Trade Capture Report

AE Trade Capture Report

The Trade Capture Report message can be:

Used to report trades between counterparties.
Used to report trades to a trade matching system
Can be sent unsolicited between counterparties.
Sent as a reply to a Trade Capture Report Request.
Can be used to report unmatched and matched trades.

Structure

Tag	Name	Type	Description
	StandardHeader	Component
	ApplicationSequenceControl	Component
571	TradeReportID	String	TradeReportID(571) is conditionally required in a message-chaining model in which a subsequent message may refer to a prior message via TradeReportRefID(572). The alternative to a message-chain model is an entity-based model in which TradeID(1003) is used to identify a trade. In this case, TradeID(1003) is required and TradeReportID(571) can be optionally specified
1003	TradeID	String
1040	SecondaryTradeID	String
1041	FirmTradeID	String
1042	SecondaryFirmTradeID	String
2489	PackageID	String
2490	TradeNumber	Int
487	TradeReportTransType	Int Enum
856	TradeReportType	Int Enum
939	TrdRptStatus	Int Enum	Status of the trade report. In 3-party listed derivatives model, this is used to convey status of a trade to a counterparty. Used specifically in a "give-up" (also known as "claim") model
568	TradeRequestID	String	Identifier for the trade capture report request associated with this trade capture report
828	TrdType	Int Enum
829	TrdSubType	Int Enum
855	SecondaryTrdType	Int Enum	Conditionally requires presence of TrdType(828)
2896	TertiaryTrdType	Int Enum	Conditionally requires presence of SecondaryTrdType(855)
2961	AnonymousTradeIndicator	Boolean
2667	AlgorithmicTradeIndicator	Int Enum
1849	OffsetInstruction	Int Enum
	TradePriceConditionGrp	Component
1123	TradeHandlingInstr	Char Enum
1124	OrigTradeHandlingInstr	Char Enum
1125	OrigTradeDate	LocalMktDate
1126	OrigTradeID	String
1127	OrigSecondaryTradeID	String
830	TransferReason	String
150	ExecType	Char Enum	Type of execution being reported. Uses subset of ExecType(150) for trade capture reports
748	TotNumTradeReports	Int
912	LastRptRequested	Boolean Enum
1028	ManualOrderIndicator	Boolean	May be used to indicate manual reporting of the trade
325	UnsolicitedIndicator	Boolean Enum	Set to 'Y' if message is sent as a result of a subscription request or out of band configuration
263	SubscriptionRequestType	Char Enum	If the field is absent, SubscriptionRequestType(263)=0(Snapshot) will be the default
572	TradeReportRefID	String	The TradeReportID(571) that is being referenced for trade correction or cancelation
881	SecondaryTradeReportRefID	String
818	SecondaryTradeReportID	String
820	TradeLinkID	String
880	TrdMatchID	String
17	ExecID	String	Market (exchange) assigned execution identifier as provided in the ExecutionReport(35=8) message
19	ExecRefID	String	Reference to an execution identifier previously assigned by the market (exchange)
527	SecondaryExecID	String
378	ExecRestatementReason	Int Enum
2347	RegulatoryTransactionType	Int Enum
	RegulatoryTradeIDGrp	Component
570	PreviouslyReported	Boolean Enum
423	PriceType	Int Enum	Can be used to indicate cabinet trade pricing
	PriceQualifierGrp	Component
549	CrossType	Int Enum
	RootParties	Component	Used for acting parties that applies to the whole message, not individual legs, sides, etc
1015	AsOfIndicator	Char Enum
716	SettlSessID	String Enum
717	SettlSessSubID	String
1430	VenueType	Char Enum
1300	MarketSegmentID	String
1301	MarketID	Exchange
2375	TaxonomyType	Char Enum
	Instrument	Component
	InstrumentExtension	Component
	FinancingDetails	Component
	PaymentGrp	Component
854	QtyType	Int Enum
	YieldData	Component
	UndInstrmtGrp	Component
	RelatedInstrumentGrp	Component
	CollateralAmountGrp	Component
2868	CollateralizationValueDate	LocalMktDate
	RateSource	Component
	TransactionAttributeGrp	Component
822	UnderlyingTradingSessionID	String
823	UnderlyingTradingSessionSubID	String
32	LastQty	Quantity	Conditionally required except when reporting trades to parties who will derive trade level quantity from the leg level information for multi-legged trades
1828	LastQtyVariance	Quantity
2301	LastQtyChanged	Quantity
2368	LastMultipliedQty	Quantity
2367	TotalTradeQty	Quantity
2370	TotalTradeMultipliedQty	Quantity
31	LastPx	Price	Conditionally required except when reporting trades to parties who will derive trade level price from the leg level information for multi-legged trades
631	MidPx	Price
1522	DifferentialPrice	PriceOffset	Used to specify the differential price when reporting the individual leg of a spread trade
1056	CalculatedCcyLastQty	Quantity
2762	PriceMarkup	PriceOffset	Dealer's markup of market price to LastPx(31)
	AveragePriceDetail	Component
15	Currency	Currency	Primary currency of the specified currency pair. Used to qualify LastQty(32) and GrossTradeAmt(381)
2897	CurrencyCodeSource	String Enum
120	SettlCurrency	Currency	Contra currency of the deal. Used to qualify CalculatedCcyLastQty(1056)
