TT® FIX

Trade Capture Report (AE) Message

Purpose

Used to report trades between counterparties

Message Direction

From TT FIX to a FIX client

Supported Tags

Tag # Field Name Req’d Data type Comments
Component Block <Standard Header> Y 35=AE (MsgType)
571 TradeReportID N String

Unique identifier of trade capture report

572 TradeReportRefId N String

Reference identifier used with CANCEL and REPLACE transaction types

17 ExecID N string

Unique identifier for this execution report.

This report ID remains unique until TT FIX resets.

Note: Do not try to interpret or parse the value.

150 ExecType Y char

Indicates the reason for sending this Trade Capture Report

Possible values include:

  • 0: New
  • 1: Partially filled
  • 2: Filled
  • 3: Done for day
  • 4: Canceled
  • 5: Replaced
  • 6: Pending cancel
  • 7: Stopped
  • 8: Rejected
  • 9: Suspended (Held)
  • A: Pending new
  • B: Calculated
  • C: Expired
  • D: Restated
  • E: Pending replace
  • F: Trade
  • G: Trade correction
  • H: Trade cancel
  • I: Order status
  • J: Trade in a clearing hold
  • K: Trade has been released to clearing
  • L: Triggered or activated by system
487 TradeReportTransType N int

Trade Report message transaction type

Possible values include:

  • 0: New
  • 1: Cancel
  • 2: Replace
  • 3: Release
  • 4: Reverse
  • 5: Cancel du to back out of trade
  • 101: Inquire
  • 102: Accept
  • 999: Unknown
856 TradeReportType N int

Type of trade report

Possible values include:

  • 0: Submit
  • 1: Alleged
  • 2: Accept
  • 3: Declie
  • 5: No was
  • 6: Cancel
  • 11: Alleged new
  • 13: Alleged no was
  • 999: Unknown
  • 1000: Clearing
1123 TradeHandlingInstr N char

Instructions for how the Trade Capture Report should be handled by the respondent

Possible values include:

  • 0: Trade confirmation
  • 1: Two-party report
  • 2: One-party report for matching
  • 3: One-party report for pass through
  • 4: Automated floor order routing
  • 7: Third-party report for pass through
828 TrdType N int

The type of wholesale trade.

Possible values include:

  • 0: Regular Trade
  • 1: Block Trade
  • 2: Exchange For Physical
  • 3: Transfer
  • 11: Exchange For Risk
  • 12: Exchange For Swap
  • 14: Exchange Of Options For Options
  • 1000: Volatility
  • 1001: EFP Financial
  • 1002: EFP Index Futures
  • 1003: Strategy Block Trade
  • 1004: Block Standard CF
  • 1005: Block Combination CF
  • 1006: EFS EFP CF
  • 1007: Block Internal CF
  • 1008: Portfolio CF
  • 1009: Correction CF
  • 1010: Block Combination Buyer CF
  • 1011: Block Combination Seller CF
  • 1012: EFS EFP Combination CF
  • 1013: EFS EFP Combination Buyer CF
  • 1014: EFS EFP Combination Seller CF
  • 1015: OTC Standard CIO
  • 1016: OTC Combination CIO
  • 1017: OTC Combination Buyer CIO
  • 1018: OTC Combination Seller CIO
  • 1019: Standard Trade CD
  • 1020: Standard Outside Spread CD
  • 1021: Combination CD
  • 1022: Old CD
  • 1023: Internal CD
  • 1024: Portfolio CD
  • 1025: Correction CD
  • 1026: Exchange Granted FD
  • 1027: Standard Outside FD
  • 1028: Off Hours FD
  • 1029: Block FD
  • 1030: Exch Granted Exceed Max Lot FD
  • 1031: Exch Granted Eml Off Hours FD
  • 1032: Exch Granted Late FD
  • 1033: Flex Contract Conversion FD
  • 1034: Ice Efrp
  • 1035: Iceblk
  • 1036: Basis
  • 1037: Volatility Contingent
  • 1038: Stock Contingent
  • 1039: CCX EFP
  • 1040: Other Clearing Value
  • 1041: N2EX
  • 1042: EEX
  • 1043: EFS EFP Contra
  • 1044: Efm
  • 1045: Ng EFP EFS
  • 1046: Contra
  • 1047: Cpblk
  • 1048: Bilateral Off Exch
  • 1049: OTC Privately Negotiated Trades
  • 1050: OTC Large Notional Off Facility Swap
  • 1051: Block Swap Trade
  • 9999: Unknown
107 SecurityDesc N String

