Trade Capture Report (MsgType = AE, FIXML = TrdCaptRpt)

The Trade Capture Report (AE) 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 (AD) .

Can be used to report unmatched and matched trades.

Tag Field Name FIXML Req'd Comments
<Standard Message Header> Y MsgType = AE
<ApplicationSequenceControl> N
571 TradeReportID @RptID N TradeReportID is conditionally required in a message-chaining model in which a subsequent message may refer to a prior message via TradeReportRefID. 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 @TrdID N
1040 SecondaryTradeID @TrdID2 N
1041 FirmTradeID @FirmTrdID N
1042 SecondaryFirmTradeID @FirmTrdID2 N
487 TradeReportTransType @TransTyp N Identifies Trade Capture Report (AE) message transaction type.
856 TradeReportType @RptTyp N
939 TrdRptStatus @TrdRptStat N Status of Trade Report. In 3 party listed derivatives model used to convey status of a trade to a counterparty. Used specifically in a "claim" model.
568 TradeRequestID @ReqID N Request ID if the Trade Capture Report (AE) is in response to a Trade Capture Report Request (AD)
828 TrdType @TrdTyp N
829 TrdSubType @TrdSubTyp N
855 SecondaryTrdType @TrdTyp2 N
1123 TradeHandlingInstr @TrdHandlInst N
1124 OrigTradeHandlingInstr @OrigTrdHandlInst N
1125 OrigTradeDate @OrigTrdDt N Used to preserve original trade date when original trade is being referenced in a subsequent trade transaction such as a transfer
1126 OrigTradeID @OrigTrdID N Used to preserve original trade id when original trade is being referenced in a subsequent trade transaction such as a transfer
1127 OrigSecondaryTradeID @OrignTrdID2 N 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 N
150 ExecType @ExecTyp N Type of Execution being reported: Uses subset of ExecType (150) for Trade Capture Reports
748 TotNumTradeReports @TotNumTrdRpts N Number of trade reports returned - if this report is part of a response to a Trade Capture Report Request (AD)
912 LastRptRequested @LastRptReqed N Indicates if this is the last report in the response to a Trade Capture Report Request (AD)
325 UnsolicitedIndicator @Unsol N Set to 'Y' if message is sent as a result of a subscription request or out of band configuration as opposed to a Position Request.
263 SubscriptionRequestType @SubReqTyp N Used to subscribe / unsubscribe for trade capture reports. If the field is absent, the value 0 will be the default
572 TradeReportRefID @RptRefID N The TradeReportID (571) that is being referenced for some action, such as correction or cancellation
881 SecondaryTradeReportRefID @TrdRptRefID2 N (Deprecated in FIX.5.0)
818 SecondaryTradeReportID @TrdRptID2 N (Deprecated in FIX.5.0)
820 TradeLinkID @LinkID N Used to associate a group of trades together. Useful for average price calculations.
880 TrdMatchID @MtchID N
17 ExecID @ExecID N Exchanged assigned Execution ID (Trade Identifier)
527 SecondaryExecID @ExecID2 N
378 ExecRestatementReason @ExecRstmtRsn N Reason for restatement
570 PreviouslyReported @PrevlyRpted N Indicates if the trade capture report was previously reported to the counterparty
423 PriceType @PxTyp N Can be used to indicate cabinet trade pricing
<RootParties> N Insert here the set of "Root Parties" fields defined in "common components of application messages" Used for acting parties that applies to the whole message, not individual legs, sides, etc.
1015 AsOfIndicator @AsOfInd N Indicates if the trade is an outtrade from a previous day.
716 SettlSessID @SetSesID N
717 SettlSessSubID @SetSesSub N
1430 VenueType @VenuTyp N
1300 MarketSegmentID @MktSegID N
1301 MarketID @MktID N
<Instrument> Y Insert here the set of "Instrument" fields defined in "Common Components of Application Messages".