2899	SettlCurrencyCodeSource	String Enum
2366	SettlPriceFxRateCalc	Char Enum	For FX trades expresses whether to multiply or divide LastPx(31) to arrive at GrossTradeAmt(381)
669	LastParPx	Price
194	LastSpotRate	Price	Applicable for F/X orders
195	LastForwardPoints	PriceOffset	Applicable for F/X orders
1071	LastSwapPoints	PriceOffset
2349	PricePrecision	Int
30	LastMkt	Exchange
1596	ClearingTradePrice	Price	Used when clearing price differs from execution price
1740	TradePriceNegotiationMethod	Int Enum
1743	LastUpfrontPrice	Price	Upfront Price for CDS transactions. Conditionally required if TradePriceNegotiationMethod(1740) = 4(Percent of par and upfront amount), 5(Deal spread and upfront amount) or 6(Upfront points and upfront amount)
1741	UpfrontPriceType	Int Enum
75	TradeDate	LocalMktDate	Used when reporting other than current day trades
715	ClearingBusinessDate	LocalMktDate
2870	ClearingPortfolioID	String
6	AvgPx	Price	If used then the LastPx(31) will contain the original price on the execution
	SpreadOrBenchmarkCurveData	Component
1731	AvgPxGroupID	String
819	AvgPxIndicator	Int Enum
2085	ValuationDate	LocalMktDate
2086	ValuationTime	LocalMktTime
2087	ValuationBusinessCenter	String
	PositionAmountData	Component
442	MultiLegReportingType	Char Enum	Type of report if multileg instrument
824	TradeLegRefID	String	Reference to the leg of a multileg instrument to which this trade refers. Used when MultiLegReportingType(442) = 2 (Individual leg of a multileg security)
	TrdInstrmtLegGrp	Component	Identifies a multileg execution if present and non-zero
60	TransactTime	UTCTimestamp	Time the transaction represented by when this TradeCaptureReport(35=AE) occurred. Execution time of trade. Also describes the time of block trades
	TrdRegTimestamps	Component
63	SettlType	String Enum
64	SettlDate	LocalMktDate	Takes precedence over SettlType(63) value and conditionally required/omitted for specific SettlType(63) values
2878	TerminationDate	LocalMktDate
987	UnderlyingSettlementDate	LocalMktDate	The settlement date for the underlying instrument of a derivatives security
573	MatchStatus	Char Enum
2405	ExecMethod	Int Enum
574	MatchType	String Enum
	TradeQtyGrp	Component
	TrdCapRptSideGrp	Component
1188	Volatility	Float
1189	TimeToExpiration	Float
1380	DividendYield	Percentage
1190	RiskFreeRate	Float
811	PriceDelta	Float
1382	CurrencyRatio	Float
797	CopyMsgIndicator	Boolean
	TrdRepIndicatorsGrp	Component
2524	TradeReportingIndicator	Int Enum
852	PublishTrdIndicator	Boolean Enum
1390	TradePublishIndicator	Int Enum
	TrdRegPublicationGrp	Component
853	ShortSaleReason	Int Enum
994	TierCode	String	Indicates the algorithm (tier) used to match a trade
1011	MessageEventSource	String
779	LastUpdateTime	UTCTimestamp	Used to indicate reports after a specific time
991	RndPx	Price	Specifies the rounded price to quoted precision
1132	TZTransactTime	TZTimestamp
1134	ReportedPxDiff	Boolean
381	GrossTradeAmt	Amount	(LastQty(32) * LastPx(31) or LastParPx(669)). For Fixed Income, LastParPx(669) is used when LastPx(31) is not expressed as "percent of par" price
2369	TotalGrossTradeAmt	Amount
751	TradeReportRejectReason	Int Enum	Indicates the reason that a trade report was rejected
1328	RejectText	String
1664	EncodedRejectTextLen	Length
1665	EncodedRejectText	Data
1329	FeeMultiplier	Float
1832	ClearedIndicator	Int Enum
1924	ClearingIntention	Int Enum
1925	TradeClearingInstruction	Int Enum
1926	BackloadedTradeIndicator	Boolean
1927	ConfirmationMethod	Int Enum
1928	MandatoryClearingIndicator	Boolean
	MandatoryClearingJurisdictionGrp	Component
1929	MixedSwapIndicator	Boolean
2527	MultiAssetSwapIndicator	Boolean
2526	InternationalSwapIndicator	Boolean
1930	OffMarketPriceIndicator	Boolean
1931	VerificationMethod	Int Enum
1932	ClearingRequirementException	Int Enum
1933	IRSDirection	String Enum
1934	RegulatoryReportType	Int Enum
2869	RegulatoryReportTypeBusinessDate	LocalMktDate	May be used when the business event date differs from when the regulatory report is actually being submitted (typically specified in TrdRegTimestamps component)
1935	VoluntaryRegulatoryReport	Boolean
2963	MultiJurisdictionReportingIndicator	Int Enum
1936	TradeCollateralization	Int Enum
1937	TradeContinuation	Int Enum
2387	TradeContingency	Int Enum
2302	TradeVersion	String
2303	HistoricalReportIndicator	Boolean
2596	DeltaCrossed	Boolean
2374	TradeContinuationText	String
2372	EncodedTradeContinuationTextLen	Length	Must be set if EncodedTradeContinuationText(2371) field is specified and must immediately precede it
2371	EncodedTradeContinuationText	Data	Encoded (non-ASCII characters) representation of the TradeContinuationText(2374) field in the encoded format specified via the MessageEncoding(347) field
2373	IntraFirmTradeIndicator	Boolean
2525	AffiliatedFirmsTradeIndicator	Boolean
	AttachmentGrp	Component
2343	RiskLimitCheckStatus	Int Enum
	StandardTrailer	Component