Appendix – AccountReporting Category

Messages

AccountSummaryReport Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = CQ
Component ApplicationSequenceControl N
1699 AccountSummaryReportID Y
715 ClearingBusinessDate Y
15 Currency N Identifies the base reporting currency used in this report.
900 TotalNetValue N
899 MarginExcess N
716 SettlSessID N
717 SettlSessSubID N
60 TransactTime N
Component SettlementAmountGrp N
Component MarginAmount N
Component Parties Y Used to identify the parties for the account (clearing organization, clearing firm, account type, etc.)
Component CollateralAmountGrp N
Component PayCollectGrp N
Component PositionAmountData N Can be used to identify mark to market information for the position.
Component StandardTrailer N

Components

PayCollectGrp

Tag Name Req’d Description
1707 NoPayCollects N
β†’1708 PayCollectType N Required if NoPayCollects > 0.
β†’1709 PayCollectCurrency N Can be used to specify the base settlement currency if Currency(15) is not specified.
β†’2955 PayCollectCurrencyCodeSource N
β†’2094 PayCollectFXRate N
β†’2095 PayCollectFXRateCalc N
β†’1710 PayAmount N
β†’1711 CollectAmount N
β†’1712 PayCollectMarketSegmentID N
β†’1713 PayCollectMarketID N

SettlementAmountGrp

Tag Name Req’d Description
1700 NoSettlementAmounts N
β†’1701 SettlementAmount N Required if NoSettlementAmounts > 0.
β†’1702 SettlementAmountCurrency N
β†’2903 SettlementAmountCurrencyCodeSource N

Appendix – Allocation Category

Messages

AllocationReport Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = AS
755 AllocReportID Y Unique identifier for this message
70 AllocID N
2758 AllocRequestID N May be used to link to a previously submitted AllocationInstructionAlertRequest(35=DU).
71 AllocTransType Y i.e. New, Cancel, Replace
795 AllocReportRefID N Required for AllocTransType = Replace or Cancel
796 AllocCancReplaceReason N Required for AllocTransType = Replace or Cancel
Gives the reason for replacing or cancelling the allocation report
793 SecondaryAllocID N Optional second identifier for this allocation instruction (need not be unique)
1730 AllocGroupID N Group identifier assigned by the clearinghouse
2771 PreviousAllocGroupID N May be used to identify the previous AllocGroupID(1730) being changed by this message when AllocGroupStatus(2767)=3 (Changed).
2759 GroupAmount N
2767 AllocGroupStatus N
1728 FirmGroupID N Firm assigned entity identifier for the allocation
794 AllocReportType Y Specifies the purpose or type of Allocation Report message
87 AllocStatus Y
88 AllocRejCode N Required for AllocStatus = 1 (rejected)
72 RefAllocID N Required for AllocTransType = Replace or Cancel
1738 AllocReversalStatus N Can be used for reporting on status of reversal transaction when AllocReportType(794) is 18 (Alleged reversal) or 17 (Reversal).
808 AllocIntermedReqType N Required if AllocReportType = 8 (Request to Intermediary)
Indicates status that is requested to be transmitted to counterparty by the intermediary (i.e. clearing house)
196 AllocLinkID N Can be used to link two different Allocation messages (each with unique AllocID) together, i.e. for F/X Netting or Swaps
197 AllocLinkType N Can be used to link two different Allocation messages and identifies the type of link. Required if AllocLinkID is specified.
466 BookingRefID N
715 ClearingBusinessDate N Indicates Clearing Business Date for which transaction will be settled.
828 TrdType N Indicates Trade Type of Allocation.
829 TrdSubType N Indicates TradeSubType of Allocation. Necessary for defining groups.
855 SecondaryTrdType N
1937 TradeContinuation N
2374 TradeContinuationText N
2372 EncodedTradeContinuationTextLen N Must be set if EncodedTradeContinuationText(2371) field is specified and must immediately precede it.
2371 EncodedTradeContinuationText N Encoded (non-ASCII characters) representation of the TradeContinuationText(2374) field in the encoded format specified via the MessageEncoding(347) field.
442 MultiLegReportingType N Indicates MultiLegReportType of original trade marked for allocation.
582 CustOrderCapacity N Indicates CTI of original trade marked for allocation.
578 TradeInputSource N Indicates input source of original trade marked for allocation.
991 RndPx N Specifies the rounded price to quoted precision.
1011 MessageEventSource N Used to identify the event or source which gave rise to a message.
579 TradeInputDevice N Specific device number, terminal number or station where trade was entered
819 AvgPxIndicator N Indicates if an allocation is to be average priced. Is also used to indicate if average price allocation group is complete or incomplete.
1731 AvgPxGroupID N Firm designated group identifier for average pricing
857 AllocNoOrdersType N Indicates how the orders being booked and allocated by an AllocationInstruction or AllocationReport message are identified, e.g. by explicit definition in the OrdAllocGrp or ExecAllocGrp components, or not identified explicitly.
Component OrdAllocGrp N Indicates number of orders to be combined for allocation. If order(s) were manually delivered set to 1 (one).Required when AllocNoOrdersType = 1
Component ExecAllocGrp N Indicates number of individual execution or trade entries. Absence indicates that no individual execution or trade entries are included. Primarily used to support step-outs.
570 PreviouslyReported N
700 ReversalIndicator N
574 MatchType N
54 Side Y
Component Instrument Y Insert here the set of Instrument (symbology) fields defined in Common Components of Application Messages.
For NDFs, fixing date (specified in MaturityDate(541)) is required. Fixing time (specified in MaturityTime(1079)) is optional.
Component InstrumentExtension N Insert here the set of InstrumentExtension fields defined in Common Components of Application Messages
Component FinancingDetails N Insert here the set of FinancingDetails fields defined in Common Components of Application Messages
Component UndInstrmtGrp N
Component InstrmtLegGrp N
53 Quantity Y Total quantity (e.g. number of shares) allocated to all accounts, or that is Ready-To-Book
854 QtyType N
1736 AllocGroupQuantity N
1737 AllocGroupRemainingQuantity N
30 LastMkt N Market of the executions.
229 TradeOriginationDate N
336 TradingSessionID N
625 TradingSessionSubID N
423 PriceType N
Component PriceQualifierGrp N
6 AvgPx Y For FX orders, should be the all-in rate (spot rate adjusted for forward points), expressed in terms of Currency(15).
860 AvgParPx N
Component SpreadOrBenchmarkCurveData N Insert here the set of SpreadOrBenchmarkCurveData fields defined in Common Components of Application Messages
15 Currency N Currency of AvgPx. Should be the currency of the local market or exchange where the trade was conducted.
2897 CurrencyCodeSource N
74 AvgPxPrecision N Absence of this field indicates that default precision arranged by the broker/institution is to be used
Component Parties N Insert here the set of Parties (firm identification) fields defined in Common Components of Application Messages
75 TradeDate Y
60 TransactTime N Date/time when allocation is generated
63 SettlType N
64 SettlDate N Takes precedence over SettlType value and conditionally required/omitted for specific SettlType values.
Required for NDFs to specify the value date.
775 BookingType N Method 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.
381 GrossTradeAmt N Expressed 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.
238 Concession N
237 TotalTakedown N
118 NetMoney N Expressed in same currency as AvgPx. Sum of AllocNetMoney.
For FX expressed in terms of Currency(15).
77 PositionEffect N
754 AutoAcceptIndicator N Indicates if Allocation has been automatically accepted on behalf of the Carry Firm by the Clearing House
58 Text N
354 EncodedTextLen N Must be set if EncodedText field is specified and must immediately precede it.
355 EncodedText N Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
157 NumDaysInterest N Applicable for Convertible Bonds and fixed income
158 AccruedInterestRate N Applicable for Convertible Bonds and fixed income
159 AccruedInterestAmt N Sum of AllocAccruedInterestAmt within repeating group.
738 InterestAtMaturity N
920 EndAccruedInterestAmt N For repurchase agreements the accrued interest on termination.
921 StartCash N For repurchase agreements the start (dirty) cash consideration
922 EndCash N For repurchase agreements the end (dirty) cash consideration
650 LegalConfirm N
Component Stipulations N
Component YieldData N
Component RegulatoryTradeIDGrp N
Component PositionAmountData N Insert here here the set of Position Amount Data fields defined in Common Components of Application Messages
1031 CustOrderHandlingInst N
1032 OrderHandlingInstSource N
892 TotNoAllocs N Indicates 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.
893 LastFragment N Indicates whether this is the last fragment in a sequence of message fragments. Only required where message has been fragmented.
Component AllocGrp N Conditionally required except when AllocTransType = Cancel, or when AllocType = Ready-to-book or Warehouse instruction
Component RateSource N
1430 VenueType N Used to identify on what kind of venue the trade originated when communicating with a party that may not have access to all trade details, e.g. a clearing organization.
2334 RefRiskLimitCheckID N Conditionally required when RefRiskLimitCheckIDType(2335) is specified.
2335 RefRiskLimitCheckIDType N Conditionally required when RefRiskLimitCheckID(2334) is specified.
2343 RiskLimitCheckStatus N
Component StandardTrailer Y

