Appendix – AccountReporting Category

Components

PayCollectGrp

TagNameReq’dDescription
1707NoPayCollectsN
→1708PayCollectTypeNRequired if NoPayCollects > 0.
→1709PayCollectCurrencyNCan be used to specify the base settlement currency if Currency(15) is not specified.
→2094PayCollectFXRateN
→2095PayCollectFXRateCalcN
→1710PayAmountN
→1711CollectAmountN
→1712PayCollectMarketSegmentIDN
→1713PayCollectMarketIDN

SettlementAmountGrp

TagNameReq’dDescription
1700NoSettlementAmountsN
→1701SettlementAmountNRequired if NoSettlementAmounts > 0.
→1702SettlementAmountCurrencyN

Messages

AccountSummaryReport Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType = CQ
1699AccountSummaryReportIDY
715ClearingBusinessDateY
15CurrencyNIdentifies the base reporting currency used in this report.
900TotalNetValueN
899MarginExcessN
716SettlSessIDN
717SettlSessSubIDN
60TransactTimeN
ComponentSettlementAmountGrpN
ComponentMarginAmountN
ComponentPartiesYUsed to identify the parties for the account (clearing organization, clearing firm, account type, etc.)
ComponentCollateralAmountGrpN
ComponentPayCollectGrpN
ComponentPositionAmountDataNCan be used to identify mark to market information for the position.
ComponentStandardTrailerN

Appendix – Allocation Category

Components

AllocAckGrp

TagNameReq’dDescription
78NoAllocsN
→79AllocAccountNRequired if NoAllocs(78) > 0.
Must be first field in repeating group.
→661AllocAcctIDSourceN
→366AllocPriceNUsed when performing executed price vs. average price allocations (e.g. Japan). AllocAccount(79) plus AllocPrice(366) form a unique Allocs entry. Used in lieu of AllocAvgPx(153).
→1047AllocPositionEffectN
→467IndividualAllocIDN
→1593ParentAllocIDN
→1729FirmMnemonicN
→1832ClearedIndicatorNUsed to communicate the status of central clearing workflow.
→2727AllocLegRefIDNThe field may not be used in any message where there are no legs.
ComponentAllocRegulatoryTradeIDGrpN
→776IndividualAllocRejCodeNRequired if NoAllocs(78) > 0 and AllocStatus(87) = 2 (Account level reject).
ComponentNestedPartiesN
→209AllocHandlInstN
→161AllocTextNCan be used here to hold text relating to the rejection of this AllocAccount(366))
→360EncodedAllocTextLenNMust be set if EncodedAllocText(361) field is specified and must immediately precede it.
→361EncodedAllocTextNEncoded (non-ASCII characters) representation of the AllocText(161) field in the encoded format specified via the MessageEncoding(347) field.
→1732FirmAllocTextN
→1733EncodedFirmAllocTextLenNMust be set if EncodedFirmAllocText(1734) field is specified and must immediately precede it.
→1734EncodedFirmAllocTextNEncoded (non-ASCII characters) representation of the FirmAllocText(1732) field in the encoded format specified via the MessageEncoding(347) field.
→989SecondaryIndividualAllocIDN
→993AllocCustomerCapacityN
→992IndividualAllocTypeN
→80AllocQtyN
→2515AllocCalculatedCcyQtyN
→1752CustodialLotIDNOnly used for specific lot trades.
→1753VersusPurchaseDateNOnly used for specific lot trades. If this field is used, either VersusPurchasePrice(1754) or CurrentCostBasis(1755) should be specified.
→1754VersusPurchasePriceNOnly used for specific lot trades. If this field is used, VersusPurchaseDate(1753) should be specified.
→1755CurrentCostBasisNOnly used for specific lot trades. If this field is used, VersusPurchaseDate(1753) should be specified
→2770AllocAvgPxGroupIDN
→2769AllocAvgPxIndicatorN

AllocGrp

TagNameReq’dDescription
78NoAllocsN
→79AllocAccountNMay specify the broker of credit if ProcessCode(81) is step-out or soft-dollar step-out and Institution does not wish to disclose individual account breakdowns to the executing broker.
Required if NoAllocs(78) > 0.
Must be first field in repeating group.
Conditionally required except when for AllocTransType(71) = 2 (Cancel), or when AllocType(626) = 5 (Ready-To-Book single order) or 7 (Warehouse instruction).
→661AllocAcctIDSourceN
→573MatchStatusN
→366AllocPriceNUsed when performing executed price vs. average price allocations (e.g. Japan). AllocAccount(79) plus AllocPrice(366) form a unique Allocs entry. Used in lieu of AllocAvgPx(153).
→80AllocQtyNConditionally required except when for AllocTransType=Cancel, or when AllocType= Ready-To-Book or Warehouse instruction.
→2515AllocCalculatedCcyQtyN
→1752CustodialLotIDNOnly used for specific lot trades.
→1753VersusPurchaseDateNOnly used for specific lot trades. If this field is used, either VersusPurchasePrice(1754) or CurrentCostBasis(1755) should be specified.
→1754VersusPurchasePriceNOnly used for specific lot trades. If this field is used, VersusPurchaseDate(1753) should be specified.
→1755CurrentCostBasisNOnly used for specific lot trades. If this field is used, VersusPurchaseDate(1753) should be specified
→467IndividualAllocIDN
→1729FirmMnemonicNAllocation identifier assigned by the Firm submitting the allocation for an individual allocation instruction (as opposed to the overall message level identifier).
→1593ParentAllocIDN
→2727AllocLegRefIDNThe field may not be used in any message where there are no legs.
ComponentAllocRegulatoryTradeIDGrpN
→81ProcessCodeN
→989SecondaryIndividualAllocIDNCan be used by an intermediary to specify an allocation ID assigned by the intermediary’s system.
→1002AllocMethodNSpecifies the method under which a trade quantity was allocated.
→1735AllocationRollupInstructionNAn indicator to override the normal procedure to roll up allocations for the same Carry Firm.
→993AllocCustomerCapacityNCan be used for granular reporting of separate allocation detail within a single trade report or allocation message.
→1047AllocPositionEffectN
→992IndividualAllocTypeN
ComponentNestedPartiesNInsert here the set of Nested Parties (firm identification nested within additional repeating group) fields defined in Common Components of Application Messages
Used for NestedPartyRole=BrokerOfCredit, ClientID, Settlement location (PSET), etc.
Note: this field can be used for settlement location (PSET) information.
→208NotifyBrokerOfCreditN
→209AllocHandlInstN
→161AllocTextNFree format text field related to this AllocAccount
→360EncodedAllocTextLenNMust be set if EncodedAllocText field is specified and must immediately precede it.
→361EncodedAllocTextNEncoded (non-ASCII characters) representation of the AllocText field in the encoded format specified via the MessageEncoding field.
→1732FirmAllocTextN
→1733EncodedFirmAllocTextLenN
→1734EncodedFirmAllocTextN
ComponentCommissionDataN
ComponentAllocCommissionDataGrpNUse as an alternative to CommissionData component if multiple commissions or enhanced attributes are needed.
→153AllocAvgPxNAvgPx for this AllocAccount. For F/X orders, should be the all-in rate (spot rate adjusted for forward points) for this allocation, expressed in terms of Currency(15). For Fixed Income always express value as percent of par.
→154AllocNetMoneyNNetMoney for this AllocAccount
((AllocQty * AllocAvgPx) – Commission – sum of MiscFeeAmt + AccruedInterestAmt) if a Sell.
((AllocQty * AllocAvgPx) + Commission + sum of MiscFeeAmt + AccruedInterestAmt) if a Buy.
For FX, if specified, expressed in terms of Currency(15).
→119SettlCurrAmtNReplaced by AllocSettlCurrAmt
→2300AllocGrossTradeAmtN
→737AllocSettlCurrAmtNAllocNetMoney in AllocSettlCurrency for this AllocAccount if AllocSettlCurrency is different from overall Currency
→120SettlCurrencyNReplaced by AllocSettlCurrency
SettlCurrency for this AllocAccount if different from overall Currency. Required if SettlCurrAmt is specified.
→736AllocSettlCurrencyNAllocSettlCurrency for this AllocAccount if different from overall Currency.
Required if AllocSettlCurrAmt is specified.
Required for NDFs.
→155SettlCurrFxRateNForeign exchange rate used to compute AllocSettlCurrAmt from Currency to AllocSettlCurrency
→156SettlCurrFxRateCalcNSpecifies whether the SettlCurrFxRate should be multiplied or divided
→742AllocAccruedInterestAmtNApplicable for Convertible Bonds and fixed income
→741AllocInterestAtMaturityNApplicable for securities that pay interest in lump-sum at maturity
ComponentMiscFeesGrpN
ComponentClrInstGrpN
→635ClearingFeeIndicatorN
→780AllocSettlInstTypeNUsed to indicate whether settlement instructions are provided on this message, and if not, how they are to be derived.
Absence of this field implies use of default instructions.
ComponentSettlInstructionsDataNInsert here the set of SettlInstructionsData fields defined in Common Components of Application Messages
Used to communicate settlement instructions for this AllocAccount detail. Required if AllocSettlInstType = 2 or 3.
→2392AllocRefRiskLimitCheckIDNConditionally required when AllocRefRiskLimitCheckIDType(2393) is specified.
→2393AllocRefRiskLimitCheckIDTypeNConditionally required when AllocRefRiskLimitCheckID(2392) is specified.
→2483AllocRiskLimitCheckStatusN
→2761AllocGroupAmountN
→2770AllocAvgPxGroupIDN
→2769AllocAvgPxIndicatorN
ComponentTradeAllocAmtGrpN

Messages

AllocationReport Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType = AS
755AllocReportIDYUnique identifier for this message
70AllocIDN
2758AllocRequestIDNMay be used to link to a previously submitted AllocationInstructionAlertRequest(35=DU).
71AllocTransTypeYi.e. New, Cancel, Replace
795AllocReportRefIDNRequired for AllocTransType = Replace or Cancel
796AllocCancReplaceReasonNRequired for AllocTransType = Replace or Cancel
Gives the reason for replacing or cancelling the allocation report
793SecondaryAllocIDNOptional second identifier for this allocation instruction (need not be unique)
1730AllocGroupIDNGroup identifier assigned by the clearinghouse
2771PreviousAllocGroupIDNMay be used to identify the previous AllocGroupID(1730) being changed by this message when AllocGroupStatus(2767)=3 (Changed).
2759GroupAmountN
2767AllocGroupStatusN
1728FirmGroupIDNFirm assigned entity identifier for the allocation
794AllocReportTypeYSpecifies the purpose or type of Allocation Report message
87AllocStatusY
88AllocRejCodeNRequired for AllocStatus = 1 (rejected)
72RefAllocIDNRequired for AllocTransType = Replace or Cancel
1738AllocReversalStatusNCan be used for reporting on status of reversal transaction when AllocReportType(794) is 18 (Alleged reversal) or 17 (Reversal).
808AllocIntermedReqTypeNRequired if AllocReportType = 8 (Request to Intermediary)
Indicates status that is requested to be transmitted to counterparty by the intermediary (i.e. clearing house)
196AllocLinkIDNCan be used to link two different Allocation messages (each with unique AllocID) together, i.e. for F/X Netting or Swaps
197AllocLinkTypeNCan be used to link two different Allocation messages and identifies the type of link. Required if AllocLinkID is specified.
466BookingRefIDN
715ClearingBusinessDateNIndicates Clearing Business Date for which transaction will be settled.
828TrdTypeNIndicates Trade Type of Allocation.
829TrdSubTypeNIndicates TradeSubType of Allocation. Necessary for defining groups.
855SecondaryTrdTypeN
1937TradeContinuationN
2374TradeContinuationTextN
2372EncodedTradeContinuationTextLenNMust be set if EncodedTradeContinuationText(2371) field is specified and must immediately precede it.
2371EncodedTradeContinuationTextNEncoded (non-ASCII characters) representation of the TradeContinuationText(2374) field in the encoded format specified via the MessageEncoding(347) field.
442MultiLegReportingTypeNIndicates MultiLegReportType of original trade marked for allocation.
582CustOrderCapacityNIndicates CTI of original trade marked for allocation.
578TradeInputSourceNIndicates input source of original trade marked for allocation.
991RndPxNSpecifies the rounded price to quoted precision.
1011MessageEventSourceNUsed to identify the event or source which gave rise to a message.
579TradeInputDeviceNSpecific device number, terminal number or station where trade was entered
819AvgPxIndicatorNIndicates if an allocation is to be average priced. Is also used to indicate if average price allocation group is complete or incomplete.
1731AvgPxGroupIDNFirm designated group identifier for average pricing
857AllocNoOrdersTypeNIndicates how the orders being booked and allocated by an AllocationInstruction or AllocationReport message are identified, e.g. by explicit definition in the OrdAllocGrp or ExecAllocGrp components, or not identified explicitly.
ComponentOrdAllocGrpNIndicates number of orders to be combined for allocation. If order(s) were manually delivered set to 1 (one).Required when AllocNoOrdersType = 1
ComponentExecAllocGrpNIndicates number of individual execution or trade entries. Absence indicates that no individual execution or trade entries are included. Primarily used to support step-outs.
570PreviouslyReportedN
700ReversalIndicatorN
574MatchTypeN
54SideY
ComponentInstrumentYComponents of Application Messages.
For NDFs, fixing date (specified in MaturityDate(541)) is required. Fixing time (specified in MaturityTime(1079)) is optional.
ComponentInstrumentExtensionNInsert here the set of InstrumentExtension fields defined in Common Components of Application Messages
ComponentFinancingDetailsNInsert here the set of FinancingDetails fields defined in Common Components of Application Messages
ComponentUndInstrmtGrpN
ComponentInstrmtLegGrpN
53QuantityYTotal quantity (e.g. number of shares) allocated to all accounts, or that is Ready-To-Book
854QtyTypeN
1736AllocGroupQuantityN
1737AllocGroupRemainingQuantityN
30LastMktNMarket of the executions.
229TradeOriginationDateN
336TradingSessionIDN
625TradingSessionSubIDN
423PriceTypeN
ComponentPriceQualifierGrpN
6AvgPxYFor FX orders, should be the all-in rate (spot rate adjusted for forward points), expressed in terms of Currency(15).
860AvgParPxN
ComponentSpreadOrBenchmarkCurveDataNInsert here the set of SpreadOrBenchmarkCurveData fields defined in Common Components of Application Messages
15CurrencyNCurrency of AvgPx. Should be the currency of the local market or exchange where the trade was conducted.
74AvgPxPrecisionNAbsence of this field indicates that default precision arranged by the broker/institution is to be used
ComponentPartiesNInsert here the set of Parties (firm identification) fields defined in Common Components of Application Messages
75TradeDateY
60TransactTimeNDate/time when allocation is generated
63SettlTypeN
64SettlDateNTakes precedence over SettlType value and conditionally required/omitted for specific SettlType values.
Required for NDFs to specify the value date.
775BookingTypeNMethod for booking. Used to provide notification that this is to be booked out as an OTC derivative (e.g. CFD or similar). Absence of this field implies regular booking.
381GrossTradeAmtNExpressed in same currency as AvgPx(6). (Quantity(53) * AvgPx(6) or AvgParPx(860)) or sum of (AllocQty(80) * AllocAvgPx(153) or AllocPrice(366)). For Fixed Income, AvgParPx(860) is used when AvgPx(6) is not expressed as percent of par price.
238ConcessionN
237TotalTakedownN
118NetMoneyNExpressed in same currency as AvgPx. Sum of AllocNetMoney.
For FX expressed in terms of Currency(15).
77PositionEffectN
754AutoAcceptIndicatorNIndicates if Allocation has been automatically accepted on behalf of the Carry Firm by the Clearing House
58TextN
354EncodedTextLenNMust be set if EncodedText field is specified and must immediately precede it.
355EncodedTextNEncoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
157NumDaysInterestNApplicable for Convertible Bonds and fixed income
158AccruedInterestRateNApplicable for Convertible Bonds and fixed income
159AccruedInterestAmtNSum of AllocAccruedInterestAmt within repeating group.
540TotalAccruedInterestAmtN
738InterestAtMaturityN
920EndAccruedInterestAmtNFor repurchase agreements the accrued interest on termination.
921StartCashNFor repurchase agreements the start (dirty) cash consideration
922EndCashNFor repurchase agreements the end (dirty) cash consideration
650LegalConfirmN
ComponentStipulationsN
ComponentYieldDataN
ComponentRegulatoryTradeIDGrpN
ComponentPositionAmountDataNInsert here here the set of Position Amount Data fields defined in Common Components of Application Messages
1031CustOrderHandlingInstN
1032OrderHandlingInstSourceN
892TotNoAllocsNIndicates total number of allocation groups (used to support fragmentation). Must equal the sum of all NoAllocs values across all message fragments making up this allocation instruction.
Only required where message has been fragmented.
893LastFragmentNIndicates whether this is the last fragment in a sequence of message fragments. Only required where message has been fragmented.
ComponentAllocGrpNConditionally required except when AllocTransType = Cancel, or when AllocType = Ready-to-book or Warehouse instruction
ComponentRateSourceN
1430VenueTypeNUsed to identify on what kind of venue the trade originated when communicating with a party that may not have access to all trade details, e.g. a clearing organization.
2334RefRiskLimitCheckIDNConditionally required when RefRiskLimitCheckIDType(2335) is specified.
2335RefRiskLimitCheckIDTypeNConditionally required when RefRiskLimitCheckID(2334) is specified.
2343RiskLimitCheckStatusN
ComponentStandardTrailerY

AllocationReportAck Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType = AT
755AllocReportIDY
70AllocIDN
2758AllocRequestIDNMay be used to link to a previously submitted AllocationInstructionAlertRequest(35=DU) message.
715ClearingBusinessDateNIndicates Clearing Business Date for which transaction will be settled.
819AvgPxIndicatorNIndicates if an allocation is to be average priced. Is also used to indicate if average price allocation group is complete or incomplete.
53QuantityN
71AllocTransTypeN
ComponentInstrumentN
ComponentPartiesN
793SecondaryAllocIDNOptional second identifier for the allocation report being acknowledged (need not be unique)
1730AllocGroupIDNGroup identifier assigned by the clearinghouse
1728FirmGroupIDNFirm assigned entity identifier for the allocation
1731AvgPxGroupIDNFirm designated group identifier for average pricing
75TradeDateN
60TransactTimeNDate/Time Allocation Report Ack generated
87AllocStatusNDenotes the status of the allocation report; received (but not yet processed), rejected (at block or account level) or accepted (and processed).
AllocStatus will be conditionally required in a 2-party model when used by a counterparty to convey a change in status. It will be optional in a 3-party model in which only the central counterparty may issue the status of an allocation
88AllocRejCodeNRequired for AllocStatus = 1 ( block level reject) and for AllocStatus 2 (account level reject) if the individual accounts and reject reasons are not provided in this message
794AllocReportTypeN
808AllocIntermedReqTypeNRequired if AllocReportType = 8 (Request to Intermediary)
Indicates status that is requested to be transmitted to counterparty by the intermediary (i.e. clearing house)
573MatchStatusNDenotes whether the financial details provided on the Allocation Report were successfully matched.
1031CustOrderHandlingInstN
1032OrderHandlingInstSourceN
58TextNCan include explanation for AllocRejCode = 7 (other)
354EncodedTextLenNMust be set if EncodedText(355) field is specified and must immediately precede it.
355EncodedTextNEncoded (non-ASCII characters) representation of the Text(58) field in the encoded format specified via the MessageEncoding(347) field.
1328RejectTextN
1664EncodedRejectTextLenNEncodedRejectText(1665) field is specified and must immediately precede it.
1665EncodedRejectTextNEncoded (non-ASCII characters) representation of the RejectText(1328) field in the encoded format specified via the MessageEncoding(347) field.
ComponentRegulatoryTradeIDGrpN
ComponentAllocAckGrpNThis repeating group is optionally used for messages with AllocStatus = 2 (account level reject) to provide details of the individual accounts that caused the rejection, together with reject reasons. This group should not be populated where AllocStatus has any other value.
Indicates number of allocation groups to follow.
ComponentStandardTrailerY

