| ID | MsgType | Abbr | Flow |
|---|---|---|---|
| 64 | AE | TrdCaptRpt |
| Added | EP | Updated | EP | Deprecated | EP |
|---|---|---|---|---|---|
| FIX.4.3 | FIX.5.0SP2 | 192 |
| ID | Name | Abbr | Presence | Description |
|---|---|---|---|---|
| 1024 | StandardHeader | BaseHeader | required | SYNOPSIS:
The standard FIX message header
ELABORATION: |
| 1057 | ApplicationSequenceControl | ApplSeqCtrl | optional | SYNOPSIS:
The ApplicationSequenceControl is used for application sequencing and recovery. Consisting of ApplSeqNum (1181), ApplID (1180), ApplLastSeqNum (1350), and ApplResendFlag (1352), FIX application messages that carries this component block will be able to use application level sequencing. ApplID, ApplSeqNum and ApplLastSeqNum fields identify the application id, application sequence number and the previous application sequence number (in case of intentional gaps) on each application message that carries this block.
ELABORATION: |
| 571 | TradeReportID | RptID | optional | SYNOPSIS:
Unique identifier of trade capture report
|
| 1003 | TradeID | TrdID | optional | SYNOPSIS:
The unique ID assigned to the trade entity once it is received or matched by the exchange or central counterparty.
|
| 1040 | SecondaryTradeID | TrdID2 | optional | SYNOPSIS:
Used to carry an internal trade entity ID which may or may not be reported to the firm
|
| 1041 | FirmTradeID | FirmTrdID | optional | SYNOPSIS:
The ID assigned to a trade by the Firm to track a trade within the Firm system. This ID can be assigned either before or after submission to the exchange or central counterpary
|
| 1042 | SecondaryFirmTradeID | FirmTrdID2 | optional | SYNOPSIS:
Used to carry an internal firm assigned ID which may or may not be reported to the exchange or central counterpary
|
| 2489 | PackageID | PackageID | optional | SYNOPSIS:
Identifier assigned to a collection of trades so that they can be analyzed as one atomic unit for risk assessment and clearing.
|
| 2490 | TradeNumber | TrdNum | optional | SYNOPSIS:
Ordinal number of the trade within a series of related trades.
|
| 487 | TradeReportTransType | TransTyp | optional | SYNOPSIS:
Identifies Trade Report message transaction type
(Prior to FIX 4.4 this field was of type char)
|
| 856 | TradeReportType | RptTyp | optional | SYNOPSIS:
Type of Trade Report
|
| 939 | TrdRptStatus | TrdRptStat | optional | SYNOPSIS:
Trade Report Status
|
| 568 | TradeRequestID | ReqID | optional | SYNOPSIS:
Trade Capture Report Request ID
|
| 828 | TrdType | TrdTyp | optional | SYNOPSIS:
Type of trade assigned to a trade.
ELABORATION: Note: several enumerations of this field duplicate the enumerations in TradePriceConditions(1839) field. These may be deprecated from TrdType(828) in the future. TradePriceConditions(1839) is preferred in messages that support it. |
| 829 | TrdSubType | TrdSubTyp | optional | SYNOPSIS:
Further qualification to the trade type
|
| 855 | SecondaryTrdType | TrdTyp2 | optional | SYNOPSIS:
Type of trade assigned to a trade. Used in addition to TrdType(828). Must not be used when only one trade type needs to be assigned.
|
| 2896 | TertiaryTrdType | TrdTyp3 | optional | SYNOPSIS:
Type of trade assigned to a trade. Used in addition to TrdType(828) and SecondaryTrdType(855). Must not be used when only one additional trade type needs to be assigned.
|
| 2667 | AlgorithmicTradeIndicator | AlgoTrdInd | optional | SYNOPSIS:
Indicates that the order or trade originates from a computer program or algorithm requiring little-to-no human intervention.
|
| 1849 | OffsetInstruction | OfstInst | optional | SYNOPSIS:
Indicates the trade is a result of an offset or onset.
|
| 2206 | TradePriceConditionGrp | TrdPxConds | optional | SYNOPSIS:
Price conditions associated with a trade that impact trade price.
ELABORATION: |
| 1123 | TradeHandlingInstr | TrdHandlInst | optional | SYNOPSIS:
Specified how the TradeCaptureReport(35=AE) should be handled by the respondent.
|
| 1124 | OrigTradeHandlingInstr | OrigTrdHandlInst | optional | SYNOPSIS:
Optionally used with TradeHandlingInstr = 0 to relay the trade handling instruction used when reporting the trade to the marketplace. Same values as TradeHandlingInstr (1123)
|
| 1125 | OrigTradeDate | OrigTrdDt | optional | SYNOPSIS:
Used to preserve original trade date when original trade is being referenced in a subsequent trade transaction such as a transfer
|
| 1126 | OrigTradeID | OrigTrdID | optional | SYNOPSIS:
Used to preserve original trade id when original trade is being referenced in a subsequent trade transaction such as a transfer
|
| 1127 | OrigSecondaryTradeID | OrignTrdID2 | optional | SYNOPSIS:
Used to preserve original secondary trade id when original trade is being referenced in a subsequent trade transaction such as a transfer
|
| 830 | TransferReason | TrnsfrRsn | optional | SYNOPSIS:
Reason trade is being transferred
|
| 150 | ExecType | ExecTyp | optional | SYNOPSIS:
Describes the specific ExecutionRpt (e.g. Pending Cancel) while OrdStatus(39) will always identify the current order status (e.g. Partially Filled).