AllocationReportAck Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = AT
755 AllocReportID Y
70 AllocID N
2758 AllocRequestID N May be used to link to a previously submitted AllocationInstructionAlertRequest(35=DU) message.
715 ClearingBusinessDate N Indicates Clearing Business Date for which transaction will be settled.
819 AvgPxIndicator N Indicates if an allocation is to be average priced. Is also used to indicate if average price allocation group is complete or incomplete.
53 Quantity N
71 AllocTransType N
Component Instrument N
Component Parties N
793 SecondaryAllocID N Optional second identifier for the allocation report being acknowledged (need not be unique)
1730 AllocGroupID N Group identifier assigned by the clearinghouse
1728 FirmGroupID N Firm assigned entity identifier for the allocation
1731 AvgPxGroupID N Firm designated group identifier for average pricing
75 TradeDate N
60 TransactTime N Date/Time Allocation Report Ack generated
87 AllocStatus N Denotes 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
88 AllocRejCode N Required 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
794 AllocReportType N
808 AllocIntermedReqType N Required if AllocReportType = 8 (Request to Intermediary)
Indicates status that is requested to be transmitted to counterparty by the intermediary (i.e. clearing house)
573 MatchStatus N Denotes whether the financial details provided on the Allocation Report were successfully matched.
1031 CustOrderHandlingInst N
1032 OrderHandlingInstSource N
58 Text N Can include explanation for AllocRejCode = 7 (other)
354 EncodedTextLen N Must be set if EncodedText(355) field is specified and must immediately precede it.
355 EncodedText N Encoded (non-ASCII characters) representation of the Text(58) field in the encoded format specified via the MessageEncoding(347) field.
1328 RejectText N
1664 EncodedRejectTextLen N EncodedRejectText(1665) field is specified and must immediately precede it.
1665 EncodedRejectText N Encoded (non-ASCII characters) representation of the RejectText(1328) field in the encoded format specified via the MessageEncoding(347) field.
Component RegulatoryTradeIDGrp N
Component AllocAckGrp N This 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.
Component StandardTrailer Y

AllocationInstructionAlert Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = BM
70 AllocID Y Unique identifier for this allocation instruction alert message
71 AllocTransType Y i.e. New, Cancel, Replace
626 AllocType Y Specifies the purpose or type of Allocation message
2758 AllocRequestID N Identifier of the request this message is responding to when responding to an AllocationInstructionAlertRequest(35=DU).
793 SecondaryAllocID N Optional second identifier for this allocation instruction (need not be unique)
72 RefAllocID N Required for AllocTransType = Replace or Cancel
796 AllocCancReplaceReason N Required for AllocTransType = Replace or Cancel
Gives the reason for replacing or cancelling the allocation instruction
808 AllocIntermedReqType N Required if AllocType = 8 (Request to Intermediary)
Indicates status that is requested to be transmitted to counterparty by the intermediary (i.e. clearing house)
196 AllocLinkID N Can be used to link two different Allocation messages (each with unique AllocID) together, i.e. for F/X Netting or Swaps
197 AllocLinkType N Can be used to link two different Allocation messages and identifies the type of link. Required if AllocLinkID is specified.
1730 AllocGroupID N Group identifier assigned by the clearinghouse
1728 FirmGroupID N Firm assigned entity identifier for the allocation
466 BookingRefID N Can be used with AllocType= Ready-To-Book
857 AllocNoOrdersType N Indicates how the orders being booked and allocated by an Allocation Instruction or Allocation Report message are identified, e.g. by explicit definition in the OrdAllocGrp or ExecAllocGrp components , or not identified explicitly.
Component OrdAllocGrp N Indicates number of orders to be combined for allocation. If order(s) were manually delivered set to 1 (one).Required when AllocNoOrdersType = 1
Component ExecAllocGrp N Indicates number of individual execution or trade entries. Absence indicates that no individual execution or trade entries are included. Primarily used to support step-outs.
570 PreviouslyReported N
700 ReversalIndicator N
574 MatchType N
54 Side Y
Component Instrument Y Insert here the set of Instrument (symbology) fields defined in common components of application messages
Component InstrumentExtension N Insert here the set of InstrumentExtension fields defined in common components of application messages
Component FinancingDetails N Insert here the set of FinancingDetails fields defined in common components of application messages
Component UndInstrmtGrp N
Component InstrmtLegGrp N
53 Quantity N When not using allocation groups, this is the total quantity (e.g. number of shares) allocated to all accounts, or that is Ready-To-Book. When using allocation groups, this is the quantity added or removed when trades are added to or removed from an allocation group. To remove quantity from the allocation group a negative value is specified in Quantity(53). When the allocation group quantity is unchanged, such as when AllocType(626) changes from 12(Incomplete group) to 13(Complete group) , the value for Quantity(53) should be zero (0).
854 QtyType N
1736 AllocGroupQuantity N
1737 AllocGroupRemainingQuantity N
2759 GroupAmount N
2760 GroupRemainingAmount N
30 LastMkt N Market of the executions.
229 TradeOriginationDate N
336 TradingSessionID N
625 TradingSessionSubID N
423 PriceType N
Component PriceQualifierGrp N
6 AvgPx N For 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.
860 AvgParPx N
332 HighPx N Maybe used to indicate the highest price within the specified allocation group.
333 LowPx N Maybe used to indicate the lowest price within the specified allocation group.
Component SpreadOrBenchmarkCurveData N Insert here the set of SpreadOrBenchmarkCurveData fields defined in common components of application messages
15 Currency N Currency of AvgPx. Should be the currency of the local market or exchange where the trade was conducted.
2897 CurrencyCodeSource N
74 AvgPxPrecision N Absence of this field indicates that default precision arranged by the broker/institution is to be used
Component Parties N Insert here the set of Parties (firm identification) fields defined in common components of application messages
75 TradeDate Y
60 TransactTime N Date/time when allocation is generated
87 AllocStatus N Identifies status of allocation.
63 SettlType N
64 SettlDate N Takes precedence over SettlType value and conditionally required/omitted for specific SettlType values.
775 BookingType N Method 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.
381 GrossTradeAmt N Expressed in same currency as AvgPx. Sum of (AllocQty * AllocAvgPx or AllocPrice).
238 Concession N
237 TotalTakedown N
118 NetMoney N Expressed in same currency as AvgPx. Sum of AllocNetMoney.
77 PositionEffect N
754 AutoAcceptIndicator N Indicates if Allocation has been automatically accepted on behalf of the Carry Firm by the Clearing House
58 Text N
354 EncodedTextLen N Must be set if EncodedText field is specified and must immediately precede it.
355 EncodedText N Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
157 NumDaysInterest N Applicable for Convertible Bonds and fixed income
158 AccruedInterestRate N Applicable for Convertible Bonds and fixed income
159 AccruedInterestAmt N Applicable for Convertible Bonds and fixed income (REMOVED FROM THIS LOCATION AS OF FIX 4.4, REPLACED BY AllocAccruedInterest)
738 InterestAtMaturity N
920 EndAccruedInterestAmt N For repurchase agreements the accrued interest on termination.
921 StartCash N For repurchase agreements the start (dirty) cash consideration
922 EndCash N For repurchase agreements the end (dirty) cash consideration
650 LegalConfirm N
Component Stipulations N
Component YieldData N
Component PositionAmountData N Insert here here the set of Position Amount Data fields defined in Common Components of Application Messages
892 TotNoAllocs N Indicates 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.
893 LastFragment N Indicates whether this is the last fragment in a sequence of message fragments. Only required where message has been fragmented.
Component AllocGrp N Indicates number of allocation groups to follow.
Not required for AllocTransType=Cancel
Not required for AllocType= Ready-To-Book or Warehouse instruction.
819 AvgPxIndicator N Indicates if an allocation is to be average priced. Is also used to indicate if average price allocation group is complete or incomplete.
1731 AvgPxGroupID N Firm designated group identifier for average pricing.
715 ClearingBusinessDate N Indicates Clearing Business Date for which transaction will be settled.
828 TrdType N Indicates Trade Type of Allocation.
829 TrdSubType N Indicates TradeSubType of Allocation. Necessary for defining groups.
582 CustOrderCapacity N Indicates CTI of original trade marked for allocation.
578 TradeInputSource N Indicates input source of original trade marked for allocation.
442 MultiLegReportingType N Indicates MultiLegReportType of original trade marked for allocation.
1011 MessageEventSource N Used to identify the event or source which gave rise to a message.
991 RndPx N Specifies the rounded price to quoted precision.
1031 CustOrderHandlingInst N
1032 OrderHandlingInstSource N
Component StandardTrailer Y

AllocationInstructionAlertRequest Message

Tag Name Req’d Description
Component StandardHeader Y MsgType(35)=DU
2758 AllocRequestID N Unique identifier for this message. If used, other allocation messages may link to the request through this field.
1730 AllocGroupID N
1731 AvgPxGroupID N
75 TradeDate N
Component Parties N
Component StandardTrailer Y

AllocationInstructionAlertRequestAck Message

Tag Name Req’d Description
Component StandardHeader Y MsgType=DV
2758 AllocRequestID Y Used when responding to an AllocationInstructionAlertRequest(35=DU).
2768 AllocRequestStatus Y
1328 RejectText N May be used to further describe rejection reasons when AllocRequestStatus(2768)=1 (Rejected).
1664 EncodedRejectTextLen N Must be set if EncodedRejectText(1665) field is specified and must immediately precede it.
1665 EncodedRejectText N Encoded (non-ASCII characters) representation of the RejectText(1328) field in the encoded format specified via the MessageEncoding(347) field.
Component StandardTrailer Y