AllocationInstructionAlert Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType = BM
70AllocIDYUnique identifier for this allocation instruction alert message
71AllocTransTypeYi.e. New, Cancel, Replace
626AllocTypeYSpecifies the purpose or type of Allocation message
2758AllocRequestIDNIdentifier of the request this message is responding to when responding to an AllocationInstructionAlertRequest(35=DU).
793SecondaryAllocIDNOptional second identifier for this allocation instruction (need not be unique)
72RefAllocIDNRequired for AllocTransType = Replace or Cancel
796AllocCancReplaceReasonNRequired for AllocTransType = Replace or Cancel
Gives the reason for replacing or cancelling the allocation instruction
808AllocIntermedReqTypeNRequired if AllocType = 8 (Request to Intermediary)
Indicates status that is requested to be transmitted to counterparty by the intermediary (i.e. clearing house)
196AllocLinkIDNCan be used to link two different Allocation messages (each with unique AllocID) together, i.e. for F/X Netting or Swaps
197AllocLinkTypeNCan be used to link two different Allocation messages and identifies the type of link. Required if AllocLinkID is specified.
1730AllocGroupIDNGroup identifier assigned by the clearinghouse
1728FirmGroupIDNFirm assigned entity identifier for the allocation
466BookingRefIDNCan be used with AllocType= Ready-To-Book
857AllocNoOrdersTypeNIndicates how the orders being booked and allocated by an Allocation Instruction or Allocation Report message are identified, e.g. by explicit definition in the OrdAllocGrp or ExecAllocGrp components , or not identified explicitly.
ComponentOrdAllocGrpNIndicates number of orders to be combined for allocation. If order(s) were manually delivered set to 1 (one).Required when AllocNoOrdersType = 1
ComponentExecAllocGrpNIndicates number of individual execution or trade entries. Absence indicates that no individual execution or trade entries are included. Primarily used to support step-outs.
570PreviouslyReportedN
700ReversalIndicatorN
574MatchTypeN
54SideY
ComponentInstrumentYInsert here the set of Instrument (symbology) fields defined in common components of application messages
ComponentInstrumentExtensionNInsert here the set of InstrumentExtension fields defined in common components of application messages
ComponentFinancingDetailsNInsert here the set of FinancingDetails fields defined in common components of application messages
ComponentUndInstrmtGrpN
ComponentInstrmtLegGrpN
53QuantityNWhen not using allocation groups, this is the total quantity (e.g. number of shares) allocated to all accounts, or that is Ready-To-Book. When using allocation groups, this is the quantity added or removed when trades are added to or removed from an allocation group. To remove quantity from the allocation group a negative value is specified in Quantity(53). When the allocation group quantity is unchanged, such as when AllocType(626) changes from 12(Incomplete group) to 13(Complete group) , the value for Quantity(53) should be zero (0).
854QtyTypeN
1736AllocGroupQuantityN
1737AllocGroupRemainingQuantityN
2759GroupAmountN
2760GroupRemainingAmountN
30LastMktNMarket of the executions.
229TradeOriginationDateN
336TradingSessionIDN
625TradingSessionSubIDN
423PriceTypeN
ComponentPriceQualifierGrpN
6AvgPxNFor F/X orders, should be the all-in rate (spot rate adjusted for forward points).
For 3rd party allocations used to convey either basic price or averaged price
Optional for average price allocations in the listed derivatives markets where the central counterparty calculates and manages average price across an allocation group.
860AvgParPxN
332HighPxNMaybe used to indicate the highest price within the specified allocation group.
333LowPxNMaybe used to indicate the lowest price within the specified allocation group.
ComponentSpreadOrBenchmarkCurveDataNInsert here the set of SpreadOrBenchmarkCurveData fields defined in common components of application messages
15CurrencyNCurrency of AvgPx. Should be the currency of the local market or exchange where the trade was conducted.
74AvgPxPrecisionNAbsence of this field indicates that default precision arranged by the broker/institution is to be used
ComponentPartiesNInsert here the set of Parties (firm identification) fields defined in common components of application messages
75TradeDateY
60TransactTimeNDate/time when allocation is generated
87AllocStatusNIdentifies status of allocation.
63SettlTypeN
64SettlDateNTakes precedence over SettlType value and conditionally required/omitted for specific SettlType values.
775BookingTypeNMethod for booking. Used to provide notification that this is to be booked out as an OTC derivative (e.g. CFD or similar). Absence of this field implies regular booking.
381GrossTradeAmtNExpressed in same currency as AvgPx. Sum of (AllocQty * AllocAvgPx or AllocPrice).
238ConcessionN
237TotalTakedownN
118NetMoneyNExpressed in same currency as AvgPx. Sum of AllocNetMoney.
77PositionEffectN
754AutoAcceptIndicatorNIndicates if Allocation has been automatically accepted on behalf of the Carry Firm by the Clearing House
58TextN
354EncodedTextLenNMust be set if EncodedText field is specified and must immediately precede it.
355EncodedTextNEncoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
157NumDaysInterestNApplicable for Convertible Bonds and fixed income
158AccruedInterestRateNApplicable for Convertible Bonds and fixed income
159AccruedInterestAmtNApplicable for Convertible Bonds and fixed income (REMOVED FROM THIS LOCATION AS OF FIX 4.4, REPLACED BY AllocAccruedInterest)
540TotalAccruedInterestAmtN(Deprecated) use AccruedInterestAmt Sum of AccruedInterestAmt within repeating group.
738InterestAtMaturityN
920EndAccruedInterestAmtNFor repurchase agreements the accrued interest on termination.
921StartCashNFor repurchase agreements the start (dirty) cash consideration
922EndCashNFor repurchase agreements the end (dirty) cash consideration
650LegalConfirmN
ComponentStipulationsN
ComponentYieldDataN
ComponentPositionAmountDataNInsert here here the set of Position Amount Data fields defined in Common Components of Application Messages
892TotNoAllocsNIndicates total number of allocation groups (used to support fragmentation). Must equal the sum of all NoAllocs values across all message fragments making up this allocation instruction.
Only required where message has been fragmented.
893LastFragmentNIndicates whether this is the last fragment in a sequence of message fragments. Only required where message has been fragmented.
ComponentAllocGrpNIndicates number of allocation groups to follow.
Not required for AllocTransType=Cancel
Not required for AllocType= Ready-To-Book or Warehouse instruction.
819AvgPxIndicatorNIndicates if an allocation is to be average priced. Is also used to indicate if average price allocation group is complete or incomplete.
1731AvgPxGroupIDNFirm designated group identifier for average pricing.
715ClearingBusinessDateNIndicates Clearing Business Date for which transaction will be settled.
828TrdTypeNIndicates Trade Type of Allocation.
829TrdSubTypeNIndicates TradeSubType of Allocation. Necessary for defining groups.
582CustOrderCapacityNIndicates CTI of original trade marked for allocation.
578TradeInputSourceNIndicates input source of original trade marked for allocation.
442MultiLegReportingTypeNIndicates MultiLegReportType of original trade marked for allocation.
1011MessageEventSourceNUsed to identify the event or source which gave rise to a message.
991RndPxNSpecifies the rounded price to quoted precision.
1031CustOrderHandlingInstN
1032OrderHandlingInstSourceN
ComponentStandardTrailerY

AllocationInstructionAlertRequest Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType(35)=DU
2758AllocRequestIDNUnique identifier for this message. If used, other allocation messages may link to the request through this field.
1730AllocGroupIDN
1731AvgPxGroupIDN
75TradeDateN
ComponentPartiesN
ComponentStandardTrailerY

AllocationInstructionAlertRequestAck Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType=DV
2758AllocRequestIDYUsed when responding to an AllocationInstructionAlertRequest(35=DU).
2768AllocRequestStatusY
1328RejectTextNMay be used to further describe rejection reasons when AllocRequestStatus(2768)=1 (Rejected).
1664EncodedRejectTextLenNMust be set if EncodedRejectText(1665) field is specified and must immediately precede it.
1665EncodedRejectTextNEncoded (non-ASCII characters) representation of the RejectText(1328) field in the encoded format specified via the MessageEncoding(347) field.
ComponentStandardTrailerY

AllocationInstruction Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType = J
70AllocIDYUnique identifier for this allocation instruction message
2758AllocRequestIDNMay be used to link to a previously submitted AllocationInstructionAlertRequest(35=DU) message.
71AllocTransTypeYi.e. New, Cancel, Replace
626AllocTypeYSpecifies the purpose or type of Allocation message
793SecondaryAllocIDNOptional second identifier for this allocation instruction (need not be unique)
72RefAllocIDNRequired for AllocTransType = Replace or Cancel
796AllocCancReplaceReasonNRequired for AllocTransType = Replace or Cancel
Gives the reason for replacing or cancelling the allocation instruction
808AllocIntermedReqTypeNRequired if AllocType = 8 (Request to Intermediary)
Indicates status that is requested to be transmitted to counterparty by the intermediary (i.e. clearing house)
196AllocLinkIDNCan be used to link two different Allocation messages (each with unique AllocID) together, i.e. for F/X Netting or Swaps
197AllocLinkTypeNCan be used to link two different Allocation messages and identifies the type of link. Required if AllocLinkID is specified.
1730AllocGroupIDNGroup identifier assigned by the clearinghouse
1728FirmGroupIDNFirm assigned entity identifier for the allocation
466BookingRefIDNCan be used with AllocType= Ready-To-Book
857AllocNoOrdersTypeNIndicates how the orders being booked and allocated by an AllocationInstruction or AllocationReport message are identified, e.g. by explicit definition in the OrdAllocGrp or ExecAllocGrp components, or not identified explicitly.
ComponentOrdAllocGrpNIndicates number of orders to be combined for allocation. If order(s) were manually delivered set to 1 (one).Required when AllocNoOrdersType = 1
ComponentExecAllocGrpNIndicates number of individual execution or trade entries. Absence indicates that no individual execution or trade entries are included. Primarily used to support step-outs.
570PreviouslyReportedN
700ReversalIndicatorN
574MatchTypeN
54SideY
ComponentInstrumentYInsert here the set of Instrument (symbology) fields defined in Common Components of Application Messages.
For NDFs fixing date and time can be optionally specified using MaturityDate and MaturityTime.
ComponentInstrumentExtensionNInsert here the set of InstrumentExtension fields defined in Common Components of Application Messages
ComponentFinancingDetailsNInsert here the set of FinancingDetails fields defined in Common Components of Application Messages
ComponentUndInstrmtGrpN
ComponentInstrmtLegGrpN
53QuantityYTotal quantity (e.g. number of shares) allocated to all accounts, or that is Ready-To-Book
854QtyTypeN
30LastMktNMarket of the executions.
229TradeOriginationDateN
336TradingSessionIDN
625TradingSessionSubIDN
423PriceTypeN
ComponentPriceQualifierGrpN
6AvgPxNFor FX orders, should be the all-in rate (spot rate adjusted for forward points), expressed in terms of Currency(15).
For 3rd party allocations used to convey either basic price or averaged price
Optional for average price allocations in the listed derivatives markets where the central counterparty calculates and manages average price across an allocation group.
860AvgParPxN
ComponentSpreadOrBenchmarkCurveDataNInsert here the set of SpreadOrBenchmarkCurveData fields defined in Common Components of Application Messages
15CurrencyNCurrency of AvgPx. Should be the currency of the local market or exchange where the trade was conducted.
74AvgPxPrecisionNAbsence of this field indicates that default precision arranged by the broker/institution is to be used
2795OffshoreIndicatorN
ComponentPartiesNInsert here the set of Parties (firm identification) fields defined in Common Components of Application Messages
75TradeDateY
60TransactTimeNDate/time when allocation is generated
63SettlTypeN
64SettlDateNTakes precedence over SettlType value and conditionally required/omitted for specific SettlType values.
Required for NDFs to specify the value date.
775BookingTypeNMethod for booking. Used to provide notification that this is to be booked out as an OTC derivative (e.g. CFD or similar). Absence of this field implies regular booking.
381GrossTradeAmtNExpressed in same currency as AvgPx(6). (Quantity(53) * AvgPx(6) or AvgParPx(860)) or sum of (AllocQty(80) * AllocAvgPx(153) or AllocPrice(366)). For Fixed Income, AvgParPx(860) is used when AvgPx(6) is not expressed as percent of par price.
238ConcessionN
237TotalTakedownN
118NetMoneyNExpressed in same currency as AvgPx. Sum of AllocNetMoney.
For FX, if specified, expressed in terms of Currency(15).
77PositionEffectN
754AutoAcceptIndicatorNIndicates if Allocation has been automatically accepted on behalf of the Take-up Firm by the Clearing House
58TextN
354EncodedTextLenNMust be set if EncodedText field is specified and must immediately precede it.
355EncodedTextNEncoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
157NumDaysInterestNApplicable for Convertible Bonds and fixed income
158AccruedInterestRateNApplicable for Convertible Bonds and fixed income
159AccruedInterestAmtNApplicable for Convertible Bonds and fixed income
540TotalAccruedInterestAmtN
738InterestAtMaturityN
920EndAccruedInterestAmtNFor repurchase agreements the accrued interest on termination.
921StartCashNFor repurchase agreements the start (dirty) cash consideration
922EndCashNFor repurchase agreements the end (dirty) cash consideration
650LegalConfirmN
ComponentStipulationsN
ComponentYieldDataN
ComponentRegulatoryTradeIDGrpN
ComponentPositionAmountDataNInsert here here the set of Position Amount Data fields defined in Common Components of Application Messages
892TotNoAllocsNIndicates total number of allocation groups (used to support fragmentation). Must equal the sum of all NoAllocs values across all message fragments making up this allocation instruction.
Only required where message has been fragmented.
893LastFragmentNIndicates whether this is the last fragment in a sequence of message fragments. Only required where message has been fragmented.
ComponentAllocGrpNConditionally required except when AllocTransType = Cancel, or when AllocType = Ready-to-book or Warehouse instruction
819AvgPxIndicatorNIndicates if an allocation is to be average priced. Is also used to indicate if average price allocation group is complete or incomplete.
1731AvgPxGroupIDNFirm designated group identifier for average pricing
715ClearingBusinessDateNIndicates Clearing Business Date for which transaction will be settled.
828TrdTypeNIndicates Trade Type of Allocation.
829TrdSubTypeNIndicates TradeSubType of Allocation. Necessary for defining groups.
855SecondaryTrdTypeN
1937TradeContinuationN
2374TradeContinuationTextN
2372EncodedTradeContinuationTextLenNMust be set if EncodedTradeContinuationText(2371) field is specified and must immediately precede it.
2371EncodedTradeContinuationTextNEncoded (non-ASCII characters) representation of the TradeContinuationText(2374) field in the encoded format specified via the MessageEncoding(347) field.
582CustOrderCapacityNIndicates CTI of original trade marked for allocation.
578TradeInputSourceNIndicates input source of original trade marked for allocation.
442MultiLegReportingTypeNIndicates MultiLegReportType of original trade marked for allocation.
1011MessageEventSourceNUsed to identify the event or source which gave rise to a message.
991RndPxNSpecifies the rounded price to quoted precision.
ComponentRateSourceN
1430VenueTypeNUsed to identify on what kind of venue the trade originated when communicating with a party that may not have access to all trade details, e.g. a clearing organization.
2334RefRiskLimitCheckIDNConditionally required when RefRiskLimitCheckIDType(2335) is specified.
2335RefRiskLimitCheckIDTypeNConditionally required when RefRiskLimitCheckID(2334) is specified.
2343RiskLimitCheckStatusN
ComponentStandardTrailerY

AllocationInstructionAck Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType = P
70AllocIDY
2758AllocRequestIDNMay be used to link to a previously submitted AllocationInstructionAlertRequest(35=DU) message.
ComponentInstrumentN
ComponentPartiesN
793SecondaryAllocIDNOptional second identifier for the allocation instruction being acknowledged (need not be unique)
1730AllocGroupIDNGroup identifier assigned by the clearinghouse
1728FirmGroupIDNFirm assigned entity identifier for the allocation
1731AvgPxGroupIDNFirm designated group identifier for average pricing
75TradeDateN
60TransactTimeNDate/Time Allocation Instruction Ack generated
87AllocStatusYDenotes the status of the allocation instruction; received (but not yet processed), rejected (at block or account level) or accepted (and processed).
88AllocRejCodeNRequired for AllocStatus = 1 ( block level reject) and for AllocStatus 2 (account level reject) if the individual accounts and reject reasons are not provided in this message
626AllocTypeN
808AllocIntermedReqTypeNRequired if AllocType = 8 (Request to Intermediary)
Indicates status that is requested to be transmitted to counterparty by the intermediary (i.e. clearing house)
573MatchStatusNDenotes whether the financial details provided on the Allocation Instruction were successfully matched.
58TextNCan include explanation for AllocRejCode = 7 (other)
354EncodedTextLenNMust be set if EncodedText(355) field is specified and must immediately precede it.
355EncodedTextNEncoded (non-ASCII characters) representation of the Text(58) field in the encoded format specified via the MessageEncoding(347) field.
1328RejectTextN
1664EncodedRejectTextLenNMust be set if EncodedRejectText(1665) field is specified and must immediately precede it.
1665EncodedRejectTextNEncoded (non-ASCII characters) representation of the RejectText(1328) field in the encoded format specified via the MessageEncoding(347) field.
ComponentRegulatoryTradeIDGrpN
ComponentAllocAckGrpNThis repeating group is optionally used for messages with AllocStatus = 2 (account level reject) to provide details of the individual accounts that caused the rejection, together with reject reasons. This group should not be populated when AllocStatus has any other value.
Indicates number of allocation groups to follow.
ComponentStandardTrailerY

Appendix – CollateralManagement Category

Components

CollInqQualGrp

TagNameReq’dDescription
938NoCollInquiryQualifierN
→896CollInquiryQualifierNRequired if NoCollInquiryQualifier > 0
Type of collateral inquiry

ExecCollGrp

TagNameReq’dDescription
124NoExecsN
→17ExecIDNRequired if NoExecs > 0

FundingSourceGrp

TagNameReq’dDescription
2849NoFundingSourcesN
→2846FundingSourceNRequired if NoFundingSources(2849) > 0.
→2848FundingSourceMarketValueN
→2847FundingSourceCurrencyN

TrdCollGrp

TagNameReq’dDescription
897NoTradesN
→571TradeReportIDNRequired if NoTrades > 0
→818SecondaryTradeReportIDN

UndInstrmtCollGrp

TagNameReq’dDescription
711NoUnderlyingsN
ComponentUnderlyingInstrumentNInsert here the set of Underlying Instrument fields defined in Common Components of Application Messages
Required if NoUnderlyings > 0
→944CollActionNRequired if NoUnderlyings > 0

Messages

CollateralRequest Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType = AX
894CollReqIDYUnique identifier for collateral request
895CollAsgnReasonYReason collateral assignment is being requested
60TransactTimeY
126ExpireTimeNTime until when Respondent has to assign collateral
ComponentPartiesN
1AccountNCustomer Account
581AccountTypeNType of account associated with the order (Origin)
11ClOrdIDNIdentifier of order for which collateral is required
37OrderIDNIdentifier of order for which collateral is required
198SecondaryOrderIDNIdentifier of order for which collateral is required
526SecondaryClOrdIDNIdentifier of order for which collateral is required
ComponentExecCollGrpNExecutions for which collateral is required
ComponentTrdCollGrpNTrades for which collateral is required
ComponentInstrumentNInstrument that was traded for which collateral is required
ComponentFinancingDetailsNDetails of the Agreement and Deal
64SettlDateN
53QuantityN
854QtyTypeN
15CurrencyN
ComponentInstrmtLegGrpNNumber of legs that make up the Security
ComponentUndInstrmtCollGrpNNumber of legs that make up the Security
899MarginExcessN
900TotalNetValueN
901CashOutstandingN
ComponentTrdRegTimestampsNInsert here the set of TrdRegTimestamps fields defined in Common Components of Application Messages
54SideN
ComponentMiscFeesGrpNRequired if any miscellaneous fees are reported.
44PriceN
423PriceTypeN
159AccruedInterestAmtN
920EndAccruedInterestAmtN
921StartCashN
922EndCashN
ComponentSpreadOrBenchmarkCurveDataNInsert here the set of SpreadOrBenchmarkCurveData fields defined in Common Components of Application Messages
ComponentStipulationsNInsert here the set of Stipulations fields defined in Common Components of Application Messages
336TradingSessionIDNTrading Session in which trade occurred
625TradingSessionSubIDNTrading Session Subid in which trade occurred
716SettlSessIDN
717SettlSessSubIDN
715ClearingBusinessDateN
58TextN
354EncodedTextLenNMust be set if EncodedText field is specified and must immediately precede it.
355EncodedTextNEncoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
ComponentStandardTrailerY