|
| 748 | TotNumTradeReports | TotNumTrdRpts | optional | SYNOPSIS:
Total number of trade reports returned.
|
| 912 | LastRptRequested | LastRptReqed | optional | SYNOPSIS:
Indicates whether this message is the last report message in response to a request message, e.g. OrderMassStatusRequest(35=AF), TradeCaptureReportRequest(35=AD).
|
| 1028 | ManualOrderIndicator | ManOrdInd | optional | SYNOPSIS:
Indicates if an order, quote or trade was initially received manually (as opposed to electronically) or if it was entered manually (as opposed to entered by automated trading software).
|
| 325 | UnsolicitedIndicator | Unsol | optional | SYNOPSIS:
Indicates whether or not message is being sent as a result of a subscription request or not.
|
| 263 | SubscriptionRequestType | SubReqTyp | optional | SYNOPSIS:
Subscription Request Type
|
| 572 | TradeReportRefID | RptRefID | optional | SYNOPSIS:
Reference identifier used with CANCEL and REPLACE transaction types.
|
| 881 | SecondaryTradeReportRefID | TrdRptRefID2 | optional | SYNOPSIS:
Used to refer to a previous SecondaryTradeReportRefID when amending the transaction (cancel, replace, release, or reversal).
|
| 818 | SecondaryTradeReportID | TrdRptID2 | optional | SYNOPSIS:
Secondary trade report identifier - can be used to associate an additional identifier with a trade.
|
| 820 | TradeLinkID | LinkID | optional | SYNOPSIS:
Used to link a group of trades together.
|
| 880 | TrdMatchID | MtchID | optional | SYNOPSIS:
Identifier assigned to a trade by a matching system.
|
| 17 | ExecID | ExecID | optional | SYNOPSIS:
Unique identifier of execution message as assigned by sell-side (broker, exchange, ECN) (will be 0 (zero) for ExecType (150)=I (Order Status)).
Uniqueness must be guaranteed within a single trading day or the life of a multi-day order. Firms which accept multi-day orders should consider embedding a date within the ExecID field to assure uniqueness across days.
(Prior to FIX 4.1 this field was of type int).
|
| 19 | ExecRefID | ExecRefID | optional | SYNOPSIS:
Reference identifier used with Trade, Trade Cancel and Trade Correct execution types.
(Prior to FIX 4.1 this field was of type int)
|
| 527 | SecondaryExecID | ExecID2 | optional | SYNOPSIS:
Assigned by the party which accepts the order. Can be used to provide the ExecID (17) used by an exchange or executing system.
|
| 378 | ExecRestatementReason | ExecRstmtRsn | optional | SYNOPSIS:
The reason for restatement when an ExecutionReport(35=8) or TradeCaptureReport(35=AE) message is sent with ExecType(150) = D (Restated) or used when communicating an unsolicited cancel.
|
| 2347 | RegulatoryTransactionType | RegTxnTyp | optional | SYNOPSIS:
Specifies the regulatory mandate or rule that the transaction complies with.
|
| 2220 | RegulatoryTradeIDGrp | RegTrdID | optional | SYNOPSIS:
The RegulatoryTradeIDGrp is a repeating component within the TradeCaptureReport message used to report the source, value and relationship of multiple identifiers for the same trade or position.
This component can be used to meet regulatory trade reporting requirements where identifiers such as the Unique Swaps Identifier (USI) in the US or the Unique Trade Identifier (UTI) in Europe and Canada are required to be reported, showing the chaining of these identifiers as needed.
ELABORATION: |
| 570 | PreviouslyReported | PrevlyRpted | optional | SYNOPSIS:
Indicates if the transaction was previously reported to the counterparty or market.
|
| 423 | PriceType | PxTyp | optional | SYNOPSIS:
Code to represent the price type.
ELABORATION: For Financing transactions PriceType(423) implies the "repo type" - Fixed or Floating - 9 (Yield) or 6 (Spread) respectively - and Price(44) gives the corresponding "repo rate". See Volume 1 "Glossary" for further value definitions. |
| 1074 | PriceQualifierGrp | PxQual | optional | SYNOPSIS:
The PriceQualifierGrp component clarifies the composition of the price when standard market practice for the security calls for a price that is atypical when traded in other markets, or when a price can be expressed in more than one way.
ELABORATION: |
| 549 | CrossType | CrssTyp | optional | SYNOPSIS:
Type of cross being submitted to a market
|
| 1031 | RootParties | Pty | optional | SYNOPSIS:
The RootParties component block is a version of the Parties component block used to provide root information regarding the owning and entering parties of a transaction.
ELABORATION: |
| 1015 | AsOfIndicator | AsOfInd | optional | SYNOPSIS:
A trade that is being submitted for a trade date prior to the current trade or clearing date, e.g. in an open outcry market an out trade being submitted for the previous trading session or trading day.
|
| 716 | SettlSessID | SetSesID | optional | SYNOPSIS:
Identifies a specific settlement session
|
| 717 | SettlSessSubID | SetSesSub | optional | SYNOPSIS:
SubID value associated with SettlSessID(716)
|
| 1430 | VenueType | VenuTyp | optional | SYNOPSIS:
Identifies the type of venue where a trade was executed
|
| 1300 | MarketSegmentID | MktSegID | optional | SYNOPSIS:
Identifies the market segment
|
| 1301 | MarketID | MktID | optional | SYNOPSIS:
Identifies the market
|
| 2375 | TaxonomyType | TxnmyTyp | optional | SYNOPSIS:
The type of identification taxonomy used to identify the security.
|
| 1003 | Instrument | Instrmt | required | SYNOPSIS:
The Instrument component block contains all the fields commonly used to describe a security or instrument. Typically the data elements in this component block are considered the static data of a security, data that may be commonly found in a security master database. The Instrument component block can be used to describe any asset type supported by FIX.
