Exchange Compliance

Exchange Compliance Records

Introduction

This document describes the format for exchange compliance records that are created and made available to customers.  In some cases the formats are defined by the exchange.  When not defined by the exchange, a generic TT format is used.  These files are created daily for the previous day's activity (Friday's files are not generated until Sunday, depending on the exchange) and made available on the EFT server.  Customers should periodically check the EFT server for new files.  Access to the EFT server will be provided during the onboarding process.

A file will be created for each connection regardless of the trading activity for all connections owned by a company.  Expect a file with only the header if there is no trading activity.  If a connection is being shared to other companies that non-owning company should only expect to see a file if there was trading activity.

Companies receive records performed by 1) their users, 2) connections they own, 3) accounts they own (including all accounts in the record's account hierarchy), or 4) accounts where the company acts as the introducing broker.  This means a record will always be provided to the company which owns the connection, but may also be provided to several additional companies.

Each company is provided with a daily setup report.  The setup report includes snapshots of TTUS information (e.g., account limits, user settings, etc.).  There is also a change log which shows all the changes which have happened in TTUS in a given time range (typically 24 hours).  This data comes from TTUS reports that can be executed by company admins at any time.  

Exchange send/recv logs are provided.  For exchanges which support a plain text send/recv log (e.g., FIX based exchanges) that data will be provided.  For exchanges which have a binary protocol (e.g., Eurex ETI) a plain text send/recv log will be created based on the binary data (NOTE: send/recv log collection began rolling out July 6, 2018 for limited exchanges; all exchanges will eventually be included).  The send/recv logs are only made available to companies which own connections.  

FIX send/recv logs can be provided for all orders routed to the TT Platform via the FIX Order Routing Service.  Companies who wish to receive these files should contact their account manager.  The FIX send/recv logs will contain data for all the markets a given FIX session supports.  The FIX Order Routing Service send/recv logs are only made available to companies which own the FIX connections and when there is non-heartbeat activity.  The files are named like fix_order_routing_service_tt_send_recv_logs_[company_identifier]_YYYY_MM_DD.zip.

FIX send/recv logs can be provided for companies that utilize the FIX Drop Copy Service (previously referred to in this document as FIX Back Office Service) to receive a FIX feed of their activity from the TT Platform.  Companies who wish to receive these files should contact their account manager.  The FIX Drop Copy Service send/recv logs are created when there is non-heartbeat activity.  The files are named like fix_drop_copy_service_tt_send_recv_logs_[company_identifier]_YYYY_MM_DD.zip.

Safely Viewing Files

The csv files inside the zip file are plain text comma delimited files.  One common issue when viewing the data is that spreadsheet programs tend to automatically interpret and change some of the data when a csv file is opened (the degree depends on the spreadsheet and the configuration settings).  Some common changes include making large numbers into exponents, rounding numbers, and formatting dates.  If a csv file is viewed in a spreadsheet which has interpreted the data and the file is subsequently saved, the original data may be changed.  

Some suggestions to safely view the data:

  1. Attempt to import the data in your spreadsheet to avoid changes (example below).  This usually involves opening the spreadsheet program first (not double-clicking on the csv file) and then using an import wizard.
  2. Make sure to keep the original zip file which contained the original csv files to compare against any file which might have been altered.
  3. Open the file in a plain text viewer (e.g., Windows Notepad) if there is some question about the formatting.  Make sure to open the original file (resampling from the zip file if there is any chance changes were saved by a spreadsheet program).

Here's an example of how spreadsheets can modify the data using Google Sheets and how to avoid that.  To reduce clutter, only the first four columns of the csv are included in this example.

A sample of data as would be viewed in a plain text editor.  Note the time precision.

Date,Time,Message Type,TT Order ID

2019/08/27,09:59:30.088311120,NewOrderSingle,f96b573f-7eab-4781-9670-3ef0d133a9c7

2019/08/27,09:59:30.117216468,ExecutionReport,f96b573f-7eab-4781-9670-3ef0d133a9c7

2019/08/27,09:59:32.088100002,NewOrderSingle,08ec66e4-4d3a-4bc5-965e-77efcc232884

Another view of the same data (space formatted).

Date        Time                Message Type     TT Order ID                          

2019/08/27  09:59:30.088311120  NewOrderSingle   f96b573f-7eab-4781-9670-3ef0d133a9c7  

2019/08/27  09:59:30.117216468  ExecutionReport  f96b573f-7eab-4781-9670-3ef0d133a9c7  

2019/08/27  09:59:32.088100002  NewOrderSingle   08ec66e4-4d3a-4bc5-965e-77efcc232884

The same data opened in Google Sheets.  Notice the time has been changed.

To safely open this data in Google Sheets use the Import functionality.

In the Import menu, make sure to select that no conversion should happen.

When imported with no conversions, the date is displayed exactly as in the plain text viewer.

File Naming

Customers can expect one zip file per market named [market]_tt_[company_identifier]_YYYY_MM_DD.zip (e.g., sgx_tt_888_2016_10_16.zip).  This zip file will contain at least one csv file for each exchange connection owned by the company.  Files will also be present when sharing connections via account (orders/fills will be limited to those the sharing  company is allowed to access).

The market portion of the zip file name will be one of:

Market Abbrev

Supports Send/Recv

Notes

asx

Yes

athex

Yes

bist

Yes

bitmex

btec

Yes

bvmf

Yes

cfe

Yes

cme

Yes

CME Globex.

cme_otc

CME Clearport.

coinflex

curveglobal

Yes

deribit

Yes

dgcx

Yes

eex_derivative

Yes

eex_derivative_otc

EEX OTC trades.

eris

Now part of CME and data will be included in the CME data.

espeed

Yes

Nasdaq Fixed Income

eurex

Yes

euronext

Yes

euronext_7xbridge

Euronext provided via 7x bridge.

fenics

Yes

fex

Yes

gdax

Coinbase

hkex

Yes

ice

Yes

ice_l

Yes

ICE LIFFE

idem

Yes

jse

Yes

Prior to September 29, 2019 files were delivered as safex.

kcg

lme

Yes

lse

Yes

meff

Yes

meff_7xbridge

MEFF provided via 7x bridge.

moex

Yes

Moscow Exchange.

mx

Yes

mx_7xbridge

MX provided via 7x bridge.

ndaq_eu

Yes

nfx

nodal

Yes

ose

Yes

sgx

Yes

tfex

tocom

The MM_DD portion of zip file is the end date of the range of records contained within the zip file in UTC.  The range of records is a 24 hour period, midnight to midnight, in the local time of the exchange.  That 24 hour range in local time will likely be split across two days when the time range is converted to UTC.  