CollateralAssignment Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType = AY
902CollAsgnIDYUnique Identifer for collateral assignment
894CollReqIDNIdentifer of CollReqID to which the Collateral Assignment is in response
895CollAsgnReasonYReason for collateral assignment
903CollAsgnTransTypeYCollateral Transaction Type
907CollAsgnRefIDNCollateral assignment to which this transaction refers
60TransactTimeY
126ExpireTimeNFor an Initial assignment, time by which a response is expected
ComponentPartiesN
1AccountNCustomer Account
581AccountTypeNType of account associated with the order (Origin)
11ClOrdIDNIdentifier of order for which collateral is required
37OrderIDNIdentifier of order for which collateral is required
198SecondaryOrderIDNIdentifier of order for which collateral is required
526SecondaryClOrdIDNIdentifier of order for which collateral is required
ComponentExecCollGrpNExecutions for which collateral is required
ComponentTrdCollGrpNTrades for which collateral is required
ComponentInstrumentN
ComponentFinancingDetailsN
64SettlDateNCan be used to provide the value date of the collateral transaction where the deposit or withdrawal is for a specific future date.
53QuantityN
854QtyTypeN
15CurrencyN
ComponentInstrmtLegGrpNNumber of legs that make up the Security
ComponentUndInstrmtCollGrpNNumber of legs that make up the Security
899MarginExcessN
900TotalNetValueN
901CashOutstandingN
ComponentTrdRegTimestampsNInsert here the set of TrdRegTimestamps fields defined in Common Components of Application Messages
54SideN
ComponentMiscFeesGrpNRequired if any miscellaneous fees are reported.
44PriceN
423PriceTypeN
159AccruedInterestAmtN
920EndAccruedInterestAmtN
921StartCashN
922EndCashN
ComponentSpreadOrBenchmarkCurveDataNInsert here the set of SpreadOrBenchmarkCurveData fields defined in Common Components of Application Messages
ComponentStipulationsNInsert here the set of Stipulations fields defined in Common Components of Application Messages
ComponentSettlInstructionsDataNInsert here the set of SettlInstructionsData fields defined in Common Components of Application Messages
336TradingSessionIDNTrading Session in which trade occurred
625TradingSessionSubIDNTrading Session Subid in which trade occurred
716SettlSessIDN
717SettlSessSubIDN
2486WireReferenceN
75TradeDateN
2485TransactionIDNThe unique transaction entity identifier assigned by counterparty to the transaction receiving this message, if known.
2484FirmTransactionIDNThe unique transaction entity identifier assigned by the firm sending the CollateralAssignment(35=AY).
715ClearingBusinessDateNThe clearing business date of the collateral assignment.
2517CollateralRequestLinkIDN
2519TotNumCollateralRequestsN
2518CollateralRequestNumberN
2516CollateralRequestInstructionNValues are custom to a particular implementation and will be maintained externally.
58TextN
354EncodedTextLenNMust be set if EncodedText(355) field is specified and must immediately precede it.
355EncodedTextNEncoded (non-ASCII characters) representation of the Text(58) field in the encoded format specified via the MessageEncoding(347) field.
ComponentStandardTrailerY

CollateralResponse Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType = AZ
904CollRespIDYUnique identifer for the collateral response
902CollAsgnIDNConditionally required when responding to a Collateral Assignment message
894CollReqIDNIdentifer of CollReqID to which the Collateral Assignment is in response
895CollAsgnReasonNConditionally required when responding to a Collateral Assignment message
903CollAsgnTransTypeNCollateral Transaction Type – not recommended because it causes confusion
905CollAsgnRespTypeYCollateral Assignment Response Type
906CollAsgnRejectReasonNConditionally required when CollAsgnRespType(905) = 3 (Rejected).
60TransactTimeY
1043CollApplTypeN
291FinancialStatusNTells whether security has been restricted.
715ClearingBusinessDateNThe clearing business date of the assignment. The date on which the transaction was entered.
ComponentPartiesN
1AccountNCustomer Account
581AccountTypeNType of account associated with the order (Origin)
11ClOrdIDNIdentifier of order for which collateral is required
37OrderIDNIdentifier of order for which collateral is required
198SecondaryOrderIDNIdentifier of order for which collateral is required
526SecondaryClOrdIDNIdentifier of order for which collateral is required
ComponentExecCollGrpNExecutions for which collateral is required
ComponentTrdCollGrpNTrades for which collateral is required
ComponentInstrumentN
ComponentFinancingDetailsN
64SettlDateNCan be used to specify the value date of the collateral transaction where the transaction is for a specific future date (e.g. to be settled on a future date).
53QuantityN
854QtyTypeN
15CurrencyN
ComponentInstrmtLegGrpNNumber of legs that make up the Security
ComponentUndInstrmtCollGrpNNumber of legs that make up the Security
899MarginExcessN
900TotalNetValueN
901CashOutstandingN
ComponentCollateralAmountGrpN
ComponentTrdRegTimestampsN
54SideN
ComponentMiscFeesGrpNRequired if any miscellaneous fees are reported.
44PriceN
423PriceTypeN
159AccruedInterestAmtN
920EndAccruedInterestAmtN
921StartCashN
922EndCashN
ComponentSpreadOrBenchmarkCurveDataN
ComponentStipulationsN
2486WireReferenceN
75TradeDateN
2485TransactionIDNThe unique transaction entity identifier assigned by the firm sending the CollateralResponse(35=AZ).
2484FirmTransactionIDNThe unique transaction entity identifier assigned by the counterparty to the transaction, if known. Echoes the value from CollateralAssignment(35=AY) if provided.
2517CollateralRequestLinkIDN
2519TotNumCollateralRequestsN
2518CollateralRequestNumberN
2516CollateralRequestInstructionNValues are custom to a particular implementation and will be maintained externally.
58TextN
354EncodedTextLenNMust be set if EncodedText(355) field is specified and must immediately precede it.
355EncodedTextNEncoded (non-ASCII characters) representation of the Text(58) field in the encoded format specified via the MessageEncoding(347) field.
2520WarningTextNConditionally required when CollAsgnRespType(905) = 5 (Completed with warning).
2522EncodedWarningTextLenNMust be set if EncodedWarningText(2521) field is specified and must immediately precede it.
2521EncodedWarningTextNEncoded (non-ASCII characters) representation of the WarningText(2520) field in the encoded format specified via the MessageEncoding field.
1328RejectTextNConditionally required when CollAsgnRespType(905) = 3 (Rejected).
1664EncodedRejectTextLenNMust be set if EncodedRejectText(1665) field is specified and must immediately precede it.
1665EncodedRejectTextNEncoded (non-ASCII characters) representation of the RejectText(1328) field in the encoded format specified via the MessageEncoding(347) field.
ComponentStandardTrailerY

CollateralReport Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType = BA
908CollRptIDYUnique Identifer for collateral report
909CollInquiryIDNIdentifier for the collateral inquiry to which this message is a reply
60TransactTimeN
1043CollApplTypeNDifferentiates collateral pledged specifically against a position from collateral pledged against an entire portfolio on a valued basis.
291FinancialStatusNTells whether security has been restricted.
910CollStatusYCollateral status
911TotNumReportsN
912LastRptRequestedN
ComponentPartiesN
1AccountNCustomer Account
581AccountTypeNType of account associated with the order (Origin)
11ClOrdIDNIdentifier of order for which collateral is required
37OrderIDNIdentifier of order for which collateral is required
198SecondaryOrderIDNIdentifier of order for which collateral is required
526SecondaryClOrdIDNIdentifier of order for which collateral is required
ComponentExecCollGrpNExecutions for which collateral is required
ComponentTrdCollGrpNTrades for which collateral is required
ComponentInstrumentN
ComponentFinancingDetailsN
64SettlDateN
53QuantityN
854QtyTypeN
15CurrencyN
ComponentInstrmtLegGrpN
ComponentUndInstrmtGrpN
899MarginExcessN
900TotalNetValueN
901CashOutstandingN
ComponentCollateralAmountGrpN
2868CollateralizationValueDateN
1936TradeCollateralizationN
ComponentRegulatoryTradeIDGrpN
ComponentTrdRegTimestampsN
54SideN
ComponentMiscFeesGrpNRequired if any miscellaneous fees are reported.
44PriceN
423PriceTypeN
159AccruedInterestAmtN
920EndAccruedInterestAmtN
921StartCashN
922EndCashN
ComponentSpreadOrBenchmarkCurveDataNInsert here the set of SpreadOrBenchmarkCurveData fields defined in Common Components of Application Messages
ComponentStipulationsNInsert here the set of Stipulations fields defined in Common Components of Application Messages
ComponentSettlInstructionsDataNInsert here the set of SettlInstructionsData fields defined in Common Components of Application Messages
336TradingSessionIDNTrading Session in which trade occurred
625TradingSessionSubIDNTrading Session Subid in which trade occurred
716SettlSessIDN
717SettlSessSubIDN
1934RegulatoryReportTypeN
2869RegulatoryReportTypeBusinessDateNMay be used when the business event date differs from when the regulatory report is actually being submitted (typically specified in TrdRegTimestamps component).
715ClearingBusinessDateNThe clearing business date of the report.
2486WireReferenceN
75TradeDateN
2485TransactionIDNThe unique transaction entity identifier assigned by the firm sending the CollateralReport(35=BA).
2484FirmTransactionIDNThe unique transaction entity identifier assigned by the counterparty to the transaction receiving this message, if known.
ComponentFundingSourceGrpN
ComponentTransactionAttributeGrpN
58TextN
354EncodedTextLenNMust be set if EncodedText(355) field is specified and must immediately precede it.
355EncodedTextNEncoded (non-ASCII characters) representation of the Text(58) field in the encoded format specified via the MessageEncoding(347) field.
ComponentStandardTrailerY

CollateralInquiry Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType = BB
909CollInquiryIDYUnique identifier for this message.
ComponentCollInqQualGrpNNumber of qualifiers to inquiry
263SubscriptionRequestTypeNUsed to subscribe / unsubscribe for collateral status reports.
If the field is absent, the default will be snapshot request only – no subscription.
725ResponseTransportTypeNAbility to specify whether the response to the request should be delivered inband or via pre-arranged out-of-band transport.
726ResponseDestinationNURI destination name. Used if ResponseTransportType is out-of-band.
ComponentPartiesN
1AccountNCustomer Account
581AccountTypeNType of account associated with the order (Origin)
11ClOrdIDNIdentifier of order for which collateral is required
37OrderIDNIdentifier of order for which collateral is required
198SecondaryOrderIDNIdentifier of order for which collateral is required
526SecondaryClOrdIDNIdentifier of order for which collateral is required
ComponentExecCollGrpNExecutions for which collateral is required
ComponentTrdCollGrpNTrades for which collateral is required
ComponentInstrumentNInsert here the set of Instrument fields defined in Common Components of Application Messages
ComponentFinancingDetailsNInsert here the set of FinancingDetails fields defined in Common Components of Application Messages
64SettlDateN
53QuantityN
854QtyTypeN
15CurrencyN
ComponentInstrmtLegGrpNNumber of legs that make up the Security
ComponentUndInstrmtGrpNNumber of legs that make up the Security
899MarginExcessN
900TotalNetValueN
901CashOutstandingN
ComponentTrdRegTimestampsNInsert here the set of TrdRegTimestamps fields defined in Common Components of Application Messages
54SideN
44PriceN
423PriceTypeN
159AccruedInterestAmtN
920EndAccruedInterestAmtN
921StartCashN
922EndCashN
ComponentSpreadOrBenchmarkCurveDataNInsert here the set of SpreadOrBenchmarkCurveData fields defined in Common Components of Application Messages
ComponentStipulationsNInsert here the set of Stipulations fields defined in Common Components of Application Messages
ComponentSettlInstructionsDataNInsert here the set of SettlInstructionsData fields defined in Common Components of Application Messages
336TradingSessionIDNTrading Session in which trade occurred
625TradingSessionSubIDNTrading Session Subid in which trade occurred
716SettlSessIDN
717SettlSessSubIDN
715ClearingBusinessDateN
58TextN
354EncodedTextLenNMust be set if EncodedText field is specified and must immediately precede it.
355EncodedTextNEncoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
ComponentStandardTrailerY

CollateralInquiryAck Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType = BG
909CollInquiryIDYIdentifier for the collateral inquiry to which this message is a reply
945CollInquiryStatusYStatus of the Collateral Inquiry referenced by CollInquiryID
946CollInquiryResultNResult of the Collateral Inquriy referenced by CollInquiryID – specifies any errors or warnings
ComponentCollInqQualGrpNNumber of qualifiers to inquiry
911TotNumReportsNTotal number of reports generated in response to this inquiry
ComponentPartiesN
1AccountNCustomer Account
581AccountTypeNType of account associated with the order (Origin)
11ClOrdIDNIdentifier of order for which collateral is required
37OrderIDNIdentifier of order for which collateral is required
198SecondaryOrderIDNIdentifier of order for which collateral is required
526SecondaryClOrdIDNIdentifier of order for which collateral is required
ComponentExecCollGrpNExecutions for which collateral is required
ComponentTrdCollGrpNTrades for which collateral is required
ComponentInstrumentNInsert here the set of Instrument fields defined in Common Components of Application Messages
ComponentFinancingDetailsNInsert here the set of FinancingDetails fields defined in Common Components of Application Messages
64SettlDateN
53QuantityN
854QtyTypeN
15CurrencyN
ComponentInstrmtLegGrpNNumber of legs that make up the Security
ComponentUndInstrmtGrpNNumber of legs that make up the Security
336TradingSessionIDNTrading Session in which trade occurred
625TradingSessionSubIDNTrading Session Subid in which trade occurred
716SettlSessIDN
717SettlSessSubIDN
715ClearingBusinessDateN
725ResponseTransportTypeNAbility to specify whether the response to the request should be delivered inband or via pre-arranged out-of-band transport.
726ResponseDestinationNURI destination name. Used if ResponseTransportType is out-of-band.
58TextN
354EncodedTextLenNMust be set if EncodedText field is specified and must immediately precede it.
355EncodedTextNEncoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
ComponentStandardTrailerY

CollateralReportAck Message

TagNameReq’dDescription
ComponentStandardHeaderY
908CollRptIDYIdentifer of the CollateralReport(35=BA) being acknowledged.
60TransactTimeN
2488CollRptStatusY
2487CollRptRejectReasonNConditionally required when CollRptStatus(2488) = 2 (Rejected).
1328RejectTextNConditionally required when CollRptStatus(2488) = 2 (Rejected).
1664EncodedRejectTextLenNMust be set if EncodedRejectText(1665) field is specified and must immediately precede it.
1665EncodedRejectTextNEncoded (non-ASCII characters) representation of the RejectText(1328) field in the encoded format specified via the MessageEncoding(347) field.
ComponentPartiesN
58TextN
354EncodedTextLenNMust be set if EncodedText(355) field is specified and must immediately precede it.
355EncodedTextNEncoded (non-ASCII characters) representation of the Text(58) field in the encoded format specified via the MessageEncoding(347) field.
ComponentStandardTrailerY

Appendix – Confirmation Category

Components

CpctyConfGrp

TagNameReq’dDescription
862NoCapacitiesN
→528OrderCapacityYSpecifies the capacity of the firm executing the order(s)
→529OrderRestrictionsN
→863OrderCapacityQtyNThe quantity that was executed under this capacity (e.g. quantity executed as agent, as principal etc.). If any are specified, all entries in the component must have OrderCapacityQty specified and the sum of OrderCapacityQty values must equal this message’s AllocQty.

MatchExceptionGrp

TagNameReq’dDescription
2772NoMatchExceptionsN
→2773MatchExceptionTypeNRequired if NoMatchExceptions(2772) > 0.
→2774MatchExceptionElementTypeNRequired if NoMatchExceptions(2772) > 0.
→2775MatchExceptionElementNameN
→2776MatchExceptionAllocValueN
→2777MatchExceptionConfirmValueN
→2778MatchExceptionToleranceValueN
→2779MatchExceptionToleranceValueTypeN
→2780MatchExceptionTextN
→2797EncodedMatchExceptionTextLenNMust be set if EncodedMatchExceptionText(2780) field is specified and must immediately precede it.
→2798EncodedMatchExecptionTextNEncoded (non-ASCII characters) representation of the MatchExceptionText(2780) field in the encoded format specified via the MessageEncoding(347) field.

