Trade Capture Report Ack (AR) Message

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Trade Capture Report Ack (AR) Message

Purpose

Used to acknowledge the receipt of a trade capture report from a counterparty

Message Direction

From FIX client to TT FIX

Tag Directory

Click the links below to navigate to the documentation for that tag.

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TradeCaptureReportAck

Tag

Name

Type

Required

Comments

Header

For additional information about this component group, consult the documentation.

35=AR (MsgType)

8	BeginString	STRING	Y	FIX protocol version The tag indicates the beginning of a new message. This tag must be the first tag in the message. You must set the value to FIX.4.2 or FIX.4.4.
9	BodyLength	INT	Y	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	STRING	Y	Type of message contained in the message body This tag must appear third in the list of header tags. Possible values: 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 Q: Don’t Know Trade (Inbound Drop Copy only) R: Quote Request V: Market Data Request W: Market Data Snapshot Full Refresh X: Market Data Incremental Refresh Y: Market Data Request Reject AD: Trade Capture Report Request AE: Trade Capture Report AQ: Trade Capture Report Request Ack
49	SenderCompID	STRING	Y	ID for the FIX client, corresponding to the RemoteCompID specified for the user in TT User Setup
56	TargetCompID	STRING	Y	TT session identity TT FIX does not validate this field. To guarantee session persistence, the FIX client must maintain the same value of this field for the life of the session. You can use any value in this tag to identify the TT session for the FIX client. TT FIX will return this value in tag 49 (SenderCompID) in its responses.
50	SenderSubID	STRING	N	Unique ID for the message sender For order routing messages, this tag overrides the exchange Operator ID configured in Setup.
142	SenderLocationID	STRING	N	Specific message originator’s location (i.e. geographic location and/or desk, trader)
116	OnBehalfOfSubID	STRING	C Required when multiple users are associated with the account.	Unique Trader ID The value maps to the Alias field configured for a user in Setup.
129	DeliverToSubID	STRING	C Sent in Execution Report (8) and Order Cancel Reject (9) messages.	Value of Tag 116 (OnBehalfOfSubID) in the FIX client request.
34	MsgSeqNum	SEQNUM	Y	Message sequence number
43	PossDupFlag	BOOLEAN	C Must send when a FIX client resends messages	Whether the sequence number for this message is already used Note: If 43=Y is present, TT will reject New Order Single (D), Order Cancel/Replace Request (G), New Order Multileg (AB), and Multileg Order Cancel/Replace (AC) messages with a Business Message Reject (j) message. Possible values: N: NO: Original transmission Y: YES: Possible duplicate Note: If 43=Y is present, TT will reject New Order Single (D), Order Cancel/Replace Request (G), New Order Multileg (AB), and Multileg Order Cancel/Replace (AC) messages with a Business Message Reject (j) message.
122	OrigSendingTime	UTCTIMESTAMP	C Required for resent messages	Original time of message transmission, when transmitting orders as the result of a resend request Always expressed in UTC.
52	SendingTime	UTCTIMESTAMP	Y	Time, in UTC, the message was sent.
57	TargetSubID	STRING	C If the Target Sub Id field has a value for the FIX Session in Setup, you must supply that value is this tag for a Logon (A) message.	Unique ID for the message receiver.

571

TradeReportID

STRING

Unique identifier of trade capture report

Note: In Trade Capture Report messages, this value is restricted and cannot be modified by TT FIX rules.

572

TradeReportRefID

STRING

Reference identifier used with CANCEL and REPLACE transaction types

ExecID

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.

820

TradeLinkID

STRING

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

487

TradeReportTransType

INT

Trade Report message transaction type

Possible values:

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

625

TradingSessionSubID

STRING

Assigns a specific trading session to the trade. Currently used to support SGX Over-the-Counter (OTC) trade reporting.

Tag 625 accepts values as a string however, the following enums are reserved and specific to SGX OTC trades:

Possible values:

1: Pre-Trading
2: Opening / opening auction
3: Continuous
4: Closing / closing auction
5: Post-Trading
6: Intraday Auction
7: Quiescent

829

TrdSubType

INT

Further qualification to the trade type.

