeID	@FirmTrdID	N
1042		SecondaryFirmTradeID	@FirmTrdID2	N
569		TradeRequestType	@ReqTyp	Y
263		SubscriptionRequestType	@SubReqTyp	N	Used to subscribe / unsubscribe for trade capture reports If the field is absent, the value 0 will be the default (snapshot only - no subscription)
571		TradeReportID	@RptID	N	To request a specific trade report
818		SecondaryTradeReportID	@TrdRptID2	N	(Deprecated in FIX.5.0)To request a specific trade report
17		ExecID	@ExecID	N
150		ExecType	@ExecTyp	N	To requst all trades of a specific execution type
37		OrderID	@OrdID	N
11		ClOrdID	@ClOrdID	N
573		MatchStatus	@MtchStat	N
828		TrdType	@TrdTyp	N	To request all trades of a specific trade type
829		TrdSubType	@TrdSubTyp	N	To request all trades of a specific trade sub type
1123		TradeHandlingInstr	@TrdHandlInst	N
830		TransferReason	@TrnsfrRsn	N	To request all trades for a specific transfer reason
855		SecondaryTrdType	@TrdTyp2	N	To request all trades of a specific trade sub type
820		TradeLinkID	@LinkID	N	To request all trades of a specific trade link id
880		TrdMatchID	@MtchID	N	To request a trade matching a specific TrdMatchID
<Parties>				N	Used to specify the parties for the trades to be returned (clearing firm, execution broker, trader id, etc.): ExecutingBroker; ClearingFirm; ContraBroker; ContraClearingFirm; SettlementLocation - depository, CSD, or other settlement party; ExecutingTrader; InitiatingTrader; OrderOriginator.
<Instrument>				N	Insert here the set of "Instrument" fields defined in "Common Components of Application Messages".
<InstrumentExtension>				N	Insert here the set of "InstrumentExtension" fields defined in "Common Components of Application Messages".
<FinancingDetails>				N	Insert here the set of "FinancingDetails" 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
555		NoLegs	Leg	N	Number of legs. Identifies a Multi-leg Execution if present and non-zero.
=>	<InstrumentLeg>			C	Must be provided if Number of legs > 0
580		NoDates	TrdCapDt	N	Number of date ranges provided (must be 1 or 2 if specified)
=>	75	TradeDate	@TrdDt	C	Used when reporting other than current day trades. Conditionally required if NoDates (580) > 0
=>	779	LastUpdateTime	@LastUpdateTm	N
=>	60	TransactTime	@TxnTm	N	To request trades for a specific time.
715		ClearingBusinessDate	@BizDt	N	To request trades for a specific clearing business date.
336		TradingSessionID	@SesID	N	To request trades for a specific trading session.
625		TradingSessionSubID	@SesSub	N	To request trades for a specific trading session.
943		TimeBracket	@TmBkt	N	To request trades within a specific time bracket.
54		Side	@Side	N	To request trades for a specific side of a trade.
442		MultiLegReportingType	@MLegRptTyp	N	Used to indicate if trades are to be returned for the individual legs of a multileg instrument or for the overall instrument.
578		TradeInputSource	@InptSrc	N	To requests trades that were submitted from a specific trade input source.
579		TradeInputDevice	@InptDev	N	To request trades that were submitted from a specific trade input device.
725		ResponseTransportType	@RspTransportTyp	N	Ability to specify whether the response to the request should be delivered inband or via pre-arranged out-of-band transport.
726		ResponseDestination	@RspDest	N	URI destination name. Used if ResponseTransportType (725) is out-of-band.
58		Text	@Txt	N	Used to match specific values within Text (58) fields
354		EncodedTextLen	@EncTxtLen	C
355		EncodedText	@EncTxt	C
1011		MessageEventSource	@MsgEvtSrc	N	Used to identify the event or source which gave rise to a message
<Standard Message Trailer>				Y