Appendix – Allocation Category

Components

AllocAckGrp

TagNameReq’dDescription
78NoAllocsN
→79AllocAccountNRequired if NoAllocs > 0. Must be first field in repeating group.
→661AllocAcctIDSourceN
→366AllocPriceNUsed when performing executed price vs. average price allocations (e.g. Japan). AllocAccount plus AllocPrice form a unique Allocs entry. Used in lieu of AllocAvgPx.
→1047AllocPositionEffectN
→467IndividualAllocIDN
→776IndividualAllocRejCodeNRequired if NoAllocs > 0.
ComponentNestedPartiesN
→161AllocTextNFree format text field related to this AllocAccount (can be used here to hold text relating to the rejection of 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.
→989SecondaryIndividualAllocIDNWill allow the intermediary to specify an allocation ID generated by the system
→993AllocCustomerCapacityNWill allow for granular reporting of separate allocation detail within a single trade report or allocation message.
→992IndividualAllocTypeNIdentifies whether the allocation is to be sub-allocated or allocated to a third party.
→80AllocQtyNQuantity to be allocated to specific sub-account

AllocGrp

TagNameReq’dDescription
78NoAllocsN
→79AllocAccountNMay be the same value as BrokerOfCredit if ProcessCode is step-out or soft-dollar step-out and Institution does not wish to disclose individual account breakdowns to the ExecBroker. Required if NoAllocs > 0. Must be first field in repeating group.
Conditionally required except when for AllocTransType=Cancel, or when AllocType= Ready-To-Book or Warehouse instruction.
→661AllocAcctIDSourceN
→573MatchStatusN
→366AllocPriceNUsed when performing executed price vs. average price allocations (e.g. Japan). AllocAccount plus AllocPrice form a unique Allocs entry. Used in lieu of AllocAvgPx.
→80AllocQtyNConditionally required except when for AllocTransType=Cancel, or when AllocType= Ready-To-Book or Warehouse instruction.
→467IndividualAllocIDN
→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.
→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.
ComponentCommissionDataNInsert here the set of CommissionData fields defined in Common Components of Application Messages
→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
→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.

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

Messages

AllocationReport Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType = AS
755AllocReportIDYUnique identifier for this message
70AllocIDN
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)
794AllocReportTypeYSpecifies the purpose or type of Allocation Report message
87AllocStatusY
88AllocRejCodeNRequired for AllocStatus = 1 (rejected)
72RefAllocIDNRequired for AllocTransType = Replace or Cancel
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.
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.
857AllocNoOrdersTypeNIndicates how the orders being booked and allocated by this message are identified, i.e. by explicit definition in the NoOrders group or not.
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 repeating group entries to follow. Absence of this field indicates that no individual execution 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
30LastMktNMarket of the executions.
229TradeOriginationDateN
336TradingSessionIDN
625TradingSessionSubIDN
423PriceTypeN
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
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
ComponentRateSourceN
ComponentStandardTrailerY

AllocationReportAck Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType = AT
755AllocReportIDY
70AllocIDN
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
ComponentPartiesNInsert here the set of Parties (firm identification) fields defined in Common Components of Application Messages
793SecondaryAllocIDNOptional second identifier for the allocation report being acknowledged (need not be unique)
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.
460ProductN
167SecurityTypeN
58TextNCan include explanation for AllocRejCode = 7 (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.
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
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.
466BookingRefIDNCan be used with AllocType= Ready-To-Book
857AllocNoOrdersTypeNIndicates how the orders being booked and allocated by this message are identified, i.e. by explicit definition in the NoOrders group or not.
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 repeating group entries to follow. Absence of this field indicates that no individual execution 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
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
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
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.
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.
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.
ComponentStandardTrailerY

AllocationInstruction Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType = J
70AllocIDYUnique identifier for this allocation instruction 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.
466BookingRefIDNCan be used with AllocType= Ready-To-Book
857AllocNoOrdersTypeNIndicates how the orders being booked and allocated by this message are identified, i.e. by explicit definition in the NoOrders group or not.
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 repeating group entries to follow. Absence of this field indicates that no individual execution 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
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
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 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
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
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.
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.
ComponentRateSourceN
ComponentStandardTrailerY