MatchingDataPointGrp

TagNameReq’dDescription
2781NoMatchingDataPointsN
→2782MatchingDataPointIndicatorNRequired if NoMatchingDataPoints(2781) > 0.
→2783MatchingDataPointValueNRequired if NoMatchingDataPoints(2781) > 0.
→2784MatchingDataPointTypeNRequired if NoMatchingDataPoints(2781) > 0.
→2785MatchingDataPointNameN

Messages

Confirmation Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType = AK
664ConfirmIDYUnique ID for this message
772ConfirmRefIDNMandatory if ConfirmTransType is Replace or Cancel
859ConfirmReqIDNOnly used when this message is used to respond to a confirmation request (to which this ID refers)
666ConfirmTransTypeYNew, Cancel or Replace
773ConfirmTypeYDenotes whether this message represents a confirmation or a trade status message
797CopyMsgIndicatorNDenotes whether or not this message represents copy confirmation (or status message)
Absence of this field indicates message is not a drop copy.
650LegalConfirmNDenotes whether this message represents the legally binding confirmation
Absence of this field indicates message is not a legal confirm.
665ConfirmStatusY
573MatchStatusN
940AffirmStatusNUsed to communicate an affirmed Confirmation(35=AK) status message (i.e. when ConfirmType(773) = 1 (Status)) to interested parties that need to or should receive such confirmation status message.
This field must not be used when sending a Confirmation(35=AK) message that needs to be affirmed.
2390TradeConfirmationReferenceIDN
1832ClearedIndicatorNUsed to communicate the status of the central clearing workflow.
ComponentPartiesNInsert here the set of Parties (firm identification) fields defined in Common Components of Application Messages
Required for fixed income
Also to be used in associated with ProcessCode for broker of credit (e.g. for directed brokerage trades)
Also to be used to specify party-specific regulatory details (e.g. full legal name of contracting legal entity, registered address, regulatory status, any registration details)
ComponentOrdAllocGrpNIndicates number of orders to be combined for allocation. If order(s) were manually delivered set to 1 (one).Required when AllocNoOrdersType = 1
ComponentExecAllocGrpN
70AllocIDNUsed to refer to an earlier Allocation Instruction.
793SecondaryAllocIDNUsed to refer to an earlier Allocation Instruction via its secondary identifier
467IndividualAllocIDNUsed to refer to an allocation account within an earlier Allocation Instruction.
828TrdTypeN
829TrdSubTypeN
855SecondaryTrdTypeN
1937TradeContinuationN
2374TradeContinuationTextN
2372EncodedTradeContinuationTextLenNMust be set if EncodedTradeContinuationText(2371) field is specified and must immediately precede it.
2371EncodedTradeContinuationTextNEncoded (non-ASCII characters) representation of the TradeContinuationText(2374) field in the encoded format specified via the MessageEncoding(347) field.
574MatchTypeN
60TransactTimeYRepresents the time this message was generated
75TradeDateY
ComponentTrdRegTimestampsNTime of last execution being confirmed by this message. Use ExecutionTimestamp(2749) in ExecAllocGrp component when there are multiple trades.
ComponentInstrumentYInsert here the set of Instrument (symbology) fields defined in Common Components of Application Messages
ComponentInstrumentExtensionNInsert here the set of InstrumentExtension fields defined in Common Components of Application Messages
ComponentFinancingDetailsNInsert here the set of FinancingDetails fields defined in Common Components of Application Messages
ComponentUndInstrmtGrpN
ComponentInstrmtLegGrpN
ComponentYieldDataNIf traded on Yield, price must be calculated to worst and the <Yield> component block must specify how calculated, redemption date and price (if not par). If traded on Price, the <Yield> component block must specify how calculated – Worst, and include redemptiondate and price (if not par).
80AllocQtyYThe quantity being confirmed by this message (this is at a trade level, not block or order level)
854QtyTypeN
54SideY
15CurrencyN
30LastMktN
ComponentCpctyConfGrpY
79AllocAccountYAccount number for the trade being confirmed by this message
661AllocAcctIDSourceN
798AllocAccountTypeN
6AvgPxYGross price for the trade being confirmed
Always expressed in percent-of-par for Fixed Income
74AvgPxPrecisionNAbsence of this field indicates that default precision arranged by the broker/institution is to be used
423PriceTypeNPrice type for the AvgPx field
ComponentPriceQualifierGrpN
860AvgParPxN
ComponentSpreadOrBenchmarkCurveDataNInsert here the set of SpreadOrBenchmarkCurveData fields defined in Common Components of Application Messages
861ReportedPxNReported price (may be different to AvgPx in the event of a marked-up or marked-down principal trade)
58TextN
354EncodedTextLenN
355EncodedTextN
81ProcessCodeNUsed to identify whether the trade was a soft dollar trade, step in/out etc. Broker of credit, where relevant, can be specified using the Parties nested block above.
381GrossTradeAmtYGross trade amount for the allocated account being confirmed.
157NumDaysInterestN
230ExDateNOptional next coupon date for Fixed Income
158AccruedInterestRateN
159AccruedInterestAmtNRequired for Fixed Income products that trade with accrued interest
738InterestAtMaturityNRequired for Fixed Income products that pay lump sum interest at maturity
920EndAccruedInterestAmtNFor repurchase agreements the accrued interest on termination.
921StartCashNFor repurchase agreements the start (dirty) cash consideration
922EndCashNFor repurchase agreements the end (dirty) cash consideration
238ConcessionN
237TotalTakedownN
118NetMoneyY
890MaturityNetMoneyNNet Money at maturity if Zero Coupon and maturity value is different from par value
119SettlCurrAmtN
120SettlCurrencyN
155SettlCurrFxRateN
156SettlCurrFxRateCalcN
63SettlTypeN
64SettlDateN
ComponentSettlInstructionsDataNInsert here the set of SettlInstructionsData fields defined in Common Components of Application Messages
Used to communicate settlement instructions for this Confirmation.
ComponentCommissionDataN
858SharedCommissionNUsed to identify any commission shared with a third party (e.g. directed brokerage)
ComponentCommissionDataGrpNUse as an alternative to CommissionData if multiple commissions or enhanced attributes are needed.
ComponentStipulationsN
ComponentMiscFeesGrpNRequired if any miscellaneous fees are reported.
ComponentMatchExceptionGrpN
ComponentMatchingDataPointGrpN
ComponentStandardTrailerY

ConfirmationAck Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType = AU
664ConfirmIDY
75TradeDateY
60TransactTimeYDate/Time Allocation Instruction Ack generated
940AffirmStatusY
2390TradeConfirmationReferenceIDN
774ConfirmRejReasonNRequired for ConfirmStatus = 1 (rejected)
573MatchStatusNDenotes whether the financial details provided on the Confirmation were successfully matched.
ComponentMatchExceptionGrpN
ComponentMatchingDataPointGrpN
58TextNCan include explanation for ConfirmRejReason(774) = 99 (Other)
354EncodedTextLenNMust be set if EncodedText field is specified and must immediately precede it.
355EncodedTextNEncoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
ComponentStandardTrailerY

ConfirmationRequest Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType = BH
859ConfirmReqIDYUnique identifier for this message
773ConfirmTypeYDenotes whether this message is being used to request a confirmation or a trade status message
ComponentOrdAllocGrpNIndicates number of orders to be combined for allocation. If order(s) were manually delivered set to 1 (one).Required when AllocNoOrdersType = 1
70AllocIDNUsed to refer to an earlier Allocation Instruction.
793SecondaryAllocIDNUsed to refer to an earlier Allocation Instruction via its secondary identifier
467IndividualAllocIDNUsed to refer to an allocation account within an earlier Allocation Instruction.
60TransactTimeYRepresents the time this message was generated
79AllocAccountNAccount number for the trade being confirmed by this message
661AllocAcctIDSourceN
798AllocAccountTypeN
58TextN
354EncodedTextLenN
355EncodedTextN
ComponentStandardTrailerY

Appendix – MarginRequirementManagement Category

Components

MarginReqmtInqQualGrp

TagNameReq’dDescription
1636NoMarginReqmtInqQualifierN
→1637MarginReqmtInqQualifierN

Messages

MarginRequirementInquiry Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType = CH
1635MarginReqmtInqIDYUnique identifier for this message
ComponentMarginReqmtInqQualGrpYType of margin requirement inquiry
263SubscriptionRequestTypeNUsed to subscribe / unsubscribe for margin requirement reports. If the field is absent, the default will be snapshot request only – no subscription.
725ResponseTransportTypeNAbility to specify whether the response to the request should be delivered inband or via pre-arranged out-of-band transport.
726ResponseDestinationNURI destination name. Used if ResponseTransportType is out-of-band.
ComponentPartiesN
715ClearingBusinessDateNIndicates the date for which the margin is to be calculated
716SettlSessIDNIndicates the settlement session for which the margin is to be calculated – End Of Day or Intraday
717SettlSessSubIDN
1639MarginClassNUsed to identify a group of instruments with similar risk profile.
ComponentInstrumentN
60TransactTimeNRepresents the time the inquiry was submitted
58TextN
354EncodedTextLenNMust be set if EncodedText field is specified and must immediately precede it.
355EncodedTextNEncoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
ComponentStandardTrailerY

MarginRequirementInquiryAck Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType = CI
1635MarginReqmtInqIDYUnique identifier for this message
ComponentMarginReqmtInqQualGrpYType of margin requirement inquiry
1640MarginReqmtInqStatusYStatus of the Margin Requirement Inquiry referenced by MarginReqmtInqID
1641MarginReqmtInqResultNResult of the Margin Requirement Inquiry referenced by MarginReqmtInqID – specifies any errors or warnings
911TotNumReportsNTotal number of reports generated in response to this inquiry
263SubscriptionRequestTypeNUsed to subscribe / unsubscribe for margin requirement reports. If the field is absent, the default will be snapshot request only – no subscription.
725ResponseTransportTypeNAbility to specify whether the response to the request should be delivered inband or via pre-arranged out-of-band transport.
726ResponseDestinationNURI destination name. Used if ResponseTransportType is out-of-band.
ComponentPartiesN
715ClearingBusinessDateNIndicates the date for which the margin is to be calculated
716SettlSessIDNIndicates the settlement session for which the margin is to be calculated – End Of Day or Intraday
717SettlSessSubIDN
1639MarginClassNUsed to identify a group of instruments with similar risk profile.
ComponentInstrumentN
60TransactTimeNRepresents the time this message was generated
58TextN
354EncodedTextLenNMust be set if EncodedText field is specified and must immediately precede it.
355EncodedTextNEncoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
ComponentStandardTrailerY

MarginRequirementReport Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType = CJ
ComponentApplicationSequenceControlN
1642MarginReqmtRptIDYUnique identifier for this margin requirement report
1635MarginReqmtInqIDNUnique identifier for the inquiry associated with this report. This field should not be provided if the report was sent unsolicited.
1638MarginReqmtRptTypeYType of report provided
911TotNumReportsNTotal number of reports generated in response to inquiry referenced by MarginReqmtInqID
912LastRptRequestedN
325UnsolicitedIndicatorNSet to ‘Y’ if message is sent as a result of a subscription request or out of band configuration as opposed to a Margin Requirement Inquiry.
ComponentPartiesN
1934RegulatoryReportTypeN
2869RegulatoryReportTypeBusinessDateNMay be used when the business event date differs from when the regulatory report is actually being submitted (typically specified in TrdRegTimestamps component).
ComponentTrdRegTimestampsN
715ClearingBusinessDateNIndicates the date for which the margin is to be calculated
2870ClearingPortfolioIDN
716SettlSessIDNIndicates the settlement session for which the margin is to be calculated – End Of Day or Intraday
717SettlSessSubIDN
1639MarginClassNUsed to identify a group of instruments with similar risk profile.
15CurrencyNBase currency of the margin requirement
ComponentInstrumentN
ComponentMarginAmountYMargin requirement amounts
60TransactTimeNRepresents the time this message was generated
58TextN
354EncodedTextLenNMust be set if EncodedText field is specified and must immediately precede it.
355EncodedTextNEncoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
ComponentStandardTrailerY

Appendix – PayManagement Category

Components

PostTradePayment

TagNameReq’dDescription
2824PostTradePaymentTypeY
2817PostTradePaymentAmountY
2818PostTradePaymentCurrencyN
2825PostTradePaymentCalculationDateYThe date payment calculations are made. This may be earlier than the date in ClearingBusinessDate(715).
When the report is sent unsolicited, this is the payment calculation date as determined by report sender.
2826PostTradePaymentValueDateYThe date the payment is legally confirmed to settle.
2827PostTradePaymentFinalValueDateNThe actual payment date in the event it differs from the date specified in PostTradePaymentValueDate(2826).
2819PostTradePaymentDebitOrCreditY
2816PostTradePaymentAccountY
2821PostTradePaymentIDN
2820PostTradePaymentDescN
2815EncodedPostTradePaymentDescLenNMust be set if EncodedPostTradePaymentDesc(2814) field is specified and must immediately precede it.
2814EncodedPostTradePaymentDescNEncoded (non-ASCII characters) representation of the PostTradePaymentDesc(2820) field in the encoded format specified via the MessageEncoding(347) field.
2822PostTradePaymentLinkIDN
2823PostTradePaymentStatusNUsed when PayReportTransType(2804)=2 (Status) to report actual payment status from payment service (i.e. after payment or remittance instruction with payment service).

Messages

PayManagementRequest Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType=DY
2812PayRequestIDY
2811PayRequestTransTypeY
2810PayRequestRefIDNRequired for PayRequestTransType(2811)=1 (Cancel).
2807CancelTextNMay be used to provide reason for PayRequestTransType(2811)=1 (Cancel).
2809EncodedCancelTextLenNMust be set if EncodedCancelText(2808) field is specified and must immediately precede it.
2808EncodedCancelTextNEncoded (non-ASCII characters) representation of the CancelText(2807) field in the encoded format specified via the MessageEncoding(347) field.
715ClearingBusinessDateNThe business date of the request. This may carry the same date as the payment calculation date in PostTradePaymentCalculationDate(2825).
60TransactTimeY
58TextN
354EncodedTextLenNMust be set if EncodedText(355) field is specified and must immediately precede it.
355EncodedTextNEncoded (non-ASCII characters) representation of the Text(58) field in the encoded format specified via the MessageEncoding(347) field.
ComponentInstrumentNMay be included with minimal detail to identify the security or contract for which payments are to be made.
ComponentRelatedTradeGrpNMay be included to identify the trade(s) for which payments are to be made. Each instance identifies a separate trade.
ComponentPartiesNIdentifies the parties to the contracts or trades. The account to be debited or credited is identified in the PostTradePayment component.
ComponentPostTradePaymentY
ComponentSettlDetailsN
ComponentStandardTrailerY

PayManagementRequestAck Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgTyp=DZ
2812PayRequestIDY
2813PayRequestStatusYOnly PayRequestStuats(2813)=0 (Received) is applicable in this message.
ComponentStandardTrailerY

PayManagementReport Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType=EA
2799PayReportIDY
2812PayRequestIDNConditionally required when responding to PayManagementRequest(35=DY).
2804PayReportTransTypeY
2803PayReportRefIDNRequired for PayReportTransType(2804)=1 (Replace).
2805ReplaceTextNMay be used to provide reason for PayReportTransType(2804)=1 (Replace).
2802EncodedReplaceTextLenNMust be set if EncodedReplaceText(2801) field is specified and must immediately precede it.
2801EncodedReplaceTextNEncoded (non-ASCII characters) representation of the ReplaceText(2805) field in the encoded format specified via the MessageEncoding(347) field.
2813PayRequestStatusNPayRequestStatus(2813)=0 (Received) is not applicable in this message.
2800PayDisputeReasonNMay be used to provide reason for PayRequestStatus(2813)=3 (Disputed).
1328RejectTextNMay be used to elaborate the reason for rejection or dispute.
1664EncodedRejectTextLenNMust be set if EncodedRejectText(1665) field is specified and must immediately precede it.
1665EncodedRejectTextNEncoded (non-ASCII characters) representation of the RejectText(1328) field in the encoded format specified via the MessageEncoding(347) field.
715ClearingBusinessDateNEchos back the business date of the PayManagementRequest(35=DY) message if this report is responding to a request.
When the report is sent unsolicited, this is the business date of the report. This may carry the same date as the payment calculation date in PostTradePaymentCalculationDate(2825).
60TransactTimeY
58TextN
354EncodedTextLenNMust be set if EncodedText(355) field is specified and must immediately precede it.
355EncodedTextNEncoded (non-ASCII characters) representation of the Text(58) field in the encoded format specified via the MessageEncoding(347) field.
ComponentInstrumentNMay be included with minimal detail to identify the security or contract for which payments are to be made.
ComponentRelatedTradeGrpNMay be included to identify the trade(s) for which payments are to be made. Each instance identifies a separate trade.
ComponentPartiesNIdentifies the parties to the contracts or trades. The account to be debited or credited is identified in the PostTradePayment component.
ComponentPostTradePaymentY
ComponentSettlDetailsN
ComponentStandardTrailerY

PayManagementReportAck Message

TagNameReq’dDescription
ComponentStandardHeaderNMsgType=EB
2799PayReportIDY
2806PayReportStatusY
2800PayDisputeReasonNMay be used to provide reason for PayReportStatus(2806)=3 (Disputed).
1328RejectTextNMay be used to elaborate the reason for rejection or dispute.
1664EncodedRejectTextLenNMust be set if EncodedRejectText(1665) field is specified and must immediately precede it.
1665EncodedRejectTextNEncoded (non-ASCII characters) representation of the RejectText(1328) field in the encoded format specified via the MessageEncoding(347) field.
ComponentStandardTrailerY

Appendix – PositionMaintenance Category

Components

ExpirationQty

TagNameReq’dDescription
981NoExpirationN
→982ExpirationQtyTypeNRequired if NoExpiration > 1
→983ExpQtyN

PosUndInstrmtGrp

TagNameReq’dDescription
711NoUnderlyingsN
ComponentUnderlyingInstrumentNInsert here the set of Underlying Instrument (underlying symbology) fields defined in Common Components of Application Messages
Required if NoUnderlyings > 0
→732UnderlyingSettlPriceN
→733UnderlyingSettlPriceTypeNValues = Final, Theoretical
→1037UnderlyingDeliveryAmountN
ComponentUnderlyingAmountNInsert here the set of Underlying Amount fields defined in Common Components of Application Messages

PositionQty

TagNameReq’dDescription
702NoPositionsN
→703PosTypeNRequired if NoPositions > 1
→704LongQtyN
→705ShortQtyN
→1654CoveredQtyNShort quantity that is considered covered, e.g. used for short option position
→706PosQtyStatusN
→976QuantityDateNDate associated with the quantity being reported
→1836PosQtyUnitOfMeasureN
→1835PosQtyUnitOfMeasureCurrencyN
ComponentNestedPartiesNOptional repeating group – used to associate or distribute position to a specific party other than the party that currently owns the position.

UnderlyingAmount

TagNameReq’dDescription
984NoUnderlyingAmountsN
→985UnderlyingPayAmountNAmount to pay in order to receive the underlying instrument.
→986UnderlyingCollectAmountNAmount to collect in order to deliver the underlying instrument.
→987UnderlyingSettlementDateNDate the underlying instrument will settle. Used for derivatives that deliver into more than one underlying instrument. Settlement dates can vary across underlying instruments.
→988UnderlyingSettlementStatusNSettlement status of the underlying instrument. Used for derivatives that deliver into more than one underlying instrument. Settlement can be delayed for an underlying instrument.

Messages

PositionMaintenanceRequest Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType = AL
710PosReqIDNUnique identifier for the position maintenance request as assigned by the submitter. Conditionally required when used in a request/reply scenario (i.e. not required in batch scenario)
709PosTransTypeY
712PosMaintActionY
713OrigPosReqRefIDNReference to the PosReqID of a previous maintenance request that is being replaced or canceled.
714PosMaintRptRefIDNReference to a PosMaintRptID from a previous Position Maintenance Report that is being replaced or canceled.
715ClearingBusinessDateYThe Clearing Business Date referred to by this maintenance request
64SettlDateN
716SettlSessIDN
717SettlSessSubIDN
ComponentPartiesYThe Following PartyRoles can be specified:
ClearingOrganization
Clearing Firm
Position Account
1AccountN
660AcctIDSourceN
581AccountTypeNType of account associated with the order (Origin)
ComponentInstrumentY
15CurrencyN
ComponentInstrmtLegGrpNSpecifies the number of legs that make up the Security
ComponentRelatedInstrumentGrpN
ComponentUndInstrmtGrpNSpecifies the number of underlying legs that make up the Security
ComponentTrdgSesGrpNSpecifies the number of repeating TradingSessionIDs
60TransactTimeNTime this order request was initiated/released by the trader, trading system, or intermediary.
ComponentPositionQtyY
ComponentPositionAmountDataN
718AdjustmentTypeNType of adjustment to be applied, used for PCS & PAJ
Delta_plus, Delta_minus, Final, If Adjustment Type is null, the request will be processed as Margin Disposition
719ContraryInstructionIndicatorNBoolean – if Y then indicates you are requesting a position maintenance that acting
720PriorSpreadIndicatorNBoolean – Y indicates you are requesting rollover of prior day’s spread submissions
834ThresholdAmountN
58TextN
354EncodedTextLenNMust be set if EncodedText field is specified and must immediately precede it.
355EncodedTextNEncoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
120SettlCurrencyN
ComponentStandardTrailerY