For example, the CME runs in the America/Chicago timezone which can be 5 hours behind UTC.  The range of the query for 10/17/2016 in local time starts at 2016-10-17 00:00:00 and ends at 2016-10-17 23:59:59.  When converted to UTC that range starts at 2016-10-17 05:00:00 and ends at 2016-10-18 04:59:59.  Thus the zip file's MM_DD portion will use the end of the range 10/18 and will be named cme_tt_888_2016_10_18.zip.  

Another example at the other end of the timezone spectrum is ASX which run in Australia/Sydney time which can be 11 hours ahead of UTC.  The range of the query for 10/17/2016 in local time starts at 2016-10-17 00:00:00 and ends at 2016-10-17 23:59:59.  When converted to UTC that range is 2016-10-16 13:00:00 and ends at 2016-10-17 12:59:59.  The zip file will be named asx_tt_888_2016_10_17.zip.

There are three types of csv files which contain exchange trading activity:

1) those containing orders, fills, security definition requests, and quote requests named like [connection_id]_[market]_tt_audit_YYYY_MM_DD.csv (e.g., 4586_sgx_tt_audit_2018_08_01.csv)

2) those containing trade capture reports named like trade_captures_[connection_id]_[market]_tt_audit_YYYY_MM_DD.csv (e.g., trade_captures_3331_sgx_tt_audit_2018_09_01.csv).

3) those containing OTC trades named like trade_reports_[connection_id]_market_tt_audit_YYYY_MM_DD.csv (e.g., trade_reports_17408_lse_tt_audit_2019_10_08.csv).  The trade_reports file is similar to the trade_captures file and was introduced in Q4 2019.  This will be the preferred format for OTCs and eventually data in trade_captures may migrate to this format.

In some cases an exchange may dictate that alternate file schemes be used.  The YYYY_MM_DD values on the csv files is inherited from the containing zip file.  Dates on files within the zip file was introduced in Q4 2018.  Files previously created will not contain the YYYY_MM_DD portion.

The setup report file naming convention is tt_setup_reports_[company_identifier]__YYYY_MM_DD.zip (e.g., tt_setup_reports_1_2018_05_01.zip).  The zip file will contain a csv file with the contents of each report.  The report csv files within the zip file are named like [company_identifer]_[report_type]_YYYY_MM_DD.csv (e.g., 819_user_account_connection_2018_10_17.csv).   Dates on files within the zip file was introduced in Q4 2018.  Files previously created will not contain the YYYY_MM_DD portion.

The send/recv file naming convention is [market]_tt_send_recv_logs_[company_identifier]_YYYY_MM_DD.zip (e.g., bvmf_tt_send_recv_logs_1_2018_06_07.zip).  The zip file will contain at least one file for each exchange connection.  The naming of each send/recv log varies by market, but will always include _cid_[connection_id]_send_recv_YYYY_MM_DD.log.  The beginning of the file name will typically include some exchange specific connection identifier that only has meaning to that exchange (e.g., sender comp id for CME).   Dates on files within the zip file was introduced in Q4 2018.  Files previously created will not contain the YYYY_MM_DD portion.

In some cases, a send/recv log in the zip file may be prefixed with [digit]_ (e.g., 2_CTTCA800_bvmf_cid_13922_send_recv_2018_09_15.log).  This will happen when a fix session was executed on more than one server.

The FIX Order Routing Service send/recv logs are named like fix_order_routing_service_tt_send_recv_logs_[company_identifier]_YYYY_MM_DD.zip (e.g., fix_order_routing_service_tt_send_recv_logs_17_2019_04_10.zip).  The zip file will contain at least one file for each active FIX connection.  If a FIX connection has no activity then no file will be created.  Similarly, if all FIX connections owned by a company have no activity then no zip file will be created.  The FIX connection logs within the zip file are named like fixorderrouting_[Remote_Comp_ID][_Target_Sub_ID]_send_recv_YYYY_MM_DD.log (e.g., fixorderrouting_Hasong_OR_TT_ORDER_send_recv_2019_04_10.log).  Note: previously the files were named like orderrtgnode_[Remote_Comp_ID][_Target_Sub_ID]_send_recv_YYYY_MM_DD.log and some zip files may contain files with both naming conventions.

In some cases, a FIX Order Routing Service send/recv log in the zip file may be prefixed with [digit]_ (e.g., 2_fixorderrouting_Hasong_OR_TT_ORDER_send_recv_2019_04_10.log).  This will happen when a FIX session was executed on more than one server within the collection time period.

The FIX Drop Copy Service send/recv logs are named like fix_drop_copy_service_tt_send_recv_logs_[company_identifier]_YYYY_MM_DD.zip (e.g., fix_drop_copy_service_tt_send_recv_logs_17_2019_04_10.zip).  The zip file will contain at least one file for each active FIX connection.  If a FIX connection has no activity then no file will be created.  Similarly, if all FIX connections owned by a company have no activity then no zip file will be created.  The FIX connection logs within the zip file are named like fixdropcopy_[Remote_Comp_ID][_Target_Comp_ID]_send_recv_YYYY_MM_DD.log (e.g., fixdropcopy_H8_BO_send_recv_2019_04_10.log).  NOTE: previously these files were named like backofficenode_[Remote_Comp_ID][_Target_Comp_ID]_send_recv_YYYY_MM_DD.log and some zip files may contain files with both naming conventions.

In some cases, a FIX Drop Copy Service send/recv log in the zip file may be prefixed with [digit]_ (e.g., 2_fixdropcopy_H8_BO_send_recv_2019_04_10.log).  This will happen when a FIX session was executed on more than one server within the collection time period.

File Availability

The files are created for each market independently.  In general files will be available on the EFT server within a few hours for the previous calendar day (some exceptions noted below).  For example, Monday's CME activity is generally available on the EFT server early Tuesday morning in America/Chicago time.  Monday's Eurex activity is generally available on the EFT server early Tuesday morning in Europe/Berlin time.  

Some exchanges Friday activity will be made available on the EFT server Sunday evening.  Keep in mind that the names of the files continue to follow the convention based on the range of records within them and not when they are created.  For example, the CME Friday activity for 10/14/2016 will be named cme_tt_888_10_15.zip, but won't be made available until the evening of Sunday, 10/16/2016 on the EFT server.

Those include: btec, cfe, cme, dgcx, eex_derivative, eex_derivative_otc, epex, gdax, hkex, ice, ice-l, kcg, meff, mx, ndaq_eu, eris, euronext, nfx, eurex, and espeed.

For exchanges that support 24x7 trading (e.g., gdax),, a file for Saturday will be created and made available on Sunday evening.

The exchange send/recv logs are generally available about thirty minutes after the trading session ends.  The FIX Order Routing Service and FIX Drop Copy Service send/recv logs are collected M-F around 4:10pm Chicago time and should be available on the EFT server soon after.  Each FIX Order Routing and FIX Drop Copy send/recv log file will contain about 24 hours of data from 4:00pm Chicago time (Monday's file will also contain any data from Sunday's activity).  If there is no activity for a company no logs will be collected and no zip file will be placed on the EFT server.