ELABORATION: |
| 1004 | InstrumentExtension | InstrmtExt | optional | SYNOPSIS:
The InstrumentExtension component block identifies additional security attributes that are more commonly found for Fixed Income securities.
ELABORATION: |
| 1002 | FinancingDetails | FinDetls | optional | SYNOPSIS:
Component block is optionally used for financial transaction where legal contracts, master agreements or master confirmations is to be referenced. This component identifies the legal agreement under which the deal was made and other unique characteristics of the transaction. For example, the AgreementDesc(913) field refers to base standard documents such as MRA 1996 Repurchase Agreement, GMRA 2000 Bills Transaction (U.K.), MSLA 1993 Securities Loan – Amended 1998, for example.
ELABORATION: |
| 4027 | PaymentGrp | Pmt | optional | SYNOPSIS:
The PaymentGrp is a repeating component used to report additional payments or bullet payments.
ELABORATION: This component is positioned outside the Instrument component as it is used to specify payments based on the price and terms of the contract, e.g. upfront fee, premium amount, security lending fee and contract-based rebates. When PaymentFrequencyUnit(43103) and PaymentFrequencyPeriod(43102) are specified the payments are deemed to be periodic for the specified PaymentType(40213). |
| 854 | QtyType | QtyTyp | optional | SYNOPSIS:
Type of quantity specified in quantity field. ContractMultiplier (tag 231) is required when QtyType = 1 (Contracts). UnitOfMeasure (tag 996) and TimeUnit (tag 997) are required when QtyType = 2 (Units of Measure per Time Unit).
|
| 1022 | YieldData | Yield | optional | SYNOPSIS:
The YieldData component block conveys yield information for a given Fixed Income security.
ELABORATION: |
| 2066 | UndInstrmtGrp | Undly | optional | SYNOPSIS: ELABORATION: |
| 1066 | RelatedInstrumentGrp | ReltdInstrmt | optional | SYNOPSIS:
The RelatedInstrumentGrp is a repeating component at the same hierarchical level as the Instrument component, describing relationships and linkages between the Instrument, UnderlyingInstrument and InstrumentLeg entries. If all instances of the UnderlyingInstrument in the message are true underliers of the Instrument then the RelatedInstrumentGrp component is not needed. If any instance of the UnderlyingInstrument has a different relationship, e.g. underlier of an InstrumentLeg, stream, equity equivalent or nearest exchange-traded contract or there are multiple instances of InstrumentLeg, then an entry for every relationship should be included in this component. When the RelatedInstrumentGrp appears within a repeating group, each entry only apply to the Instrument component at the same hierarchical level.
In messages, such as Email(35=C) and News(35=B), where Instrument and the InstrumentLeg are within their repeating groups, the RelatedInstrumentGrp component may be used to link legs and underliers to their appropriate base Instrument.
ELABORATION: For simple relationships such as identifying a "hedges for" security the entry simply defines the symbol or identifier of an externally known security. For relationships within strategies and swaps the entry refers up through one of the "related to" fields to the Instrument, InstrumentLeg, UnderlyingInstrument, stream or dividend period with which the related security has correlation. It then points down through RelatedSecurityID(1650) or RelatedSymbol(1649) to an UnderlyingInstrument instance in the current message defining the related security. The nature of the relationship is given in RelatedInstrumentType(1648). |
| 2191 | CollateralAmountGrp | CollAmt | optional | SYNOPSIS:
The Collateral Amount Group component block is a repeating group that provides the current value of the collateral type on deposit. The currency of the collateral value may be optionally included.
ELABORATION: |
| 2868 | CollateralizationValueDate | CollztnValuDt | optional | SYNOPSIS:
Date when the collateral is to be assessed or assigned.
|
| 1062 | RateSource | RtSrc | optional | SYNOPSIS: ELABORATION: |
| 2268 | TransactionAttributeGrp | TxnAttrb | optional | SYNOPSIS:
The TransactionAttributeGrp component block is a repeating group that may be used to provide additional transaction attributes for the trade and other post-trade events.
ELABORATION: |
| 822 | UnderlyingTradingSessionID | UndSesID | optional | SYNOPSIS:
Trading Session in which the underlying instrument trades
|
| 823 | UnderlyingTradingSessionSubID | UndSesSub | optional | SYNOPSIS:
Trading Session sub identifier in which the underlying instrument trades
|
| 32 | LastQty | LastQty | optional | SYNOPSIS:
Quantity (e.g. shares) bought/sold on this (last) fill.