PositionMaintenanceReport Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType = AM
721PosMaintRptIDYUnique identifier for this position report
709PosTransTypeY
2618PositionIDNUnique identifier for this position entity.
710PosReqIDNUnique identifier for the position maintenance request associated with this report
712PosMaintActionY
713OrigPosReqRefIDNReference to the PosReqID of a previous maintenance request that is being replaced or canceled.
722PosMaintStatusNStatus of PositionMaintenanceRequest. Condtionally required when responding to a PositionMaintenanceRequest.
723PosMaintResultN
715ClearingBusinessDateYThe Clearing Business Date covered by this request
2084PreviousClearingBusinessDateNThe business date previous to the clearing business date referred to by this maintenance request.
2085ValuationDateNValuation date of the position(s) in this report.
2086ValuationTimeNValuation time of the position(s) in this report.
2087ValuationBusinessCenterNBusiness center of ValuationDate(2085) and ValuationTime(2086). Single value only.
1592DiscountFactorNFor a forward position this is an appropriate value to discount the mark to market amount from the contract’s maturity date back to present value.
1328RejectTextN
1664EncodedRejectTextLenN
1665EncodedRejectTextN
716SettlSessIDN
717SettlSessSubIDN
1832ClearedIndicatorN
1833ContractRefPosTypeN
1834PositionCapacityN
2101TerminatedIndicatorN
979InputSourceN
ComponentPartiesNPosition Account
1AccountN
660AcctIDSourceN
581AccountTypeNType of account associated with the order (Origin)
714PosMaintRptRefIDNReference to a PosMaintRptID (Tag 721) from a previous Position Maintenance Report that is being replaced or canceled
ComponentInstrumentY
15CurrencyN
64SettlDateN
120SettlCurrencyN
719ContraryInstructionIndicatorNCan be set to true when a position maintenance request is being performed contrary to current money position, i.e. for an exercise of an out of the money position or an abandonement (do not exercise ) of an in the money position
720PriorSpreadIndicatorN
ComponentInstrmtLegGrpNSpecifies the number of legs that make up the Security
ComponentRelatedInstrumentGrpN
ComponentUndInstrmtGrpNSpecifies the number of underlying legs that make up the Security
ComponentTrdgSesGrpNSpecifies the number of repeating TradingSessionIDs
60TransactTimeNTime this order request was initiated/released by the trader, trading system, or intermediary. Conditionally required except when requests for reports are processed in batch, transaction time is not available, or when PosReqID is not present.
ComponentPositionQtyNConditionally required when PosMaintAction(712) = 1(New), 2(Replace) or 4(Reverse).
ComponentPositionAmountDataNInsert here here the set of Position Amount Data fields defined in Common Components of Application Messages
ComponentRegulatoryTradeIDGrpNThe source, value and relationship of multiple trade identifiers for the same trade, e.g. Unique Swap Identifiers.
ComponentPaymentGrpNAdditional payments or bullet payments.
718AdjustmentTypeNType of adjustment to be applied
Delta_plus, Delta_minus, Final. If Adjustment Type is null, the PCS request will be processed as Margin Disposition only
834ThresholdAmountN
ComponentRelatedTradeGrpN
58TextN
354EncodedTextLenNMust be set if EncodedText field is specified and must immediately precede it.
355EncodedTextNEncoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
ComponentStandardTrailerY

RequestForPositions Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType = AN
710PosReqIDYUnique identifier for the Request for Positions as assigned by the submitter
724PosReqTypeY
573MatchStatusN
263SubscriptionRequestTypeNUsed to subscribe / unsubscribe for trade capture reports
If the field is absent, the value 0 will be the default
120SettlCurrencyN
ComponentPartiesYPosition Account
1AccountN
660AcctIDSourceN
581AccountTypeNType of account associated with the order (Origin)
ComponentInstrumentN
15CurrencyN
ComponentInstrmtLegGrpNSpecifies the number of legs that make up the Security
ComponentUndInstrmtGrpNSpecifies the number of underlying legs that make up the Security
715ClearingBusinessDateYThe Clearing Business Date referred to by this request
64SettlDateN
716SettlSessIDN
717SettlSessSubIDN
ComponentTrdgSesGrpNSpecifies the number of repeating TradingSessionIDs
60TransactTimeYTime this order request was initiated/released by the trader, trading system, or intermediary.
725ResponseTransportTypeNAbility to specify whether the response to the request should be delivered inband or via pre-arranged out-of-band transport.
726ResponseDestinationNURI destination name. Used if ResponseTransportType is out-of-band.
58TextN
354EncodedTextLenNMust be set if EncodedText field is specified and must immediately precede it.
355EncodedTextNEncoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
ComponentStandardTrailerY

RequestForPositionsAck Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType = AO
721PosMaintRptIDYUnique identifier for this position report
710PosReqIDNUnique identifier for the Request for Position associated with this report
This field should not be provided if the report was sent unsolicited.
727TotalNumPosReportsNTotal number of Position Reports being returned
911TotNumReportsN
325UnsolicitedIndicatorNSet to ‘Y’ if message is sent as a result of a subscription request or out of band configuration as opposed to a Position Request.
728PosReqResultY
729PosReqStatusY
724PosReqTypeN
573MatchStatusN
715ClearingBusinessDateN
263SubscriptionRequestTypeN
716SettlSessIDN
717SettlSessSubIDN
120SettlCurrencyN
ComponentPartiesYPosition Account
1AccountN
660AcctIDSourceN
581AccountTypeNType of account associated with the order (Origin)
ComponentInstrumentN
15CurrencyN
ComponentInstrmtLegGrpNSpecifies the number of legs that make up the Security
ComponentUndInstrmtGrpNSpecifies the number of underlying legs that make up the Security
725ResponseTransportTypeNAbility to specify whether the response to the request should be delivered inband or via pre-arranged out-of-band transport.
726ResponseDestinationNURI destination name. Used if ResponseTransportType is out-of-band.
58TextN
354EncodedTextLenNMust be set if EncodedText field is specified and must immediately precede it.
355EncodedTextNEncoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
ComponentStandardTrailerY

PositionReport Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType = AP
ComponentApplicationSequenceControlN
721PosMaintRptIDYUnique identifier for this position report
2618PositionIDNUnique identifier for this position entity.
710PosReqIDNUnique identifier for the Request for Positions associated with this report
This field should not be provided if the report was sent unsolicited.
724PosReqTypeNWill be 7=Net Position if the report contains net position information for margin requirements.
2364PosReportActionN
1635MarginReqmtInqIDNUnique identifier for the inquiry associated with this report. This field should not be provided if the report was sent unsolicited.
263SubscriptionRequestTypeNUsed to subscribe / unsubscribe for trade capture reports
If the field is absent, the value 0 will be the default
727TotalNumPosReportsNTotal number of Position Reports being returned
911TotNumReportsN
912LastRptRequestedN
728PosReqResultNResult of a Request for Position
325UnsolicitedIndicatorNSet to ‘Y’ if message is sent as a result of a subscription request or out of band configuration as opposed to a Position Request.
1934RegulatoryReportTypeN
2869RegulatoryReportTypeBusinessDateNMay be used when the business event date differs from when the regulatory report is actually being submitted (typically specified in TrdRegTimestamps component).
ComponentTransactionAttributeGrpN
ComponentTrdRegTimestampsN
715ClearingBusinessDateYThe Clearing Business Date referred to by this maintenance request
2084PreviousClearingBusinessDateNThe business date previous to the clearing business date referred to by this maintenance request.
2870ClearingPortfolioIDN
716SettlSessIDN
717SettlSessSubIDN
423PriceTypeN
120SettlCurrencyN
1011MessageEventSourceNUsed to identify the event or source which gave rise to a message
1832ClearedIndicatorN
1833ContractRefPosTypeN
1834PositionCapacityN
2101TerminatedIndicatorN
2878TerminationDateN
2373IntraFirmTradeIndicatorN
1937TradeContinuationN
2374TradeContinuationTextN
2372EncodedTradeContinuationTextLenNMust be set if EncodedTradeContinuationText(2371) field is specified and must immediately precede it.
2371EncodedTradeContinuationTextNEncoded (non-ASCII characters) representation of the TradeContinuationText(2374) field in the encoded format specified via the MessageEncoding(347) field.
1936TradeCollateralizationN
ComponentPartiesYPosition Account
1AccountNAccount may also be specified through via Parties Block using Party Role 27 which signifies Account
660AcctIDSourceN
581AccountTypeNType of account associated with the order (Origin). Account may also be specified through via Parties Block using Party Role 27 which signifies Account
2375TaxonomyTypeN
ComponentInstrumentN
ComponentFinancingDetailsN
15CurrencyN
64SettlDateNPosition Settlement Date
730SettlPriceN
2366SettlPriceFxRateCalcNExpresses whether to multiply or divide SettlPrice(730) to arrive at the amount reported in PosAmt(708).
2365SettlForwardPointsN
1886SettlPriceUnitOfMeasureN
1887SettlPriceUnitOfMeasureCurrencyN
731SettlPriceTypeNValues = Final, Theoretical
734PriorSettlPriceN
1595PositionContingentPriceN
1592DiscountFactorNFor a forward position this is an appropriate value to discount the mark to market amount from the contract’s maturity date back to present value.
2085ValuationDateNValuation date of the position(s) in this report
2086ValuationTimeNValuation time of the position(s) in this report
2087ValuationBusinessCenterNBusiness center of ValuationDate(2085) and ValuationTime(2086). Single value only.
573MatchStatusNUsed to indicate if a Position Report is matched or unmatched
ComponentInstrmtLegGrpNSpecifies the number of legs that make up the Security
ComponentRelatedInstrumentGrpN
ComponentCollateralAmountGrpN
2868CollateralizationValueDateN
ComponentPosUndInstrmtGrpNSpecifies the number of underlying legs that make up the Security
60TransactTimeN
ComponentPositionQtyNInsert here the set of Position Qty fields defined in Common Components of Application Messages
ComponentPositionAmountDataNInsert here the set of Position Amount Data fields defined in Common Components of Application Messages
ComponentRegulatoryTradeIDGrpN
ComponentPaymentGrpN
506RegistStatusNRegNonRegInd
743DeliveryDateN
1434ModelTypeN
811PriceDeltaN
ComponentRelatedTradeGrpN
58TextN
354EncodedTextLenNMust be set if EncodedText field is specified and must immediately precede it.
355EncodedTextNEncoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
ComponentStandardTrailerY

AssignmentReport Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType = AW
ComponentApplicationSequenceControlN
833AsgnRptIDYUnique identifier for the Assignment report
710PosReqIDNIf specified,the identifier of the RequestForPositions(MsgType=AN) to which this message is sent in response.
832TotNumAssignmentReportsNTotal Number of Assignment Reports being returned to a firm
912LastRptRequestedN
ComponentPartiesYClearing Organization
Clearing Firm
Contra Clearing Organization
Contra Clearing Firm
Position Account
1AccountNCustomer Account
581AccountTypeNType of account associated with the order (Origin)
ComponentInstrumentNCFI Code – Market Indicator (col 4) used to indicate Market of Assignment
15CurrencyN
ComponentInstrmtLegGrpNNumber of legs that make up the Security
ComponentUndInstrmtGrpNNumber of legs that make up the Security
ComponentPositionQtyNInsert here here the set of Position Qty fields defined in Common Components of Application Messages
ComponentPositionAmountDataNInsert here here the set of Position Amount Data fields defined in Common Components of Application Messages
834ThresholdAmountN
730SettlPriceNSettlement Price of Option
731SettlPriceTypeNValues = Final, Theoretical
732UnderlyingSettlPriceNSettlement Price of Underlying
734PriorSettlPriceN
1595PositionContingentPriceN
432ExpireDateNExpiration Date of Option
744AssignmentMethodNMethod under which assignment was conducted
745AssignmentUnitNQuantity Increment used in performing assignment
746OpenInterestNOpen interest that was eligible for assignment
747ExerciseMethodNExercise Method used to in performing assignment
Values = Automatic, Manual
716SettlSessIDN
717SettlSessSubIDN
715ClearingBusinessDateYBusiness date of assignment
58TextN
354EncodedTextLenNMust be set if EncodedText field is specified and must immediately precede it.
355EncodedTextNEncoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
ComponentStandardTrailerY

AdjustedPositionReport Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType = BL
721PosMaintRptIDYUnique identifier for this Adjusted Position report
724PosReqTypeN
715ClearingBusinessDateYThe Clearing Business Date referred to by this maintenance request
716SettlSessIDN
714PosMaintRptRefIDN
ComponentPartiesYPosition Account
ComponentPositionQtyYInsert here here the set of Position Qty fields defined in Common Components of Application Messages
ComponentInstrmtGrpN
730SettlPriceNSettlement Price
734PriorSettlPriceNPrior Settlement Price
ComponentStandardTrailerY

ContraryIntentionReport Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType = BO
ComponentApplicationSequenceControlN
977ContIntRptIDYUnique identifier for the Contrary Intention report
60TransactTimeNTime the contrary intention was received by clearing organization.
978LateIndicatorNIndicates if the contrary intention was received after the exchange imposed cutoff time
979InputSourceNSource of the contrary intention
715ClearingBusinessDateYBusiness date of contrary intention
ComponentPartiesYClearing Organization
Clearing Firm
Position Account
ComponentExpirationQtyYExpiration Quantities
ComponentInstrumentY
ComponentUndInstrmtGrpN
58TextN
354EncodedTextLenNMust be set if EncodedText field is specified and must immediately precede it.
355EncodedTextNEncoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
ComponentStandardTrailerY

PositionTransferInstruction Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType = DL
2436TransferInstructionIDYSubmitting, cancelling, changing, accepting, and declining a transfer are all considered separate instructions, and each must have a unique ID. Chaining of firm generated IDs is not supported; TransferID(2437) assigned by the CCP must be used when sending an instruction referencing a previously submitted transfer.
2437TransferIDNConditionally required when responding to a PositionTransferReport(35=DN) message (e.g. when accepting or declining a transfer) or performing an action on a transfer (e.g. cancel or replace).
2439TransferTransTypeN
2440TransferTypeN
2441TransferScopeN
ComponentPartiesNSpecifies the source of the position transfer, e.g. the transferor.
ComponentTargetPartiesYSpecifies the target of the position transfer.
715ClearingBusinessDateNBusiness date the transfer would clear.
75TradeDateNTrade date associated with the position being transferred.
60TransactTimeN
ComponentInstrumentNIf not specified, indicates the transfer is for all instruments.
ComponentUndInstrmtGrpN
ComponentPositionQtyNPosition to transfer from the perspective of the source party prior to the transfer.
If not specified, indicates transfer of all positions for a specified instrument, if Instrument is specified, or transfer of all positions if Instrument is not specified.
1596ClearingTradePriceNPrice at which the position is transferred.
15CurrencyN
423PriceTypeN
ComponentPositionAmountDataNOptionally used to include cash residuals, etc., from the perspective of the source party prior to the transfer.
58TextN
354EncodedTextLenNMust be set if EncodedText(355) field is specified and must immediately precede it.
355EncodedTextNEncoded (non-ASCII characters) representation of the Text(58) field in the encoded format specified via the MessageEncoding(347) field.
ComponentStandardTrailerY

PositionTransferInstructionAck Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType=DM
2436TransferInstructionIDYThe identifier of the PositionTransferInstruction(35=DL) this message is responding to.
2437TransferIDNOptional when responding to a new transfer. When responding to a PositionTransferInstruction(35=DM) accepting, declining, or cancelling a transfer already initiated, this field can echo the TransferID(2437) sent.
2439TransferTransTypeN
2440TransferTypeN
2442TransferStatusN
2443TransferRejectReasonNConditionally required when TransferStatus(2442) = 1(Rejected by intermediary).
2441TransferScopeN
ComponentPartiesNSpecifies the source of the position transfer, e.g. the transferor.
ComponentTargetPartiesNSpecifies the target of the position transfer.
60TransactTimeN
1328RejectTextN
1664EncodedRejectTextLenNMust be set if EncodedRejectText(1665) field is specified and must immediately precede it.
1665EncodedRejectTextNEncoded (non-ASCII characters) representation of the RejectText(1328) field in the encoded format specified via the MessageEncoding(347) field.
58TextN
354EncodedTextLenNMust be set if EncodedText(355) field is specified and must immediately precede it.
355EncodedTextNEncoded (non-ASCII characters) representation of the Text(58) field in the encoded format specified via the MessageEncoding(347) field.
ComponentStandardTrailerY

PositionTransferReport Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType = DN
2436TransferInstructionIDNConditionally required when sent in response to a PositionTransferInstruction(35=DM).
2438TransferReportIDY
2437TransferIDY
2439TransferTransTypeY
2444TransferReportTypeY
2442TransferStatusY
2443TransferRejectReasonNConditionally required when TransferStatus(2422) = 1(Rejected by intermediary).
2441TransferScopeN
ComponentPartiesYSpecifies the source of the position transfer, e.g. the transferor.
ComponentTargetPartiesNSpecifies the target of the position transfer.
715ClearingBusinessDateNBusiness date the transfer would clear.
75TradeDateNTrade date associated with the position being transferred.
60TransactTimeN
ComponentInstrumentNIf not specified, indicates the transfer is for all instruments.
ComponentUndInstrmtGrpN
ComponentPositionQtyNPosition to transfer from the perspective of the source party prior to the transfer.
If not specified, indicates transfer of all positions for a specified instrument, if Instrument is specified, or transfer of all positions if Instrument is not specified.
1596ClearingTradePriceNPrice at which the position is transferred.
15CurrencyN
423PriceTypeN
ComponentPositionAmountDataNOptionally used to include cash residuals, etc., from the perspective of the source party prior to the transfer.
1328RejectTextN
1664EncodedRejectTextLenNMust be set if EncodedRejectText(1665) field is specified and must immediately precede it.
1665EncodedRejectTextNEncoded (non-ASCII characters) representation of the RejectText(1328) field in the encoded format specified via the MessageEncoding(347) field.
58TextN
354EncodedTextLenNMust be set if EncodedText(355) field is specified and must immediately precede it.
355EncodedTextNEncoded (non-ASCII characters) representation of the Text(58) field in the encoded format specified via the MessageEncoding(347) field.
ComponentStandardTrailerN

Appendix – RegistrationInstruction Category

Components

RgstDistInstGrp

TagNameReq’dDescription
510NoDistribInstsN
→477DistribPaymentMethodNMust be first field in the repeating group if NoDistribInsts > 0.
→512DistribPercentageN
→478CashDistribCurrN
→498CashDistribAgentNameN
→499CashDistribAgentCodeN
→500CashDistribAgentAcctNumberN
→501CashDistribPayRefN
→502CashDistribAgentAcctNameN

RgstDtlsGrp

TagNameReq’dDescription
473NoRegistDtlsN
→509RegistDtlsNMust be first field in the repeating group
→511RegistEmailN
→474MailingDtlsN
→482MailingInstN
ComponentNestedPartiesNInsert here the set of Nested Parties (firm identification nested within additional repeating group) fields defined in Common Components of Application Messages
Used for NestedPartyRole=InvestorID
→522OwnerTypeN
→486DateOfBirthN
→475InvestorCountryOfResidenceN

Messages

RegistrationInstructions Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType = o (lowercase O)
513RegistIDY
715ClearingBusinessDateN
514RegistTransTypeY
508RegistRefIDYRequired for Cancel and Replace RegistTransType messages
11ClOrdIDNUnique identifier of the order as assigned by institution or intermediary to which Registration relates
ComponentPartiesNInsert here the set of Parties (firm identification) fields defined in Common Components of Application Messages
1AccountN
660AcctIDSourceN
493RegistAcctTypeN
495TaxAdvantageTypeN
517OwnershipTypeN
ComponentRgstDtlsGrpNNumber of registration details in this message (number of repeating groups to follow)
ComponentRgstDistInstGrpNNumber of Distribution instructions in this message (number of repeating groups to follow)
ComponentStandardTrailerY

RegistrationInstructionsResponse Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType = p (lowercase P)
513RegistIDYUnique identifier of the original Registration Instructions details
514RegistTransTypeYIdentifies original Registration Instructions transaction type
508RegistRefIDYRequired for Cancel and Replace RegistTransType messages
11ClOrdIDNUnique identifier of the order as assigned by institution or intermediary.
ComponentPartiesNInsert here the set of Parties (firm identification) fields defined in Common Components of Application Messages
1AccountN
660AcctIDSourceN
506RegistStatusY
507RegistRejReasonCodeN
496RegistRejReasonTextN
ComponentStandardTrailerY