Can be used to provide an optional textual description for a financial instrument

32 LastShares N int

Indicates the number of contracts that just filled

151 LeavesQty N int

Number of contracts that are still working in the market

31 LastPx N Price

Price of this fill

If Tag 442 (MultiLegReportingType) is 2 (Leg), the value represents the price at which a leg of the spread filled. The message's Instrument Component identifies the filled leg.

6 AvgPx N Price

Average price of all fills on this order

60 TransactTime Y UTCTimestamp

Time, in UTC, the transaction occurred.

Note: Some Exchanges might send milliseconds in certain circumstances, in the form: YYYYMMDD-HH:MM:SS.sss. TT recommends that you allocate enough memory to handle the longer timestamp should an Exchange send it.

75 TradeDate N LocalMktDate

Indicates date of trade referenced in this message in YYYYMMDD format. Absence of this field indicates current day (expressed in local time at place of trade).

820 TradeLinkId N String

Used to link a group of trades together. Useful for linking a group of trades together for average price calculations.

1003 TradeId N String

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

1126 OrigTradeId N String

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

880 TrdMatchId N String

Identifier assigned to a trade by a matching system

20016 FutureReferencePrice N Price

Pass-through field for Options Trades, contain a reference price for the futures reference leg

Note: Valid only for NFX

442 MultiLegReportingType N char

Indicates what the Trade Capture Report represents (e.g. used with multi-leg securities, such as option strategies, spreads, etc.)

Possible values include:

  • 1: Single security
  • 2: Individual leg of multi-leg security
  • 3: Parent of multi-leg security (summary fill)
483 TransBkdTime N UTCTimestamp

Time at which the order was finalized between the buyer and seller prior to submission

Component Block: <Instrument> Y

Instrument associated with this Trade Capture Report

552 NoSides N NumInGroup

Repeating group for sides of the trade

Component Block: <PartiesGrp> N

Information about the entities involved in the financial transaction associated with this FIX message

54 Side N char

Side of the order

Possible values include:

  • 1: Buy
  • 2: Sell
  • 3: Buy minus
  • 4: Sell plus
  • 5: Sell short
  • 6: Sell short exempt
  • 7: Undisclosed
  • 8: Cross
  • 9: Cross short
37 OrderId N String

Unique identifier for order as assigned by sell-side

1 Account N String

Order-routing account for this side of the trade

80 AllocQty N String

Quantity to be allocated to the specified account

1047 AllocPositionEffect N String

Whether the resulting position after a trade should be an opening position or closing position

Possible values include:

  • O: Open
  • C: Close
  • R: Rolled
  • F: FIFO
  • N: Close but notify on open
  • D: Default
10555 NoTCRLegs N NumInGroup

Number of leg instruments

637 LegLastPx N Price

Leg trade price

1418 LegLastQty N Qty

Leg trade quantity

552 NoSides N NumInGroup

Repeating group for sides of the trade

54 Side N char

Side of the order

Possible values include:

  • 1: Buy
  • 2: Sell
  • 3: Buy minus
  • 4: Sell plus
  • 5: Sell short
  • 6: Sell short exempt
  • 7: Undisclosed
  • 8: Cross
  • 9: Cross short
37 OrderId N String

Unique identifier for order as assigned by sell-side

1 Account N String

Order-routing account for this side of the trade

80 AllocQty N String

Quantity to be allocated to the specified account

1047 AllocPositionEffect N String

Whether the resulting position after a trade should be an opening position or closing position

Possible values include:

  • O: Open
  • C: Close
  • R: Rolled
  • F: FIFO
  • N: Close but notify on open
  • D: Default
Component Block <Standard Trailer> Y

Message Notes

The Trade Capture Report (AE) message can be used to:

  • Report trades between counterparties
  • Report trades to a trade matching system
  • Peport unmatched and matched trades

Note: An order routing FIX session must enable the Send unsolicited order and fill messages option in the Setup application to receive these messages.