File Integrity

Each zip file will be accompanied by a checksum file that can be used to ensure integrity of the zip file after downloading from the EFT server.  The checksum file will be named like [market]_tt_[company_identifier]_YYYY_MM_DD.zip.sha256sum.txt (e.g., cme_tt_98_2017_12_19.zip.sha256sum.txt).  The checksum file will use linux style line endings, conversion to Windows style may be necessary if validation is happening on Windows or other non-linux platforms.

The first line of the checksum file will be the SHA256 hash of the zip file computed at its creation.  The second line of the checksum file will contain the name of the zip file for which the checksum was computed.   To validate the zip file, compute the SHA256 hash after downloading the zip file (there are free utilities on most platforms).  The value computed should match the value in the first line of the checksum file.

Timestamps

A message will have many timestamps associated with it in the Audit Trail file and Send/Recv log.  In most cases the timestamps will have small differences.  Some timestamps are created when the message is constructed (e.g., FIX tag 52) because the message's checksum must be computed after the timestamp has been created.  We endeavor to send messages as soon as possible after creation, but it's not always instant (this will be greatly exaggerated in our UAT environment due to compute constraints).  

The Send/Recv logs typically contain a timestamp at the beginning of each line.  This timestamp records when the message was sent or received from the network.  It's possible the log lines are out of sequence, but the timestamps are a correct chronological ordering of the messages.

Exchange Defined Formats

The following exchanges define their own format.  Links to the exchange documentation regarding the definitions are provided.  In some cases exchanges allow TT to extend the exchange mandated format with additional fields.

Exchange

Documentation

Notes

CME

CME Audit Trail Requirements

CME Clearport trades do not provide an exchange format, so clearport trades are recorded in the generic TT format.

CFE

CFE Audit Trail Requirements

NFX

NFX Audit Trail Requirements

ICE

ICE Audit Trail Requirements

ICE and ICE LIFFE use the same format.

ATTENTION: Any extra fields added to exchange defined formats will always be added after exchange fields.  If the exchange adds a new field that newly added field may appear in the middle of the columns.  Keep that in mind when parsing this file.  

Extended CME Format

Column Name

Value Format

Examples

Since

Notes

Product/Instrument Group Code

String value.

802928

04/21/2016

The contract's Security ID as defined by CME.  More specifically, this is tag 48 (SecurityID) from CME's Security Definition.

Exchange Code

String value.

XCME

04/21/2016

The security exchange; the exchange used to identify a security.  More specifically, this is tag 207 (SecurityExchange) from CME's Security Definition.

TT User ID

Number.

21417

08/11/2017

The TT platform user identifier.

TT Current User ID

Number.

21417

08/11/2017

The TT platform user identifier.  This value may differ from the TT User ID if another user changes or deletes an order.  This field is not populated on new orders.

TT FIX Client Order ID

String value.

12191976

9/7/2018

Customer's FIX client order identifier (tag 11).  Populated when orders are routed to the TT Platform via FIX.

TT FIX Original Client Order ID

String value.

03161978

9/7/2018

Customer's FIX original client order identifier (tag 41).  Populated when orders are routed to the TT Platform via FIX.

Extended CFE Format

Column Name

Value Format

Examples

Since

Notes

DISPLAY_NAME

String value.

VX Nov16

VX Mar17-Nov16 Calendar

09/16/2016

The CFE has requested TT add an additional column which contains a human readable contract name.

TT User ID

Number.

21417

08/11/2017

The TT platform user identifier.

TT Current User ID

Number.

21417

08/11/2017

The TT platform user identifier.  This value may differ from the TT User ID if another user changes or deletes an order.  This field is not populated on new orders.

TT FIX Client Order ID

String value.

12191976

9/7/2018

Customer's FIX client order identifier (tag 11).  Populated when orders are routed to the TT Platform via FIX.

TT FIX Original Client Order ID

String value.

03161978

9/7/2018

Customer's FIX original client order identifier (tag 41).  Populated when orders are routed to the TT Platform via FIX.

 

Extended ICE Format

Column Name

Value Format

Examples

Since

Notes

TT User ID

Number.

21417

08/11/2017

The TT platform user identifier.

TT Current User ID

Number.

21417

08/11/2017

The TT platform user identifier.  This value may differ from the TT User ID if another user changes or deletes an order.  This field is not populated on new orders.

DirectElectronicAccess

String value.

Y

12/08/2017

Whether or not the order is sent from direct/sponsored access, or from another source.  Value range:

Y

N

TradingCapacity

String value.

P

12/08/2017

Indication of a user dealing on own account (DEAL), trading in a matched principal capacity (MATCH), or trading in any other trading capacity (AOTC).  Value range:

P (DEAL)

R (MATCH)

A (AOTC)

LiquidityProvision

String value.

Y

12/08/2017

Indication of market making.  Value range:

Y

N

CommodityDerivIndicator

String value.

Y

12/08/2017

Indication of whether the order is for hedging purposes to reduce risk.  Value range:

Y

N

InvestmentDecision

String value.

121

12/08/2017

Indication of who made the trading decision.

InvestmentDecisionIsAlgo

String value.

N

12/08/2017

Indicates if the investment decision was made by an algorithm.  Value range:

Y

N

ExecutionDecision

String value.

845

12/08/2017

Indication of who or what algo submitted the order.

ExecutionDecisionIsAlgo

String value.

N

12/08/2017

Indicates if the execution decision was made by an algorithm.  Value range:

Y

N

ClientIDCode

String value.

999

12/08/2017

Identification of the customer (LEI/Short Code).

MifIDID

String value.

450

12/08/2017

Mifid identifier.

Message Type

String value.

D

7/20/2018

FIX Message Type.  For execution report messages, the order status will also be included.  The two values will be separated with a backslash character (e.g., 8\0, 8\1, etc.).

TV TIC

String value.

201807051523559444820000600005950005578028

8/3/2018

Trading Venue Transaction Identification Code (TVTIC) is a number generated by trading venues and disseminated to both the buying and the selling parties in accordance with EU regulations.

TT FIX Client Order ID

String value.

12191976

9/7/2018

Customer's FIX client order identifier (tag 11).  Populated when orders are routed to the TT Platform via FIX.

TT FIX Original Client Order ID

String value.

03161978

9/7/2018

Customer's FIX original client order identifier (tag 41).  Populated when orders are routed to the TT Platform via FIX.

Authorized Group ID

String value.

ttdts

5/10/2019

The value of the right side of tag 144.

Text

String value

Missing Field

8/16/2019

The value of tag 58.

Extended NFX Format

Column Name

Value Format

Examples

Since

Notes

TT User ID

Number.

21417

08/11/2017

The TT platform user identifier.

TT Current User ID

Number.

21417

08/11/2017

The TT platform user identifier.  This value may differ from the TT User ID if another user changes or deletes an order.  This field is not populated on new orders.