AllocationInstructionAck Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType = P
70AllocIDY
ComponentPartiesNInsert here the set of Parties (firm identification) fields defined in Common Components of Application Messages
793SecondaryAllocIDNOptional second identifier for the allocation instruction being acknowledged (need not be unique)
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.
460ProductN
167SecurityTypeN
58TextNCan include explanation for AllocRejCode = 7 (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.
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

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
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
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
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

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
906CollAsgnRejectReasonNReason Colllateral Assignment was rejected
60TransactTimeY
1043CollApplTypeN
291FinancialStatusNTells whether security has been restricted.
715ClearingBusinessDateN
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
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
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

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
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
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
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

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

Appendix – Confirmation Category

Components

CpctyConfGrp

TagNameReq’dDescription
862NoCapacitiesN
→528OrderCapacityYSpecifies the capacity of the firm executing the order(s)
→529OrderRestrictionsN
→863OrderCapacityQtyYThe quantity that was executed under this capacity (e.g. quantity executed as agent, as principal etc.). Sum of OrderCapacityQty values must equal this message’s AllocQty.

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
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
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
75TradeDateY
ComponentTrdRegTimestampsNTime of last execution being confirmed by this message
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
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.
381GrossTradeAmtYAllocQty(80) * AvgPx(6)
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)
ComponentStipulationsN
ComponentMiscFeesGrpNRequired if any miscellaneous fees are reported.
ComponentStandardTrailerY

ConfirmationAck Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType = AU
664ConfirmIDY
75TradeDateY
60TransactTimeYDate/Time Allocation Instruction Ack generated
940AffirmStatusY
774ConfirmRejReasonNRequired for ConfirmStatus = 1 (rejected)
573MatchStatusNDenotes whether the financial details provided on the Confirmation were successfully matched.
58TextNCan include explanation for AllocRejCode = 7 (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 – 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
→706PosQtyStatusN
→976QuantityDateNDate associated with the quantity being reported
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
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
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
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.
722PosMaintStatusYStatus of Position Maintenance Request
723PosMaintResultN
715ClearingBusinessDateYThe Clearing Business Date covered by this request
716SettlSessIDN
717SettlSessSubIDN
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
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
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.
ComponentPositionQtyYSee definition for Position Quantity in the Proposed Component Block section above
ComponentPositionAmountDataNInsert here here the set of Position Amount Data fields defined in Common Components of Application Messages
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
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
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
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
710PosReqIDNUnique identifier for the Request for Positions associated with this report
This field should not be provided if the report was sent unsolicited.
724PosReqTypeN
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
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.
715ClearingBusinessDateYThe Clearing Business Date referred to by this maintenance request
716SettlSessIDN
717SettlSessSubIDN
423PriceTypeN
120SettlCurrencyN
1011MessageEventSourceNUsed to identify the event or source which gave rise to a message
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
ComponentInstrumentN
15CurrencyN
730SettlPriceN
731SettlPriceTypeNValues = Final, Theoretical
734PriorSettlPriceN
573MatchStatusNUsed to indicate if a Position Report is matched or unmatched
ComponentInstrmtLegGrpNSpecifies the number of legs that make up the Security
ComponentPosUndInstrmtGrpNSpecifies the number of underlying legs that make up the Security
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
506RegistStatusNRegNonRegInd
743DeliveryDateN
1434ModelTypeN
811PriceDeltaN
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
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

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
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

SideTrdRegTS

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

TradeCapLegUnderlyingsGrp

TagNameReq’dDescription
1342NoOfLegUnderlyingsN
ComponentUnderlyingLegInstrumentN

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
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
ComponentDisplayInstructionN
528OrderCapacityN
529OrderRestrictionsN
775BookingTypeN
1432OrigCustOrderCapacityN
821OrderInputDeviceN
1093LotTypeN
483TransBkdTimeN
586OrigOrdModTimeN

