Trade Capture Report Request

AD Trade Capture Report Request

The Trade Capture Report Request can be used to:

Request one or more Trade Capture Report <35=AE>s based upon the criteria provided
Subscribe to Trade Capture Report <35=AE>s based upon tge criteria provided

The following criteria can be specified

All trades matching specified trade identification: TradeReportID (571), SecondaryTradeReportID (818)
All trades matching specified trade types: TrdType (828), TrdSubType (829), TransferReason (830), SecondaryTrdType (855), TradeLinkID (820)
All trades matching the order identification information: LastPx (31), ClOrdID (11), ExecID (17)
Trades that have specified MatchStatus (573)
All trades for the party defined in the component block Parties
- This can be a trader id, firm, broker id, clearing firm
All trades for a specific instrument, specified using the component block Instrument, the component block UnderlyingInstrument, and/or the component block InstrumentLeg.
All unreported trades - Executions that have not been sent
All unmatched trades - Trades that have not been matched
All trades matching specific date and trading session criteria
Trades entered via a specific TradeInputSource (578)
Trades entered via a specific TradeInputDevice (579)
All Advisories

Each field in the Trade Capture Report Request (other than TradeRequestID (568) and SubscriptionRequestType (263)) identify filters - trade reports that satisfy all specified filters will be returned. Note that the filters are combined using an implied "and" - a trade report must satisfy every specified filter to be returned.

The optional date or time range-specific filter criteria (within NoDates (580) repeating group) can be used in one of two modes:

"Since" a time period. NoDates (580)=1 with first TradeDate (75) (and optional TransactTime (60)) indicating the "since" (greater than or equal to operation) point in time.
"Between" time periods. NoDates (580)=2 with first TradeDate (75) (and optional TransactTime (60)) indicating the "beginning" (greater than or equal to operation) point in time and the second TradeDate (75) (and optional TransactTime (60)) indicating the "ending" (less than or equal to operation) point in time.

The response to a Trade Capture Report Request can be:

One or more Trade Capture Report <35=AE>s
A Trade Capture Report Request Ack <35=AQ> followed by one or more Trade Capture Report <35=AE>s in two specific cases:
- When the Trade Capture Reports are being delivered out of band, such as a file transfer
- When there is a processing delay between the time of the request and when the reports will be sent. For instance, in a distributed trading environment where trades are distributed across multiple trading systems
A Trade Capture Report Ack <35=AR> only
- When no trades are found that match the criteria specified
- When the request was deemed invalid for business reasons

Structure

Tag	Name	Type	Description
	StandardHeader	Component
568	TradeRequestID	String	Unique identifier for the trade request
1003	TradeID	String
1040	SecondaryTradeID	String
1041	FirmTradeID	String
1042	SecondaryFirmTradeID	String
569	TradeRequestType	Int Enum
263	SubscriptionRequestType	Char Enum	If the field is absent, SubscriptionRequestType(263)=0(Snapshot) will be the default
571	TradeReportID	String	Can be used to request a specific trade report
818	SecondaryTradeReportID	String	To request a specific trade report
527	SecondaryExecID	String	To request all trades based on secondary execution identifier
17	ExecID	String
150	ExecType	Char Enum	Can be used to request all trades of a specific execution type
37	OrderID	String
11	ClOrdID	String
573	MatchStatus	Char Enum
828	TrdType	Int Enum	Can be used to request all trades of a specific trade type
829	TrdSubType	Int Enum	Can be used to request all trades of a specific trade sub type
1849	OffsetInstruction	Int Enum
1123	TradeHandlingInstr	Char Enum
830	TransferReason	String	Can be used to request all trades for a specific transfer reason
855	SecondaryTrdType	Int Enum	Can be used to request all trades of a specific secondary trade type
820	TradeLinkID	String	Can be used to request all trades of a specific trade link identifier
880	TrdMatchID	String	Can be used to request a trade matching a specific TrdMatchID(880)
	Parties	Component	Used to specify the parties for the trades to be returned (clearing firm, execution broker, trader id, etc.)
	Instrument	Component
	InstrumentExtension	Component
	FinancingDetails	Component
	UndInstrmtGrp	Component
	InstrmtLegGrp	Component
	TrdCapDtGrp	Component	Number of date ranges provided (must be 1 or 2 if specified)
715	ClearingBusinessDate	LocalMktDate	Can be used to request trades for a specific clearing business date
336	TradingSessionID	String Enum	Can be used to request trades for a specific trading session
625	TradingSessionSubID	String Enum	Can be used to request trades for a specific trading session
943	TimeBracket	String	Can be used to request trades within a specific time bracket
54	Side	Char Enum	Can be used to request trades for a specific side of a trade
442	MultiLegReportingType	Char Enum	Used to indicate if trades are to be returned for the individual legs of a multileg instrument or for the overall instrument
578	TradeInputSource	String	Can be used to requests trades that were submitted from a specific trade input source
579	TradeInputDevice	String	Can be used to request trades that were submitted from a specific trade input device
725	ResponseTransportType	Int Enum
726	ResponseDestination	String
58	Text	String	Used to match specific values within Text(58) fields
354	EncodedTextLen	Length
355	EncodedText	Data
1011	MessageEventSource	String
	StandardTrailer	Component