Possible values:

1: Arbitrage
2: Combination
3: Cross Trade
4: Exchange for Physical
5: Position Consolidation
6: Rollover
8: Implied spread leg executed against an outright(Inbound Drop Copy FIX clients only)
36: Converted swap (Inbound Drop Copy FIX clients only)
37: Crossed trade (Inbound Drop Copy FIX clients only)
40: Traded at Settlement (TAS) (Inbound Drop Copy FIX clients only)
42: Auction trade (Inbound Drop Copy FIX clients only)
43: Traded at marker (Inbound Drop Copy FIX clients only)
48: Multilateral compression (Inbound Drop Copy FIX clients only)
200: Delivery transfer (Inbound Drop Copy FIX clients only)

856

TradeReportType

INT

Type of trade report

Possible values:

0: Submit
1: Alleged
2: Accept
3: Decline
5: No was
6: Cancel
11: Alleged new
13: Alleged no was
101: Notification (Inbound Drop Copy FIX clients only)
102: Waiting for cancel approval (Enlight trades only)
103: Partially filled (Enlight trades only)
999: Unknown
1000: Clearing

939

TrdRptStatus

INT

Status of the trade report

Possible values:

0: Accepted
1: Rejected
3: Accepted with errors
99: Unknown

751

TradeReportRejectReason

INT

Reason the Trade Capture Report was rejected

Possible values:

0: Successful
1: Invalid party information
2: Unknown instrument
3: Unauthorized to report trades
4: Invalid trade type
99: Other

16963

Seq

INT

The sequence number for the Trade Capture Report and Trade Capture Report Ack for the Order Status.

107

SecurityDesc

STRING

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

TransactTime

UTCTIMESTAMP

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

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.

818

SecondaryTradeReportID

STRING

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

2404

ComplianceText

STRING

ComplianceText (Tag 2404) is a free-form text field containing compliance information used for regulatory reporting. Tag 2404 is supported on all order, change, cancel and execution report messages.

ComplianceText (Tag 2404) is conditionally required for some orders in production for Eurex and EEX.

If Trading Capacity is Proprietary (5) then ComplianceText (Tag 2404) is required
If Trading Capacity is Agency (1), then ComplianceText (Tag 2404) is required when the user is an Exchange Trader acting for another exchange participant. It should not be sent when the user is a client of the Member (not an exchange trader).

Note: Orders will not be rejected by the exchange if this field is not populated.

Tag 2404 in the TT system behaves as follows:

ComplianceText (Tag 2404) should include the following info: Member ID/ Trader ID combination, aka the MGT (for ex. ABCFRTRD001).
ComplianceText (Tag 2404) will be set at the User level in a new field to be added in Setup, “Compliance Text”.
If ComplianceText (Tag 2404) is populated, TT will send it to the exchange in Tag 2404, if it is not populated, TT will not send the tag.

16112

NoLinks

INT

Sent only for FIX Drop Copy OUT sessions when the Compliance Feed (Send original order/cancel/change messages and pending execution reports) setting is enabled for the session in TT Setup. The tag is ignored if sent on FIX Order Routing sessions.

Number of links contained in this repeating group

16113

LinkID

STRING

Sent when tag 16112 > 0

Used to identify relationships between entities (accounts or orders).

Example: Distinguish that this is a child order or fill that came from a synthetic parent order. Child orders and fills that came from the same parent order will have the same LinkID.

Note: If the Send Staged / Synthetic Child order / fill message setting is enabled for the FIX session in the Setup application, this tag will contain a shortened ID.

16114

LinkType

CHAR

The kind of link.

Note: When LinkType (Tag 16114) equals R, LinkID (Tag 16113) will contain the TT Order ID of the topmost parent order in the chain (e.g., parent/child/grandchild/etc.) of algo orders.

Possible values:

7: Staged child order ID
P: Parent order ID
X: Position transfer ID
8: Staged bulked child order ID
9: Staged stitched child order ID
A: Staged split child order ID
E: Unique execution ID allocated from (FX only)
R: Root algo order ID
F: Parent Account ID

Instrument

Instrument associated with this message. For additional information about this component group, consult the full documentation.

For tags that you include in the Instrument Component and any restrictions in their use, refer to Component: Instrument (FIX client request).

