TradeCaptureReport (MsgType = AE, FIXML = TrdCaptRpt)

TradeReportID(571) is conditionally required in a message-chaining model in which a subsequent message may refer to a prior message via TradeReportRefID(572). 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.

The unique ID assigned to the trade entity once it is received or matched by the exchange or central counterparty.

Used to carry an internal trade entity ID which may or may not be reported to the firm

The ID assigned to a trade by the Firm to track a trade within the Firm system. This ID can be assigned either before or after submission to the exchange or central counterpary

Used to carry an internal firm assigned ID which may or may not be reported to the exchange or central counterpary

Identifier assigned to a collection of trades so that they can be analyzed as one atomic unit for risk assessment and clearing.

Ordinal number of the trade within a series of related trades.

Identifies Trade Report message transaction type

(Prior to FIX 4.4 this field was of type char)

Type of Trade Report

Status of the trade report. In 3-party listed derivatives model, this is used to convey status of a trade to a counterparty. Used specifically in a "give-up" (also known as "claim") model.

Identifier for the trade capture report request associated with this trade capture report.

For optional use in reporting trades.

For optional use in reporting trades.

For optional use in reporting trades. Conditionally requires presence of TrdType(828).

For optional use in reporting trades. Conditionally requires presence of SecondaryTrdType(855).

For optional use in reporting trades as alternative to the use of individual fields.

Indicates whether the trade or transaction was executed anonymously.

Indicates that the order or trade originates from a computer program or algorithm requiring little-to-no human intervention.

Indicates the trade is a result of an offset or onset.

Position limit in the near-term contract for a given exchange-traded product.

Specified how the TradeCaptureReport(35=AE) should be handled by the respondent.

Optionally used with TradeHandlingInstr = 0 to relay the trade handling instruction used when reporting the trade to the marketplace. Same values as TradeHandlingInstr (1123)

Used to preserve original trade date when original trade is being referenced in a subsequent trade transaction such as a transfer

Used to preserve original trade id when original trade is being referenced in a subsequent trade transaction such as a transfer

Used to preserve original secondary trade id when original trade is being referenced in a subsequent trade transaction such as a transfer

Reason trade is being transferred

Type of execution being reported. Uses subset of ExecType(150) for trade capture reports.

Total number of trade reports returned.

Indicates whether this message is the last report message in response to a request message, e.g. OrderMassStatusRequest(35=AF), TradeCaptureReportRequest(35=AD).

May be used to indicate manual reporting of the trade.

Set to 'Y' if message is sent as a result of a subscription request or out of band configuration.

If the field is absent, SubscriptionRequestType(263)=0(Snapshot) will be the default.

The TradeReportID(571) that is being referenced for trade correction or cancelation.

Used to refer to a previous SecondaryTradeReportRefID when amending the transaction (cancel, replace, release, or reversal).

Secondary trade report identifier - can be used to associate an additional identifier with a trade.

Used to link a group of trades together.

Identifier assigned by a matching system to a match event that results in multiple executions or trades.

Market (exchange) assigned execution identifier as provided in the ExecutionReport(35=8) message.

Conditionally required if ExecRefID(19) is present and refers to the new execution identifer assigned by the market (exchange).

Reference to an execution identifier previously assigned by the market (exchange).

If specified, ExecID(17) is required.

Assigned by the party which accepts the order. Can be used to provide the ExecID (17) used by an exchange or executing system.

The reason for restatement when an ExecutionReport(35=8) or TradeCaptureReport(35=AE) message is sent with ExecType(150) = D (Restated) or used when communicating an unsolicited cancel.

Specifies the regulatory mandate or rule that the transaction complies with.

Trade side of payout payer.

Indicates if the transaction was previously reported to the counterparty or market.

Can be used to indicate cabinet trade pricing.

Used for the calculated quantity of the other side of the currency for this leg. Can be derived from LegQty and LegLastPx.