TrdAllocGrp

TagNameReq’dDescription
78NoAllocsN
→79AllocAccountNRequired if NoAllocs > 0. Must be first field in repeating group.
→661AllocAcctIDSourceN
→736AllocSettlCurrencyN
→467IndividualAllocIDN
ComponentNestedParties2NInsert here the set of NestedParties2 (firm identification nested within additional repeating group) fields defined in Common Components of Application Messages
→80AllocQtyN
→993AllocCustomerCapacityNCan be used for granular reporting of separate allocation detail within a single trade report or allocation message.
→1002AllocMethodNSpecifies the method under which a trade quantity was allocated.
→989SecondaryIndividualAllocIDNProvides support for an intermediary assigned allocation ID
→1136AllocClearingFeeIndicatorN

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
→54SideY
→1427SideExecIDNThis refers to the ExecID of the execution being reported. Used in trade reporting models that utilize different execution IDs for each side of the trade. This is used when reporting a trade with two or more sides.
→1428OrderDelayN
→1429OrderDelayUnitNUsed in conjunction with OrderDelay to specify the time unit being expressed. Default is seconds if not specified.
ComponentPartiesNInsert here here the set of Parties fields defined in Common Components of Application Messages
→1AccountN
→660AcctIDSourceN
→581AccountTypeN
→81ProcessCodeN
→575OddLotN
ComponentClrInstGrpN
→578TradeInputSourceN
→579TradeInputDeviceN
→376ComplianceIDN
→377SolicitedFlagN
→582CustOrderCapacityN
→336TradingSessionIDNGenerally the same for all sides of a trade, if reported only on the first side the same TradingSessionID will apply to all sides of the trade
→625TradingSessionSubIDNGenerally the same for all sides of a trade, if reported only on the first side the same TradingSessionSubID will apply to all sides of the trade.
→943TimeBracketN
→430NetGrossIndNCode to represent whether value is net (inclusive of tax) or gross.
→1154SideCurrencyNUsed to Identify the Currency of the Trade Report Side.
→1155SideSettlCurrencyNUsed to Identify the Settlement Currency of the Trade Report Side.
ComponentCommissionDataNInsert here here the set of Commission Data fields defined in Common Components of Application Messages
→157NumDaysInterestN
→230ExDateN
→158AccruedInterestRateN
→159AccruedInterestAmtN
→738InterestAtMaturityN
→920EndAccruedInterestAmtN
→921StartCashN
→922EndCashN
→238ConcessionN
→237TotalTakedownN
→118NetMoneyN
→119SettlCurrAmtN
→155SettlCurrFxRateN
→156SettlCurrFxRateCalcN
→77PositionEffectN
→752SideMultiLegReportingTypeN
ComponentContAmtGrpN
ComponentStipulationsNInsert here here the set of Stipulations fields defined in Common Components of Application Messages
ComponentMiscFeesGrpN
→825ExchangeRuleN
ComponentSettlDetailsNConveys settlement account details reported as part of obligation
→826TradeAllocIndicatorN
→591PreallocMethodN
→70AllocIDN
ComponentTrdAllocGrpN
→1072SideGrossTradeAmtN
→1057AggressorIndicatorN
→1009SideLastQtyN
→1005SideTradeReportIDN
→1006SideFillStationCdN
→1007SideReasonCdN
→83RptSeqN
→1008SideTrdSubTypN
→1115OrderCategoryN
ComponentTradeReportOrderDetailNDetails of the order associated with this side of the trade.
ComponentSideTrdRegTSN