(Prior to FIX 4.2 this field was of type int)
|
| 1828 | LastQtyVariance | LastQtyVarnc | optional | SYNOPSIS:
When LastQty is an estimated value, e.g. for a Repo “circled” trade, LastQtyVariance specifies the absolute amount that the size may vary up or down when finalized. Omitted when LastQty(32) is already final.
|
| 2301 | LastQtyChanged | QtyChngd | optional | SYNOPSIS:
The positive or negative change in quantity when this report is a trade correction or continuation.
|
| 2368 | LastMultipliedQty | LastMultdQty | optional | SYNOPSIS:
Expresses the quantity bought or sold when LastQty(32) is expressed in number of contracts. Used in addition to LastQty(32). It is the product of LastQty(32) and ContractMultiplier(231).
|
| 2367 | TotalTradeQty | TotTrdQty | optional | SYNOPSIS:
Expresses the total quantity traded over the life of the contract when LastQty(32) is repeated periodically over the term of the contract. The value is the product of LastQty(32) and TradingUnitPeriodMultiplier(2353).
|
| 2370 | TotalTradeMultipliedQty | TotTrdMultdQty | optional | SYNOPSIS:
Expresses the total trade quantity in units where ContractMultiplier(231) is not 1. The value is the product of TotalTradeQty(2367) and ContractMultiplier(231).
|
| 31 | LastPx | LastPx | optional | SYNOPSIS:
Price of this (last) fill.
|
| 631 | MidPx | MidPx | optional | SYNOPSIS:
Mid price/rate.
For OTC swaps this is the mid-market mark (for example, as defined by CFTC).
For uncleared OTC swaps, LegMidPx(2346) and the MidPx(631) fields are mutually exclusive.
|
| 1522 | DifferentialPrice | DiffPx | optional | SYNOPSIS:
Used to specify the differential price when reporting the individual leg of a spread trade. Both leg price and differential price may be provided on such a report. Note that MultiLegReportingType(442) will be set to 2 (Individual leg of a multi-leg security) in this case.
Also used in pricing Trade at Settlement (TAS) and Trade At Marker (TAM) contracts for which the value is the negotiated currency offset either at settlement (TAS) or at time specified in the product definition (TAM). The final contract price is specified in LastPx(31).
|
| 1056 | CalculatedCcyLastQty | CalcCcyLastQty | optional | SYNOPSIS:
Used for the calculated quantity of the other side of the currency trade. Can be derived from LastQty and LastPx.
|
| 2762 | PriceMarkup | PxMrkup | optional | SYNOPSIS:
Price offset of the markup denominated in the price type of the trade.
ELABORATION: The field is expressed in a value that can simply be added to or subtracted from the (clean) price to reach the marked- up price. E.g., a percent of par price of 98 marked up to 98.5 should be 0.5, an FX rate of 1.17936 marked up to 1.19 should be 0.01064, a stock price of 22.75 marked up to 22.9 should be 0.15, etc. |
| 1075 | AveragePriceDetail | AvgPxDetl | optional | SYNOPSIS:
The AveragePriceDetail component provides average pricing details in a trade report, including the average pricing model and the start and end times of averaging period.
ELABORATION: |
| 15 | Currency | Ccy | optional | SYNOPSIS:
Identifies currency used for price. Absence of this field is interpreted as the default for the security. It is recommended that systems provide the currency value whenever possible. See "Appendix 6-A: Valid Currency Codes" for information on obtaining valid values.
|
| 120 | SettlCurrency | SettlCcy | optional | SYNOPSIS:
Currency code of settlement denomination.
|
| 2366 | SettlPriceFxRateCalc | SettlPxFxRtCalc | optional | SYNOPSIS:
Specifies whether LastPx(31) [TradeCaptureReport] or SettlPrice(730) [PositionReport] should be multiplied or divided.
|
| 669 | LastParPx | LastParPx | optional | SYNOPSIS:
Last price expressed in percent-of-par. Conditionally required for Fixed Income trades when LastPx (31) is expressed in Yield, Spread, Discount or any other type.
Usage: Execution Report and Allocation Report repeating executions block (from sellside).
|
| 194 | LastSpotRate | LastSpotRt | optional | SYNOPSIS:
F/X spot rate.
|
| 195 | LastForwardPoints | LastFwdPnts | optional | SYNOPSIS:
F/X forward points added to LastSpotRate (94). May be a negative value. Expressed in decimal form. For example, 61.99 points is expressed and sent as 0.006199
|
| 1071 | LastSwapPoints | LastSwapPnts | optional | SYNOPSIS:
For FX Swap, this is used to express the last market event for the differential between the far leg's bid/offer and the near leg's bid/offer in a fill or partial fill. Value can be negative. Expressed in decimal form. For example, 61.99 points is expressed and sent as 0.006199
|
| 2349 | PricePrecision | PxPrcsn | optional | SYNOPSIS:
Specifies the price decimal precision of the instrument.
