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	Identifier for the trade request
569	TradeRequestType	Int Enum
263	SubscriptionRequestType	Char Enum	Used to subscribe / unsubscribe for trade capture reports If the field is absent, the value 0 will be the default (snapshot only - no subscription)
571	TradeReportID	String	To request a specific trade report
818	SecondaryTradeReportID	String	To request a specific trade report
17	ExecID	String
150	ExecType	Char Enum	To requst all trades of a specific execution type
37	OrderID	String
11	ClOrdID	String
573	MatchStatus	Char Enum
828	TrdType	Int Enum	To request all trades of a specific trade type
829	TrdSubType	Int	To request all trades of a specific trade sub type
830	TransferReason	String	To request all trades for a specific transfer reason
855	SecondaryTrdType	Int	To request all trades of a specific trade sub type
820	TradeLinkID	String	To request all trades of a specific trade link id
880	TrdMatchID	String	To request a trade matching a specific TrdMatchID
	Parties	Component	Used to specify the parties for the trades to be returned (clearing firm, execution broker, trader id, etc.) ExecutingBroker ClearingFirm ContraBroker ContraClearingFirm SettlementLocation - depository, CSD, or other settlement party ExecutingTrader InitiatingTrader OrderOriginator
	Instrument	Component	The set of "Instrument" (symbology) fields defined in "Common Components of Application Messages"
	InstrumentExtension	Component	The set of "InstrumentExtension" fields defined in "Common Components of Application Messages"
	FinancingDetails	Component	The set of "FinancingDetails" fields defined in "Common Components of Application Messages"
	UndInstrmtGrp	Component	Indicates number of repeating entries. Nested Repeating Group follows
	InstrmtLegGrp	Component	Indicates number of repeating entries. Nested Repeating Group follows
	TrdCapDtGrp	Component	Number of date ranges provided (must be 1 or 2 if specified)
715	ClearingBusinessDate	LocalMktDate	To request trades for a specific clearing business date
336	TradingSessionID	String	To request trades for a specific trading session
625	TradingSessionSubID	String	To request trades for a specific trading session
943	TimeBracket	String	To request trades within a specific time bracket
54	Side	Char Enum	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	To requests trades that were submitted from a specific trade input source
579	TradeInputDevice	String	To request trades that were submitted from a specific trade input device
725	ResponseTransportType	Int Enum	Ability to specify whether the response to the request should be delivered inband or via pre-arranged out-of-band transport
726	ResponseDestination	String	URI destination name. Used if ResponseTransportType is out-of-band
58	Text	String	Used to match specific values within Text fields
354	EncodedTextLen	Length
355	EncodedText	Data
	StandardTrailer	Component