Type of cross being submitted to a market

Used for acting parties that applies to the whole message, not individual legs, sides, etc.

A trade that is being submitted for a trade date prior to the current trade or clearing date, e.g. in an open outcry market an out trade being submitted for the previous trading session or trading day.

Identifies a specific settlement session

SubID value associated with SettlSessID(716)

Identifies the type of venue where a trade was executed.

Identifies the market segment

Identifies the market

The type of identification taxonomy used to identify the security.

Type of quantity specified in quantity field. ContractMultiplier (tag 231) is required when QtyType = 1 (Contracts). UnitOfMeasure (tag 996) and TimeUnit (tag 997) are required when QtyType = 2 (Units of Measure per Time Unit).

Free form text to specify additional information or enumeration description when a standard value does not apply.

The offer FX Swap points for an FX Swap. It is the "far offer forward points - near bid forward points". Value can be negative. Expressed in decimal form. For example, 61.99 points is expressed and sent as 0.006199

Minimum price increment amount associated with the LegMinPriceIncrement(2190). For listed derivatives, the value can be calculated by multiplying LegMinPriceIncrement(2190) by LegContractMultiplier(614).

Date when the collateral is to be assessed or assigned.

Number of Underlying InstrumentPartySubID (1053) and InstrumentPartySubIDType (1054) entries

Specifies the first or only reference currency of the trade.

UnderlyingComplexEventCurrencyOneCodeSource(2948) may be used to disambiguate the code source scheme used, and ISO 4217 is the default scheme if absent.

Applicable for complex FX option strategies.

Trading Session in which the underlying instrument trades

Trading Session sub identifier in which the underlying instrument trades

Conditionally required except when reporting trades to parties who will derive trade level quantity from the leg level information for multi-legged trades

When LastQty is an estimated value, e.g. for a Repo “circled” trade, LastQtyVariance specifies the absolute amount that the size may vary up or down when finalized. Omitted when LastQty(32) is already final.

The positive or negative change in quantity when this report is a trade correction or continuation.

Expresses the quantity bought or sold when LastQty(32) is expressed in number of contracts. Used in addition to LastQty(32). It is the product of LastQty(32) and ContractMultiplier(231).

Expresses the total quantity traded over the life of the contract when LastQty(32) is repeated periodically over the term of the contract. The value is the product of LastQty(32) and TradingUnitPeriodMultiplier(2353).

Expresses the total trade quantity in units where ContractMultiplier(231) is not 1. The value is the product of TotalTradeQty(2367) and ContractMultiplier(231).

Conditionally required except when reporting trades to parties who will derive trade level price from the leg level information for multi-legged trades

Mid price/rate.

For OTC swaps this is the mid-market mark (for example, as defined by CFTC).

For uncleared OTC swaps, LegMidPx(2346) and the MidPx(631) fields are mutually exclusive.

Used to specify the differential price when reporting the individual leg of a spread trade.

Used for the calculated quantity of the other side of the currency trade. Can be derived from LastQty and LastPx.

Dealer's markup of market price to LastPx(31).

Primary currency of the specified currency pair. Used to qualify LastQty(32) and GrossTradeAmt(381).

Identifies class or source of the Currency(15) value.

Contra currency of the deal. Used to qualify CalculatedCcyLastQty(1056).

Identifies class or source of the SettlCurrency(120) value.

For FX trades expresses whether to multiply or divide LastPx(31) to arrive at GrossTradeAmt(381).

Applicable for F/X orders

Applicable for F/X orders

For FX Swap, this is used to express the last market event for the differential between the far leg's bid/offer and the near leg's bid/offer in a fill or partial fill. Value can be negative. Expressed in decimal form. For example, 61.99 points is expressed and sent as 0.006199

Specifies the price decimal precision of the instrument.

For FX, this specifies the pip size in which forward points are calculated. Point (pip) size varies by currency pair. Major currencies are all traded in points of 0.0001, with the exception of JPY which has a point size of 0.01.