TrdCapRptSideGrp

TagNameReq’dDescription
552NoSidesN
→54SideY
→1427SideExecIDNExecution Identifier assigned by Market – used when each side of a trade is assigned its own unique ExecID
→1428OrderDelayN
→1429OrderDelayUnitN
→1009SideLastQtyNUsed to indicate the quantity on one side of a multi-sided Trade Capture Report
→1005SideTradeReportIDNUsed to indicate the report ID on one side of a multi-sided Trade Capture Report
→1006SideFillStationCdNUsed for order routing to indicate the Fill Station Code on one side of a multi-sided Trade Capture Report
→1007SideReasonCdNUsed to indicate the reason of a multi-sided Trade Capture Report
→83RptSeqNUsed for order routing to indicate the fill sequence on one side of a multi-sided Trade Capture Report
→1008SideTrdSubTypNUsed to support multi-sided orders of different trade types
→430NetGrossIndNCode to represent whether value is net (inclusive of tax) or gross.
→1154SideCurrencyNUsed to Identify the Currency of the Trade Report Side.
→1155SideSettlCurrencyNUsed to Identify the Settlement Currency of the Trade Report Side.
ComponentPartiesNInsert here the set of Parties (firm identification) fields defined in Common Components of Application Messages
Range of values on report:
→1AccountNRequired for executions against electronically submitted orders which were assigned an account by the institution or intermediary
→660AcctIDSourceN
→581AccountTypeNSpecifies type of account
→81ProcessCodeNUsed to specify Step-out trades
→575OddLotN
ComponentClrInstGrpN
→578TradeInputSourceN
→579TradeInputDeviceN
→376ComplianceIDN
→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 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 then applies to all sides of the trade
→943TimeBracketN
ComponentCommissionDataNInsert here the set of CommissionData fields defined in Common Components of Application Messages
Note: On a fill/partial fill messages, it represents value for that fill/partial fill, on ExecType=Calculated, it represents cumulative value for the order. Monetary commission values are expressed in the currency reflected by the Currency field.
→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
→118NetMoneyNNote: On a fill/partial fill messages, it represents value for that fill/partial fill, on ExecType=Calculated, it represents cumulative value for the order. Value expressed in the currency reflected by the Currency field.
→119SettlCurrAmtNUsed to report results of forex accommodation trade
→155SettlCurrFxRateNForeign exchange rate used to compute SettlCurrAmt from Currency to SettlCurrency
→156SettlCurrFxRateCalcNSpecifies whether the SettlCurrFxRate should be multiplied or divided
→77PositionEffectNFor use in derivatives omnibus accounting
→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.
→752SideMultiLegReportingTypeNDefault is a single security if not specified.
Provided to support the scenario where a single leg instrument trades against an individual leg of a multileg instrument.
ComponentContAmtGrpN
ComponentStipulationsN
ComponentMiscFeesGrpN
→825ExchangeRuleNUsed to report any exchange rules that apply to this trade.
→826TradeAllocIndicatorNIdentifies if the trade is to be allocated
→591PreallocMethodN
→70AllocIDNUsed to assign an ID to the block of preallocations
ComponentTrdAllocGrpN
ComponentSideTrdRegTSNUsed to indicate the regulatory time stamp on one side of a multi-sided Trade Capture Report.
ComponentSettlDetailsNConveys settlement account details reported as part of obligation
→1072SideGrossTradeAmtN
→1057AggressorIndicatorN
→1139ExchangeSpecialInstructionsN
→1115OrderCategoryN
→1444SideLiquidityIndN
ComponentTradeReportOrderDetailNOrder details for the order associated with this side of the trade

TrdInstrmtLegGrp

TagNameReq’dDescription
555NoLegsN
ComponentInstrumentLegNMust be provided if Number of legs > 0
→687LegQtyN
→690LegSwapTypeNInstead of LegQty – requests that the sellside calculate LegQty based on opposite Leg
→990LegReportIDNAdditional attribute to store the Trade ID of the Leg.
→1152LegNumberNAllow sequencing of Legs for a Strategy to be captured
ComponentLegStipulationsN
→564LegPositionEffectNProvide if the PositionEffect for the leg is different from that specified for the overall multileg security
→565LegCoveredOrUncoveredNProvide if the CoveredOrUncovered for the leg is different from that specified for the overall multileg security.
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=Leg Clearing Firm/Account, Leg Account/Account Type
→654LegRefIDNUsed to identify a specific leg.
→587LegSettlTypeN
→588LegSettlDateNTakes precedence over LegSettlmntTyp value and conditionally required/omitted for specific LegSettlType values.
→637LegLastPxNUsed to report the execution price assigned to the leg of the multileg instrument
→675LegSettlCurrencyN
→1073LegLastForwardPointsN
→1074LegCalculatedCcyLastQtyN
→1075LegGrossTradeAmtNFor FX Futures can be used to express the notional value of a trade when LegLastQty and other quantity fields are expressed in terms of number of contracts – LegContractMultiplier (231) is required in this case.
→1379LegVolatilityN
→1381LegDividendYieldN
→1383LegCurrencyRatioN
→1384LegExecInstN
→1418LegLastQtyN
ComponentTradeCapLegUnderlyingsGrpN