<FinancingDetails> N Insert here the set of "FinancingDetails" fields defined in "Common Components of Application Messages".
854 QtyType @QtyTyp N
<YieldData> N Insert here the set of "YieldData" fields defined in "Common Components of Application Messages".
<UndInstrmtGrp> N
822 UnderlyingTradingSessionID @UndSesID N
823 UnderlyingTradingSessionSubID @UndSesSub N
32 LastQty @LastQty Y Trade Quantity.
31 LastPx @LastPx Y Trade Price.
1056 CalculatedCcyLastQty @CalcCcyLastQty N
15 Currency @Ccy N Primary currency of the specified currency pair. Used to qualify LastQty (32) and GrossTradeAmout
120 SettlCurrency @SettlCcy N Contra currency of the deal. Used to qualify CalculatedCcyLastQty (1056)
669 LastParPx @LastParPx C 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 price type that is not percent-of-par.
194 LastSpotRate @LastSpotRt N Applicable for F/X orders
195 LastForwardPoints @LastFwdPnts N Applicable for F/X orders
1071 LastSwapPoints @LastSwapPnts N
30 LastMkt @LastMkt N
75 TradeDate @TrdDt N Used when reporting other than current day trades.
715 ClearingBusinessDate @BizDt N
6 AvgPx @AvgPx N Average Price (44) - if present then the LastPx (31) will contain the original price on the execution
<SpreadOrBenchmarkCurveData> N Insert here the set of "SpreadOrBenchmarkCurveData" fields defined in "Common Components of Application Messages".
819 AvgPxIndicator @AvgPxInd N Average Pricing indicator
<PositionAmountData> N Insert here here the set of "Position Amount Data" fields defined in "Common Components of Application Messages".
442 MultiLegReportingType @MLegRptTyp N Type of report if multileg instrument. Provided to support a scenario for trades of multileg instruments between two parties.
824 TradeLegRefID @TrdLegRefID N Reference to the leg of a multileg instrument to which this trade refers Used when MultiLegReportingType (442) = 2 (Single Leg of a Multileg security)
<TrdInstrmtLegGrp> N Number of legs. Identifies a Multi-leg Execution if present and non-zero.
60 TransactTime @TxnTm N Time the transaction represented by this Trade Capture Report (AE) occurred
<TrdRegTimestamps> N
63 SettlType @SettlTyp N
64 SettlDate @SettlDt C Takes precedence over SettlType (63) value and conditionally required/omitted for specific SettlType (63) values.
987 UnderlyingSettlementDate @StlDt N The settlement date for the underlying instrument of a derivatives security.
573 MatchStatus @MtchStat N
574 MatchType @MtchTyp N
<TrdCapRptSideGrp> Y Number of sides.
1188 Volatility @Vol N
1380 DividendYield @DividendYield N
1190 RiskFreeRate @RFR N
1382 CurrencyRatio @CurrencyRatio N
797 CopyMsgIndicator @CopyMsgInd N Indicates drop copy.
<TrdRepIndicatorsGrp> N Number of trade reporting indicators following
852 PublishTrdIndicator @PubTrdInd N (Deprecated in FIX.5.0)
1390 TradePublishIndicator @TrdPubInd N
853 ShortSaleReason @ShrtSaleRsn N
994 TierCode @TierCD N Indicates the algorithm (tier) used to match a trade
1011 MessageEventSource @MsgEvtSrc N Used to identify the event or source which gave rise to a message
779 LastUpdateTime @LastUpdateTm N Used to indicate reports after a specific time
991 RndPx @RndPx N Specifies the rounded price to quoted precision.
1132 TZTransactTime @TZTransactTime N
1134 ReportedPxDiff @ReportedPxDiff N The reason(s) for the price difference should be stated by using field TrdType (828) and, if required, field TrdSubType (829) as well
381 GrossTradeAmt @GrossTrdAmt N ( 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.
1328 RejectText @RejTxt N
1329 FeeMultiplier @FeeMult N
<Standard Message Trailer> Y