TT FIX Client Order ID

String value.

12191976

9/7/2018

Customer's FIX client order identifier (tag 11).  Populated when orders are routed to the TT Platform via FIX.

TT FIX Original Client Order ID

String value.

03161978

9/7/2018

Customer's FIX original client order identifier (tag 41).  Populated when orders are routed to the TT Platform via FIX.

TT Format (Orders/Fills/SecurityDefinition/Quotes)

Column Name

Value Format

Examples

Since

Notes

Date

YYYY/MM/DD

2016/08/01

09/01/2014

In UTC.  For messages going to the exchange this represents when the message is sent to the exchange from the order server.  For messages received from the exchange this represents when the message is sent from the order server to the rest of the TT platform.

Time

HH:MM:SS.dddddddd

09:50:08.21557297

09/01/2014

UTC with nanosecond precision.  For messages going to the exchange this represents when the message is sent to the exchange from the order server.  For messages received from the exchange this represents when the message is sent from the order server to the rest of the TT platform.

Message Type

String derived from FIX style messages.

NewOrderSingle, ExecutionReport

09/01/2014

Value range:
NewOrderSingle, OrderCancelReplaceRequest, OrderCancelRequest, ExecutionReport, OrderCancelReject, SecurityDefinitionRequest, SecurtyDefinition, QuoteRequest, QuoteRequestResponse,

News.

TT Order ID

Thirty-two hexadecimal digits grouped with hyphens.

1eef9474-65eb-4774-9b39-f46fe3600bc5

09/01/2014

TT order identifier that remains associated with the order through all order activity (changes, rejects, fills, hold, submit, etc.).  This value is not sent to exchanges and is only understood within the TT platform.  Unique across all orders forever within the TT platform.  Stored as 128-bit value, and displayed as 32 hexadecimal digits with groups separated by hyphens.

TT Instrument ID

Sixty-four bit integer.

4741073286074065548

09/01/2014

Unique identifier for the contract within the TT platform.

Product Type

String description.

FUT

09/01/2014

TT platform product categorization.  Value range: FUT, OPT, MLEG, and STRA

Product Symbol

String description.

FESX

09/01/2014

In general this field will contain the contract's symbol as defined by the exchange.  Please refer to exchange documentation for more information.

Maturity Date

YYYY-MM-DD

2016-08-14

09/01/2014

The maturity date of the contract.

TT Request ID

Sixty-four bit integer.

89564

09/01/2014

A TT platform identifier for each order request.

Exchange Request ID

String value.

50005001

09/01/2014

The exchange provided order request identifier.  The format and meaning differ by exchange.

Exchange Order ID

String value.

93584839

09/01/2014

The exchange provided order identifier.  The format and meaning differ by exchange.

Exchange Link Association

String value.

90202406

09/01/2014

A TT defined string that associates the exchange connection used when interacting with the exchange (e.g., for Eurex the Session ID is used).

Order Type

String value.

ORD_TYPE_LIMIT

09/01/2014

A TT defined set or order types.  Value range:

ORD_TYPE_MARKET,

ORD_TYPE_LIMIT,

ORD_TYPE_STOP,

ORD_TYPE_STOP_LIMIT,

ORD_TYPE_MARKET_WITH_LEFT_OVER_AS_LIMIT,

ORD_TYPE_MARKET_LIMIT_MARKET_LEFT_OVER_AS_LIMIT,  ORD_TYPE_STOP_MARKET_TO_LIMIT,

ORD_TYPE_IF_TOUCHED_MARKET,

ORD_TYPE_IF_TOUCHED_LIMIT,

ORD_TYPE_IF_TOUCHED_MARKET_TO_LIMIT

Time In Force

String value.

TIME_IN_FORCE_DAY

09/01/2014

A TT defined set or time in force values.  Value range:

TIME_IN_FORCE_DAY,

TIME_IN_FORCE_GOOD_TILL_CANCEL,

TIME_IN_FORCE_AT_THE_OPENING,

TIME_IN_FORCE_IMMEDIATE_OR_CANCEL,

TIME_IN_FORCE_FILL_OR_KILL,

TIME_IN_FORCE_GOOD_TILL_CROSSING,

TIME_IN_FORCE_GOOD_TILL_DATE,

TIME_IN_FORCE_AT_THE_CLOSE,

TIME_IN_FORCE_GOOD_THROUGH_CROSSING,

TIME_IN_FORCE_AT_CROSSING,

TIME_IN_FORCE_GOOD_IN_SESSION

Expire Date

YYYY/MM/DD

2016/10/31

09/01/2014

Execution Type

String value.

EXEC_TYPE_NEW

09/01/2014

A set of TT defined execution types.  Value range:

EXEC_TYPE_NEW,

EXEC_TYPE_DONE_FOR_DAY,

EXEC_TYPE_CANCELED,

EXEC_TYPE_REPLACED,

EXEC_TYPE_PENDING_CANCEL,

EXEC_TYPE_STOPPED,

EXEC_TYPE_REJECTED,

EXEC_TYPE_SUSPENDED,

EXEC_TYPE_PENDING_NEW,

EXEC_TYPE_CALCULATED,

EXEC_TYPE_EXPIRED,

EXEC_TYPE_RESTATED,

EXEC_TYPE_PENDING_REPLACE,

EXEC_TYPE_TRADE,

EXEC_TYPE_TRADE_CORRECT,

EXEC_TYPE_TRADE_CANCEL,

EXEC_TYPE_ORDER_STATUS,

EXEC_TYPE_TRADE_IN_A_CLEARING_HOLD,

EXEC_TYPE_TRADE_HAS_BEEN_RELEASED_TO_CLEARING,

EXEC_TYPE_TRIGGERED_OR_ACTIVATED_BY_SYSTEM,

EXEC_TYPE_POSITION_RESERVE_CANCEL_REJECT,

EXEC_TYPE_POSITION_RESERVE_REPLACE_REJECT,

EXEC_TYPE_ALGO_MESSAGE,

EXEC_TYPE_EXPIRED_ORDERBOOK,

EXEC_TYPE_SQUARE_OFF

Order Status

String value.

ORD_STATUS_NEW

09/01/2014

A set of TT defined order statuses which generally follow the FIX protocol.To understand the reason for the execution report refer to the field Execution Type. Value range:

ORD_STATUS_NEW,

ORD_STATUS_PARTIALLY_FILLED,

ORD_STATUS_FILLED,

ORD_STATUS_DONE_FOR_DAY,

ORD_STATUS_CANCELED ,

ORD_STATUS_PENDING_CANCEL,

ORD_STATUS_STOPPED,

ORD_STATUS_REJECTED,

ORD_STATUS_SUSPENDED,

ORD_STATUS_PENDING_NEW,

ORD_STATUS_CALCULATED,

ORD_STATUS_EXPIRED,

ORD_STATUS_ACCEPTED_FOR_BIDDING,

ORD_STATUS_PENDING_REPLACE

Text

String value.