TrdRepIndicatorsGrp

TagNameReq’dDescription
1387NoTrdRepIndicatorsN
→1388TrdRepPartyRoleN
→1389TrdRepIndicatorN

UnderlyingLegInstrument

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

UnderlyingLegSecurityAltIDGrp

TagNameReq’dDescription
1334NoUnderlyingLegSecurityAltIDN
→1335UnderlyingLegSecurityAltIDN
→1336UnderlyingLegSecurityAltIDSourceN

Messages

TradeCaptureReportRequest Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType = AD
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 (snapshot only – no subscription)
571TradeReportIDNTo request a specific trade report
818SecondaryTradeReportIDNTo request a specific trade report
17ExecIDN
150ExecTypeNTo requst all trades of a specific execution type
37OrderIDN
11ClOrdIDN
573MatchStatusN
828TrdTypeNTo request all trades of a specific trade type
829TrdSubTypeNTo request all trades of a specific trade sub type
1123TradeHandlingInstrN
830TransferReasonNTo request all trades for a specific transfer reason
855SecondaryTrdTypeNTo request all trades of a specific trade sub type
820TradeLinkIDNTo request all trades of a specific trade link id
880TrdMatchIDNTo request a trade matching a specific TrdMatchID
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
ComponentInstrumentNInsert 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
ComponentTrdCapDtGrpNNumber of date ranges provided (must be 1 or 2 if specified)
715ClearingBusinessDateNTo request trades for a specific clearing business date.
336TradingSessionIDNTo request trades for a specific trading session.
625TradingSessionSubIDNTo request trades for a specific trading session.
943TimeBracketNTo request trades within a specific time bracket.
54SideNTo 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.
578TradeInputSourceNTo requests trades that were submitted from a specific trade input source.
579TradeInputDeviceNTo request trades that were submitted from a specific trade input device.
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.
58TextNUsed to match specific values within Text fields
354EncodedTextLenN
355EncodedTextN
1011MessageEventSourceNUsed to identify the event or source which gave rise to a message
ComponentStandardTrailerY