Market of execution for last fill, or an indication of the market where an order was routed

Valid values:

See "Appendix 6-C"

In the context of ESMA RTS 1 Annex I, Table 3, Field 6 "Venue of Execution" it is required that the "venue where the transaction was executed" be identified using ISO 10383 (MIC). Additionally, ESMA requires the use of "MIC code 'XOFF' for financial instruments admitted to trading or traded on a trading venue, where the transaction on that financial instrument is not executed on a trading venue, systematic internaliser or organized trading platform outside of the Union. Use 'SINT' for financial instruments admitted to trading or traded on a trading venue, where the transaction is executed on a systematic internaliser."

Used when clearing price differs from execution price.

Method used for negotiation of contract price.

Upfront Price for CDS transactions. Conditionally required if TradePriceNegotiationMethod(1740) = 4(Percent of par and upfront amount), 5(Deal spread and upfront amount) or 6(Upfront points and upfront amount).

Type of price used to determine upfront payment for swaps contracts.

Used when reporting other than current day trades.

The business date for which the trade is expected to be cleared.

When the transaction is cleared and included in a portfolio of transactions this identifies the portfolio by its unique identifier.

In the context of EU SFTR reporting this applies to cleared transactions grouped in a portfolio for which margins are exchanged.

If used then the LastPx(31) will contain the original price on the execution.

Used by submitting firm to group trades being allocated into an average price group. The trades in average price group will be used to calculate an average price for the group.

Average pricing indicator.

The valuation date of the trade.

The valuation time of the trade.

Identifies the business center whose calendar is used for valuation, e.g. "GBLO".

See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Same as TrdRegTimestampOrigin(771). Used in a multi-sided message to indicate relevant trade-side origin or source of timestamp.

Type of report if multileg instrument.

Provided to support a scenario for trades of multileg instruments between two parties.

Reference to the leg of a multileg instrument to which this trade refers. Used when MultiLegReportingType(442) = 2 (Individual leg of a multileg security).

Identifies a multileg execution if present and non-zero.

Time the transaction represented by when this TradeCaptureReport(35=AE) occurred. Execution time of trade. Also describes the time of block trades.

Used to report volume with a trade

Indicates order settlement period. If present, SettlDate (64) overrides this field. If both SettlType (63) and SettDate (64) are omitted, the default for SettlType (63) is 0 (Regular)

Regular is defined as the default settlement period for the particular security on the exchange of execution.

In Fixed Income the contents of this field may influence the instrument definition if the SecurityID (48) is ambiguous. In the US an active Treasury offering may be re-opened, and for a time one CUSIP will apply to both the current and "when-issued" securities. Supplying a value of "7" clarifies the instrument description; any other value or the absence of this field should cause the respondent to default to the active issue.

Additionally the following patterns may be uses as well as enum values

Dx = FX tenor expression for "days", e.g. "D5", where "x" is any integer > 0

Mx = FX tenor expression for "months", e.g. "M3", where "x" is any integer > 0

Wx = FX tenor expression for "weeks", e.g. "W13", where "x" is any integer > 0

Yx = FX tenor expression for "years", e.g. "Y1", where "x" is any integer > 0

Noted that for FX the tenors expressed using Dx, Mx, Wx, and Yx values do not denote business days, but calendar days.

The date of a contract's early termination or other post-trade event when the event is prior to the contract natural end or maturity not defined as part of the security's reference data or contractual terms/agreement.

The settlement date for the underlying instrument of a derivatives security.

The status of this trade with respect to matching or comparison.

Specifies how the transaction was executed, e.g. via an automated execution platform or other method.

The point in the matching process at which this trade was matched.

The program under which a commercial paper is issued.

Annualized volatility for option model calculations

Time to expiration in years calculated as the number of days remaining to expiration divided by 365 days per year.

The continuously-compounded annualized dividend yield of the underlying(s) of an option. Used as a parameter to theoretical option pricing models.

Interest rate. Usually some form of short term rate.