AllocationInstruction Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = J
70 AllocID Y Unique identifier for this allocation instruction message
2758 AllocRequestID N May be used to link to a previously submitted AllocationInstructionAlertRequest(35=DU) message.
71 AllocTransType Y i.e. New, Cancel, Replace
626 AllocType Y Specifies the purpose or type of Allocation message
793 SecondaryAllocID N Optional second identifier for this allocation instruction (need not be unique)
72 RefAllocID N Required for AllocTransType = Replace or Cancel
796 AllocCancReplaceReason N Required for AllocTransType = Replace or Cancel
Gives the reason for replacing or cancelling the allocation instruction
808 AllocIntermedReqType N Required if AllocType = 8 (Request to Intermediary)
Indicates status that is requested to be transmitted to counterparty by the intermediary (i.e. clearing house)
196 AllocLinkID N Can be used to link two different Allocation messages (each with unique AllocID) together, i.e. for F/X Netting or Swaps
197 AllocLinkType N Can be used to link two different Allocation messages and identifies the type of link. Required if AllocLinkID is specified.
1730 AllocGroupID N Group identifier assigned by the clearinghouse
1728 FirmGroupID N Group identifier assigned by the firm.
466 BookingRefID N Can be used with AllocType= Ready-To-Book
857 AllocNoOrdersType N Indicates how the orders being booked and allocated by an AllocationInstruction or AllocationReport message are identified, e.g. by explicit definition in the OrdAllocGrp or ExecAllocGrp components, or not identified explicitly.
Component OrdAllocGrp N Indicates number of orders to be combined for allocation. If order(s) were manually delivered set to 1 (one).Required when AllocNoOrdersType = 1
Component ExecAllocGrp N Indicates number of individual execution or trade entries. Absence indicates that no individual execution or trade entries are included. Primarily used to support step-outs.
570 PreviouslyReported N
700 ReversalIndicator N
574 MatchType N
54 Side Y
Component Instrument Y Insert 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.
Component InstrumentExtension N Insert here the set of InstrumentExtension fields defined in Common Components of Application Messages
Component FinancingDetails N Insert here the set of FinancingDetails fields defined in Common Components of Application Messages
Component UndInstrmtGrp N
Component InstrmtLegGrp N
53 Quantity Y Total quantity (e.g. number of shares) allocated to all accounts, or that is Ready-To-Book
854 QtyType N
30 LastMkt N Market of the executions.
229 TradeOriginationDate N
336 TradingSessionID N
625 TradingSessionSubID N
423 PriceType N
Component PriceQualifierGrp N
6 AvgPx N For 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.
860 AvgParPx N
Component SpreadOrBenchmarkCurveData N Insert here the set of SpreadOrBenchmarkCurveData fields defined in Common Components of Application Messages
15 Currency N Currency of AvgPx. Should be the currency of the local market or exchange where the trade was conducted.
2897 CurrencyCodeSource N
74 AvgPxPrecision N Absence of this field indicates that default precision arranged by the broker/institution is to be used
2795 OffshoreIndicator N
Component Parties N Insert here the set of Parties (firm identification) fields defined in Common Components of Application Messages
75 TradeDate Y
60 TransactTime N Date/time when allocation is generated
63 SettlType N
64 SettlDate N Takes precedence over SettlType value and conditionally required/omitted for specific SettlType values.
Required for NDFs to specify the value date.
775 BookingType N Method 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.
381 GrossTradeAmt N Expressed 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.
238 Concession N
237 TotalTakedown N
118 NetMoney N Expressed in same currency as AvgPx. Sum of AllocNetMoney.
For FX, if specified, expressed in terms of Currency(15).
77 PositionEffect N
754 AutoAcceptIndicator N Indicates if Allocation has been automatically accepted on behalf of the Take-up Firm by the Clearing House
58 Text N
354 EncodedTextLen N Must be set if EncodedText field is specified and must immediately precede it.
355 EncodedText N Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
157 NumDaysInterest N Applicable for Convertible Bonds and fixed income
158 AccruedInterestRate N Applicable for Convertible Bonds and fixed income
159 AccruedInterestAmt N Applicable for Convertible Bonds and fixed income
738 InterestAtMaturity N
920 EndAccruedInterestAmt N For repurchase agreements the accrued interest on termination.
921 StartCash N For repurchase agreements the start (dirty) cash consideration
922 EndCash N For repurchase agreements the end (dirty) cash consideration
650 LegalConfirm N
Component Stipulations N
Component YieldData N
Component RegulatoryTradeIDGrp N
Component PositionAmountData N Insert here here the set of Position Amount Data fields defined in Common Components of Application Messages
892 TotNoAllocs N Indicates 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.
893 LastFragment N Indicates whether this is the last fragment in a sequence of message fragments. Only required where message has been fragmented.
Component AllocGrp N Conditionally required except when AllocTransType = Cancel, or when AllocType = Ready-to-book or Warehouse instruction
819 AvgPxIndicator N Indicates if an allocation is to be average priced. Is also used to indicate if average price allocation group is complete or incomplete.
1731 AvgPxGroupID N Firm designated group identifier for average pricing
715 ClearingBusinessDate N Indicates Clearing Business Date for which transaction will be settled.
828 TrdType N Indicates Trade Type of Allocation.
829 TrdSubType N Indicates TradeSubType of Allocation. Necessary for defining groups.
855 SecondaryTrdType N
1937 TradeContinuation N
2374 TradeContinuationText N
2372 EncodedTradeContinuationTextLen N Must be set if EncodedTradeContinuationText(2371) field is specified and must immediately precede it.
2371 EncodedTradeContinuationText N Encoded (non-ASCII characters) representation of the TradeContinuationText(2374) field in the encoded format specified via the MessageEncoding(347) field.
582 CustOrderCapacity N Indicates CTI of original trade marked for allocation.
578 TradeInputSource N Indicates input source of original trade marked for allocation.
442 MultiLegReportingType N Indicates MultiLegReportType of original trade marked for allocation.
1011 MessageEventSource N Used to identify the event or source which gave rise to a message.
991 RndPx N Specifies the rounded price to quoted precision.
Component RateSource N
1430 VenueType N Used to identify on what kind of venue the trade originated when communicating with a party that may not have access to all trade details, e.g. a clearing organization.
2334 RefRiskLimitCheckID N Conditionally required when RefRiskLimitCheckIDType(2335) is specified.
2335 RefRiskLimitCheckIDType N Conditionally required when RefRiskLimitCheckID(2334) is specified.
2343 RiskLimitCheckStatus N
Component StandardTrailer Y

AllocationInstructionAck Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = P
70 AllocID Y
2758 AllocRequestID N May be used to link to a previously submitted AllocationInstructionAlertRequest(35=DU) message.
Component Instrument N
Component Parties N
793 SecondaryAllocID N Optional second identifier for the allocation instruction being acknowledged (need not be unique)
1730 AllocGroupID N Group identifier assigned by the clearinghouse
1728 FirmGroupID N Firm assigned entity identifier for the allocation
1731 AvgPxGroupID N Firm designated group identifier for average pricing
75 TradeDate N
60 TransactTime N Date/Time Allocation Instruction Ack generated
87 AllocStatus Y Denotes the status of the allocation instruction; received (but not yet processed), rejected (at block or account level) or accepted (and processed).
88 AllocRejCode N Required 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
626 AllocType N
808 AllocIntermedReqType N Required if AllocType = 8 (Request to Intermediary)
Indicates status that is requested to be transmitted to counterparty by the intermediary (i.e. clearing house)
573 MatchStatus N Denotes whether the financial details provided on the Allocation Instruction were successfully matched.
58 Text N Can include explanation for AllocRejCode = 7 (other)
354 EncodedTextLen N Must be set if EncodedText(355) field is specified and must immediately precede it.
355 EncodedText N Encoded (non-ASCII characters) representation of the Text(58) field in the encoded format specified via the MessageEncoding(347) field.
1328 RejectText N
1664 EncodedRejectTextLen N Must be set if EncodedRejectText(1665) field is specified and must immediately precede it.
1665 EncodedRejectText N Encoded (non-ASCII characters) representation of the RejectText(1328) field in the encoded format specified via the MessageEncoding(347) field.
Component RegulatoryTradeIDGrp N
Component AllocAckGrp N This 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.
Component StandardTrailer Y