Appendix – SettlementInstruction Category

Components

SettlInstGrp

TagNameReq’dDescription
778NoSettlInstN
→162SettlInstIDNUnique ID for this settlement instruction.
Required except where SettlInstMode is 5=Reject SSI request
→163SettlInstTransTypeNNew, Replace, Cancel or Restate
Required except where SettlInstMode is 5=Reject SSI request
→214SettlInstRefIDNRequired where SettlInstTransType is Cancel or Replace
ComponentPartiesNInsert here the set of Parties (firm identification) fields defined in Common Components of Application Messages
Used here for settlement location.
Also used for executing broker for CIV settlement instructions
→54SideNCan be used for SettleInstMode 1 if SSIs are being provided for a particular side.
→460ProductNCan be used for SettleInstMode 1 if SSIs are being provided for a particular product.
→167SecurityTypeNCan be used for SettleInstMode 1 if SSIs are being provided for a particular security type (as alternative to CFICode).
→461CFICodeNCan be used for SettleInstMode 1 if SSIs are being provided for a particular security type (as identified by CFI code).
→120SettlCurrencyNCan be used for SettleInstMode 1 if SSIs are being provided for a particular settlement currency
→168EffectiveTimeNEffective (start) date/time for this settlement instruction.
Required except where SettlInstMode is 5=Reject SSI request
→126ExpireTimeNTermination date/time for this settlement instruction.
→779LastUpdateTimeNDate/time this settlement instruction was last updated (or created if not updated since creation).
Required except where SettlInstMode is 5=Reject SSI request
ComponentSettlInstructionsDataNInsert here the set of SettlInstructionsData fields defined in Common Components of Application Messages
→492PaymentMethodNFor use with CIV settlement instructions
→476PaymentRefNFor use with CIV settlement instructions
→488CardHolderNameNFor use with CIV settlement instructions
→489CardNumberNFor use with CIV settlement instructions
→503CardStartDateNFor use with CIV settlement instructions
→490CardExpDateNFor use with CIV settlement instructions
→491CardIssNumNFor use with CIV settlement instructions
→504PaymentDateNFor use with CIV settlement instructions
→505PaymentRemitterIDNFor use with CIV settlement instructions

SettlObligationInstructions

TagNameReq’dDescription
1165NoSettlObligN
→430NetGrossIndN
→1161SettlObligIDNUnique ID for this settlement instruction
→1162SettlObligTransTypeNNew, Replace, Cancel, or Restate
→1163SettlObligRefIDNRequired where SettlObligTransType(1162) is Cancel or Replace. The SettlObligID(1161) of the settlement obligation being canceled or replaced.
→1157CcyAmtNNet flow of currency 1
→119SettlCurrAmtNNet flow of currency 2
→15CurrencyNCurrency 1 in the stated currency pair, the dealt currency
→120SettlCurrencyNCurrency 2 in the stated currency pair, the contra currency
→155SettlCurrFxRateNDerived rate of Ccy2 per Ccy1 based on netting
→64SettlDateNValue Date
ComponentInstrumentNUsed to express the instrument in which settlement is taking place
ComponentPartiesN
→168EffectiveTimeNEffective (start) date/time for this settlement instruction
→126ExpireTimeNTermination date/time for this settlement instruction.
→779LastUpdateTimeNDate/time this settlement instruction was last updated (or created if not updated since creation).
ComponentSettlDetailsNConveys settlement account details reported as part of obligation

Messages

SettlementInstructionRequest Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType = AV
791SettlInstReqIDYUnique message ID
60TransactTimeYDate/Time this request message was generated
ComponentPartiesNInsert here the set of Parties (firm identification) fields defined in Common Components of Application Messages
Used here for party whose instructions this message is requesting and (optionally) for settlement location
Not required if database identifiers are being used to request settlement instructions. Required otherwise.
79AllocAccountNShould not be populated if StandInstDbType is populated
661AllocAcctIDSourceNRequired if AllocAccount populated
Should not be populated if StandInstDbType is populated
54SideNShould not be populated if StandInstDbType is populated
460ProductNShould not be populated if StandInstDbType is populated
167SecurityTypeNShould not be populated if StandInstDbType is populated
461CFICodeNShould not be populated if StandInstDbType is populated
120SettlCurrencyNShould not be populated if StandInstDbType is populated
168EffectiveTimeNShould not be populated if StandInstDbType is populated
126ExpireTimeNShould not be populated if StandInstDbType is populated
779LastUpdateTimeNShould not be populated if StandInstDbType is populated
169StandInstDbTypeNShould not be populated if any of AllocAccount through to LastUpdateTime are populated
170StandInstDbNameNShould not be populated if any of AllocAccount through to LastUpdateTime are populated
171StandInstDbIDNThe identifier of the standing instructions within the database specified in StandInstDbType
Required if StandInstDbType populated
Should not be populated if any of AllocAccount through to LastUpdateTime are populated
ComponentStandardTrailerY

SettlementObligationReport Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType = BQ
ComponentApplicationSequenceControlN
715ClearingBusinessDateN
1153SettlementCycleNoNSettlement cycle in which the settlement obligation was generated
1160SettlObligMsgIDYUnique identifier for this message
1159SettlObligModeYUsed to identify the reporting mode of the settlement obligation which is either preliminary or final
58TextNCan be used to provide any additional rejection text where rejecting a Settlement Instruction Request message.
354EncodedTextLenN
355EncodedTextN
60TransactTimeNTime when the Settlemnt Obligation Report was created.
ComponentSettlObligationInstructionsY
ComponentStandardTrailerY

SettlementInstructions Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType = T
777SettlInstMsgIDYUnique identifier for this message
791SettlInstReqIDNOnly used when this message is used to respond to a settlement instruction request (to which this ID refers)
160SettlInstModeY1=Standing Instructions, 2=Specific Allocation Account Overriding, 3=Specific Allocation Account Standing , 4=Specific Order, 5=Reject SSI request
792SettlInstReqRejCodeNRequired for SettlInstMode = 5. Used to provide reason for rejecting a Settlement Instruction Request message.
58TextNCan be used to provide any additional rejection text where rejecting a Settlement Instruction Request message.
354EncodedTextLenN
355EncodedTextN
11ClOrdIDNRequired for SettlInstMode(160) = 4 and when referring to orders that where electronically submitted over FIX or otherwise assigned a ClOrdID.
60TransactTimeYDate/time this message was generated
ComponentSettlInstGrpNRequired except where SettlInstMode is 5=Reject SSI request
ComponentStandardTrailerY

Appendix – TradeCapture Category

Components

AveragePriceDetail

TagNameReq’dDescription
2763AveragePriceTypeN
2764AveragePriceStartTimeNRequired if AveragePriceType(2763)=2 (Percent of volume average price) or 0 (Time weighted average price).
2765AveragePriceEndTimeNRequired if AveragePriceType(2763)=2 (Percent of volume average price) or 0 (Time weighted average price).

InstrmtMatchSideGrp

TagNameReq’dDescription
1889NoInstrmtMatchSidesN
ComponentInstrumentNRequired if NoInstrmtMatchSides(1889) > 0.
ComponentInstrmtLegGrpNLegID(1788) in the InstrmtLegGrp component can be used to reference individual leg executions referenced in the TrdInstrmtLegExecGrp component with LegRefID(654).
ComponentUndInstrmtGrpN
→1891TrdMatchSubIDN
→53QuantityNTotal quantity for this instrument in this match event. This is the cumulative sum of LastQty(32) for all match steps for this instrument.
→15CurrencyN
→120SettlCurrencyN
→854QtyTypeN
→32LastQtyNRequired if NoInstrmtMatchSides(1889) > 0.
Trade quantity for this instrument within this match step. The value is the greater of the sum of SideLastQty(1009) of each side (i.e. buy or sell) for each TrdMatchSideGrp instance within the current InstrmtMatchSideGrp instance.
→423PriceTypeN
→31LastPxNRequired if NoInstrmtMatchSides(1889) > 0.
→30LastMktN
ComponentTrdMatchSideGrpNRequired if NoInstrmtMatchSides(1889) > 0.

LegPositionAmountData

TagNameReq’dDescription
1586NoLegPosAmtN
→1587LegPosAmtNConditionally required if NoLegPosAmt > 0.
→1588LegPosAmtTypeN
→1589LegPosCurrencyN
→1590LegPosAmtReasonN

MandatoryClearingJurisdictionGrp

TagNameReq’dDescription
41312NoMandatoryClearingJurisdictionsN
→41313MandatoryClearingJurisdictionNRequired if NoNoMandatoryClearingJurisdictions(41312) > 0.

RelatedPositionGrp

TagNameReq’dDescription
1861NoRelatedPositionsN
→1862RelatedPositionIDNRequired if NoRelatedPositions(1861) > 0.
→1863RelatedPositionIDSourceN
→1864RelatedPositionDateN

SideCollateralAmountGrp

TagNameReq’dDescription
2691NoSideCollateralAmountsN
→2702SideCurrentCollateralAmountNRequired if NoSideCollateralAmounts(2691) > 0.
→2695SideCollateralCurrencyNCan be used to specify the currency of SideCollateralAmount(2702) if Currency(15) is not specified or is not the same.
→2694SideCollateralAmountTypeN
→2696SideCollateralFXRateN
→2697SideCollateralFXRateCalcN
→2701SideCollateralTypeN
→2693SideCollateralAmountMarketSegmentIDN
→2692SideCollateralAmountMarketIDN
→2703SideHaircutIndicatorN
→2700SideCollateralPortfolioIDN
→2699SideCollateralPercentOverageN
→2698SideCollateralMarketPriceN
→2862SideCollateralReinvestmentRateNWhen multiple instances of the SideCollateralReinvestmentGrp component are present this field specifies the average reinvestment rate.
ComponentSideCollateralReinvestmentGrpN
→2863SideUnderlyingRefIDNMay be used to indicate that this entry applies to the underlying collateral instrument being referenced by the value in UnderlyingID(2874).

SideCollateralReinvestmentGrp

TagNameReq’dDescription
2864NoSideCollateralReinvestmentsN
→2867SideCollateralReinvestmentTypeNRequired if NoSideCollateralReinvestments(2864) > 0.
→2865SideCollateralReinvestmentAmountN
→2866SideCollateralReinvestmentCurrencyN

SideRegulatoryTradeIDGrp

TagNameReq’dDescription
1971NoSideRegulatoryTradeIDsN
→1972SideRegulatoryTradeIDNRequired if NoSideRegulatoryTradeIDs(1971) > 0.
→1973SideRegulatoryTradeIDSourceN
→1974SideRegulatoryTradeIDEventN
→1975SideRegulatoryTradeIDTypeN
→2416SideRegulatoryLegRefIDNThis field may be is used for multi-leg trades sent as a single message to indicate that the entry applies only to a specific leg.
→2398SideRegulatoryTradeIDScopeN

SideTrdRegTS

TagNameReq’dDescription
1016NoSideTrdRegTSN
→1012SideTrdRegTimestampN
→1013SideTrdRegTimestampTypeN
→1014SideTrdRegTimestampSrcN

TradeCapLegUnderlyingsGrp (deprecated)

TagNameReq’dDescription
1342NoOfLegUnderlyingsN
ComponentUnderlyingLegInstrumentNThis component is deprecated. The use of UnderlyingInstrument together with RelatedInstrumentGrp is recommended instead.

TradePositionQty

TagNameReq’dDescription
702NoPositionsN
→703PosTypeNRequired if NoPositions > 0.
→704LongQtyN
→705ShortQtyN
→1654CoveredQtyN
→706PosQtyStatusN
→976QuantityDateN

TradeQtyGrp

TagNameReq’dDescription
1841NoTradeQtysN
→1842TradeQtyTypeNRequired if NoTradeQty(1841) > 0.
→1843TradeQtyNRequired if NoTradeQty(1841) > 0.

TradeReportOrderDetail

TagNameReq’dDescription
37OrderIDN
198SecondaryOrderIDN
11ClOrdIDNIn the case of quotes can be mapped to QuoteMsgID(1166) of a single Quote(MsgType=S) or QuoteID(117) of a MassQuote(MsgType=i).
526SecondaryClOrdIDNIn the case of quotes can be mapped to QuoteID(117) of a single Quote(MsgType=S) or QuoteEntryID(299) of a MassQuote(MsgType=i).
66ListIDN
1080RefOrderIDNSome hosts assign an order a new order id under special circumstances. The RefOrdID field will connect the same underlying order across changing OrderIDs.
1081RefOrderIDSourceN
1431RefOrdIDReasonNThe reason for updating the RefOrdID
1091PreTradeAnonymityN
40OrdTypeNOrder type from the order associated with the trade
44PriceNOrder price at time of trade
99StopPxNStop/Limit order price
18ExecInstNExecution Instruction from the order associated with the trade
39OrdStatusNStatus of order as of this trade report
ComponentOrderQtyDataNOrder quantity at time of trade
151LeavesQtyN
14CumQtyN
59TimeInForceN
126ExpireTimeNThe order expiration date/time in UTC
ComponentMatchingInstructionsN
2362SelfMatchPreventionIDNMay be used as an alternative to MatchingInstructions when the identifier does not appear in another field.
1629ExposureDurationNThe (minimum or suggested) period of time a quoted price is to be tradable before it becomes indicative. (i.e. quoted price becomes off-the-wire).
1916ExposureDurationUnitN
ComponentDisplayInstructionN
528OrderCapacityN
529OrderRestrictionsN
775BookingTypeN
1432OrigCustOrderCapacityN
1724OrderOriginationN
ComponentOrderAttributeGrpN
2704ExDestinationTypeN
821OrderInputDeviceN
1093LotTypeN
483TransBkdTimeN
586OrigOrdModTimeN
2766OrderPercentOfTotalVolumeN

TrdAllocGrp

TagNameReq’dDescription
78NoAllocsN
→79AllocAccountNRequired if NoAllocs(78) > 0.
→661AllocAcctIDSourceN
→736AllocSettlCurrencyN
→467IndividualAllocIDN
→1593ParentAllocIDN
→2727AllocLegRefIDNThe field may not be used in any message where there are no legs.
ComponentAllocRegulatoryTradeIDGrpN
→1729FirmMnemonicN
ComponentNestedParties2N
→209AllocHandlInstN
→80AllocQtyN
→2515AllocCalculatedCcyQtyN
→1752CustodialLotIDNOnly used for specific lot trades.
→1753VersusPurchaseDateNOnly used for specific lot trades. If this field is used, either VersusPurchasePrice(1754) or CurrentCostBasis(1755) should be specified.
→1754VersusPurchasePriceNOnly used for specific lot trades. If this field is used, VersusPurchaseDate(1753) should be specified.
→1755CurrentCostBasisNOnly used for specific lot trades. If this field is used, VersusPurchaseDate(1753) should be specified
→993AllocCustomerCapacityNCan be used for granular reporting of separate allocation detail within a single trade report or allocation message.
→1002AllocMethodN
→989SecondaryIndividualAllocIDN
→1136AllocClearingFeeIndicatorN
ComponentTradeAllocAmtGrpN
→1840TradeAllocStatusN
→1735AllocationRollupInstructionN
→161AllocTextN
→360EncodedAllocTextLenN
→361EncodedAllocTextN
→1732FirmAllocTextN
→1733EncodedFirmAllocTextLenN
→1734EncodedFirmAllocTextN
→2392AllocRefRiskLimitCheckIDN
→2393AllocRefRiskLimitCheckIDTypeN
ComponentAllocCommissionDataGrpN

TrdCapDtGrp

TagNameReq’dDescription
580NoDatesN
→75TradeDateNUsed when reporting other than current day trades.
Conditionally required if NoDates > 0
→779LastUpdateTimeN
→60TransactTimeNTo request trades for a specific time.

TrdCapRptAckSideGrp

TagNameReq’dDescription
552NoSidesN
→54SideYRequired when NoSides(552) > 0.
→1427SideExecIDN
→1506SideTradeIDN
→1507SideOrigTradeIDN
→1428OrderDelayN
→1429OrderDelayUnitN
ComponentPartiesN
→1AccountN
→660AcctIDSourceN
→581AccountTypeN
ComponentLimitAmtsNInsert here the set of LimitAmts field defined in Common Components
→81ProcessCodeN
→575OddLotN
ComponentClrInstGrpN
→2671SideTradeReportingIndicatorN
→578TradeInputSourceN
→579TradeInputDeviceN
→376ComplianceIDN
→2404ComplianceTextN
→2351EncodedComplianceTextLenNMust be set if EncodedComplianceText(2352) field is specified and must immediately precede it.
→2352EncodedComplianceTextNEncoded (non-ASCII characters) representation of the ComplianceText(2404) field in the encoded format specified via the MessageEncoding(347) field.
→377SolicitedFlagN
→582CustOrderCapacityN
→336TradingSessionIDN
→625TradingSessionSubIDN
→943TimeBracketN
→430NetGrossIndN
→1154SideCurrencyN
→1155SideSettlCurrencyN
ComponentCommissionDataN
ComponentCommissionDataGrpNUse as an alternative to CommissionData if multiple commissions or enhanced attributes are needed.
→157NumDaysInterestN
→230ExDateN
→158AccruedInterestRateN
→159AccruedInterestAmtN
→738InterestAtMaturityN
→920EndAccruedInterestAmtN
→921StartCashN
→922EndCashN
→238ConcessionN
→237TotalTakedownN
→118NetMoneyN
→119SettlCurrAmtN
→155SettlCurrFxRateN
→156SettlCurrFxRateCalcN
→77PositionEffectN
→752SideMultiLegReportingTypeN
ComponentContAmtGrpN
ComponentStipulationsN
ComponentMiscFeesGrpN
→825ExchangeRuleN
ComponentSettlDetailsNConveys settlement account details reported as part of obligation.
→826TradeAllocIndicatorN
→1730AllocGroupIDN
→2771PreviousAllocGroupIDNIdentifies the previous AllocGroupID(1730) being changed when AllocGroupStatus(2767)=3 (Changed).
→2759GroupAmountN
→2767AllocGroupStatusN
→1853SideAvgPxIndicatorN
→1854SideAvgPxGroupIDN
→1852SideAvgPxN
→591PreallocMethodN
→70AllocIDN
ComponentTrdAllocGrpN
→1072SideGrossTradeAmtN
→1057AggressorIndicatorN
→1009SideLastQtyN
→1005SideTradeReportIDN
→1006SideFillStationCdN
→1007SideReasonCdN
→83RptSeqN
→1008SideTrdSubTypN
→1115OrderCategoryN
→1851StrategyLinkIDN
ComponentTradeReportOrderDetailNDetails of the order associated with this side of the trade.
ComponentSideTrdRegTSN
→1031CustOrderHandlingInstN
→1032OrderHandlingInstSourceN
ComponentRelatedTradeGrpN
ComponentRelatedPositionGrpN
→2344SideRiskLimitCheckStatusN