ELABORATION: For FX, this specifies the pip size in which forward points are calculated. Point (pip) size varies by currency pair. Major currencies are all traded in points of 0.0001, with the exception of JPY which has a point size of 0.01. |
| 30 | LastMkt | LastMkt | optional | SYNOPSIS:
Market of execution for last fill, or an indication of the market where an order was routed
Valid values:
See "Appendix 6-C"
ELABORATION: In the context of ESMA RTS 1 Annex I, Table 3, Field 6 "Venue of Execution" it is required that the "venue where the transaction was executed" be identified using ISO 10383 (MIC). Additionally, ESMA requires the use of "MIC code 'XOFF' for financial instruments admitted to trading or traded on a trading venue, where the transaction on that financial instrument is not executed on a trading venue, systematic internaliser or organized trading platform outside of the Union. Use 'SINT' for financial instruments admitted to trading or traded on a trading venue, where the transaction is executed on a systematic internaliser." |
| 1596 | ClearingTradePrice | ClrTrdPx | optional | SYNOPSIS:
Alternate clearing price
|
| 1740 | TradePriceNegotiationMethod | TrdPxNegottnMeth | optional | SYNOPSIS:
Method used for negotiation of contract price.
|
| 1743 | LastUpfrontPrice | LastUpfrontPx | optional | SYNOPSIS:
Price used to determine upfront payment for swaps contracts reported for a deal (trade).
|
| 1741 | UpfrontPriceType | UpfrontPxTyp | optional | SYNOPSIS:
Type of price used to determine upfront payment for swaps contracts.
|
| 75 | TradeDate | TrdDt | optional | SYNOPSIS:
Indicates date of trading day. Absence of this field indicates current day (expressed in local time at place of trade).
|
| 715 | ClearingBusinessDate | BizDt | optional | SYNOPSIS:
The business date for which the trade is expected to be cleared.
|
| 2870 | ClearingPortfolioID | ClrPrtflioID | optional | SYNOPSIS:
When the transaction is cleared and included in a portfolio of transactions this identifies the portfolio by its unique identifier.
ELABORATION: In the context of EU SFTR reporting this applies to cleared transactions grouped in a portfolio for which margins are exchanged. |
| 6 | AvgPx | AvgPx | optional | SYNOPSIS:
Calculated average price of all fills on this order.
For Fixed Income trades AvgPx is always expressed as percent-of-par, regardless of the PriceType (423) of LastPx (31). I.e., AvgPx will contain an average of percent-of-par values (see LastParPx (669)) for issues traded in Yield, Spread or Discount.
|
| 1018 | SpreadOrBenchmarkCurveData | SprdBnchmkCurve | optional | SYNOPSIS:
The SpreadOrBenchmarkCurveData component block is primarily used for Fixed Income to convey spread to a benchmark security or curve.
ELABORATION: |
| 1731 | AvgPxGroupID | AvgPxGrpID | optional | SYNOPSIS:
Used by submitting firm to group trades being allocated into an average price group. The trades in average price group will be used to calculate an average price for the group.
|
| 819 | AvgPxIndicator | AvgPxInd | optional | SYNOPSIS:
Average pricing indicator.
|
| 2085 | ValuationDate | ValDt | optional | SYNOPSIS:
The valuation date of the trade.
|
| 2086 | ValuationTime | ValTm | optional | SYNOPSIS:
The valuation time of the trade.
|
| 2087 | ValuationBusinessCenter | ValBizCtr | optional | SYNOPSIS:
Identifies the business center whose calendar is used for valuation, e.g. "GLOB". See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
|
| 1014 | PositionAmountData | Amt | optional | SYNOPSIS:
The PositionAmountData component block is used to report netted amounts associated with position quantities. In the listed derivatives market the amount is generally expressing a type of futures variation or option premium. In the equities market this may be the net pay or collect on a given position.
ELABORATION: |
| 442 | MultiLegReportingType | MLegRptTyp | optional | SYNOPSIS:
Used to indicate how the multi-legged security (e.g. option strategies, spreads, etc.) is being reported.
|
| 824 | TradeLegRefID | TrdLegRefID | optional | SYNOPSIS:
Reference to the leg of a multileg instrument to which this trade refers
|
| 2063 | TrdInstrmtLegGrp | TrdLeg | optional | SYNOPSIS: ELABORATION: |
| 60 | TransactTime | TxnTm | optional | SYNOPSIS:
Timestamp when the business transaction represented by the message occurred.
|
| 1020 | TrdRegTimestamps | TrdRegTS | optional | SYNOPSIS:
The TrdRegTimestamps component block is used to express timestamps for an order or trade that are required by regulatory agencies These timesteamps are used to identify the timeframes for when an order or trade is received on the floor, received and executed by the broker, etc.
ELABORATION: |
| 63 | SettlType | SettlTyp | optional | SYNOPSIS:
Indicates order settlement period. If present, SettlDate (64) overrides this field. If both SettlType (63) and SettDate (64) are omitted, the default for SettlType (63) is 0 (Regular)
Regular is defined as the default settlement period for the particular security on the exchange of execution.
In Fixed Income the contents of this field may influence the instrument definition if the SecurityID (48) is ambiguous. In the US an active Treasury offering may be re-opened, and for a time one CUSIP will apply to both the current and "when-issued" securities. Supplying a value of "7" clarifies the instrument description; any other value or the absence of this field should cause the respondent to default to the active issue.
Additionally the following patterns may be uses as well as enum values
Dx = FX tenor expression for "days", e.g. "D5", where "x" is any integer > 0
Mx = FX tenor expression for "months", e.g. "M3", where "x" is any integer > 0
Wx = FX tenor expression for "weeks", e.g. "W13", where "x" is any integer > 0
Yx = FX tenor expression for "years", e.g. "Y1", where "x" is any integer > 0
Noted that for FX the tenors expressed using Dx, Mx, Wx, and Yx values do not denote business days, but calendar days.
|
| 64 | SettlDate | SettlDt | optional | SYNOPSIS:
Specific date of trade settlement (SettlementDate) in YYYYMMDD format.