Components

AllocAckGrp

Tag Name Req’d Description
78 NoAllocs N
β†’79 AllocAccount N Required if NoAllocs(78) > 0.
Must be first field in repeating group.
β†’661 AllocAcctIDSource N
β†’366 AllocPrice N Used when performing executed price vs. average price allocations (e.g. Japan). AllocAccount(79) plus AllocPrice(366) form a unique Allocs entry. Used in lieu of AllocAvgPx(153).
β†’1047 AllocPositionEffect N
β†’467 IndividualAllocID N
β†’1593 ParentAllocID N
β†’1729 FirmMnemonic N
β†’1832 ClearedIndicator N Used to communicate the status of central clearing workflow.
β†’2727 AllocLegRefID N The field may not be used in any message where there are no legs.
β†’Component AllocRegulatoryTradeIDGrp N
β†’776 IndividualAllocRejCode N Required if NoAllocs(78) > 0 and AllocStatus(87) = 2 (Account level reject).
β†’Component NestedParties N
β†’209 AllocHandlInst N
β†’161 AllocText N Can be used here to hold text relating to the rejection of this AllocAccount(366))
β†’360 EncodedAllocTextLen N Must be set if EncodedAllocText(361) field is specified and must immediately precede it.
β†’361 EncodedAllocText N Encoded (non-ASCII characters) representation of the AllocText(161) field in the encoded format specified via the MessageEncoding(347) field.
β†’1732 FirmAllocText N
β†’1733 EncodedFirmAllocTextLen N Must be set if EncodedFirmAllocText(1734) field is specified and must immediately precede it.
β†’1734 EncodedFirmAllocText N Encoded (non-ASCII characters) representation of the FirmAllocText(1732) field in the encoded format specified via the MessageEncoding(347) field.
β†’989 SecondaryIndividualAllocID N
β†’993 AllocCustomerCapacity N
β†’992 IndividualAllocType N
β†’80 AllocQty N
β†’2515 AllocCalculatedCcyQty N
β†’1752 CustodialLotID N Only used for specific lot trades.
β†’1753 VersusPurchaseDate N Only used for specific lot trades. If this field is used, either VersusPurchasePrice(1754) or CurrentCostBasis(1755) should be specified.
β†’1754 VersusPurchasePrice N Only used for specific lot trades. If this field is used, VersusPurchaseDate(1753) should be specified.
β†’1755 CurrentCostBasis N Only used for specific lot trades. If this field is used, VersusPurchaseDate(1753) should be specified
β†’2770 AllocAvgPxGroupID N
β†’2769 AllocAvgPxIndicator N

AllocGrp

Tag Name Req’d Description
78 NoAllocs N
β†’79 AllocAccount N May specify the broker of credit if ProcessCode(81) is step-out or soft-dollar step-out and Institution does not wish to disclose individual account breakdowns to the executing broker.
Required if NoAllocs(78) > 0.
Must be first field in repeating group.
Conditionally required except when for AllocTransType(71) = 2 (Cancel), or when AllocType(626) = 5 (Ready-To-Book single order) or 7 (Warehouse instruction).
β†’661 AllocAcctIDSource N
β†’573 MatchStatus N
β†’366 AllocPrice N Used when performing executed price vs. average price allocations (e.g. Japan). AllocAccount(79) plus AllocPrice(366) form a unique Allocs entry. Used in lieu of AllocAvgPx(153).
β†’80 AllocQty N Conditionally required except when for AllocTransType=Cancel, or when AllocType= Ready-To-Book or Warehouse instruction.
β†’2515 AllocCalculatedCcyQty N
β†’1752 CustodialLotID N Only used for specific lot trades.
β†’1753 VersusPurchaseDate N Only used for specific lot trades. If this field is used, either VersusPurchasePrice(1754) or CurrentCostBasis(1755) should be specified.
β†’1754 VersusPurchasePrice N Only used for specific lot trades. If this field is used, VersusPurchaseDate(1753) should be specified.
β†’1755 CurrentCostBasis N Only used for specific lot trades. If this field is used, VersusPurchaseDate(1753) should be specified
β†’467 IndividualAllocID N
β†’1729 FirmMnemonic N Allocation identifier assigned by the Firm submitting the allocation for an individual allocation instruction (as opposed to the overall message level identifier).
β†’1593 ParentAllocID N
β†’2727 AllocLegRefID N The field may not be used in any message where there are no legs.
β†’Component AllocRegulatoryTradeIDGrp N
β†’81 ProcessCode N
β†’989 SecondaryIndividualAllocID N Can be used by an intermediary to specify an allocation ID assigned by the intermediary’s system.
β†’1002 AllocMethod N Specifies the method under which a trade quantity was allocated.
β†’1735 AllocationRollupInstruction N An indicator to override the normal procedure to roll up allocations for the same Carry Firm.
β†’993 AllocCustomerCapacity N Can be used for granular reporting of separate allocation detail within a single trade report or allocation message.
β†’1047 AllocPositionEffect N
β†’992 IndividualAllocType N
β†’Component NestedParties N Insert 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.
β†’208 NotifyBrokerOfCredit N
β†’209 AllocHandlInst N
β†’161 AllocText N Free format text field related to this AllocAccount
β†’360 EncodedAllocTextLen N Must be set if EncodedAllocText field is specified and must immediately precede it.
β†’361 EncodedAllocText N Encoded (non-ASCII characters) representation of the AllocText field in the encoded format specified via the MessageEncoding field.
β†’1732 FirmAllocText N
β†’1733 EncodedFirmAllocTextLen N
β†’1734 EncodedFirmAllocText N
β†’Component CommissionData N
β†’Component AllocCommissionDataGrp N Use as an alternative to CommissionData component if multiple commissions or enhanced attributes are needed.
β†’153 AllocAvgPx N AvgPx 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.
β†’154 AllocNetMoney N NetMoney 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).
β†’2300 AllocGrossTradeAmt N
β†’737 AllocSettlCurrAmt N AllocNetMoney in AllocSettlCurrency for this AllocAccount if AllocSettlCurrency is different from overall Currency
β†’736 AllocSettlCurrency N AllocSettlCurrency for this AllocAccount if different from overall Currency.
Required if AllocSettlCurrAmt is specified.
Required for NDFs.
β†’2927 AllocSettlCurrencyCodeSource N
β†’155 SettlCurrFxRate N Foreign exchange rate used to compute AllocSettlCurrAmt from Currency to AllocSettlCurrency
β†’156 SettlCurrFxRateCalc N Specifies whether the SettlCurrFxRate should be multiplied or divided
β†’742 AllocAccruedInterestAmt N Applicable for Convertible Bonds and fixed income
β†’741 AllocInterestAtMaturity N Applicable for securities that pay interest in lump-sum at maturity
β†’Component MiscFeesGrp N
β†’Component ClrInstGrp N
β†’635 ClearingFeeIndicator N
β†’780 AllocSettlInstType N Used 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.
β†’Component SettlInstructionsData N Insert 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.
β†’2392 AllocRefRiskLimitCheckID N Conditionally required when AllocRefRiskLimitCheckIDType(2393) is specified.
β†’2393 AllocRefRiskLimitCheckIDType N Conditionally required when AllocRefRiskLimitCheckID(2392) is specified.
β†’2483 AllocRiskLimitCheckStatus N
β†’2761 AllocGroupAmount N
β†’2770 AllocAvgPxGroupID N
β†’2769 AllocAvgPxIndicator N
β†’Component TradeAllocAmtGrp N

Appendix – CollateralManagement Category

Messages

CollateralRequest Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = AX
894 CollReqID Y Unique identifier for collateral request
895 CollAsgnReason Y Reason collateral assignment is being requested
60 TransactTime Y
126 ExpireTime N Time until when Respondent has to assign collateral
Component Parties N
1 Account N Customer Account
581 AccountType N Type of account associated with the order (Origin)
11 ClOrdID N Identifier of order for which collateral is required
37 OrderID N Identifier of order for which collateral is required
198 SecondaryOrderID N Identifier of order for which collateral is required
526 SecondaryClOrdID N Identifier of order for which collateral is required
Component ExecCollGrp N Executions for which collateral is required
Component TrdCollGrp N Trades for which collateral is required
Component Instrument N Instrument that was traded for which collateral is required
Component FinancingDetails N Details of the Agreement and Deal
64 SettlDate N
53 Quantity N
854 QtyType N
15 Currency N
2897 CurrencyCodeSource N
Component InstrmtLegGrp N Number of legs that make up the Security
Component UndInstrmtCollGrp N Number of legs that make up the Security
899 MarginExcess N
900 TotalNetValue N
901 CashOutstanding N
Component TrdRegTimestamps N Insert here the set of TrdRegTimestamps fields defined in Common Components of Application Messages
54 Side N
Component MiscFeesGrp N Required if any miscellaneous fees are reported.
44 Price N
423 PriceType N
159 AccruedInterestAmt N
920 EndAccruedInterestAmt N
921 StartCash N
922 EndCash N
Component SpreadOrBenchmarkCurveData N Insert here the set of SpreadOrBenchmarkCurveData fields defined in Common Components of Application Messages
Component Stipulations N Insert here the set of Stipulations fields defined in Common Components of Application Messages
336 TradingSessionID N Trading Session in which trade occurred
625 TradingSessionSubID N Trading Session Subid in which trade occurred
716 SettlSessID N
717 SettlSessSubID N
715 ClearingBusinessDate N
58 Text N
354 EncodedTextLen N Must be set if EncodedText field is specified and must immediately precede it.
355 EncodedText N Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
Component StandardTrailer Y