Rejected due to price outside reasonability limit.

09/01/2014

Represents free for text typically sent by the exchange.

Reject Source

String value.

REJECT_SOURCE_RISK

09/01/2014

Defines the subsystem of the TT platform which caused an order operation to be rejected.  Value range:

REJECT_SOURCE_EDGE,

REJECT_SOURCE_RISK,

REJECT_SOURCE_GATEWAY,

REJECT_SOURCE_EXCHANGE,

REJECT_SOURCE_ALGO,

REJECT_SOURCE_ASE,  

REJECT_SOURCE_TTINT

Side

String value.

B

09/01/2014

A set of TT defined representations of the side or the order.  Value range:

B

S

Order Qty

Number.

12

09/01/2014

Total order quantity.  In general, Order Qty = Leaves Qty + Cum Qty.

Cum Qty

Number.

6

09/01/2014

The total quantity filled.  In general, Order Qty = Leaves Qty + Cum Qty.

Leaves Qty

Number.

3

09/01/2014

The total quantity available for further execution.  In general, Order Qty = Leaves Qty + Cum Qty.

Min Qty

Number

5

09/01/2014

The minimum quantity to be executed.

Last Qty

Number.

2

09/01/2014

The amount filled on this execution report.

Display Qty

Number.

5

09/01/2014

The amount of the order to be publicly displayed at the exchange, typically set on iceberg orders.

Refresh Qty

Number.

5

09/01/2014

The amount to refresh the Displayed Qty.

Exchange Order Qty

Number.

10

09/01/2014

Used to reconcile quantities for exchanges which do not keep a history of order qty through order operations.

Exchange Leaves Qty

Number.

5

09/01/2014

Used to reconcile quantities for exchanges which do not keep a history of leaves qty through order operations.

Exchange Cum Qty

Number.

5

09/01/2014

Used to reconcile quantities for exchanges which do not keep a history of cum qty through order operations.

Price

Number (possibly with decimal).

12.50

09/01/2014

Last Price

Number (possibly with decimal).

12.50

09/01/2014

Price of this fill.

Stop Price

Number (possibly with decimal).

12.50

09/01/2014

Price at which price triggered orders trigger.

Execution ID

String value.

14528824094

09/01/2014

Exchange defined execution identifier.

Trade Date

YYYY/MM/DD

2016/10/14

09/01/2014

Date of the trade.

Account

String value.

737B3608

09/01/2014

The account used when placing the order.  The exact meaning of this field can vary by exchange as each exchange defines their account rules.

Sender Sub ID

String value.

trader9

09/01/2014

The meaning of this field can vary by exchange as each exchange defines their rules for identifying the order's operator.

TT Connection ID

Number.

430

12/15/2015

The TT platform connection identifier.  A connection is a container for the information required to interact with an exchange (e.g., username, password, exchange ip address, etc.).

Security Request ID

Thirty-two hexadecimal digits grouped with hyphens.

1eef9474-65eb-4774-9b39-f46fe3600bc5

12/15/2015

A TT generated identifier for the security request. Only valid for SecurityDefinitionRequest and SecurityDefinition messages.

Security Definition Status

String value.

SECURITY_DEFINITION_STATUS_ACCEPTED

12/15/2015

A set of TT defined representations of the security definition status.  Value range:

SECURITY_DEFINITION_STATUS_ACCEPTED,

SECURITY_DEFINITION_STATUS_REJECTED,

SECURITY_DEFINITION_STATUS_PENDING

TT User ID

Number.

21417

12/15/2015

The TT platform user identifier.

TT Account ID

Number.

3298

04/15/2016

The TT platform account identifier.

User ID

String value.

trader9

04/15/2016

The meaning of this field can vary by exchange as each exchange defines their rules for identifying the order's operator.

Take Up Member

String value.

member5

04/15/2016

The meaning of this field can vary by exchange as each exchange defines their rules for take up.

Exchange Account

String value.

account50

04/15/2016

The meaning of this field can vary by exchange as each exchange defines their rules for specifying account information.

Text 1

String value.

account50

04/15/2016

The meaning of this field can vary by exchange as each exchange defines their rules for specifying account information.

Text 3

String value.

account50

04/15/2016

The meaning of this field can vary by exchange as each exchange defines their rules for specifying account information.

Account Code

String value.

account50

04/15/2016

The meaning of this field can vary by exchange as each exchange defines their rules for specifying account information.

ComplianceID

Sixty-four bit integer.

4564345433

04/15/2016

Exchange defined identifier for compliance purposes.

Quote Request ID

Thirty-two hexadecimal digits grouped with hyphens.

1eef9474-65eb-4774-9b39-f46fe3600bc5

04/15/2016

A TT generated identifier for the quote request. Only valid for QuoteRequest and QuoteRequestResponse messages.

Quote Status

String value.

QUOTE_REQUEST_STATUS_OK

04/15/2016

A set of TT defined representations of the quote status.  Value range:

QUOTE_REQUEST_STATUS_OK,

QUOTE_REQUEST_STATUS_REJECTED,

QUOTE_REQUEST_STATUS_PENDING,

QUOTE_REQUEST_STATUS_SENT

Headline

String value.

Trading has been halted.

8/11/2017

The headline information of a news message.

TT Current User ID

Number.

21417

08/11/2017

The TT platform user identifier.  This value may differ from the TT User ID if another user changes or deletes an order.  This field is not populated on new orders.

IP Address

IP Address

10.195.2.49

10/23/2017

An IP address to help identify where the order operation originated.  May not be available on all order operations.

DirectElectronicAccess

String value.

Y

11/10/2017

Whether or not the order is sent from direct/sponsored access, or from another source.  Value range:

Y

N

TradingCapacity

String value.

P

11/10/2017

Indication of a user dealing on own account (DEAL), trading in a matched principal capacity (MATCH), or trading in any other trading capacity (AOTC).  Value range:

P (DEAL)

R (MATCH)

A (AOTC)

LiquidityProvision

String value.

Y

11/10/2017

Indication of market making.  Value range:

Y

N

CommodityDerivIndicator

String value.

Y

11/10/2017

Indication of whether the order is for hedging purposes to reduce risk.  Value range:

Y

N

InvestmentDecision

String value.

121

11/10/2017

Indication of who made the trading decision.

InvestmentDecisionIsAlgo

String value.

N

11/10/2017

Indicates if the investment decision was made by an algorithm.  Value range:

Y

N

ExecutionDecision

String value.

845

11/10/2017

Indication of who or what algo submitted the order.

ExecutionDecisionIsAlgo

String value.

N

11/10/2017

Indicates if the execution decision was made by an algorithm.  Value range:

Y

N

ClientIDCode

String value.

999

11/10/2017

Identification of the customer (LEI/Short Code).