TradeCaptureReport Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType = AE
ComponentApplicationSequenceControlN
571TradeReportIDNTradeReportID is conditionally required in a message-chaining model in which a subsequent message may refer to a prior message via TradeReportRefID. The alternative to a message-chain model is an entity-based model in which TradeID is used to identify a trade. In this case, TradeID is required and TradeReportID can be optionally specified.
1003TradeIDN
1040SecondaryTradeIDN
1041FirmTradeIDN
1042SecondaryFirmTradeIDN
487TradeReportTransTypeNIdentifies Trade Report message transaction type.
856TradeReportTypeN
939TrdRptStatusNStatus of Trade Report
In 3 party listed derivatives model used to convey status of a trade to a counterparty. Used specifically in a claim model.
568TradeRequestIDNRequest ID if the Trade Capture Report is in response to a Trade Capture Report Request
828TrdTypeN
829TrdSubTypeN
855SecondaryTrdTypeN
1123TradeHandlingInstrN
1124OrigTradeHandlingInstrN
1125OrigTradeDateNUsed to preserve original trade date when original trade is being referenced in a subsequent trade transaction such as a transfer
1126OrigTradeIDNUsed to preserve original trade id when original trade is being referenced in a subsequent trade transaction such as a transfer
1127OrigSecondaryTradeIDNUsed to preserve original secondary trade id when original trade is being referenced in a subsequent trade transaction such as a transfer
830TransferReasonN
150ExecTypeNType of Execution being reported:
Uses subset of ExecType for Trade Capture Reports
748TotNumTradeReportsNNumber of trade reports returned – if this report is part of a response to a Trade Capture Report Request
912LastRptRequestedNIndicates if this is the last report in the response to a Trade Capture Report Request
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.
263SubscriptionRequestTypeNUsed to subscribe / unsubscribe for trade capture reports. If the field is absent, the value 0 will be the default
572TradeReportRefIDNThe TradeReportID that is being referenced for some action, such as correction or cancellation
881SecondaryTradeReportRefIDN
818SecondaryTradeReportIDN
820TradeLinkIDNUsed to associate a group of trades together. Useful for average price calculations.
880TrdMatchIDN
17ExecIDNMarket (Exchange) assigned Execution Identifier
527SecondaryExecIDN
378ExecRestatementReasonNReason for restatement
570PreviouslyReportedNIndicates if the trade capture report was previously reported to the counterparty
423PriceTypeNCan be used to indicate cabinet trade pricing
ComponentRootPartiesNInsert here the set of Root Parties fields defined in common components of application messages Used for acting parties that applies to the whole message, not individual legs, sides, etc..
1015AsOfIndicatorNIndicates if the trade is an outtrade from a previous day.
716SettlSessIDN
717SettlSessSubIDN
1430VenueTypeN
1300MarketSegmentIDN
1301MarketIDN
ComponentInstrumentYInsert here the set of Instrument (symbology) fields defined in Common Components of Application Messages
ComponentFinancingDetailsNInsert here the set of FinancingDetails fields defined in Common Components of Application Messages
854QtyTypeN
ComponentYieldDataNInsert here the set of YieldData fields defined in Common Components of Application Messages
ComponentUndInstrmtGrpN
822UnderlyingTradingSessionIDN
823UnderlyingTradingSessionSubIDN
32LastQtyYTrade Quantity.
31LastPxYTrade Price.
1056CalculatedCcyLastQtyN
15CurrencyNPrimary currency of the specified currency pair. Used to qualify LastQty and GrossTradeAmout
120SettlCurrencyNContra currency of the deal. Used to qualify CalculatedCcyLastQty
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 that is not percent-of-par.
194LastSpotRateNApplicable for F/X orders
195LastForwardPointsNApplicable for F/X orders
1071LastSwapPointsN
30LastMktN
75TradeDateNUsed when reporting other than current day trades.
715ClearingBusinessDateN
6AvgPxNAverage Price – if present then the LastPx will contain the original price on the execution
ComponentSpreadOrBenchmarkCurveDataNInsert here the set of SpreadOrBenchmarkCurveData fields defined in Common Components of Application Messages
819AvgPxIndicatorNAverage Pricing indicator
ComponentPositionAmountDataNInsert here here the set of Position Amount Data fields defined in Common Components of Application Messages
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 = 2 (Single Leg of a Multileg security)
ComponentTrdInstrmtLegGrpNNumber of legs
Identifies a Multi-leg Execution if present and non-zero.
60TransactTimeNTime the transaction represented by this Trade Capture Report occurred. Execution Time of trade. Also describes the time of block trades.
ComponentTrdRegTimestampsN
63SettlTypeN
64SettlDateNTakes precedence over SettlType value and conditionally required/omitted for specific SettlType values.
987UnderlyingSettlementDateNThe settlement date for the underlying instrument of a derivatives security.
573MatchStatusN
574MatchTypeN
ComponentTrdCapRptSideGrpYNumber of sides
1188VolatilityN
1380DividendYieldN
1190RiskFreeRateN