CollateralAssignment Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = AY
902 CollAsgnID Y Unique Identifer for collateral assignment
894 CollReqID N Identifer of CollReqID to which the Collateral Assignment is in response
895 CollAsgnReason Y Reason for collateral assignment
903 CollAsgnTransType Y Collateral Transaction Type
907 CollAsgnRefID N Collateral assignment to which this transaction refers
60 TransactTime Y
126 ExpireTime N For an Initial assignment, time by which a response is expected
Component Parties N
1 Account N Customer Account
581 AccountType N Type of account associated with the order (Origin)
11 ClOrdID N Identifier of order for which collateral is required
37 OrderID N Identifier of order for which collateral is required
198 SecondaryOrderID N Identifier of order for which collateral is required
526 SecondaryClOrdID N Identifier of order for which collateral is required
Component ExecCollGrp N Executions for which collateral is required
Component TrdCollGrp N Trades for which collateral is required
Component Instrument N
Component FinancingDetails N
64 SettlDate N Can be used to provide the value date of the collateral transaction where the deposit or withdrawal is for a specific future date.
53 Quantity N
854 QtyType N
15 Currency N
2897 CurrencyCodeSource N
Component InstrmtLegGrp N Number of legs that make up the Security
Component UndInstrmtCollGrp N Number of legs that make up the Security
899 MarginExcess N
900 TotalNetValue N
901 CashOutstanding N
Component TrdRegTimestamps N Insert here the set of TrdRegTimestamps fields defined in Common Components of Application Messages
54 Side N
Component MiscFeesGrp N Required if any miscellaneous fees are reported.
44 Price N
423 PriceType N
159 AccruedInterestAmt N
920 EndAccruedInterestAmt N
921 StartCash N
922 EndCash N
Component SpreadOrBenchmarkCurveData N Insert here the set of SpreadOrBenchmarkCurveData fields defined in Common Components of Application Messages
Component Stipulations N Insert here the set of Stipulations fields defined in Common Components of Application Messages
Component SettlInstructionsData N Insert here the set of SettlInstructionsData fields defined in Common Components of Application Messages
336 TradingSessionID N Trading Session in which trade occurred
625 TradingSessionSubID N Trading Session Subid in which trade occurred
716 SettlSessID N
717 SettlSessSubID N
2486 WireReference N
75 TradeDate N
2485 TransactionID N The unique transaction entity identifier assigned by counterparty to the transaction receiving this message, if known.
2484 FirmTransactionID N The unique transaction entity identifier assigned by the firm sending the CollateralAssignment(35=AY).
715 ClearingBusinessDate N The clearing business date of the collateral assignment.
2517 CollateralRequestLinkID N
2519 TotNumCollateralRequests N
2518 CollateralRequestNumber N
2516 CollateralRequestInstruction N Values are custom to a particular implementation and will be maintained externally.
58 Text N
354 EncodedTextLen N Must be set if EncodedText(355) field is specified and must immediately precede it.
355 EncodedText N Encoded (non-ASCII characters) representation of the Text(58) field in the encoded format specified via the MessageEncoding(347) field.
Component StandardTrailer Y

CollateralResponse Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = AZ
904 CollRespID Y Unique identifer for the collateral response
902 CollAsgnID N Conditionally required when responding to a Collateral Assignment message
894 CollReqID N Identifer of CollReqID to which the Collateral Assignment is in response
895 CollAsgnReason N Conditionally required when responding to a Collateral Assignment message
903 CollAsgnTransType N Collateral Transaction Type – not recommended because it causes confusion
905 CollAsgnRespType Y Collateral Assignment Response Type
906 CollAsgnRejectReason N Conditionally required when CollAsgnRespType(905) = 3 (Rejected).
60 TransactTime Y
1043 CollApplType N
291 FinancialStatus N Tells whether security has been restricted.
715 ClearingBusinessDate N The clearing business date of the assignment. The date on which the transaction was entered.
Component Parties N
1 Account N Customer Account
581 AccountType N Type of account associated with the order (Origin)
11 ClOrdID N Identifier of order for which collateral is required
37 OrderID N Identifier of order for which collateral is required
198 SecondaryOrderID N Identifier of order for which collateral is required
526 SecondaryClOrdID N Identifier of order for which collateral is required
Component ExecCollGrp N Executions for which collateral is required
Component TrdCollGrp N Trades for which collateral is required
Component Instrument N
Component FinancingDetails N
64 SettlDate N Can be used to specify the value date of the collateral transaction where the transaction is for a specific future date (e.g. to be settled on a future date).
53 Quantity N
854 QtyType N
15 Currency N
2897 CurrencyCodeSource N
Component InstrmtLegGrp N Number of legs that make up the Security
Component UndInstrmtCollGrp N Number of legs that make up the Security
899 MarginExcess N
900 TotalNetValue N
901 CashOutstanding N
Component CollateralAmountGrp N
Component TrdRegTimestamps N
54 Side N
Component MiscFeesGrp N Required if any miscellaneous fees are reported.
44 Price N
423 PriceType N
159 AccruedInterestAmt N
920 EndAccruedInterestAmt N
921 StartCash N
922 EndCash N
Component SpreadOrBenchmarkCurveData N
Component Stipulations N
2486 WireReference N
75 TradeDate N
2485 TransactionID N The unique transaction entity identifier assigned by the firm sending the CollateralResponse(35=AZ).
2484 FirmTransactionID N The unique transaction entity identifier assigned by the counterparty to the transaction, if known. Echoes the value from CollateralAssignment(35=AY) if provided.
2517 CollateralRequestLinkID N
2519 TotNumCollateralRequests N
2518 CollateralRequestNumber N
2516 CollateralRequestInstruction N Values are custom to a particular implementation and will be maintained externally.
58 Text N
354 EncodedTextLen N Must be set if EncodedText(355) field is specified and must immediately precede it.
355 EncodedText N Encoded (non-ASCII characters) representation of the Text(58) field in the encoded format specified via the MessageEncoding(347) field.
2520 WarningText N Conditionally required when CollAsgnRespType(905) = 5 (Completed with warning).
2522 EncodedWarningTextLen N Must be set if EncodedWarningText(2521) field is specified and must immediately precede it.
2521 EncodedWarningText N Encoded (non-ASCII characters) representation of the WarningText(2520) field in the encoded format specified via the MessageEncoding field.
1328 RejectText N Conditionally required when CollAsgnRespType(905) = 3 (Rejected).
1664 EncodedRejectTextLen N Must be set if EncodedRejectText(1665) field is specified and must immediately precede it.
1665 EncodedRejectText N Encoded (non-ASCII characters) representation of the RejectText(1328) field in the encoded format specified via the MessageEncoding(347) field.
Component StandardTrailer Y

CollateralReport Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = BA
908 CollRptID Y Unique Identifer for collateral report
909 CollInquiryID N Identifier for the collateral inquiry to which this message is a reply
60 TransactTime N
1043 CollApplType N Differentiates collateral pledged specifically against a position from collateral pledged against an entire portfolio on a valued basis.
291 FinancialStatus N Tells whether security has been restricted.
910 CollStatus Y Collateral status
911 TotNumReports N
912 LastRptRequested N
Component Parties N
1 Account N Customer Account
581 AccountType N Type of account associated with the order (Origin)
11 ClOrdID N Identifier of order for which collateral is required
37 OrderID N Identifier of order for which collateral is required
198 SecondaryOrderID N Identifier of order for which collateral is required
526 SecondaryClOrdID N Identifier of order for which collateral is required
Component ExecCollGrp N Executions for which collateral is required
Component TrdCollGrp N Trades for which collateral is required
Component Instrument N
Component FinancingDetails N
64 SettlDate N
53 Quantity N
854 QtyType N
15 Currency N
2897 CurrencyCodeSource N
Component InstrmtLegGrp N
Component UndInstrmtGrp N
899 MarginExcess N
900 TotalNetValue N
901 CashOutstanding N
Component CollateralAmountGrp N
2868 CollateralizationValueDate N
1936 TradeCollateralization N
Component RegulatoryTradeIDGrp N
Component TrdRegTimestamps N
54 Side N
Component MiscFeesGrp N Required if any miscellaneous fees are reported.
44 Price N
423 PriceType N
159 AccruedInterestAmt N
920 EndAccruedInterestAmt N
921 StartCash N
922 EndCash N
Component SpreadOrBenchmarkCurveData N Insert here the set of SpreadOrBenchmarkCurveData fields defined in Common Components of Application Messages
Component Stipulations N Insert here the set of Stipulations fields defined in Common Components of Application Messages
Component SettlInstructionsData N Insert here the set of SettlInstructionsData fields defined in Common Components of Application Messages
336 TradingSessionID N Trading Session in which trade occurred
625 TradingSessionSubID N Trading Session Subid in which trade occurred
716 SettlSessID N
717 SettlSessSubID N
1934 RegulatoryReportType N
2869 RegulatoryReportTypeBusinessDate N May be used when the business event date differs from when the regulatory report is actually being submitted (typically specified in TrdRegTimestamps component).
715 ClearingBusinessDate N The clearing business date of the report.
2486 WireReference N
75 TradeDate N
2485 TransactionID N The unique transaction entity identifier assigned by the firm sending the CollateralReport(35=BA).
2484 FirmTransactionID N The unique transaction entity identifier assigned by the counterparty to the transaction receiving this message, if known.
Component FundingSourceGrp N
Component TransactionAttributeGrp N
58 Text N
354 EncodedTextLen N Must be set if EncodedText(355) field is specified and must immediately precede it.
355 EncodedText N Encoded (non-ASCII characters) representation of the Text(58) field in the encoded format specified via the MessageEncoding(347) field.
Component StandardTrailer Y