CustomerDefinedClientIDCode

String value.

547

11/10/2017

Additional identifier information (used by limited exchanges).

TV TIC

String value.

201807051523559444820000600005950005578028

8/3/2018

Trading Venue Transaction Identification Code (TVTIC) is a number generated by trading venues and disseminated to both the buying and the selling parties in accordance with EU regulations.

TT FIX Client Order ID

String value.

12191976

9/7/2018

Customer's FIX client order identifier (tag 11).  Populated when orders are routed to the TT Platform via FIX.

TT FIX Original Client Order ID

String value.

03161978

9/7/2018

Customer's FIX original client order identifier (tag 41).  Populated when orders are routed to the TT Platform via FIX.

TT Execution ID

String value.

BhMmxResaO2G1x3P9hGUxD

02/15/2019

TT defined execution identifier.

TT Format (Trade Capture Reports)

Trade capture reports use a distinct format from orders and fills because the vast majority of the fields are different. The trade capture reports file is only provided for exchanges for which this message type is valid.

Column Name

Value Format

Examples

Since

Notes

Date

YYYY/MM/DD

2016/08/01

05/22/2015

UTC

Time

HH:MM:SS.dddddddd

09:50:08.21557297

05/22/2015

UTC with nanosecond precision.

Message Type

String derived from FIX style messages.

TradeCaptureReport

05/22/2015

Value range:
TradeCaptureReport,

TradeCaptureReportAck

TT Instrument ID

Sixty-four bit integer.

4741073286074065548

05/22/2015

Unique identifier for the contract within the TT platform.

Product Type

String description.

FUT

05/22/2015

TT platform product categorization.  Value range: FUT, OPT, MLEG, and STRA

Product Symbol

String description.

FESX

05/22/2015

The meaning of this field can vary by exchange as each exchange defines their contracts and symbology.

Maturity Date

YYYY-MM-DD

2016-08-14

05/22/2015

The maturity date of the contract.

Sender Sub ID

String value.

trader9

05/22/2015

The meaning of this field can vary by exchange as each exchange defines their rules for identifying the order's operator.

Report ID

Thirty-two hexadecimal digits grouped with hyphens.

1eef9474-65eb-4774-9b39-f46fe3600bc5

05/22/2015

GUID which is an identifier of the trade capture report.

Secondary Report ID

String value.

4345433454

05/22/2015

Exchange assigned identifier of the trade capture report.

Transaction Type

String value.

TRADE_REPORT_TRANS_TYPE_NEW

05/22/2015

A set of TT defined representations of the transaction type.  Value range:

TRADE_REPORT_TRANS_TYPE_NEW,

TRADE_REPORT_TRANS_TYPE_CANCEL,

TRADE_REPORT_TRANS_TYPE_REPLACE,

TRADE_REPORT_TRANS_TYPE_RELEASE,

TRADE_REPORT_TRANS_TYPE_REVERSE,

TRADE_REPORT_TRANS_TYPE_CANCEL_DUE_TO_BACK_OUT_OF_TRADE,

TRADE_REPORT_TRANS_TYPE_INQUIRE,

TRADE_REPORT_TRANS_TYPE_ACCEPT,

TRADE_REPORT_TRANS_TYPE_REGISTER

Report Type

String value.

TRADE_REPORT_TYPE_ACCEPT

05/22/2015

A set of TT defined representations of the report type.  Value range:

TRADE_REPORT_TYPE_SUBMIT,

TRADE_REPORT_TYPE_ALLEGED,

TRADE_REPORT_TYPE_ACCEPT,

TRADE_REPORT_TYPE_DECLINE,

TRADE_REPORT_TYPE_NO_WAS,

TRADE_REPORT_TYPE_CANCEL,

TRADE_REPORT_TYPE_ALLEGED_NEW,

TRADE_REPORT_TYPE_ALLEGED_NO_WAS,

TRADE_REPORT_TYPE_UNKNOWN,

TRADE_REPORT_TYPE_CLEARING,

TRADE_REPORT_TYPE_PENDING

Handling Instruction

String value.

TRADE_HANDLING_INSTR_TRADE_CONFIRMATION

05/22/2015

A set of TT defined representations of the handling instruction.  Value range:

TRADE_HANDLING_INSTR_TRADE_CONFIRMATION,

TRADE_HANDLING_INSTR_TWO_PARTY_REPORT,

TRADE_HANDLING_INSTR_ONE_PARTY_REPORT_FOR_MATCHING,

TRADE_HANDLING_INSTR_ONE_PARTY_REPORT_FOR_PASS_THROUGH,

TRADE_HANDLING_INSTR_AUTOMATED_FLOOR_ORDER_ROUTING,

TRADE_HANDLING_INSTR_THIRD_PARTY_REPORT_FOR_PASS_THROUGH,

TRADE_HANDLING_INSTR_PENDING_TRADE_REPORT,

TRADE_HANDLING_INSTR_COMPLETED_TRADE_REPORT,

TRADE_HANDLING_INSTR_EXPIRED_TRADE_REPORT

Trade Type

String value.