If present, this field overrides SettlType (63). This field is required if the value of SettlType (63) is 6 (Future) or 8 (Sellers Option). This field must be omitted if the value of SettlType (63) is 7 (When and If Issued)
(expressed in local time at place of settlement)
|
| 2878 | TerminationDate | TmntnDt | optional | SYNOPSIS:
The date of a contract's early termination or other post-trade event when the event is prior to the contract natural end or maturity not defined as part of the security's reference data or contractual terms/agreement.
|
| 987 | UnderlyingSettlementDate | StlDt | optional | SYNOPSIS:
Date the underlying instrument will settle. Used for derivatives that deliver into more than one underlying instrument. Settlement dates can vary across underlying instruments.
|
| 573 | MatchStatus | MtchStat | optional | SYNOPSIS:
The status of this trade with respect to matching or comparison.
|
| 2405 | ExecMethod | ExecMeth | optional | SYNOPSIS:
Specifies how the transaction was executed, e.g. via an automated execution platform or other method.
|
| 574 | MatchType | MtchTyp | optional | SYNOPSIS:
The point in the matching process at which this trade was matched.
|
| 2207 | TradeQtyGrp | Qty | optional | SYNOPSIS:
Quantities of the trade that have been processed and the type of processing that has occurred for that trade quantity.
ELABORATION: |
| 2061 | TrdCapRptSideGrp | RptSide | required | SYNOPSIS: ELABORATION: |
| 1188 | Volatility | Vol | optional | SYNOPSIS:
Annualized volatility for option model calculations
|
| 1189 | TimeToExpiration | TmToExp | optional | SYNOPSIS:
Time to expiration in years calculated as the number of days remaining to expiration divided by 365 days per year.
|
| 1380 | DividendYield | DividendYield | optional | SYNOPSIS:
The continuously-compounded annualized dividend yield of the underlying(s) of an option. Used as a parameter to theoretical option pricing models.
|
| 1190 | RiskFreeRate | RFR | optional | SYNOPSIS:
Interest rate. Usually some form of short term rate.
|
| 811 | PriceDelta | PxDelta | optional | SYNOPSIS:
The rate of change in the price of a derivative with respect to the movement in the price of the underlying instrument(s) upon which the derivative instrument price is based.
This value is normally between -1.0 and 1.0.
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| 1382 | CurrencyRatio | CurrencyRatio | optional | SYNOPSIS:
Specifies the currency ratio between the currency used for a multileg price and the currency used by the outright book defined by the leg. Example: Multileg quoted in EUR, outright leg in USD and 1 EUR = 0,7 USD then CurrencyRatio = 0.7
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| 797 | CopyMsgIndicator | CopyMsgInd | optional | SYNOPSIS:
Indicates whether or not this message is a drop copy of another message.
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| 2113 | TrdRepIndicatorsGrp | TrdRepIndicatorsGrp | optional | SYNOPSIS: ELABORATION: |
| 2524 | TradeReportingIndicator | TrdRptngInd | optional | SYNOPSIS:
Used between parties to convey trade reporting status.
ELABORATION: In the context of regulatory reporting, this field may be used by the reporting party (e.g. party obligated to report to regulators) to inform their trading counterparty or other interested parties the trade reporting status. |
| 852 | PublishTrdIndicator | PubTrdInd | optional | SYNOPSIS:
Indicates if a trade should be reported via a market reporting service.
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| 1390 | TradePublishIndicator | TrdPubInd | optional | SYNOPSIS:
Indicates if a trade should be or has been published via a market publication service. The indicator governs all publication services of the recipient. Replaces PublishTrdIndicator(852).
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| 1072 | TrdRegPublicationGrp | TrdRegPublctn | optional | SYNOPSIS:
The TrdRegPublicationGrp component is used to express trade publication reasons that are required by regulatory agencies. Reasons may include deferrals, exemptions, waivers, etc.
ELABORATION: Under the MiFID II regulation, this is used for indicating the reduction of pre- ("waivers") or post-trade transparency. In cases where a trade has been made outside an open order book venue or publication of trade data has been deferred, pertinent reason indicators are set in the TrdRegPublicationReason(2670) to further qualify the TrdRegPublicationType(2669). |
| 853 | ShortSaleReason | ShrtSaleRsn | optional | SYNOPSIS:
Reason for short sale.
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| 994 | TierCode | TierCD | optional | SYNOPSIS:
The Tier the trade was matched by the clearing system.
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| 1011 | MessageEventSource | MsgEvtSrc | optional | SYNOPSIS:
Used to identify the event or source which gave rise to a message.
Valid values will be based on an exchange's implementation.
Example values are:
"MQM" (originated at Firm Back Office)
"Clear" (originated in Clearing System)
"Reg" (static data generated via Register request)
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| 779 | LastUpdateTime | LastUpdateTm | optional | SYNOPSIS:
Timestamp of last update to data item (or creation if no updates made since creation).
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| 991 | RndPx | RndPx | optional | SYNOPSIS:
Specifies average price rounded to quoted precision.
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| 1132 | TZTransactTime | TZTransactTime | optional | SYNOPSIS:
Transact time in the local date-time stamp with a TZ offset to UTC identified
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| 1134 | ReportedPxDiff | ReportedPxDiff | optional | SYNOPSIS:
Indicates that the reported price that is different from the market price. The price difference should be stated by using field 828 TrdType and, if required, field 829 TrdSubType
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| 381 | GrossTradeAmt | GrossTrdAmt | optional | SYNOPSIS:
Total amount traded expressed in units of currency - usually quantity * price. For FX Futures this is used to express the notional value of a fill when quantity fields are expressed in terms of contract size (i.e. quantity * price * contract size).