CollateralInquiry Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = BB
909 CollInquiryID Y Unique identifier for this message.
Component CollInqQualGrp N Number of qualifiers to inquiry
263 SubscriptionRequestType N Used to subscribe / unsubscribe for collateral status reports.
If the field is absent, the default will be snapshot request only – no subscription.
725 ResponseTransportType N Ability to specify whether the response to the request should be delivered inband or via pre-arranged out-of-band transport.
726 ResponseDestination N URI destination name. Used if ResponseTransportType is out-of-band.
Component Parties N
1 Account N Customer Account
581 AccountType N Type of account associated with the order (Origin)
11 ClOrdID N Identifier of order for which collateral is required
37 OrderID N Identifier of order for which collateral is required
198 SecondaryOrderID N Identifier of order for which collateral is required
526 SecondaryClOrdID N Identifier of order for which collateral is required
Component ExecCollGrp N Executions for which collateral is required
Component TrdCollGrp N Trades for which collateral is required
Component Instrument N Insert here the set of Instrument (symbology) fields defined in Common Components of Application Messages.
Component FinancingDetails N Insert here the set of FinancingDetails fields defined in Common Components of Application Messages
64 SettlDate N
53 Quantity N
854 QtyType N
15 Currency N
2897 CurrencyCodeSource N
Component InstrmtLegGrp N Number of legs that make up the Security
Component UndInstrmtGrp N Number of legs that make up the Security
899 MarginExcess N
900 TotalNetValue N
901 CashOutstanding N
Component TrdRegTimestamps N Insert here the set of TrdRegTimestamps fields defined in Common Components of Application Messages
54 Side N
44 Price N
423 PriceType N
159 AccruedInterestAmt N
920 EndAccruedInterestAmt N
921 StartCash N
922 EndCash N
Component SpreadOrBenchmarkCurveData N Insert here the set of SpreadOrBenchmarkCurveData fields defined in Common Components of Application Messages
Component Stipulations N Insert here the set of Stipulations fields defined in Common Components of Application Messages
Component SettlInstructionsData N Insert here the set of SettlInstructionsData fields defined in Common Components of Application Messages
336 TradingSessionID N Trading Session in which trade occurred
625 TradingSessionSubID N Trading Session Subid in which trade occurred
716 SettlSessID N
717 SettlSessSubID N
715 ClearingBusinessDate N
58 Text N
354 EncodedTextLen N Must be set if EncodedText field is specified and must immediately precede it.
355 EncodedText N Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
Component StandardTrailer Y

CollateralInquiryAck Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = BG
909 CollInquiryID Y Identifier for the collateral inquiry to which this message is a reply
945 CollInquiryStatus Y Status of the Collateral Inquiry referenced by CollInquiryID
946 CollInquiryResult N Result of the Collateral Inquriy referenced by CollInquiryID – specifies any errors or warnings
Component CollInqQualGrp N Number of qualifiers to inquiry
911 TotNumReports N Total number of reports generated in response to this inquiry
Component Parties N
1 Account N Customer Account
581 AccountType N Type of account associated with the order (Origin)
11 ClOrdID N Identifier of order for which collateral is required
37 OrderID N Identifier of order for which collateral is required
198 SecondaryOrderID N Identifier of order for which collateral is required
526 SecondaryClOrdID N Identifier of order for which collateral is required
Component ExecCollGrp N Executions for which collateral is required
Component TrdCollGrp N Trades for which collateral is required
Component Instrument N Insert here the set of Instrument (symbology) fields defined in Common Components of Application Messages.
Component FinancingDetails N Insert here the set of FinancingDetails fields defined in Common Components of Application Messages
64 SettlDate N
53 Quantity N
854 QtyType N
15 Currency N
2897 CurrencyCodeSource N
Component InstrmtLegGrp N Number of legs that make up the Security
Component UndInstrmtGrp N Number of legs that make up the Security
336 TradingSessionID N Trading Session in which trade occurred
625 TradingSessionSubID N Trading Session Subid in which trade occurred
716 SettlSessID N
717 SettlSessSubID N
715 ClearingBusinessDate N
725 ResponseTransportType N Ability to specify whether the response to the request should be delivered inband or via pre-arranged out-of-band transport.
726 ResponseDestination N URI destination name. Used if ResponseTransportType is out-of-band.
58 Text N
354 EncodedTextLen N Must be set if EncodedText field is specified and must immediately precede it.
355 EncodedText N Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
Component StandardTrailer Y

CollateralReportAck Message

Tag Name Req’d Description
Component StandardHeader Y
908 CollRptID Y Identifer of the CollateralReport(35=BA) being acknowledged.
60 TransactTime N
2488 CollRptStatus Y
2487 CollRptRejectReason N Conditionally required when CollRptStatus(2488) = 2 (Rejected).
1328 RejectText N Conditionally required when CollRptStatus(2488) = 2 (Rejected).
1664 EncodedRejectTextLen N Must be set if EncodedRejectText(1665) field is specified and must immediately precede it.
1665 EncodedRejectText N Encoded (non-ASCII characters) representation of the RejectText(1328) field in the encoded format specified via the MessageEncoding(347) field.
Component Parties N
58 Text N
354 EncodedTextLen N Must be set if EncodedText(355) field is specified and must immediately precede it.
355 EncodedText N Encoded (non-ASCII characters) representation of the Text(58) field in the encoded format specified via the MessageEncoding(347) field.
Component StandardTrailer Y

Components

CollInqQualGrp

Tag Name Req’d Description
938 NoCollInquiryQualifier N
β†’896 CollInquiryQualifier N Required if NoCollInquiryQualifier > 0
Type of collateral inquiry

ExecCollGrp

Tag Name Req’d Description
124 NoExecs N
β†’17 ExecID N Required if NoExecs > 0

FundingSourceGrp

Tag Name Req’d Description
2849 NoFundingSources N
β†’2846 FundingSource N Required if NoFundingSources(2849) > 0.
β†’2848 FundingSourceMarketValue N
β†’2847 FundingSourceCurrency N
β†’2954 FundingSourceCurrencyCodeSource N

TrdCollGrp

Tag Name Req’d Description
897 NoTrades N
β†’571 TradeReportID N Required if NoTrades > 0

UndInstrmtCollGrp

Tag Name Req’d Description
711 NoUnderlyings N
β†’Component UnderlyingInstrument N Insert here the set of Underlying Instrument fields defined in Common Components of Application Messages
Required if NoUnderlyings > 0
β†’944 CollAction N Required if NoUnderlyings > 0