TRD_TYPE_REGULAR_TRADE

05/22/2015

TRD_TYPE_REGULAR_TRADE,

TRD_TYPE_BLOCK_TRADE,

TRD_TYPE_EXCHANGE_FOR_PHYSICAL,

TRD_TYPE_TRANSFER,

TRD_TYPE_EXCHANGE_FOR_RISK,

TRD_TYPE_EXCHANGE_FOR_SWAP,

TRD_TYPE_EXCHANGE_OF_OPTIONS_FOR_OPTIONS,

TRD_TYPE_VOLATILITY,

TRD_TYPE_EFP_FINANCIAL,

TRD_TYPE_EFP_INDEX_FUTURES,

TRD_TYPE_STRATEGY_BLOCK_TRADE,

TRD_TYPE_BLOCK_STANDARD_CF,

TRD_TYPE_BLOCK_COMBINATION_CF,

TRD_TYPE_EFS_EFP_CF,

TRD_TYPE_BLOCK_INTERNAL_CF,

TRD_TYPE_PORTFOLIO_CF,

TRD_TYPE_CORRECTION_CF,

TRD_TYPE_BLOCK_COMBINATION_BUYER_CF,

TRD_TYPE_BLOCK_COMBINATION_SELLER_CF,

TRD_TYPE_EFS_EFP_COMBINATION_CF,

TRD_TYPE_EFS_EFP_COMBINATION_BUYER_CF,

TRD_TYPE_EFS_EFP_COMBINATION_SELLER_CF,

TRD_TYPE_OTC_STANDARD_CIO,

TRD_TYPE_OTC_COMBINATION_CIO,

TRD_TYPE_OTC_COMBINATION_BUYER_CIO,

TRD_TYPE_OTC_COMBINATION_SELLER_CIO,

TRD_TYPE_STANDARD_TRADE_CD,

TRD_TYPE_STANDARD_OUTSIDE_SPREAD_CD,

TRD_TYPE_COMBINATION_CD,

TRD_TYPE_OLD_CD,

TRD_TYPE_INTERNAL_CD,

TRD_TYPE_PORTFOLIO_CD,

TRD_TYPE_CORRECTION_CD,

TRD_TYPE_EXCHANGE_GRANTED_FD,

TRD_TYPE_STANDARD_OUTSIDE_FD,

TRD_TYPE_OFF_HOURS_FD,

TRD_TYPE_BLOCK_FD,

TRD_TYPE_EXCH_GRANTED_EXCEED_MAX_LOT_FD,

TRD_TYPE_EXCH_GRANTED_EML_OFF_HOURS_FD,

TRD_TYPE_EXCH_GRANTED_LATE_FD,

TRD_TYPE_FLEX_CONTRACT_CONVERSION_FD,

TRD_TYPE_ICE_EFRP,

TRD_TYPE_ICEBLK,

TRD_TYPE_BASIS,

TRD_TYPE_VOLATILITY_CONTINGENT,

TRD_TYPE_STOCK_CONTINGENT,

TRD_TYPE_CCX_EFP,

TRD_TYPE_OTHER_CLEARING_VALUE,

TRD_TYPE_N2EX,

TRD_TYPE_EEX,

TRD_TYPE_EFS_EFP_CONTRA,

TRD_TYPE_EFM,

TRD_TYPE_NG_EFP_EFS,

TRD_TYPE_CONTRA,

TRD_TYPE_CPBLK,

TRD_TYPE_BILATERAL_OFF_EXCH,

TRD_TYPE_OTC_PRIVATELY_NEGOTIATED_TRADES,

TRD_TYPE_OTC_LARGE_NOTIONAL_OFF_FACILITY_SWAP,

TRD_TYPE_BLOCK_SWAP_TRADE,

TRD_TYPE_LARGE_IN_SCALE,

TRD_TYPE_AGAINST_ACTUAL,

TRD_TYPE_LARGE_IN_SCALE_PACKAGE,

TRD_TYPE_GUARANTEED_CROSS,

TRD_TYPE_REQUEST_FOR_CROSS

Price

Number (possibly with decimal).

12.50

05/22/2015

Quantity

Number.

15

05/22/2015

Trade ID

String value.

trade87

05/22/2015

Exchange trade identifier.

Trade Match ID

String value.

trade99

05/22/2015

Exchange matching engine identifier.

Trade Link ID

String value

trade888

05/22/2015

Exchange provided link to all child trade capture reports that may be generated by the exchange for all the report sides of this trade capture report.

Report Ref ID

Thirty-two hexadecimal digits grouped with hyphens.

1eef9474-65eb-4774-9b39-f46fe3600bc5

05/22/2015

Serves as a reference to a permanent trade capture report identifier in cases where additional actions are taken on an existing trade capture report.

Secondary Report Ref ID

String value.

trade43

05/22/2015

Serves as a reference to a exchange provided permanent trade capture report identifier in cases where additional actions are taken on an existing trade capture report.

Status

String value.

TRD_RPT_STATUS_ACCEPTED

05/22/2015

A set of TT defined representations of the trade report status.  Value range:

TRD_RPT_STATUS_ACCEPTED,

TRD_RPT_STATUS_REJECTED,

TRD_RPT_STATUS_CANCELLED,

TRD_RPT_STATUS_ACCEPTED_WITH_ERRORS

Sides

A string value.  A repeating collection of:

side:<SIDE> executing_firm:<EF> customer_account:<CA>

side:SIDE_SELL executing_firm:NFTTG2 customer_account:8 side:SIDE_BUY executing_firm:NFTTG3 customer_account:13

05/22/2015

The sides participating in the trade capture report.

TT Account ID

Number.

3298

05/22/2015

The TT platform account identifier.

TT User ID

Number.

21417

05/22/2015

The TT platform user identifier.

TT Current User ID

Number.

21417

05/22/2015

Only populated if the user requesting change/delete of the trade capture report is different that the user from the last trade capture report.

TT Connection ID

Number.

430

08/20/2015

The TT platform connection identifier.  A connection is a container for the information required to interact with an exchange (e.g., username, password, exchange ip address, etc.).

Transaction Booked Time

YYYY/MM/DD HH:MM:SS.dddddddd

2016/10/14 09:05:12.25438723

08/20/2015

Time of trade agreement, in UTC.

IP Address

IP Address

10.195.2.49

10/23/2017

An IP address to help identify where the order operation originated.  May not be available on all order operations.

TT Format (Trade Reports)

Trade reports use a distinct format from orders and fills because the vast majority of the fields are different. The trade capture reports file is only provided for exchanges for which this message type is valid.

Column Name

Value Format

Examples

Since

Notes

Date

YYYY/MM/DD

2016/08/01

11/01/2019

UTC

Time

HH:MM:SS.dddddddd

09:50:08.21557297

11/01/2019

UTC with nanosecond precision.

Message Type

String derived from FIX style messages.

TradeReport

11/01/2019

Value range:
TradeReport

TT Instrument ID

Sixty-four bit integer.

4741073286074065548

11/01/2019

Unique identifier for the contract within the TT platform.

Product Type

String description.

FUT

11/01/2019

TT platform product categorization.  Value range: FUT, OPT, MLEG, and STRA

Product Symbol

String description.

FESX

11/01/2019

The meaning of this field can vary by exchange as each exchange defines their contracts and symbology.

Maturity Date

YYYY-MM-DD

2016-08-14

11/01/2019

The maturity date of the contract.

Sender Sub ID

String value.

trader9

11/01/2019

The meaning of this field can vary by exchange as each exchange defines their rules for identifying the order's operator.

Report ID

Thirty-two hexadecimal digits grouped with hyphens.

1eef9474-65eb-4774-9b39-f46fe3600bc5

11/01/2019

GUID which is an identifier of the trade report.

Secondary Report ID

String value.

4345433454

11/01/2019

Exchange assigned identifier of the trade report.

Transaction Type

String value.

OTC_TRANS_TYPE_NEW

11/01/2019

A set of TT defined representations of the transaction type.  Value range:

OTC_TRANS_TYPE_UNKNOWN.

OTC_TRANS_TYPE_NEW,

OTC_TRANS_TYPE_REPLACE, OTC_TRANS_TYPE_CANCEL,

OTC_TRANS_TYPE_APPROVE,

OTC_TRANS_TYPE_TRADE_CONFIRMATION,

OTC_TRANS_TYPE_REJECT,

OTC_TRANS_TYPE_INQUIRE,

OTC_TRANS_TYPE_COMPLETE,

OTC_TRANS_TYPE_EXPIRE

Transaction Status

String value.