TrdCapRptSideGrp

TagNameReq’dDescription
552NoSidesN
→54SideYRequired when NoSides(552) > 0.
→2102ShortMarkingExemptIndicatorN
→1427SideExecIDN
→1428OrderDelayN
→1429OrderDelayUnitN
→1009SideLastQtyN
→1597SideClearingTradePriceNUsed to indicate a side specific alternate clearing price.
→1599SidePriceDifferentialNUsed to indicate the Price Differential between the first and second leg of a complex instrument.
→1598SideClearingTradePriceTypeNUsed to indicate whether the trade is clearing using execution price (LastPx) or alternate clearing price (ClrTrdPx)
→1005SideTradeReportIDN
→1506SideTradeIDN
→1507SideOrigTradeIDN
→1006SideFillStationCdN
→1007SideReasonCdN
→83RptSeqN
→1008SideTrdSubTypN
→430NetGrossIndN
→1154SideCurrencyN
→1155SideSettlCurrencyN
ComponentPartiesN
ComponentPartyDetailGrpNPartyDetailID(1619) must reference an existing entry in Parties component or a previous entry in RelatedPartyDetailGrp. The instance must have the same role as the referenced entry. The embedded RelatedPartyDetailID(1563) should introduce a new party identifier not previously reported.
→1AccountNRequired for executions against electronically submitted orders which were assigned an account by the institution or intermediary.
→660AcctIDSourceN
→581AccountTypeN
→522OwnerTypeN
ComponentLimitAmtsNInsert here the set of LimitAmts fields defined in Common Components
→81ProcessCodeNUsed to specify Step-out trades.
→575OddLotN
ComponentClrInstGrpN
ComponentSideRegulatoryTradeIDGrpN
→2671SideTradeReportingIndicatorNMay be used to bilaterally inform counterparty of trade reporting status for this side of the trade.
→2418FirmTradeEventIDN
→578TradeInputSourceN
→579TradeInputDeviceN
→376ComplianceIDN
→2404ComplianceTextN
→2351EncodedComplianceTextLenNMust be set if EncodedComplianceText(2352) field is specified and must immediately precede it.
→2352EncodedComplianceTextNEncoded (non-ASCII characters) representation of the ComplianceText(2404) field in the encoded format specified via the MessageEncoding(347) field.
→377SolicitedFlagN
→582CustOrderCapacityNThe customer capacity for this trade
→336TradingSessionIDNUsually the same for all sides of a trade, if reported only on the first side the same TradingSessionID(336) then applies to all sides of the trade.
→625TradingSessionSubIDNUsually the same for all sides of a trade, if reported only on the first side the same TradingSessionSubID(625) then applies to all sides of the trade.
→943TimeBracketN
→2356RemunerationIndicatorN
ComponentCommissionDataN
ComponentCommissionDataGrpNUse as an alternative to CommissionData if multiple commissions or enhanced attributes are needed.
→157NumDaysInterestN
→230ExDateN
→158AccruedInterestRateN
→159AccruedInterestAmtN
→738InterestAtMaturityN
→920EndAccruedInterestAmtNFor repurchase agreements the accrued interest on termination.
→921StartCashNFor repurchase agreements the start (dirty) cash consideration.
→922EndCashNFor repurchase agreements the end (dirty) cash consideration.
→238ConcessionN
→237TotalTakedownN
→118NetMoneyNValue expressed in the currency reflected by the Currency(15) field.
→119SettlCurrAmtN
→155SettlCurrFxRateN
→156SettlCurrFxRateCalcN
→77PositionEffectNCan be used for derivatives omnibus accounting.
→58TextNCan be used by the executing market to record any execution details that are particular to that market.
→354EncodedTextLenNMust be set if EncodedText field is specified and must immediately precede it.
→355EncodedTextN
→752SideMultiLegReportingTypeNCan be used to support the scenario where a single leg instrument trades against an individual leg of a multileg instrument.
ComponentContAmtGrpN
ComponentStipulationsN
ComponentMiscFeesGrpN
→825ExchangeRuleN
→826TradeAllocIndicatorN
→1848TradeAllocGroupInstructionN
→1730AllocGroupIDN
→2771PreviousAllocGroupIDNIdentifies the previous AllocGroupID(1730) being changed by this message when AllocGroupStatus(2767)=3 (Changed).
→2759GroupAmountN
→2767AllocGroupStatusN
→1853SideAvgPxIndicatorN
→1854SideAvgPxGroupIDN
→1852SideAvgPxN
→591PreallocMethodN
→70AllocIDNUsed to assign an ID to the block of preallocations.
ComponentTrdAllocGrpN
ComponentSideTrdRegTSN
ComponentSettlDetailsNConveys settlement account details reported as part of obligation.
→1072SideGrossTradeAmtN
→1057AggressorIndicatorN
→1139ExchangeSpecialInstructionsN
→1690SideShortSaleExemptionReasonNOptional when Side (54) = 6 (Sell short exempt)
→1115OrderCategoryN
→1444SideLiquidityIndN
→1851StrategyLinkIDN
ComponentTradeReportOrderDetailNOrder details for the order associated with this side of the trade.
→1031CustOrderHandlingInstN
→1032OrderHandlingInstSourceN
ComponentTradePositionQtyN
ComponentRelatedTradeGrpN
ComponentRelatedPositionGrpN
→1980BlockTrdAllocIndicatorN
→2344SideRiskLimitCheckStatusN
→29LastCapacityNIn the context of regulatory trade reporting, this specifies the trading capacity of the reporting party.
→2334RefRiskLimitCheckIDN
→2335RefRiskLimitCheckIDTypeN
→2361CompressionGroupIDN
ComponentSideCollateralAmountGrpN

TrdInstrmtLegExecGrp

TagNameReq’dDescription
1892NoLegExecsN
→654LegRefIDNRequired if NoLegExecs(1892) > 0.
→1893LegExecIDN
→1901LegExecRefIDN
→1894LegTradeIDN
→1895LegTradeReportIDN
→685LegOrderQtyN
→564LegPositionEffectNCan be used to specify the position effect for the leg if it is different from the position effect of the overall multileg security.
→565LegCoveredOrUncoveredNCan be used to specify whether the option is a cover, if it is different from the overall multileg security.
ComponentNestedParties3N
→637LegLastPxN
→686LegPriceTypeN
→675LegSettlCurrencyN
→1689LegShortSaleExemptionReasonN
→1418LegLastQtyN
→1591LegQtyTypeN

TrdInstrmtLegGrp

TagNameReq’dDescription
555NoLegsN
ComponentInstrumentLegNRequired if NoLegs(555) > 0.
ComponentLegFinancingDetailsN
ComponentLegPositionAmountDataN
→685LegOrderQtyNQuantity ordered for this leg as provided during order entry.
→687LegQtyNThe LegQty(687) field is deprecated. The use of LegOrderQty(685) is recommended instead.
→2346LegMidPxN
→690LegSwapTypeNInstead of LegOrderQty(685) requests that the sellside calculate LegOrderQty(685) based on opposite Leg.
→990LegReportIDNAdditional attribute to store the trade or trade report identifier of the leg.
→1152LegNumberNAllow sequencing of legs for a strategy to be captured.
ComponentLegStipulationsN
→2680LegAccountN
→1817LegClearingAccountTypeNProvide if different from the value specified for the overall multileg security in ClearingAccountType(1816) in the Instrument component.
→564LegPositionEffectNProvide if different from the value specified for the overall multileg security in PositionEffect(77) in the Instrument component.
→565LegCoveredOrUncoveredNProvide if different from the value specified for the overall multileg security in CoveredOrUncovered(203) in the Instrument component.
ComponentNestedPartiesN
→654LegRefIDNUse of LegRefID(654) in this component is deprecated. Recommend the use of LegID(1788) in the InstrumentLeg component.
→587LegSettlTypeN
→588LegSettlDateNTakes precedence over a calculated LegSettlType(587) when specified regardless of LegSettlType(587) value.
Conditionally required when LegSettlType(587) = B(Broken date).
→637LegLastPxNUsed to report the execution price assigned to the leg of the multileg instrument.
→686LegPriceTypeNIndicates the price type provided with each leg of a multi-leg trade
→675LegSettlCurrencyN
→1073LegLastForwardPointsN
→1074LegCalculatedCcyLastQtyN
→1075LegGrossTradeAmtNFor FX Futures can be used to express the notional value of a trade when LegLastQty(1418) and other quantity fields are expressed in terms of number of contracts – LegContractMultiplier(231) is required in this case.
→1689LegShortSaleExemptionReasonNAvailable for optional use when LegSide(624) = 6 (Sell short exempt) in InstrumentLeg component.
→1379LegVolatilityN
→1381LegDividendYieldN
→1383LegCurrencyRatioN
→1384LegExecInstN
→1418LegLastQtyNQuantity executed for this leg.
→1591LegQtyTypeNLeg quantity type to be specified at the leg level. Can be different for each leg.
→2358LegLastMultipliedQtyN
→2357LegTotalTradeQtyN
→2360LegTotalTradeMultipliedQtyN
→2359LegTotalGrossTradeAmtN
ComponentTradeCapLegUnderlyingsGrpNThis component is deprecated. The use of RelatedInstrumentGrp is recommended instead.
→2492LegDifferentialPriceN

TrdMatchSideGrp

TagNameReq’dDescription
1890NoTrdMatchSidesN
→54SideNRequired if NoTrdMatchSides(1890) > 0.
→1427SideExecIDN
→1900SideExecRefIDN
→1506SideTradeIDN
→1005SideTradeReportIDN
→1428OrderDelayN
→1429OrderDelayUnitN
→1009SideLastQtyNRequired if NoTrdMatchSides(1890) > 0.
Used to indicate the matched quantity for this trade side as a result of the match event.
→1597SideClearingTradePriceN
→1599SidePriceDifferentialN
→1598SideClearingTradePriceTypeN
→1006SideFillStationCdN
→1007SideReasonCdN
→1008SideTrdSubTypN
→430NetGrossIndN
→1154SideCurrencyN
→1155SideSettlCurrencyN
ComponentPartiesNRequired if NoTrdMatchSides(1890) > 0.
→578TradeInputSourceN
→579TradeInputDeviceN
→376ComplianceIDN
→2404ComplianceTextN
→2351EncodedComplianceTextLenNMust be set if EncodedComplianceText(2352) field is specified and must immediately precede it.
→2352EncodedComplianceTextNEncoded (non-ASCII characters) representation of the ComplianceText(2404) field in the encoded format specified via the MessageEncoding(347) field.
→377SolicitedFlagN
→582CustOrderCapacityN
→943TimeBracketN
→77PositionEffectNFor use in derivatives omnibus accounting.
→825ExchangeRuleN
→826TradeAllocIndicatorN
→591PreallocMethodN
→70AllocIDN
ComponentTrdAllocGrpN
→1072SideGrossTradeAmtN
→1057AggressorIndicatorN
→1139ExchangeSpecialInstructionsN
→1690SideShortSaleExemptionReasonN
→1115OrderCategoryN
→819AvgPxIndicatorN
→1731AvgPxGroupIDN
→1898SideMarketSegmentIDNCan be used if the match event results in matches across different market segments for this side.
→1899SideVenueTypeNCan be used if the match event results in matches across different venue types for this side.
→635ClearingFeeIndicatorN
ComponentTradeReportOrderDetailN
ComponentTrdInstrmtLegExecGrpN
→1031CustOrderHandlingInstN
→1032OrderHandlingInstSourceN
→58TextNCan be used to include text included in the order submission.
→354EncodedTextLenN
→355EncodedTextN

TrdRepIndicatorsGrp

TagNameReq’dDescription
1387NoTrdRepIndicatorsN
→1388TrdRepPartyRoleN
→1389TrdRepIndicatorN

UnderlyingLegInstrument (deprecated)

TagNameReq’dDescription
1330UnderlyingLegSymbolN
1331UnderlyingLegSymbolSfxN
1332UnderlyingLegSecurityIDN
1333UnderlyingLegSecurityIDSourceN
ComponentUnderlyingLegSecurityAltIDGrpN
1344UnderlyingLegCFICodeN
1337UnderlyingLegSecurityTypeN
1338UnderlyingLegSecuritySubTypeN
1339UnderlyingLegMaturityMonthYearN
1345UnderlyingLegMaturityDateN
1405UnderlyingLegMaturityTimeN
1340UnderlyingLegStrikePriceN
1391UnderlyingLegOptAttributeN
1343UnderlyingLegPutOrCallN
1341UnderlyingLegSecurityExchangeN
1392UnderlyingLegSecurityDescN

UnderlyingLegSecurityAltIDGrp (deprecated)

TagNameReq’dDescription
1334NoUnderlyingLegSecurityAltIDN
→1335UnderlyingLegSecurityAltIDN
→1336UnderlyingLegSecurityAltIDSourceN

Messages

TradeCaptureReportRequest Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType = AD
568TradeRequestIDYUnique identifier for the trade request.
1003TradeIDN
1040SecondaryTradeIDN
1041FirmTradeIDN
1042SecondaryFirmTradeIDN
569TradeRequestTypeY
263SubscriptionRequestTypeNIf the field is absent, SubscriptionRequestType(263)=0(Snapshot) will be the default.
571TradeReportIDNCan be used to request a specific trade report.
818SecondaryTradeReportIDNTo request a specific trade report
527SecondaryExecIDNTo request all trades based on secondary execution identifier
17ExecIDN
150ExecTypeNCan be used to request all trades of a specific execution type.
37OrderIDN
11ClOrdIDN
573MatchStatusN
828TrdTypeNCan be used to request all trades of a specific trade type.
829TrdSubTypeNCan be used to request all trades of a specific trade sub type.
1849OffsetInstructionN
1123TradeHandlingInstrN
830TransferReasonNCan be used to request all trades for a specific transfer reason.
855SecondaryTrdTypeNCan be used to request all trades of a specific secondary trade type.
820TradeLinkIDNCan be used to request all trades of a specific trade link identifier.
880TrdMatchIDNCan be used to request a trade matching a specific TrdMatchID(880).
ComponentPartiesNUsed 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
ComponentInstrumentN
ComponentInstrumentExtensionN
ComponentFinancingDetailsN
ComponentUndInstrmtGrpN
ComponentInstrmtLegGrpN
ComponentTrdCapDtGrpNNumber of date ranges provided (must be 1 or 2 if specified)
715ClearingBusinessDateNCan be used to request trades for a specific clearing business date.
336TradingSessionIDNCan be used to request trades for a specific trading session.
625TradingSessionSubIDNCan be used to request trades for a specific trading session.
943TimeBracketNCan be used to request trades within a specific time bracket.
54SideNCan be used to request trades for a specific side of a trade.
442MultiLegReportingTypeNUsed to indicate if trades are to be returned for the individual legs of a multileg instrument or for the overall instrument.
578TradeInputSourceNCan be used to requests trades that were submitted from a specific trade input source.
579TradeInputDeviceNCan be used to request trades that were submitted from a specific trade input device.
725ResponseTransportTypeN
726ResponseDestinationN
58TextNUsed to match specific values within Text(58) fields.
354EncodedTextLenN
355EncodedTextN
1011MessageEventSourceN
ComponentStandardTrailerY

TradeCaptureReport Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType = AE
ComponentApplicationSequenceControlN
571TradeReportIDNTradeReportID(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.
1003TradeIDN
1040SecondaryTradeIDN
1041FirmTradeIDN
1042SecondaryFirmTradeIDN
2489PackageIDN
2490TradeNumberN
487TradeReportTransTypeN
856TradeReportTypeN
939TrdRptStatusNStatus 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.
568TradeRequestIDNIdentifier for the trade capture report request associated with this trade capture report.
828TrdTypeN
829TrdSubTypeN
855SecondaryTrdTypeN
2667AlgorithmicTradeIndicatorN
1849OffsetInstructionN
ComponentTradePriceConditionGrpN
1123TradeHandlingInstrN
1124OrigTradeHandlingInstrN
1125OrigTradeDateN
1126OrigTradeIDN
1127OrigSecondaryTradeIDN
830TransferReasonN
150ExecTypeNType of execution being reported. Uses subset of ExecType(150) for trade capture reports.
748TotNumTradeReportsN
912LastRptRequestedN
325UnsolicitedIndicatorNSet to ‘Y’ if message is sent as a result of a subscription request or out of band configuration.
263SubscriptionRequestTypeNIf the field is absent, SubscriptionRequestType(263)=0(Snapshot) will be the default.
572TradeReportRefIDNThe TradeReportID(571) that is being referenced for trade correction or cancelation.
881SecondaryTradeReportRefIDN
818SecondaryTradeReportIDN
820TradeLinkIDN
880TrdMatchIDN
17ExecIDNMarket (exchange) assigned execution identifier.
527SecondaryExecIDN
378ExecRestatementReasonN
2347RegulatoryTransactionTypeN
ComponentRegulatoryTradeIDGrpN
570PreviouslyReportedN
423PriceTypeNCan be used to indicate cabinet trade pricing.
ComponentPriceQualifierGrpN
549CrossTypeN
ComponentRootPartiesNUsed for acting parties that applies to the whole message, not individual legs, sides, etc.
1015AsOfIndicatorN
716SettlSessIDN
717SettlSessSubIDN
1430VenueTypeN
1300MarketSegmentIDN
1301MarketIDN
2375TaxonomyTypeN
ComponentInstrumentY
ComponentInstrumentExtensionN
ComponentFinancingDetailsN
ComponentPaymentGrpN
854QtyTypeN
ComponentYieldDataN
ComponentUndInstrmtGrpN
ComponentRelatedInstrumentGrpN
ComponentCollateralAmountGrpN
2868CollateralizationValueDateN
ComponentRateSourceN
ComponentTransactionAttributeGrpN
822UnderlyingTradingSessionIDN
823UnderlyingTradingSessionSubIDN
32LastQtyNConditionally required except when reporting trades to parties who will derive trade level quantity from the leg level information for multi-legged trades
1828LastQtyVarianceN
2301LastQtyChangedN
2368LastMultipliedQtyN
2367TotalTradeQtyN
2370TotalTradeMultipliedQtyN
31LastPxNConditionally required except when reporting trades to parties who will derive trade level price from the leg level information for multi-legged trades
631MidPxN
1522DifferentialPriceNUsed to specify the differential price when reporting the individual leg of a spread trade.
1056CalculatedCcyLastQtyN
2762PriceMarkupNDealer’s markup of market price to LastPx(31).
ComponentAveragePriceDetailN
15CurrencyNPrimary currency of the specified currency pair. Used to qualify LastQty(32) and GrossTradeAmout(381).
120SettlCurrencyNContra currency of the deal. Used to qualify CalculatedCcyLastQty(1056).
2366SettlPriceFxRateCalcNFor FX trades expresses whether to multiply or divide LastPx(31) to arrive at GrossTradeAmt(381).
669LastParPxN
194LastSpotRateNApplicable for F/X orders
195LastForwardPointsNApplicable for F/X orders
1071LastSwapPointsN
2349PricePrecisionN
30LastMktN
1596ClearingTradePriceNUsed when clearing price differs from execution price.
1740TradePriceNegotiationMethodN
1743LastUpfrontPriceNUpfront 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).
1741UpfrontPriceTypeN
75TradeDateNUsed when reporting other than current day trades.
715ClearingBusinessDateN
2870ClearingPortfolioIDN
6AvgPxNIf used then the LastPx(31) will contain the original price on the execution.
ComponentSpreadOrBenchmarkCurveDataN
1731AvgPxGroupIDN
819AvgPxIndicatorN
2085ValuationDateN
2086ValuationTimeN
2087ValuationBusinessCenterN
ComponentPositionAmountDataN
442MultiLegReportingTypeNType of report if multileg instrument.
Provided to support a scenario for trades of multileg instruments between two parties.
824TradeLegRefIDNReference to the leg of a multileg instrument to which this trade refers. Used when MultiLegReportingType(442) = 2 (Individual leg of a multileg security).
ComponentTrdInstrmtLegGrpNIdentifies a multileg execution if present and non-zero.
60TransactTimeNTime the transaction represented by when this TradeCaptureReport(35=AE) occurred. Execution time of trade. Also describes the time of block trades.
ComponentTrdRegTimestampsN
63SettlTypeN
64SettlDateNTakes precedence over SettlType(63) value and conditionally required/omitted for specific SettlType(63) values.
2878TerminationDateN
987UnderlyingSettlementDateNThe settlement date for the underlying instrument of a derivatives security.
573MatchStatusN
2405ExecMethodN
574MatchTypeN
ComponentTradeQtyGrpN
ComponentTrdCapRptSideGrpY
1188VolatilityN
1189TimeToExpirationN
1380DividendYieldN
1190RiskFreeRateN
811PriceDeltaN
1382CurrencyRatioN
797CopyMsgIndicatorN
ComponentTrdRepIndicatorsGrpN
852PublishTrdIndicatorN
1390TradePublishIndicatorN
ComponentTrdRegPublicationGrpN
853ShortSaleReasonN
994TierCodeNIndicates the algorithm (tier) used to match a trade.
1011MessageEventSourceN
779LastUpdateTimeNUsed to indicate reports after a specific time.
991RndPxNSpecifies the rounded price to quoted precision.
1132TZTransactTimeN
1134ReportedPxDiffN
381GrossTradeAmtN(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.
2369TotalGrossTradeAmtN
751TradeReportRejectReasonNIndicates the reason that a trade report was rejected.
1328RejectTextN
1664EncodedRejectTextLenN
1665EncodedRejectTextN
1329FeeMultiplierN
1832ClearedIndicatorN
1924ClearingIntentionN
1925TradeClearingInstructionN
1926BackloadedTradeIndicatorN
1927ConfirmationMethodN
1928MandatoryClearingIndicatorN
ComponentMandatoryClearingJurisdictionGrpN
1929MixedSwapIndicatorN
2527MultiAssetSwapIndicatorN
2526InternationalSwapIndicatorN
1930OffMarketPriceIndicatorN
1931VerificationMethodN
1932ClearingRequirementExceptionN
1933IRSDirectionN
1934RegulatoryReportTypeN
2869RegulatoryReportTypeBusinessDateNMay be used when the business event date differs from when the regulatory report is actually being submitted (typically specified in TrdRegTimestamps component).
1935VoluntaryRegulatoryReportN
1936TradeCollateralizationN
1937TradeContinuationN
2387TradeContingencyN
2302TradeVersionN
2303HistoricalReportIndicatorN
2596DeltaCrossedN
2374TradeContinuationTextN
2372EncodedTradeContinuationTextLenNMust be set if EncodedTradeContinuationText(2371) field is specified and must immediately precede it.
2371EncodedTradeContinuationTextNEncoded (non-ASCII characters) representation of the TradeContinuationText(2374) field in the encoded format specified via the MessageEncoding(347) field.
2373IntraFirmTradeIndicatorN
2525AffiliatedFirmsTradeIndicatorN
ComponentAttachmentGrpN
2343RiskLimitCheckStatusN
ComponentStandardTrailerY