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| 2369 | TotalGrossTradeAmt | TotGrossTrdAmt | optional | SYNOPSIS:
Expresses the full total monetary value of the traded contract. The value is the product of LastPx(31) and TotalTradeQty(2367) or TotalTradeMultipliedQty(2370), if priced in units instead of contracts.
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| 751 | TradeReportRejectReason | RejRsn | optional | SYNOPSIS:
Reason Trade Capture Request was rejected.
100+ Reserved and available for bi-laterally agreed upon user-defined values.
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| 1328 | RejectText | RejTxt | optional | SYNOPSIS:
Identifies the reason for rejection.
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| 1664 | EncodedRejectTextLen | EncRejTxtLen | optional | SYNOPSIS:
Byte length of encoded (non-ASCII characters) EncodedRejectText(1665) field.
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| 1665 | EncodedRejectText | EncRejTxt | optional | SYNOPSIS:
Encoded (non-ASCII characters) representation of the RejectText(1328) field in the encoded format specified via the MessageEncoding(347) field. If used, the ASCII (English) representation should also be specified in the RejectText(1328) field.
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| 1329 | FeeMultiplier | FeeMult | optional | SYNOPSIS:
This is a multiplier that Clearing (Fee system) will use to calculate fees and will be sent to the firms on their confirms.
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| 1832 | ClearedIndicator | Clrd | optional | SYNOPSIS:
Indicates whether the trade or position being reported was cleared through a clearing organization.
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| 1924 | ClearingIntention | ClrIntn | optional | SYNOPSIS:
Specifies the party's or parties' intention to clear the trade.
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| 1925 | TradeClearingInstruction | ClrngInstrctn | optional | SYNOPSIS:
Specifies the eligibility of this trade for clearing and central counterparty processing.
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| 1926 | BackloadedTradeIndicator | BackTrdInd | optional | SYNOPSIS:
Indicates that the trade being reported occurred in the past and is still in effect or active.
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| 1927 | ConfirmationMethod | CnfmMeth | optional | SYNOPSIS:
Specifies how a trade was confirmed.
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| 1928 | MandatoryClearingIndicator | MandClrInd | optional | SYNOPSIS:
An indication that the trade is flagged for mandatory clearing.
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| 4185 | MandatoryClearingJurisdictionGrp | MandClrJrsdctn | optional | SYNOPSIS:
MandatoryClearingJurisdictionGrp is a repeating component of TradeCaptureReport used to specify the set of jurisdictions to which mandatory clearing applies.
ELABORATION: |
| 1929 | MixedSwapIndicator | MixedSwapInd | optional | SYNOPSIS:
An indication that the trade is a mixed swap.
ELABORATION: In the context of CFTC , a "Mixed swap" is defined in the Commodity Exchange Act (CEA) section 1a(47)(D) as an instrument that is in part a swap subject to the jurisdiction of the CFTC, and in part a security-based swap subject to the jurisdiction of the SEC. When reporting the additional Swap Data Repositories must be identified in the appropriate Parties component with PartyRole(452) = 102 (Data repository), PartyRoleQualifier(2376) = 12 (Additional domestic trade repository) and PartySub-IDType(803) = 70 (Location or jurisdiction). |
| 2527 | MultiAssetSwapIndicator | MAsstSwapInd | optional | SYNOPSIS:
Indicates a swap that does not have one easily identifiable primary underlying asset, but instead involves multiple underlying assets within one trade repository's jurisdiction that belong to different asset classes.
ELABORATION: |
| 2526 | InternationalSwapIndicator | IntlSwapInd | optional | SYNOPSIS:
Identifies the swap trade as an "international" transaction.
ELABORATION: In the context of CFTC Regulation 45.3(h), an international swap is required by U.S. law and the law of another jurisdiction to be reported both to a US Swaps Data Repository and to a different trade repository registered within the other jurisdiction. The additional SDRs must be identified in the appropriate Parties component with PartyRole(452) = 102 (Data repository), PartyRoleQualifier(2376) = 11 (Additional international trade repository) and PartySubIDType(803) = 70 (Location or jurisdiction). |
| 1930 | OffMarketPriceIndicator | OffMktPxInd | optional | SYNOPSIS:
An indication that the price is off-market.
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| 1931 | VerificationMethod | VerfctnMeth | optional | SYNOPSIS:
Indication of how a trade was verified.
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| 1932 | ClearingRequirementException | ClrReqmtExcptn | optional | SYNOPSIS:
Specifies whether a party to a swap is using an exception to a clearing requirement. In the US, one such clearing requirement is CFTC's rule pursuant to CEA Section 2(h)(1).
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| 1933 | IRSDirection | IRSDirctn | optional | SYNOPSIS:
Used to specify whether the principal is paying or receiving the fixed rate in an interest rate swap.
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| 1934 | RegulatoryReportType | RegRptTyp | optional | SYNOPSIS:
Type of regulatory report.
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| 2869 | RegulatoryReportTypeBusinessDate | RegRptTypBizDt | optional | SYNOPSIS:
The business date on which the event identified in RegulatoryReportType(1934) took place.