The rate of change in the price of a derivative with respect to the movement in the price of the underlying instrument(s) upon which the derivative instrument price is based.

This value is normally between -1.0 and 1.0.

Specifies the currency ratio between the currency used for a multileg price and the currency used by the outright book defined by the leg. Example: Multileg quoted in EUR, outright leg in USD and 1 EUR = 0,7 USD then CurrencyRatio = 0.7

Indicates whether or not this message is a drop copy of another message.

The number of attachment keywords.

Used between parties to convey trade reporting status.

In the context of regulatory reporting, this field may be used by the reporting party (e.g. party obligated to report to regulators) to inform their trading counterparty or other interested parties the trade reporting status.

The term “authorised reporter” represents the appropriate reporting firm under applicable regulation. In the context of ESMA reporting, this is the "Systematic Internaliser". In the context of FCA reporting, this is the "Designated Reporter".

Indicates if a trade should be reported via a market reporting service.

Indicates if a trade should be or has been published via a market publication service. The indicator governs all publication services of the recipient. Replaces PublishTrdIndicator(852).

The gross trade amount for this side of the trade. See also GrossTradeAmt (381) for additional definition.

Reason for short sale.

Indicates the algorithm (tier) used to match a trade.

Used to identify the event or source which gave rise to a message.

Valid values will be based on an exchange's implementation.

Example values are:

"MQM" (originated at Firm Back Office)

"Clear" (originated in Clearing System)

"Reg" (static data generated via Register request)

Used to indicate reports after a specific time.

Specifies the rounded price to quoted precision.

Transact time in the local date-time stamp with a TZ offset to UTC identified

Indicates that the reported price that is different from the market price. The price difference should be stated by using field 828 TrdType and, if required, field 829 TrdSubType

(LastQty(32) * LastPx(31) or LastParPx(669)). For Fixed Income, LastParPx(669) is used when LastPx(31) is not expressed as "percent of par" price.

Expresses the full total monetary value of the traded contract. The value is the product of LastPx(31) and TotalTradeQty(2367) or TotalTradeMultipliedQty(2370), if priced in units instead of contracts.

Indicates the reason that a trade report was rejected.

Identifies the reason for rejection.

Byte length of encoded (non-ASCII characters) EncodedRejectText(1665) field.

Encoded (non-ASCII characters) representation of the RejectText(1328) field in the encoded format specified via the MessageEncoding(347) field. If used, the ASCII (English) representation should also be specified in the RejectText(1328) field.

This is a multiplier that Clearing (Fee system) will use to calculate fees and will be sent to the firms on their confirms.

Indicates whether the trade or position being reported was cleared through a clearing organization.

Specifies the party's or parties' intention to clear the trade.

Specifies the eligibility of this trade for clearing and central counterparty processing.

Indicates that the trade being reported occurred in the past and is still in effect or active.

Specifies how a trade was confirmed.

An indication that the trade is flagged for mandatory clearing.

An indication that the trade is a mixed swap.

In the context of CFTC , a "Mixed swap" is defined in the Commodity Exchange Act (CEA) section 1a(47)(D) as an instrument that is in part a swap subject to the jurisdiction of the CFTC, and in part a security-based swap subject to the jurisdiction of the SEC. When reporting the additional Swap Data Repositories must be identified in the appropriate Parties component with PartyRole(452) = 102 (Data repository), PartyRoleQualifier(2376) = 12 (Additional domestic trade repository) and PartySub-IDType(803) = 70 (Location or jurisdiction).

Indicates a swap that does not have one easily identifiable primary underlying asset, but instead involves multiple underlying assets within one trade repository's jurisdiction that belong to different asset classes.

Identifies the swap trade as an "international" transaction.

In the context of CFTC Regulation 45.3(h), an international swap is required by U.S. law and the law of another jurisdiction to be reported both to a US Swaps Data Repository and to a different trade repository registered within the other jurisdiction. The additional SDRs must be identified in the appropriate Parties component with PartyRole(452) = 102 (Data repository), PartyRoleQualifier(2376) = 11 (Additional international trade repository) and PartySubIDType(803) = 70 (Location or jurisdiction).