48	SecurityID	STRING	Y	ID of the instrument. Note: The combination of this tag and tag 22 (IDSource) must uniquely identify an instrument in the TT platform. Note: This tag can be included in messages sent from TT FIX Drop Copy sessions when the Compliance Feed (Send original order/cancel/change messages and pending execution reports) setting is enabled in Setup.
22	IDSource	STRING	Y	Source for the value of tag 48 (SecurityID). Note: The following markets support RIC codes (22=5) for identifying futures, spreads and options instruments in tag 48 (SecurityID): ASX DGCX CFE CME EEX EUREX Euronext Hkex ICE ICE_L LME MEFF MX OSE SGX TFX TOCOM Note: The combination of this tag and tag 48 (SecurityID) must uniquely identify an instrument in the TT platform. Note: This tag can be included in messages sent from TT FIX Drop Copy sessions when the Compliance Feed (Send original order/cancel/change messages and pending execution reports) setting is enabled in Setup. Possible values: 4: ISIN number 5: RIC code 8: Exchange symbol 91: Ticker symbol 96: TT security ID 97: Alias 98: Name A: Bloomberg Code H: Clearing House (Inbound Drop Copy only) S: OpenFIGI ID X: Series key
207	SecurityExchange	EXCHANGE	C Sent unless an Order Status Request (H) message returns no orders in an Execution Report (8) message.	Name of the market where the instrument trades. TT FIX uses this value to identify the exchange that offers the security. Possible values: AGGREGATOR ALGO ASE ASX B3 BitMEX BrokerTec Cboe CboeFX_SW_NY CBOT CFE CME Coinbase CoinFLEX CurveGlobal CZCE DCE DGCX EEX Eurex Euronext Fenics FEX HKEX ICE ICE_L IDEM INE KCG KRK LME LSE MEFF MEXDER MX NDAQ_EU NFI NFX OSE SGX TFEX TFX TOCOM
100	ExDestination	EXCHANGE	C Sent when available for FIX 4.2 sessions	Name of the sub-market where the instrument trades. Market Identifier Code (MIC) of the sub-market where the instrument trades. Execution destination for the order as defined by the institution Some traders use this tag in place of Tag 207 (SecurityExchange) to identify the exchange. ISO 10383 defines a comprehensive list of MIC codes.
55	Symbol	STRING	Y	Exchange-provided product symbol for the tradable product. When specifying instruments for NewOrderMultileg (AB) and MultilegOrderCancelReplace (AC): When submitting multi-leg instrument, set tag 55 to “[NA]”. When tag 54 (Side) is B or C, the value in tag 55 is ignored; the values in tag 600 (LegSymbol) and tag 624 (LegSide) in the LegInstrument group are used instead. Note: This tag can be included in messages sent from TT FIX Drop Copy sessions when the Compliance Feed (Send original order/cancel/change messages and pending execution reports) setting is enabled in Setup.
1194	ExerciseStyle	INT	N	Type of exercise for a derivatives security. Conditional: This value only sent if supported by the exchange. Possible values: 0: European style: may be exercised only on the expiration date. 1: American style: may be exercised on any business day until the expiration date. 2: Bermuda style: Not available

Parties

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

For additional information about this component group, consult the full documentation.

