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: <Standard Header>
Y 35=AE (MsgType)
For additional information about this component group, consult the full documentation.
Tag # Field name Req’d Data type Comments
8 BeginString Y String

FIX protocol version

The tag indicates the beginning of a new message. This tag is always the first tag in the message.

The value is always FIX.4.2.

9 BodyLength Y int

Message length (in characters)

The value represents number of characters in the message following this tag up to, and including, the delimiter immediately preceding Tag 10 (CheckSum). This tag must be the second field in a message.

35 MsgType Y String

Type of message contained in the message body

This tag must appear third in the list of header tags.

Possible values include:

  • 0: Heartbeat
  • 1: Test Request
  • 2: Resend Request
  • 3: Reject
  • 4: Sequence Reset
  • 5: Logout
  • 8: Execution Report
  • 9: Order Cancel Reject
  • A: Logon
  • B: News
  • c: Security Definition Request
  • D: Order Single
  • d: Security Definition
  • e: Security Status Request
  • f: Security Status
  • F: Order Cancel Request
  • G: Order Cancel Replace Request
  • H: Order Status Request
  • V: Market Data Request
  • W: Market Data Snapshot Full Refresh
  • X: Market Data Incremental Refresh
  • Y: Market Data Request Reject
  • AE: Trade Capture Report
49 SenderCompID Y String

ID of the FIX session

The value will be the same value the FIX client sends in tag 56 (TargetCompID) in its requests to TT FIX.

56 TargetCompID Y String

FIX client ID, corresponding to the SenderCompID specified for the user in TT User Setup

The value is the same as sent in tag 49 (SenderCompID) in FIX client requests.

50 SenderSubID C String

Unique ID for the message sender

For CME, the value corresponds to the Operator ID.

Condition: Sent if TT User Setup specifies an exchange operator ID

142 SenderLocationID N string Specific message originator's location (i.e. geographic location and/or desk, trader)
116 OnBehalfOfSubID N Data type: String

New tag for TT

Unique Trader ID (can also be provided in Tag 50 (SenderSubID))

The value maps to the Alias field configured for a user in Setup.

129 DeliverToSubID C String

Value of Tag 116 (OnBehalfOfSubID) in the FIX client request.

Condition: Sent in Execution Report (8) and Order Cancel Reject (9) messages.

34 MsgSeqNum Y SeqNum

Message sequence number.

43 PossDupFlag C Boolean

Whether the sequence number for this message is already used

Possible values include:

  • Y: Possible duplicate
  • N: Original transmission

Condition: Sent when TT FIX resends messages

97 PossResend C Boolean

Whether the message might contain information that has been sent under another sequence numbe

Possible values include:

  • Y: Possible resend
  • N: Original transmission

Condition: Sent when TT FIX restarts after encountering a corrupt FIX message cache, and only until it completes the initial download.

122 OrigSendingTime C UTCTimestamp

Original time of message transmission, when transmitting orders as the result of a resend request

Always expressed in UTC.

Condition: Sent when TT FIX resends a message

52

SendingTime

Y UTCTimestamp

Time, in UTC, the message was sent.

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 N 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 (same as 20=2 in FIX 4.2)
  • H: Trade cancel (same as 20=1 in FIX 4.2)
  • I: Order status (same as 20=3 in FIX 4.2)
  • 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
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 N UTCTimestamp

Time, in UTC, the transaction occurred with microsecond precision.

For example:

  • Millisecond precision: 60=20170509-22:34:56.881
  • Microsecond precision: 60=20170509-22:34:56.881321

Note: If you want tag 60 to use millisecond precision, you can add a TrimTimestamp rule in the Setup app for the FIX profile.

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: <Instrument> Y

Instrument associated with this Trade Capture Report

16624 AccountRiskGroup C String

Name of the risk group associated with the account specified in tag 1 (Account).

Condition: Sent only for FIX Drop Copy OUT sessions.

552 NoSides N NumInGroup

Repeating group for sides of the trade

> Group: <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
  • B: As Defined (FIX 4.4 only)
  • C: Opposite (FIX 4.4 only)
> 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
  • B: As Defined (FIX 4.4 only)
  • C: Opposite (FIX 4.4 only)
> > 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: <Standard Trailer>
Y For additional information about this component group, consult the full documentation.
Tag # Field Name Req’d Data type Comments
10 Checksum Y String

Unencrypted three-character checksum

This tag must always be the last field in a message (i.e. it serves, with the trailing <SOH>, as the end-of-message delimiter).

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.