ELABORATION: In the context of EU SFTR reports with a RegulatoryReportType(1934) value 7 (Post-trade valuation), 31 (Collateral update) or 32 (Margin update), the business date on which the business event took place, which results in the information contained in the report. |
| 1935 | VoluntaryRegulatoryReport | VolntyRegRpt | optional | SYNOPSIS:
Used in conjunction with RegulatoryReportType(1934) to indicate whether the trade report is a voluntary regulatory report. If not specified, the default for a regulatory report is "N".
When VoluntaryRegulatoryReport(1935)=Y it is recommended that one of the parties to the trade be identified as the voluntary reporting party through PartySubIDType(803) = 63 (Voluntary reporting entity).
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| 1936 | TradeCollateralization | TrdCollztn | optional | SYNOPSIS:
Specifies how the trade is collateralized.
ELABORATION: In the context of Dodd-Frank, all values shown except for 4 (Net exposure) apply. In the context of ESMA EU SFTR reporting only the values 1 (Uncollateralized), 3 (Fully collateralized) and 4 (Net exposure) apply. |
| 1937 | TradeContinuation | TrdContntn | optional | SYNOPSIS:
Specifies the post-execution trade continuation or lifecycle event. Additional values may be used by mutual agreement of the counterparties.
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| 2387 | TradeContingency | Cntgncy | optional | SYNOPSIS:
Indicates the contingency attribute for a trade in an asset class that may be contingent on the clearing of a corresponding paired trade (for example Exchange for Physical (EFP), Exchange for Swap (EFS), Exchange for Related (EFR) or Exchange for Option (EFO), collectively called EFRPs). Once the paired trade clears or fails to clear, the related trade (the trade which carries this attribute) ceases to exist.
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| 2302 | TradeVersion | TrdVer | optional | SYNOPSIS:
Specifies the version of a trade or contract. This is used by systems or trading platforms in conjunction with TradeID(1003) to uniquely identify the version of a trade or contract. If used the conditions for a change of version are subject to bilateral agreement. It is recommended to change the version only for significant updates to the business entity rather than for minor changes to trade details or systematic distribution of reports. Examples where the version would change are trade quantity modification, customer account assignment or trade novation.
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| 2303 | HistoricalReportIndicator | HistrclRpt | optional | SYNOPSIS:
Indicates that the trade or event being reported occurred in the past and the trade is terminated or no longer active.
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| 2596 | DeltaCrossed | DeltaCrssd | optional | SYNOPSIS:
Indicates that the party has taken a position on both a put and a call on the same underlying asset.
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| 2374 | TradeContinuationText | TrdContntnTxt | optional | SYNOPSIS:
Free form text to specify additional trade continuation information or data.
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| 2372 | EncodedTradeContinuationTextLen | EncTrdContntnTextLen | optional | SYNOPSIS:
Byte length of encoded (non-ASCII characters) EncodedTradeContinuationText(2371) field.
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| 2371 | EncodedTradeContinuationText | EncTrdContntnText | optional | SYNOPSIS:
Encoded (non-ASCII characters) representation of the TradeContinuationText(2374) field in the encoded format specified via the MessageEncoding(347) field. If used, the ASCII (English) representation should also be specified in the TradeContinuationText(2374) field.
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| 2373 | IntraFirmTradeIndicator | IntraFirmTrdInd | optional | SYNOPSIS:
Indicates whether the trade or position was entered into as an intra-group transaction, i.e. between two units of the same parent entity having majority ownership interest in both counterparties.
ELABORATION: In the context of EMIR this refers to Regulation (EU) 648/2012 Article 3 "intragroup transactions" section 1 which states: "In relation to a non-financial counterparty, an intragroup transaction is an OTC derivative contract entered into with another counterparty which is part of the same group provided that both counterparties are included in the same consolidation on a full basis and they are subject to an appropriate centralised risk evaluation, measurement and control procedures and that counterparty is established in the Union or, if it is established in a third country, the Commission has adopted an implementing act under Article 13(2) in respect of that third country. Canada's similar requirement is under Appendix A to OSC Rule 91-507." |
| 2525 | AffiliatedFirmsTradeIndicator | AffltdFirmsTrdInd | optional | SYNOPSIS:
Indicates whether the transaction or position was entered into between two affiliated firms. I.e. one counterparty has an ownership interest in the other counterparty but less than the majority interest.
ELABORATION: This trade attribute was identified under and applies to the Canadian CSA trade reporting regulations. |
| 2234 | AttachmentGrp | Attchmnt | optional | SYNOPSIS:
The AttachmentGrp component provides the ability to attach other media type documents to a FIX message for transmission. The media type can be any of the media types (previously referred to as MIME types) that are listed by IANA (www.iana.org) [RFC2046].
The AttachmentGrp is intended to be used to attach documents in other formats, such as PDF, TIFF, and Microsoft Word, for example to a FIX message.
Note when the AttachmentGrp is used within a business message, such as the TradeCaptureReport(35=AE), the attachment should supplement the data already contained in the business message It is not intended to replace the content of the business message. The standard fields within the business message should be populated, even if they duplicate data expressed within the attachment(s).
ELABORATION: |
| 2343 | RiskLimitCheckStatus | RiskLmtChkStat | optional | SYNOPSIS:
Indicates the status of the risk limit check performed on a trade.
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| 1025 | StandardTrailer | Trlr | required | SYNOPSIS:
The standard FIX message trailer
ELABORATION: |