453	NoPartyIDs	NUMINGROUP	N	Number of parties in the PartiesGrp repeating group
448	PartyID	STRING	C Required when NoPartyIds (453) is greater than 0.	Party identifier code Reserved values when 452=3 (ClientID) and 447=P (Short code): 0: Own account; no client 1: PNAL (Pending allocation) 2: AGGR (Aggregated) GU: CME give-up code (to override the Give-up code configured in Setup) SX: SGX give-up code (to override the Give-up code configured in Setup) Reserved when 452=12 (Executing trader) and 447=P (Short code): 3: NORE: Execution decision outside firm
452	PartyRole	INT	C Required when NoPartyIds (453) is greater than 0.	Type or role of PartyID (tag 448) Possible values: 1: Executing firm (formerly FIX 4.2 ExecBroker) 2: Broker of credit 3: Client id (formerly FIX 4.2 ClientID) 4: Clearing firm (formerly FIX 4.2 ClearingFirm) 5: Investor id 6: Introducing firm 7: Entering firm 8: Locate 9: Fund manager client id 10: Settlement location 11: Order origination trader 12: Executing trader (associated with Executing Firm – actually executes) 13: Order origination firm 14: Giveup clearing firm 15: Correspondant clearing firm 16: Executing system 17: Contra firm 18: Contra clearing firm 19: Sponsoring firm 20: Underlying contra firm 21: Clearing organization 22: Exchange 24: Customer account 25: Correspondent clearing organization 26: Correspondent broker 27: Buyer seller 28: Custodian 29: Intermediary 30: Agent 31: Sub custodian 32: Beneficiary 33: Interested party 34: Regulatory body 35: Liquidity provider 36: Entering trader 37: Contra trader 38: Position account 39: Contra investor id 40: Transfer to firm 41: Contra position account 42: Contra exchange 43: Internal carry account 44: Order entry operator id 45: Secondary account number 46: Foreign firm 47: Third party allocation firm 48: Claiming account 49: Asset manager 50: Pledgor account 51: Pledgee account 52: Large trader reportable account 53: Trader mnemonic 54: Sender location 55: Session id 56: Acceptable counterparty 57: Unacceptable counterparty 58: Entering unit 59: Executing unit 60: Introducing broker 61: Quote originator 62: Report originator 63: Systematic internaliser 64: Multilateral trading facility 65: Regulated market 66: Market maker 67: Investment firm 68: Host competent authority 69: Home competent authority 70: Competent authority of the most relevant market in terms of liquidity 71: Competent authority of the transaction 72: Reporting intermediary 73: Execution venue 74: Market data entry originator 75: Location id 76: Desk id 77: Market data market 78: Allocation entity 79: Prime broker providing general trade services 80: Step out firm 81: Brokerclearingid 82: Central registration depository 83: Clearing account 84: Acceptable settling counterparty 85: Unacceptable settling counterparty 118: Party role decision maker 119: Party role client ID house 122: Investment decision maker (IDM) 200: Account code 201: Takeup firm 202: Clearing instruction 203: Customer info 204: Allocation entity ID 205: Account type 206: Giveup firm 207: MIFID ID 208: Composite MIFID ID (ICE only) 209: CTI code 210: LMA clearing account 211: Authorized trader ID (ICE only) 212: Frequent trader ID (CFE only) 213: User (TFEX only) 214: Member (TFEX only) 215: Trading member (TFEX only) 216: Clearing member (TFEX only) 217: Acting user (TFEX only) 218: Trader ID 219: Owner type (TFEX only) 220: Routing Member ID (ICE only) 221: Give-up qualifier (This party role allows FIX orders to override the CME Give-up code configured in TTUS on FIX order messages. Set tag 448 value to “SX” when mutually offsetting to SGX. Set 448 to “GU” for all other Give-ups on CME.) 222: Algo strategy type (For TOCOM only to override the Algo Strategy Type setting configured for FIX messages in Setup. 223: Secondary Client ID 224: Secondary executing trader 300: Investment Decision in Firm 301: Execution Decision in Firm 302: Investment Decision Country 303: Execution Decision Country 304: Party Role Country Code
2376	PartyRoleQualifier	INT	N	Qualifies the PartyRole (tag 452) supplied for this PartyID (tag 448). Default values are set for this tag when PartyRole (tag 452) is one of the following: When 452=3 (Client ID), the default is 2376=23 (Firm). When 452=12 (Execution Decision Maker), the default is 2376=24 (Natural Person). When 452=122 (Investment Decision Maker), the default is 2376=24 (Natural Person). Condition: Required when NoPartyIds (453) is greater than 0. Possible values: 22: Algorithm 23: Firm or legal entity 24: Natural person
447	PartyIDSource	CHAR	C Required when NoPartyIds (453) is greater than 0.	Identifies class or source of the PartyID (448) value. Possible values: 1: Korean investor ID 2: Taiwanese qualified investor ID (QFII FID) 3: Taiwanese trading account 4: Malaysian central depository 5: Chinese investor ID 6: UK national insurance or pension number 7: US social security number 8: US employer or tax ID number 9: Australian business number A: Australian tax file number B: BIC C: Generally-accepted market participant identifier D: Proprietary E: ISO country code F: Settlement entity location G: MIC H: CSD participant member code I: Directed broker three-character acronym as defined in the ISITC ETC Best Practice Guidelines document P: Short code

1152

LegNumber

INT

The leg sequence number for a strategy

552

NoSides

NUMINGROUP

Repeating group for sides of the trade

Side

CHAR

Side of the order

Possible values:

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)

OrderID

STRING

Unique identifier for order as assigned by sell-side

582

CustOrderCapacity

INT

Capacity of customer placing the order

Possible values:

1: Member trading for own account
2: Clearing Firm trading for its proprietary account
3: Member trading for another member
4: All other

16116

OrderIDGUID

STRING

TT order ID

Account

STRING

Order-routing account for this side of the trade

AllocQty

QTY

Quantity to be allocated to the specified account

1047

AllocPositionEffect

CHAR

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

Possible values:

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

18102

UserID

STRING

The TT User ID configured in User Setup.

UserID only displays if enabled via the Send TT Internal Account ID and User ID on Execution Reports And Cancel Reject Messages checkbox in User Setup.

18218

TTCustomerName

STRING

The Order Profile applied to the TT account.

Can be used by FIX clients to specify the User Setup Order Profile name to be applied to a new order / change order message.

If the successful lookup includes an Order Profile, the profile name is copied to Tag 18218, TT Customer Name.

10553

TTID

STRING

TT login email address

16849

SideTextA

STRING

Order Tag Default values for Text A in Setup

Populated when Order Tag Default values for the Text A field are defined in Setup.

Note: Only supported for HKEX Wholesale Orders.

16850

SideTextB

STRING

Order Tag Default values for Text B in Setup

Populated when Order Tag Default values for the Text B field are defined in Setup.

Note: Only supported for HKEX Wholesale Orders.

16851

SideTextC

STRING

Populated when Order Tag Default values for the Text C field are defined in Setup.

Note: Only supported for HKEX Wholesale Orders.

16601

EchoDC_01

STRING