Appendix – Confirmation Category

Messages

Confirmation Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = AK
664 ConfirmID Y Unique ID for this message
772 ConfirmRefID N Mandatory if ConfirmTransType is Replace or Cancel
859 ConfirmReqID N Only used when this message is used to respond to a confirmation request (to which this ID refers)
666 ConfirmTransType Y New, Cancel or Replace
773 ConfirmType Y Denotes whether this message represents a confirmation or a trade status message
797 CopyMsgIndicator N Denotes whether or not this message represents copy confirmation (or status message)
Absence of this field indicates message is not a drop copy.
650 LegalConfirm N Denotes whether this message represents the legally binding confirmation
Absence of this field indicates message is not a legal confirm.
665 ConfirmStatus Y
573 MatchStatus N
940 AffirmStatus N Used to communicate an affirmed Confirmation(35=AK) status message (i.e. when ConfirmType(773) = 1 (Status)) to interested parties that need to or should receive such confirmation status message.
This field must not be used when sending a Confirmation(35=AK) message that needs to be affirmed.
Component RegulatoryTradeIDGrp N
2390 TradeConfirmationReferenceID N
1832 ClearedIndicator N Used to communicate the status of the central clearing workflow.
Component Parties N Insert 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)
Component OrdAllocGrp N Indicates number of orders to be combined for allocation. If order(s) were manually delivered set to 1 (one).Required when AllocNoOrdersType = 1
Component ExecAllocGrp N
70 AllocID N Used to refer to an earlier Allocation Instruction.
793 SecondaryAllocID N Used to refer to an earlier Allocation Instruction via its secondary identifier
467 IndividualAllocID N Used to refer to an allocation account within an earlier Allocation Instruction.
828 TrdType N
829 TrdSubType N
855 SecondaryTrdType N
1937 TradeContinuation N
2374 TradeContinuationText N
2372 EncodedTradeContinuationTextLen N Must be set if EncodedTradeContinuationText(2371) field is specified and must immediately precede it.
2371 EncodedTradeContinuationText N Encoded (non-ASCII characters) representation of the TradeContinuationText(2374) field in the encoded format specified via the MessageEncoding(347) field.
574 MatchType N
60 TransactTime Y Represents the time this message was generated
75 TradeDate Y
Component TrdRegTimestamps N Time of last execution being confirmed by this message. Use ExecutionTimestamp(2749) in ExecAllocGrp component when there are multiple trades.
Component Instrument Y Insert here the set of Instrument (symbology) fields defined in Common Components of Application Messages
Component InstrumentExtension N Insert here the set of InstrumentExtension fields defined in Common Components of Application Messages
Component FinancingDetails N Insert here the set of FinancingDetails fields defined in Common Components of Application Messages
Component UndInstrmtGrp N
Component InstrmtLegGrp N
Component YieldData N If 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).
80 AllocQty Y The quantity being confirmed by this message (this is at a trade level, not block or order level)
854 QtyType N
54 Side Y
15 Currency N
2897 CurrencyCodeSource N
30 LastMkt N
Component CpctyConfGrp Y
79 AllocAccount Y Account number for the trade being confirmed by this message
661 AllocAcctIDSource N
798 AllocAccountType N
6 AvgPx Y Gross price for the trade being confirmed
Always expressed in percent-of-par for Fixed Income
74 AvgPxPrecision N Absence of this field indicates that default precision arranged by the broker/institution is to be used
423 PriceType N Price type for the AvgPx field
Component PriceQualifierGrp N
860 AvgParPx N
Component SpreadOrBenchmarkCurveData N Insert here the set of SpreadOrBenchmarkCurveData fields defined in Common Components of Application Messages
861 ReportedPx N Reported price (may be different to AvgPx in the event of a marked-up or marked-down principal trade)
58 Text N
354 EncodedTextLen N
355 EncodedText N
81 ProcessCode N Used 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.
381 GrossTradeAmt Y Gross trade amount for the allocated account being confirmed.
157 NumDaysInterest N
230 ExDate N Optional next coupon date for Fixed Income
158 AccruedInterestRate N
159 AccruedInterestAmt N Required for Fixed Income products that trade with accrued interest
738 InterestAtMaturity N Required for Fixed Income products that pay lump sum interest at maturity
920 EndAccruedInterestAmt N For repurchase agreements the accrued interest on termination.
921 StartCash N For repurchase agreements the start (dirty) cash consideration
922 EndCash N For repurchase agreements the end (dirty) cash consideration
238 Concession N
237 TotalTakedown N
118 NetMoney Y
890 MaturityNetMoney N Net Money at maturity if Zero Coupon and maturity value is different from par value
119 SettlCurrAmt N
120 SettlCurrency N
2899 SettlCurrencyCodeSource N
155 SettlCurrFxRate N
156 SettlCurrFxRateCalc N
63 SettlType N
64 SettlDate N
Component SettlInstructionsData N Insert here the set of SettlInstructionsData fields defined in Common Components of Application Messages
Used to communicate settlement instructions for this Confirmation.
Component CommissionData N
858 SharedCommission N Used to identify any commission shared with a third party (e.g. directed brokerage)
Component CommissionDataGrp N Use as an alternative to CommissionData if multiple commissions or enhanced attributes are needed.
Component Stipulations N
Component MiscFeesGrp N Required if any miscellaneous fees are reported.
Component MatchExceptionGrp N
Component MatchingDataPointGrp N
Component StandardTrailer Y

ConfirmationAck Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = AU
664 ConfirmID Y
75 TradeDate Y
60 TransactTime Y Date/Time Allocation Instruction Ack generated
940 AffirmStatus Y
Component RegulatoryTradeIDGrp N
2390 TradeConfirmationReferenceID N
774 ConfirmRejReason N Conditionally required for AffirmStatus(940) = 2 (Confirm rejected).
573 MatchStatus N Denotes whether the financial details provided on the Confirmation were successfully matched.
Component MatchExceptionGrp N
Component MatchingDataPointGrp N
58 Text N Can include explanation for ConfirmRejReason(774) = 99 (Other)
354 EncodedTextLen N Must be set if EncodedText field is specified and must immediately precede it.
355 EncodedText N Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
Component StandardTrailer Y

ConfirmationRequest Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = BH
859 ConfirmReqID Y Unique identifier for this message
773 ConfirmType Y Denotes whether this message is being used to request a confirmation or a trade status message
Component OrdAllocGrp N Indicates number of orders to be combined for allocation. If order(s) were manually delivered set to 1 (one).Required when AllocNoOrdersType = 1
70 AllocID N Used to refer to an earlier Allocation Instruction.
793 SecondaryAllocID N Used to refer to an earlier Allocation Instruction via its secondary identifier
467 IndividualAllocID N Used to refer to an allocation account within an earlier Allocation Instruction.
60 TransactTime Y Represents the time this message was generated
79 AllocAccount N Account number for the trade being confirmed by this message
661 AllocAcctIDSource N
798 AllocAccountType N
58 Text N
354 EncodedTextLen N
355 EncodedText N
Component StandardTrailer Y

Components

CpctyConfGrp

Tag Name Req’d Description
862 NoCapacities N
β†’528 OrderCapacity Y Specifies the capacity of the firm executing the order(s)
β†’529 OrderRestrictions N
β†’863 OrderCapacityQty N The quantity that was executed under this capacity (e.g. quantity executed as agent, as principal etc.). If any are specified, all entries in the component must have OrderCapacityQty specified and the sum of OrderCapacityQty values must equal this message’s AllocQty.

MatchExceptionGrp

Tag Name Req’d Description
2772 NoMatchExceptions N
β†’2773 MatchExceptionType N Required if NoMatchExceptions(2772) > 0.
β†’2774 MatchExceptionElementType N Required if NoMatchExceptions(2772) > 0.
β†’2775 MatchExceptionElementName N
β†’2776 MatchExceptionAllocValue N
β†’2777 MatchExceptionConfirmValue N
β†’2778 MatchExceptionToleranceValue N
β†’2779 MatchExceptionToleranceValueType N
β†’2780 MatchExceptionText N
β†’2797 EncodedMatchExceptionTextLen N Must be set if EncodedMatchExceptionText(2780) field is specified and must immediately precede it.
β†’2798 EncodedMatchExceptionText N Encoded (non-ASCII characters) representation of the MatchExceptionText(2780) field in the encoded format specified via the MessageEncoding(347) field.

MatchingDataPointGrp

Tag Name Req’d Description
2781 NoMatchingDataPoints N
β†’2782 MatchingDataPointIndicator N Required if NoMatchingDataPoints(2781) > 0.
β†’2783 MatchingDataPointValue N Required if NoMatchingDataPoints(2781) > 0.
β†’2784 MatchingDataPointType N Required if NoMatchingDataPoints(2781) > 0.
β†’2785 MatchingDataPointName N

Appendix – MarginRequirementManagement Category

Messages

MarginRequirementInquiry Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = CH
1635 MarginReqmtInqID Y Unique identifier for this message
Component MarginReqmtInqQualGrp Y Type of margin requirement inquiry
263 SubscriptionRequestType N Used to subscribe / unsubscribe for margin requirement reports. If the field is absent, the default will be snapshot request only – no subscription.
725 ResponseTransportType N Ability to specify whether the response to the request should be delivered inband or via pre-arranged out-of-band transport.
726 ResponseDestination N URI destination name. Used if ResponseTransportType is out-of-band.
Component Parties N
715 ClearingBusinessDate N Indicates the date for which the margin is to be calculated
716 SettlSessID N Indicates the settlement session for which the margin is to be calculated – End Of Day or Intraday
717 SettlSessSubID N
1639 MarginClass N Used to identify a group of instruments with similar risk profile.
Component Instrument N
60 TransactTime N Represents the time the inquiry was submitted
58 Text N
354 EncodedTextLen N Must be set if EncodedText field is specified and must immediately precede it.
355 EncodedText N Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
Component StandardTrailer Y

MarginRequirementInquiryAck Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = CI
1635 MarginReqmtInqID Y Unique identifier for this message
Component MarginReqmtInqQualGrp Y Type of margin requirement inquiry
1640 MarginReqmtInqStatus Y Status of the Margin Requirement Inquiry referenced by MarginReqmtInqID
1641 MarginReqmtInqResult N Result of the Margin Requirement Inquiry referenced by MarginReqmtInqID – specifies any errors or warnings
911 TotNumReports N Total number of reports generated in response to this inquiry
263 SubscriptionRequestType N Used to subscribe / unsubscribe for margin requirement reports. If the field is absent, the default will be snapshot request only – no subscription.
725 ResponseTransportType N Ability to specify whether the response to the request should be delivered inband or via pre-arranged out-of-band transport.
726 ResponseDestination N URI destination name. Used if ResponseTransportType is out-of-band.
Component Parties N
715 ClearingBusinessDate N Indicates the date for which the margin is to be calculated
716 SettlSessID N Indicates the settlement session for which the margin is to be calculated – End Of Day or Intraday
717 SettlSessSubID N
1639 MarginClass N Used to identify a group of instruments with similar risk profile.
Component Instrument N
60 TransactTime N Represents the time this message was generated
58 Text N
354 EncodedTextLen N Must be set if EncodedText field is specified and must immediately precede it.
355 EncodedText N Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
Component StandardTrailer Y