An indication that the price is off-market.

Indication of how a trade was verified.

Specifies whether a party to a swap is using an exception to a clearing requirement. In the US, one such clearing requirement is CFTC's rule pursuant to CEA Section 2(h)(1).

Used to specify whether the principal is paying or receiving the fixed rate in an interest rate swap.

Type of regulatory report.

May be used when the business event date differs from when the regulatory report is actually being submitted (typically specified in TrdRegTimestamps component).

Used in conjunction with RegulatoryReportType(1934) to indicate whether the trade report is a voluntary regulatory report. If not specified, the default for a regulatory report is "N".

When VoluntaryRegulatoryReport(1935)=Y it is recommended that one of the parties to the trade be identified as the voluntary reporting party through PartySubIDType(803) = 63 (Voluntary reporting entity).

Indicate whether a trade is eligible to be reported to more than one regulatory jurisdictions, e.g. due to overlapping reporting rules that require reporting to different jurisdictions.

Specifies how the trade is collateralized.

In the context of Dodd-Frank, all values shown except for 4 (Net exposure) apply.

In the context of ESMA EU SFTR reporting only the values 1 (Uncollateralized), 3 (Fully collateralized) and 4 (Net exposure) apply.

Specifies the post-execution trade continuation or lifecycle event. Additional values may be used by mutual agreement of the counterparties.

Indicates the contingency attribute for a trade in an asset class that may be contingent on the clearing of a corresponding paired trade (for example Exchange for Physical (EFP), Exchange for Swap (EFS), Exchange for Related (EFR) or Exchange for Option (EFO), collectively called EFRPs). Once the paired trade clears or fails to clear, the related trade (the trade which carries this attribute) ceases to exist.

Specifies the version of a trade or contract. This is used by systems or trading platforms in conjunction with TradeID(1003) to uniquely identify the version of a trade or contract. If used the conditions for a change of version are subject to bilateral agreement. It is recommended to change the version only for significant updates to the business entity rather than for minor changes to trade details or systematic distribution of reports. Examples where the version would change are trade quantity modification, customer account assignment or trade novation.

Indicates that the trade or event being reported occurred in the past and the trade is terminated or no longer active.

Indicates that the party has taken a position on both a put and a call on the same underlying asset.

Free form text to specify additional trade continuation information or data.

Must be set if EncodedTradeContinuationText(2371) field is specified and must immediately precede it.

Encoded (non-ASCII characters) representation of the TradeContinuationText(2374) field in the encoded format specified via the MessageEncoding(347) field.

Indicates whether the trade or position was entered into as an intra-group transaction, i.e. between two units of the same parent entity having majority ownership interest in both counterparties.

In the context of EMIR this refers to Regulation (EU) 648/2012 Article 3 "intragroup transactions" section 1 which states: "In relation to a non-financial counterparty, an intragroup transaction is an OTC derivative contract entered into with another counterparty which is part of the same group provided that both counterparties are included in the same consolidation on a full basis and they are subject to an appropriate centralised risk evaluation, measurement and control procedures and that counterparty is established in the Union or, if it is established in a third country, the Commission has adopted an implementing act under Article 13(2) in respect of that third country. Canada's similar requirement is under Appendix A to OSC Rule 91-507."

Indicates whether the transaction or position was entered into between two affiliated firms. I.e. one counterparty has an ownership interest in the other counterparty but less than the majority interest.

This trade attribute was identified under and applies to the Canadian CSA trade reporting regulations.

Specifies the second reference currency of the trade.

LegComplexEventCurrencyTwoCodeSource(2946) may be used to disambiguate the code source scheme used, and ISO 4217 is the default scheme if absent.

Applicable for complex FX option strategies.

Indicates the status of the risk limit check performed on a trade.