OTC_TRD_STATUS_NEW

11/01/2019

A set of TT defined representations of the report type.  Value range:

OTC_TRD_STATUS_UNKNOWN,;

OTC_TRD_STATUS_PENDING_NEW,

OTC_TRD_STATUS_NEW,

OTC_TRD_STATUS_PENDING_REPLACE,

OTC_TRD_STATUS_REPLACED,

OTC_TRD_STATUS_PENDING_CANCEL,

OTC_TRD_STATUS_CANCELLED,

OTC_TRD_STATUS_PENDING_APPROVE,

OTC_TRD_STATUS_APPROVED,

OTC_TRD_STATUS_FILLED,

OTC_TRD_STATUS_COMPLETED,

OTC_TRD_STATUS_EXPIRED,

OTC_TRD_STATUS_REJECTED,

OTC_TRD_STATUS_WAITING_FOR_APPROVAL

Trade Type

String value.

TRD_TYPE_REGULAR_TRADE

11/01/2019

TRD_TYPE_REGULAR_TRADE,

TRD_TYPE_BLOCK_TRADE,

TRD_TYPE_EXCHANGE_FOR_PHYSICAL,

TRD_TYPE_TRANSFER,

TRD_TYPE_EXCHANGE_FOR_RISK,

TRD_TYPE_EXCHANGE_FOR_SWAP,

TRD_TYPE_EXCHANGE_OF_OPTIONS_FOR_OPTIONS,

TRD_TYPE_VOLATILITY,

TRD_TYPE_EFP_FINANCIAL,

TRD_TYPE_EFP_INDEX_FUTURES,

TRD_TYPE_STRATEGY_BLOCK_TRADE,

TRD_TYPE_BLOCK_STANDARD_CF,

TRD_TYPE_BLOCK_COMBINATION_CF,

TRD_TYPE_EFS_EFP_CF,

TRD_TYPE_BLOCK_INTERNAL_CF,

TRD_TYPE_PORTFOLIO_CF,

TRD_TYPE_CORRECTION_CF,

TRD_TYPE_BLOCK_COMBINATION_BUYER_CF,

TRD_TYPE_BLOCK_COMBINATION_SELLER_CF,

TRD_TYPE_EFS_EFP_COMBINATION_CF,

TRD_TYPE_EFS_EFP_COMBINATION_BUYER_CF,

TRD_TYPE_EFS_EFP_COMBINATION_SELLER_CF,

TRD_TYPE_OTC_STANDARD_CIO,

TRD_TYPE_OTC_COMBINATION_CIO,

TRD_TYPE_OTC_COMBINATION_BUYER_CIO,

TRD_TYPE_OTC_COMBINATION_SELLER_CIO,

TRD_TYPE_STANDARD_TRADE_CD,

TRD_TYPE_STANDARD_OUTSIDE_SPREAD_CD,

TRD_TYPE_COMBINATION_CD,

TRD_TYPE_OLD_CD,

TRD_TYPE_INTERNAL_CD,

TRD_TYPE_PORTFOLIO_CD,

TRD_TYPE_CORRECTION_CD,

TRD_TYPE_EXCHANGE_GRANTED_FD,

TRD_TYPE_STANDARD_OUTSIDE_FD,

TRD_TYPE_OFF_HOURS_FD,

TRD_TYPE_BLOCK_FD,

TRD_TYPE_EXCH_GRANTED_EXCEED_MAX_LOT_FD,

TRD_TYPE_EXCH_GRANTED_EML_OFF_HOURS_FD,

TRD_TYPE_EXCH_GRANTED_LATE_FD,

TRD_TYPE_FLEX_CONTRACT_CONVERSION_FD,

TRD_TYPE_ICE_EFRP,

TRD_TYPE_ICEBLK,

TRD_TYPE_BASIS,

TRD_TYPE_VOLATILITY_CONTINGENT,

TRD_TYPE_STOCK_CONTINGENT,

TRD_TYPE_CCX_EFP,

TRD_TYPE_OTHER_CLEARING_VALUE,

TRD_TYPE_N2EX,

TRD_TYPE_EEX,

TRD_TYPE_EFS_EFP_CONTRA,

TRD_TYPE_EFM,

TRD_TYPE_NG_EFP_EFS,

TRD_TYPE_CONTRA,

TRD_TYPE_CPBLK,

TRD_TYPE_BILATERAL_OFF_EXCH,

TRD_TYPE_OTC_PRIVATELY_NEGOTIATED_TRADES,

TRD_TYPE_OTC_LARGE_NOTIONAL_OFF_FACILITY_SWAP,

TRD_TYPE_BLOCK_SWAP_TRADE,

TRD_TYPE_LARGE_IN_SCALE,

TRD_TYPE_AGAINST_ACTUAL,

TRD_TYPE_LARGE_IN_SCALE_PACKAGE,

TRD_TYPE_GUARANTEED_CROSS,

TRD_TYPE_REQUEST_FOR_CROSS

Price

Number (possibly with decimal).

12.50

11/01/2019

Quantity

Number.

15

11/01/2019

Trade ID

String value.

trade87

11/01/2019

Exchange trade identifier.

Trade Match ID

String value.

trade99

11/01/2019

Exchange matching engine identifier.

Report Ref ID

Thirty-two hexadecimal digits grouped with hyphens.

1eef9474-65eb-4774-9b39-f46fe3600bc5

11/01/2019

Serves as a reference to a permanent trade capture report identifier in cases where additional actions are taken on an existing trade capture report.

Secondary Report Ref ID

String value.

trade43

11/01/2019

Serves as a reference to a exchange provided permanent trade capture report identifier in cases where additional actions are taken on an existing trade capture report.

TT Account ID

Number.

3298

11/01/2019

The TT platform account identifier.

TT User ID

Number.

21417

11/01/2019

The TT platform user identifier.

TT Current User ID

Number.

21417

11/01/2019

Only populated if the user requesting change/delete of the trade capture report is different that the user from the last trade capture report.

TT Connection ID

Number.

430

11/01/2019

The TT platform connection identifier.  A connection is a container for the information required to interact with an exchange (e.g., username, password, exchange ip address, etc.).

Transaction Booked Time

YYYY/MM/DD HH:MM:SS.dddddddd

2016/10/14 09:05:12.25438723

11/01/2019

Time of trade agreement, in UTC.

Legs

String value.

leg_instrument_id:14682970062123678680 price:831.2 side:B executing_firm:333 customer_account:25 side:S executing_firm:444 customer_account:87

11/01/2019

A repeating group of legs of the trade.  Within each leg a repeating group of sides for that leg.

For each leg:

leg_instrument_id:ID price:PRC

  For each side in this leg:

  side:SD

  executing_firm: EF      

  customer_account: CA

(the data will have no newlines, they are shown here to help illustrate the repeating groups)

IP Address

IP Address

10.195.2.49

11/01/2019

An IP address to help identify where the order operation originated.  May not be available on all order operations.