1382CurrencyRatioN
797CopyMsgIndicatorNIndicates drop copy.
ComponentTrdRepIndicatorsGrpNNumber of trade reporting indicators following
852PublishTrdIndicatorN
1390TradePublishIndicatorN
853ShortSaleReasonN
994TierCodeNIndicates the algorithm (tier) used to match a trade
1011MessageEventSourceNUsed to identify the event or source which gave rise to a message
779LastUpdateTimeNUsed to indicate reports after a specific time
991RndPxNSpecifies the rounded price to quoted precision.
1132TZTransactTimeN
1134ReportedPxDiffNThe reason(s) for the price difference should be stated by using field (Tag 828 ) TrdType and, if required, field (Tag 829) TrdSubType as well
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.
1328RejectTextN
1329FeeMultiplierN
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
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
571TradeReportIDNUnique identifier for the Trade Capture Report
1003TradeIDN
1040SecondaryTradeIDN
1041FirmTradeIDN
1042SecondaryFirmTradeIDN
487TradeReportTransTypeNIdentifies Trade Report message transaction type.
856TradeReportTypeNIndicates action to take on trade
828TrdTypeN
829TrdSubTypeN
855SecondaryTrdTypeN
1123TradeHandlingInstrN
1124OrigTradeHandlingInstrN
1125OrigTradeDateNUsed to preserve original trade date when original trade is being referenced in a subsequent trade transaction such as a transfer
1126OrigTradeIDNUsed to preserve original trade id when original trade is being referenced in a subsequent trade transaction such as a transfer
1127OrigSecondaryTradeIDNUsed to preserve original secondary trade id when original trade is being referenced in a subsequent trade transaction such as a transfer
830TransferReasonN
ComponentRootPartiesNInsert here the set of Root Parties (firm identification) fields defined in common components of application messages Range of values on report:
150ExecTypeNType of Execution being reported:
Uses subset of ExecType for Trade Capture Reports
572TradeReportRefIDNThe TradeReportID that is being referenced for some action, such as correction or cancellation
881SecondaryTradeReportRefIDNThe SecondaryTradeReportID that is being referenced for some action, such as correction or cancellation
939TrdRptStatusNStatus of Trade Report
751TradeReportRejectReasonNReason for Rejection of Trade Report
818SecondaryTradeReportIDN
263SubscriptionRequestTypeNUsed to subscribe / unsubscribe for trade capture reports
If the field is absent, the value 0 will be the default
820TradeLinkIDNUsed to associate a group of trades together. Useful for average price calculations.
880TrdMatchIDN
17ExecIDNExchanged assigned Execution ID (Trade Identifier)
527SecondaryExecIDN
378ExecRestatementReasonN
570PreviouslyReportedN
423PriceTypeN
822UnderlyingTradingSessionIDN
823UnderlyingTradingSessionSubIDN
716SettlSessIDN
717SettlSessSubIDN
854QtyTypeN
32LastQtyN
31LastPxN
1430VenueTypeN
1300MarketSegmentIDN
1301MarketIDN
ComponentInstrumentYInsert here the set of Instrument (symbology) fields defined in Common Components of Application Messages
669LastParPxN
1056CalculatedCcyLastQtyN
1071LastSwapPointsN
15CurrencyNPrimary currency of the specified currency pair. Used to qualify LastQty and GrossTradeAmout
120SettlCurrencyNContra currency of the deal. Used to qualify CalculatedCcyLastQty
194LastSpotRateN
195LastForwardPointsN
30LastMktN
75TradeDateN
715ClearingBusinessDateN
6AvgPxN
819AvgPxIndicatorN
442MultiLegReportingTypeN
824TradeLegRefIDN
60TransactTimeNTime ACK was issued by matching system, trading system or counterparty
63SettlTypeN
ComponentUndInstrmtGrpN
573MatchStatusN
574MatchTypeN
797CopyMsgIndicatorN
ComponentTrdRepIndicatorsGrpN
852PublishTrdIndicatorN
1390TradePublishIndicatorN
853ShortSaleReasonN
ComponentTrdInstrmtLegGrpN
ComponentTrdRegTimestampsN
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.
1015AsOfIndicatorNIndicates if the trade is an outtrade from a previous day
635ClearingFeeIndicatorN
ComponentPositionAmountDataNInsert here here the set of Position Amount Data fields defined in Common Components of Application Messages
994TierCodeNIndicates the algorithm (tier) used to match a trade
1011MessageEventSourceNUsed to identify the event or source which gave rise to a message
779LastUpdateTimeNUsed to indicate reports after a specific time
991RndPxNSpecifies the rounded price to quoted precision.
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
ComponentStandardTrailerY

Appendix – Common Category

Components

ClrInstGrp

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

DlvyInstGrp

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

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)

PositionAmountData

TagNameReq’dDescription
753NoPosAmtN
→707PosAmtTypeN
→708PosAmtN
→1055PositionCurrencyN

SettlDetails

TagNameReq’dDescription
1158NoSettlDetailsN
→1164SettlObligSourceNIndicates the Source of the Settlement Instructions
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.
ComponentSettlPtysSubGrpNRepeating group of SettlParty sub-identifiers.

SettlPtysSubGrp

TagNameReq’dDescription
801NoSettlPartySubIDsN
→785SettlPartySubIDN
→786SettlPartySubIDTypeN