TradeCaptureReportRequestAck Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType = AQ
568TradeRequestIDYIdentifier for the trade request
1003TradeIDN
1040SecondaryTradeIDN
1041FirmTradeIDN
1042SecondaryFirmTradeIDN
569TradeRequestTypeY
263SubscriptionRequestTypeNUsed to subscribe / unsubscribe for trade capture reports
If the field is absent, the value 0 will be the default
748TotNumTradeReportsNNumber of trade reports returned
749TradeRequestResultYResult of Trade Request
750TradeRequestStatusYStatus of Trade Request
ComponentInstrumentNInsert here the set of Instrument (symbology) fields defined in Common Components of Application Messages
ComponentInstrumentExtensionN
ComponentUndInstrmtGrpN
ComponentInstrmtLegGrpNNumber of legs
NoLegs > 0 identifies a Multi-leg Execution
442MultiLegReportingTypeNSpecify type of multileg reporting to be returned.
725ResponseTransportTypeNAbility to specify whether the response to the request should be delivered inband or via pre-arranged out-of-band transport.
726ResponseDestinationNURI destination name. Used if ResponseTransportType is out-of-band.
58TextNMay be used by the executing market to record any execution Details that are particular to that market
354EncodedTextLenNMust be set if EncodedText field is specified and must immediately precede it.
355EncodedTextNEncoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
1011MessageEventSourceNUsed to identify the event or source which gave rise to a message
ComponentStandardTrailerY

TradeCaptureReportAck Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType = AR
571TradeReportIDN
1003TradeIDN
1040SecondaryTradeIDN
1041FirmTradeIDN
1042SecondaryFirmTradeIDN
487TradeReportTransTypeN
856TradeReportTypeNIndicates action to take on trade.
828TrdTypeN
829TrdSubTypeN
855SecondaryTrdTypeN
1849OffsetInstructionN
1123TradeHandlingInstrN
1124OrigTradeHandlingInstrN
1125OrigTradeDateN
1126OrigTradeIDN
1127OrigSecondaryTradeIDN
830TransferReasonN
ComponentRootPartiesN
150ExecTypeNType of execution being reported. Uses subset of ExecType(150) for trade capture reports.
572TradeReportRefIDNThe TradeReportID(571) that is being referenced for trade correction or cancelation.
881SecondaryTradeReportRefIDNThe SecondaryTradeReportID that is being referenced for some action, such as correction or cancellation
939TrdRptStatusNStatus of trade report.
1523TrdAckStatusN
751TradeReportRejectReasonN
1328RejectTextNReason description for rejecting the TradeCaptureReport(35=AE).
1664EncodedRejectTextLenNMust be set if EncodedRejectText(1665) field is specified and must immediately precede it.
1665EncodedRejectTextNEncoded (non-ASCII characters) representation of the RejectText(1328) field in the encoded format specified via the MessageEncoding(347) field.
818SecondaryTradeReportIDN
263SubscriptionRequestTypeNIf the field is absent, SubscriptionRequestType(263)=0(Snapshot) will be the default.
820TradeLinkIDN
880TrdMatchIDN
17ExecIDNExchanged assigned execution identifier (trade identifier).
527SecondaryExecIDN
378ExecRestatementReasonN
570PreviouslyReportedN
423PriceTypeN
ComponentPriceQualifierGrpN
549CrossTypeN
822UnderlyingTradingSessionIDN
823UnderlyingTradingSessionSubIDN
716SettlSessIDN
717SettlSessSubIDN
854QtyTypeN
32LastQtyN
31LastPxN
1430VenueTypeN
1300MarketSegmentIDN
1301MarketIDN
ComponentInstrumentY
ComponentInstrumentExtensionN
ComponentFinancingDetailsN
669LastParPxN
1056CalculatedCcyLastQtyN
1071LastSwapPointsN
2762PriceMarkupNDealer’s markup of market price to LastPx(31).
ComponentAveragePriceDetailN
15CurrencyNPrimary currency of the specified currency pair. Used to qualify LastQty(32) and GrossTradeAmout(381).
120SettlCurrencyNContra currency of the deal. Used to qualify CalculatedCcyLastQty(1056).
194LastSpotRateN
195LastForwardPointsN
30LastMktN
75TradeDateN
715ClearingBusinessDateN
6AvgPxN
1731AvgPxGroupIDN
819AvgPxIndicatorN
442MultiLegReportingTypeN
824TradeLegRefIDN
60TransactTimeNTime this message was issued by matching system, trading system or counterparty.
63SettlTypeN
ComponentUndInstrmtGrpN
573MatchStatusN
574MatchTypeN
797CopyMsgIndicatorN
ComponentTrdRepIndicatorsGrpN
852PublishTrdIndicatorN
1390TradePublishIndicatorN
853ShortSaleReasonN
ComponentTrdInstrmtLegGrpN
ComponentTrdRegTimestampsN
725ResponseTransportTypeN
726ResponseDestinationN
58TextN
354EncodedTextLenNMust be set if EncodedText(355) field is specified and must immediately precede it.
355EncodedTextN
1015AsOfIndicatorN
635ClearingFeeIndicatorN
ComponentPositionAmountDataN
994TierCodeNIndicates the algorithm (tier) used to match a trade.
1011MessageEventSourceN
779LastUpdateTimeNUsed to indicate reports after a specific time.
991RndPxNSpecifies the rounded price to quoted precision.
ComponentTradeQtyGrpN
ComponentTrdCapRptAckSideGrpN
1135RptSysN
381GrossTradeAmtN(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.
64SettlDateN
1329FeeMultiplierN
2343RiskLimitCheckStatusN
ComponentStandardTrailerY

TradeMatchReport Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType=DC
ComponentApplicationSequenceControlN
880TrdMatchIDYUnique identifier common for all trades included in a match event.
574MatchTypeN
856TradeReportTypeN
715ClearingBusinessDateN
828TrdTypeN
829TrdSubTypeN
75TradeDateNUsed when reporting other than current day trades.
1301MarketIDN
1300MarketSegmentIDN
336TradingSessionIDN
625TradingSessionSubIDN
1430VenueTypeN
1888TradeMatchTimestampN
60TransactTimeNTime of the match event or transaction that resulted in this match report.
442MultiLegReportingTypeNDifferentiates match events involving complex instruments (MultiLegReportingType(442)=3(multileg security)) from those only involving simple instruments (MultiLegReportingType(442)=1(single security)). MultiLegReportingType(442)=2(individual leg of multileg security) should not be used.
ComponentInstrmtMatchSideGrpNConditionally required when TradeReportType(856) = Submit(0).
ComponentStandardTrailerY

TradeMatchReportAck Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType=DD
ComponentApplicationSequenceControlN
880TrdMatchIDYIdentifier of the TradeMatchReport(35=DC) being acknowledged.
1896TradeMatchAckStatusY
1897TradeMatchRejectReasonNConditionally required when TradeMatchAckStatus(1896) = Rejected(2).
1328RejectTextN
1664EncodedRejectTextLenN
1665EncodedRejectTextN
58TextN
354EncodedTextLenN
355EncodedTextN
ComponentStandardTrailerY

Appendix – TradeManagement Category

Components

ExecutionAggregationGrp

TagNameReq’dDescription
124NoExecsN
→32LastQtyNRequired if NoExecs(124) > 0
→17ExecIDNEither ExecID(17) or TradeID(1003) must be specified.
→1003TradeIDNEither ExecID(17) or TradeID(1003) must be specified.
→31LastPxN

OrderAggregationGrp

TagNameReq’dDescription
73NoOrdersN
→11ClOrdIDNRequired if NoOrders(73) > 0.
→37OrderIDN
→38OrderQtyNRequired if NoOrders(73) > 0.
→799OrderAvgPxN
→2836OrderTimeN
→2835OrderOriginationFirmIDNMay be used when aggregating orders that were originally submitted by different firms, e.g. due to a merger or acquisition.

Messages

TradeAggregationRequest Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType=DW
2786TradeAggregationRequestIDYUnique identifier for the message.
2787TradeAggregationRequestRefIDNRequired when TradeAggregationTransType(2788)=1 (Cancel) or 2 (Replace)
2788TradeAggregationTransTypeY
2789AggregatedQtyN
15CurrencyN
6AvgPxN
54SideY
2349PricePrecisionN
ComponentOrderAggregationGrpNMaybe used to specify the IDs of the orders being aggregated together.
ComponentExecutionAggregationGrpNMaybe used to specify the IDs of the execution fills being aggregated together.
1AccountN
ComponentInstrumentY
ComponentPartiesN
ComponentStandardTrailerY

TradeAggregationReport Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType=DX
2792TradeAggregationReportIDYUnique identifier for the report message.
2786TradeAggregationRequestIDNUnique identifier for the TradeAggregationRequest(35=DW) message being responded to.
2790TradeAggregationRequestStatusY
1003TradeIDNConditionally required when TradeAggregationRequestStatus(2790)=0 (Accepted).
The trade identifier for the group of aggregated trades.
2791TradeAggregationRejectReasonN
2789AggregatedQtyNConditionally required when TradeAggregationRequestStatus(2790)=0 (Accepted).
6AvgPxN
2793AvgSpotRateN
2794AvgForwardPointsN
64SettlDateN
ComponentInstrumentNConditionally required when TradeAggregationRequestStatus(2790)=0 (Accepted).
54SideNConditionally required when TradeAggregationRequestStatus(2790)=0 (Accepted).
1328RejectTextN
1664EncodedRejectTextLenNMust be set if EncodedRejectText(1665) field is specified and must immediately precede it.
1665EncodedRejectTextNEncoded (non-ASCII characters) representation of the RejectText(1328) field in the encoded format specified via the MessageEncoding(347) field.
ComponentStandardTrailerY

Appendix – Common Category

Components

AllocCommissionDataGrp

TagNameReq’dDescription
2653NoAllocCommissionsN
→2654AllocCommissionAmountNRequired if NoAllocCommissions(2653) > 0.
If the commission is based on a percentage of trade quantity or a factor of unit of measure, AllocCommissionRate(2660) and AllocCommissionUnitOfMeasure(2658) may also be specified as appropriate.
→2655AllocCommissionAmountTypeNRequired if NoAllocCommissions(2653) > 0.
→2726AllocCommissionAmountSubTypeN
→2656AllocCommissionBasisNRequired if NoAllocCommissions(2653) > 0.
→2657AllocCommissionCurrencyN
→2658AllocCommissionUnitOfMeasureN
→2659AllocCommissionUnitOfMeasureCurrencyN
→2660AllocCommissionRateN
→2661AllocCommissionSharedIndicatorN
→2662AllocCommissionAmountSharedNIf specified, AllocCommissionSharedIndicator(2661) must be set to Y.
→2663AllocCommissionLegRefIDNThis field may be used for multi-leg trades sent as a single message to indicate that the entry applies only to a specific leg.
→2664AllocCommissionDescN
→2665EncodedAllocCommissionDescLenNMust be set if EncodedAllocCommissionDesc(2666) is specified and must immediately precede it.
→2666EncodedAllocCommissionDescNEncoded (non-ASCII characters) representation of the AllocCommissionDesc(2664) field in the encoded format specified via the MessageEncoding(347) field.

AllocRegulatoryTradeIDGrp

TagNameReq’dDescription
1908NoAllocRegulatoryTradeIDsN
→1909AllocRegulatoryTradeIDNRequired if NoAllocRegulatoryTradeIDs(1908) > 0.
→1910AllocRegulatoryTradeIDSourceN
→1911AllocRegulatoryTradeIDEventN
→1912AllocRegulatoryTradeIDTypeN
→2406AllocRegulatoryLegRefIDNThis field may be is used for multi-leg trades sent as a single message to indicate that the entry applies only to a specific leg.
→2399AllocRegulatoryTradeIDScopeN

ClrInstGrp

TagNameReq’dDescription
576NoClearingInstructionsN
→577ClearingInstructionNRequired if NoClearingInstructions > 0

CollateralAmountGrp

TagNameReq’dDescription
1703NoCollateralAmountsN
→1704CurrentCollateralAmountNRequired if NoCollateralAmounts(1703) > 0.
→1705CollateralCurrencyNCan be used to specify the currency of CollateralAmount(1704) if Currency(15) is not specified or is not the same.
→2632CollateralAmountTypeN
→2090CollateralFXRateN
→2091CollateralFXRateCalcN
→1706CollateralTypeN
→2092CollateralAmountMarketSegmentIDN
→2093CollateralAmountMarketIDN
→1902HaircutIndicatorN
→2350CollateralPortfolioIDN
→2690CollateralPercentOverageN
→2689CollateralMarketPriceN
→2840CollateralReinvestmentRateNMay be used to specify the average reinvestment rate when there are multiple instances of the CollateralReinvestmentGrp.
ComponentCollateralReinvestmentGrpN
→2841UnderlyingRefIDNMay be used to indicate that this entry applies to the underlying collateral instrument being referenced by the value in UnderlyingID(2874).

CollateralReinvestmentGrp

TagNameReq’dDescription
2845NoCollateralReinvestmentsN
→2844CollateralReinvestmentTypeNRequired if NoCollateralReinvestments(2845) > 0.
→2842CollateralReinvestmentAmountN
→2843CollateralReinvestmentCurrencyN

DlvyInstGrp

TagNameReq’dDescription
85NoDlvyInstN
→165SettlInstSourceN
→787DlvyInstTypeN
ComponentSettlPartiesN

ExecAllocGrp

TagNameReq’dDescription
124NoExecsN
→32LastQtyNAmount of quantity (e.g. number of shares) in individual execution. Required if NoExecs > 0
→17ExecIDN
→527SecondaryExecIDN
→31LastPxNPrice of individual execution. Required if NoExecs > 0.
For FX, if specified, expressed in terms of Currency(15).
→669LastParPxNLast price expressed in percent-of-par. Conditionally required for Fixed Income trades when LastPx is expressed in Yield, Spread, Discount or any other price type
→29LastCapacityNUsed to identify whether the trade was executed on an agency or principal basis.
→1003TradeIDN
→1041FirmTradeIDN
→2749ExecutionTimestampN
→2524TradeReportingIndicatorN
ComponentTrdRegPublicationGrpN
ComponentTradePriceConditionGrpN

MarginAmount

TagNameReq’dDescription
1643NoMarginAmtN
→1645MarginAmtN
→1644MarginAmtTypeNTotal margin requirement if not provided
→1646MarginAmtCcyNCan be used to specify the base settlement currency if Currency(15) is not specified.
→2088MarginAmtFXRateN
→2089MarginAmtFXRateCalcN
→1714MarginAmountMarketSegmentIDN
→1715MarginAmountMarketIDN
→2851MarginDirectionN

OrdAllocGrp

TagNameReq’dDescription
73NoOrdersN
→11ClOrdIDNOrder identifier assigned by client if order(s) were electronically delivered over FIX (or otherwise assigned a ClOrdID) and executed. If order(s) were manually delivered (or otherwise not delivered over FIX) this field should contain string MANUAL. Note where an order has undergone one or more cancel/replaces, this should be the ClOrdID of the most recent version of the order.
Required when NoOrders(73) > 0 and must be the first repeating field in the group.
→37OrderIDN
→198SecondaryOrderIDNCan be used to provide order id used by exchange or executing system.
→526SecondaryClOrdIDN
→66ListIDNRequired for List Orders.
ComponentNestedParties2NInsert here the set of NestedParties2 fields defined in Common Components of Application Messages
This is used to identify the executing broker for step in/give in trades
→38OrderQtyN
→799OrderAvgPxNAverage price for this order.
For FX, if specified, expressed in terms of Currency(15).
→800OrderBookingQtyNQuantity of this order that is being booked out by this message (will be equal to or less than this order’s OrderQty)
Note that the sum of the OrderBookingQty values in this repeating group must equal the total quantity being allocated (in Quantity (53) field)
→40OrdTypeN

PositionAmountData

TagNameReq’dDescription
753NoPosAmtN
→707PosAmtTypeN
→708PosAmtN
→2096PosAmtStreamDescNUsed when the PosAmt(708) value corresponds to a specific stream in of a swap.
→1055PositionCurrencyN
→2097PositionFXRateN
→2098PositionFXRateCalcN
→1585PosAmtReasonN
→2099PosAmtMarketSegmentIDN
→2100PosAmtMarketIDN
→2876PosAmtPriceN
→2877PosAmtPriceTypeN

SettlDetails

TagNameReq’dDescription
1158NoSettlDetailsN
→1164SettlObligSourceNIndicates the Source of the Settlement Instructions
→169StandInstDbTypeN
→170StandInstDbNameN
→171StandInstDbIDN
ComponentSettlPartiesNCarries settlement account information

SettlInstructionsData

TagNameReq’dDescription
172SettlDeliveryTypeNRequired if AllocSettlInstType = 1 or 2
169StandInstDbTypeNRequired if AllocSettlInstType = 3 (should not be populated otherwise)
170StandInstDbNameNRequired if AllocSettlInstType = 3 (should not be populated otherwise)
171StandInstDbIDNIdentifier used within the StandInstDbType
Required if AllocSettlInstType = 3 (should not be populated otherwise)
ComponentDlvyInstGrpNRequired (and must be > 0) if AllocSettlInstType = 2 (should not be populated otherwise)

SettlParties

TagNameReq’dDescription
781NoSettlPartyIDsN
→782SettlPartyIDNUsed to identify source of SettlPartyID. Required if SettlPartyIDSource is specified. Required if NoSettlPartyIDs > 0.
→783SettlPartyIDSourceNUsed to identify class source of SettlPartyID value (e.g. BIC). Required if SettlPartyID is specified. Required if NoSettlPartyIDs > 0.
→784SettlPartyRoleNIdentifies the type of SettlPartyID (e.g. Executing Broker). Required if NoSettlPartyIDs > 0.
→2389SettlPartyRoleQualifierN
ComponentSettlPtysSubGrpNRepeating group of SettlParty sub-identifiers.

SettlPtysSubGrp

TagNameReq’dDescription
801NoSettlPartySubIDsN
→785SettlPartySubIDN
→786SettlPartySubIDTypeN

TradeAllocAmtGrp

TagNameReq’dDescription
1844NoTradeAllocAmtsN
→1845TradeAllocAmtTypeNRequired if NoTradeAllocAmts(1844) > 0.
→1846TradeAllocAmtNRequired if NoTradeAllocAmts(1844) > 0.
→1847TradeAllocCurrencyN
→1850TradeAllocAmtReasonN

TransactionAttributeGrp

TagNameReq’dDescription
2871NoTransactionAttributesN
→2872TransactionAttributeTypeNRequired if NoTransactionAttributes(2871) > 0.
→2873TransactionAttributeValueN