MarginRequirementReport Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = CJ
Component ApplicationSequenceControl N
1642 MarginReqmtRptID Y Unique identifier for this margin requirement report
1635 MarginReqmtInqID N Unique identifier for the inquiry associated with this report. This field should not be provided if the report was sent unsolicited.
1638 MarginReqmtRptType Y Type of report provided
911 TotNumReports N Total number of reports generated in response to inquiry referenced by MarginReqmtInqID
912 LastRptRequested N
325 UnsolicitedIndicator N Set to ‘Y’ if message is sent as a result of a subscription request or out of band configuration as opposed to a Margin Requirement Inquiry.
Component Parties N
1934 RegulatoryReportType N
2869 RegulatoryReportTypeBusinessDate N May be used when the business event date differs from when the regulatory report is actually being submitted (typically specified in TrdRegTimestamps component).
Component TrdRegTimestamps N
715 ClearingBusinessDate N Indicates the date for which the margin is to be calculated
2870 ClearingPortfolioID N
716 SettlSessID N Indicates the settlement session for which the margin is to be calculated – End Of Day or Intraday
717 SettlSessSubID N
1639 MarginClass N Used to identify a group of instruments with similar risk profile.
15 Currency N Base currency of the margin requirement
2897 CurrencyCodeSource N
Component Instrument N
Component MarginAmount Y Margin requirement amounts
60 TransactTime N Represents the time this message was generated
58 Text N
354 EncodedTextLen N Must be set if EncodedText field is specified and must immediately precede it.
355 EncodedText N Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
Component StandardTrailer Y

Components

MarginReqmtInqQualGrp

Tag Name Req’d Description
1636 NoMarginReqmtInqQualifier N
β†’1637 MarginReqmtInqQualifier N

Appendix – PayManagement Category

Messages

PayManagementRequest Message

Tag Name Req’d Description
Component StandardHeader Y MsgType=DY
2812 PayRequestID Y
2811 PayRequestTransType Y
2810 PayRequestRefID N Required for PayRequestTransType(2811)=1 (Cancel).
2807 CancelText N May be used to provide reason for PayRequestTransType(2811)=1 (Cancel).
2809 EncodedCancelTextLen N Must be set if EncodedCancelText(2808) field is specified and must immediately precede it.
2808 EncodedCancelText N Encoded (non-ASCII characters) representation of the CancelText(2807) field in the encoded format specified via the MessageEncoding(347) field.
715 ClearingBusinessDate N The business date of the request. This may carry the same date as the payment calculation date in PostTradePaymentCalculationDate(2825).
60 TransactTime Y
58 Text N
354 EncodedTextLen N Must be set if EncodedText(355) field is specified and must immediately precede it.
355 EncodedText N Encoded (non-ASCII characters) representation of the Text(58) field in the encoded format specified via the MessageEncoding(347) field.
Component Instrument N May be included with minimal detail to identify the security or contract for which payments are to be made.
Component RelatedTradeGrp N May be included to identify the trade(s) for which payments are to be made. Each instance identifies a separate trade.
Component Parties N Identifies the parties to the contracts or trades. The account to be debited or credited is identified in the PostTradePayment component.
Component PostTradePayment Y
Component SettlDetails N
Component StandardTrailer Y

PayManagementRequestAck Message

Tag Name Req’d Description
Component StandardHeader Y MsgTyp=DZ
2812 PayRequestID Y
2813 PayRequestStatus Y Only PayRequestStatus(2813)=0 (Received) is applicable in this message.
Component StandardTrailer Y

PayManagementReport Message

Tag Name Req’d Description
Component StandardHeader Y MsgType=EA
2799 PayReportID Y
2812 PayRequestID N Conditionally required when responding to PayManagementRequest(35=DY).
2804 PayReportTransType Y
2803 PayReportRefID N Required for PayReportTransType(2804)=1 (Replace).
2805 ReplaceText N May be used to provide reason for PayReportTransType(2804)=1 (Replace).
2802 EncodedReplaceTextLen N Must be set if EncodedReplaceText(2801) field is specified and must immediately precede it.
2801 EncodedReplaceText N Encoded (non-ASCII characters) representation of the ReplaceText(2805) field in the encoded format specified via the MessageEncoding(347) field.
2813 PayRequestStatus N PayRequestStatus(2813)=0 (Received) is not applicable in this message.
2800 PayDisputeReason N May be used to provide reason for PayRequestStatus(2813)=3 (Disputed).
1328 RejectText N May be used to elaborate the reason for rejection or dispute.
1664 EncodedRejectTextLen N Must be set if EncodedRejectText(1665) field is specified and must immediately precede it.
1665 EncodedRejectText N Encoded (non-ASCII characters) representation of the RejectText(1328) field in the encoded format specified via the MessageEncoding(347) field.
715 ClearingBusinessDate N Echos back the business date of the PayManagementRequest(35=DY) message if this report is responding to a request.
When the report is sent unsolicited, this is the business date of the report. This may carry the same date as the payment calculation date in PostTradePaymentCalculationDate(2825).
60 TransactTime Y
58 Text N
354 EncodedTextLen N Must be set if EncodedText(355) field is specified and must immediately precede it.
355 EncodedText N Encoded (non-ASCII characters) representation of the Text(58) field in the encoded format specified via the MessageEncoding(347) field.
Component Instrument N May be included with minimal detail to identify the security or contract for which payments are to be made.
Component RelatedTradeGrp N May be included to identify the trade(s) for which payments are to be made. Each instance identifies a separate trade.
Component Parties N Identifies the parties to the contracts or trades. The account to be debited or credited is identified in the PostTradePayment component.
Component PostTradePayment Y
Component SettlDetails N
Component StandardTrailer Y

PayManagementReportAck Message

Tag Name Req’d Description
Component StandardHeader N MsgType=EB
2799 PayReportID Y
2806 PayReportStatus Y
2800 PayDisputeReason N May be used to provide reason for PayReportStatus(2806)=3 (Disputed).
1328 RejectText N May be used to elaborate the reason for rejection or dispute.
1664 EncodedRejectTextLen N Must be set if EncodedRejectText(1665) field is specified and must immediately precede it.
1665 EncodedRejectText N Encoded (non-ASCII characters) representation of the RejectText(1328) field in the encoded format specified via the MessageEncoding(347) field.
Component StandardTrailer Y

Components

PostTradePayment

Tag Name Req’d Description
2824 PostTradePaymentType Y
2817 PostTradePaymentAmount Y
2818 PostTradePaymentCurrency N
2956 PostTradePaymentCurrencyCodeSource N
2825 PostTradePaymentCalculationDate Y The date payment calculations are made. This may be earlier than the date in ClearingBusinessDate(715).
When the report is sent unsolicited, this is the payment calculation date as determined by report sender.
2826 PostTradePaymentValueDate Y The date the payment is legally confirmed to settle.
2827 PostTradePaymentFinalValueDate N The actual payment date in the event it differs from the date specified in PostTradePaymentValueDate(2826).
2819 PostTradePaymentDebitOrCredit Y
2816 PostTradePaymentAccount Y
2821 PostTradePaymentID N
2820 PostTradePaymentDesc N
2815 EncodedPostTradePaymentDescLen N Must be set if EncodedPostTradePaymentDesc(2814) field is specified and must immediately precede it.
2814 EncodedPostTradePaymentDesc N Encoded (non-ASCII characters) representation of the PostTradePaymentDesc(2820) field in the encoded format specified via the MessageEncoding(347) field.
2822 PostTradePaymentLinkID N
2823 PostTradePaymentStatus N Used when PayReportTransType(2804)=2 (Status) to report actual payment status from payment service (i.e. after payment or remittance instruction with payment service).

Appendix – PositionMaintenance Category

Messages

PositionMaintenanceRequest Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = AL
710 PosReqID N Unique 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)
709 PosTransType Y
712 PosMaintAction Y
713 OrigPosReqRefID N Reference to the PosReqID of a previous maintenance request that is being replaced or canceled.
714 PosMaintRptRefID N Reference to a PosMaintRptID from a previous Position Maintenance Report that is being replaced or canceled.
715 ClearingBusinessDate Y The Clearing Business Date referred to by this maintenance request
64 SettlDate N
716 SettlSessID N
717 SettlSessSubID N
Component Parties Y The Following PartyRoles can be specified:
ClearingOrganization
Clearing Firm
Position Account
1 Account N
660 AcctIDSource N
581 AccountType N Type of account associated with the order (Origin)
Component Instrument Y
15 Currency N
2897 CurrencyCodeSource N
Component InstrmtLegGrp N Specifies the number of legs that make up the Security
Component RelatedInstrumentGrp N
Component UndInstrmtGrp N Specifies the number of underlying legs that make up the Security
Component TrdgSesGrp N Specifies the number of repeating TradingSessionIDs
60 TransactTime N Time this order request was initiated/released by the trader, trading system, or intermediary.
Component PositionQty Y
Component PositionAmountData N
718 AdjustmentType N Type 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
719 ContraryInstructionIndicator N Boolean – if Y then indicates you are requesting a position maintenance that acting
720 PriorSpreadIndicator N Boolean – Y indicates you are requesting rollover of prior day’s spread submissions
834 ThresholdAmount N
58 Text N
354 EncodedTextLen N Must be set if EncodedText field is specified and must immediately precede it.
355 EncodedText N Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
120 SettlCurrency N
2899 SettlCurrencyCodeSource N
Component StandardTrailer Y

PositionMaintenanceReport Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = AM
721 PosMaintRptID Y Unique identifier for this position report
709 PosTransType Y
2618 PositionID N Unique identifier for this position entity.
710 PosReqID N Unique identifier for the position maintenance request associated with this report
712 PosMaintAction Y
713 OrigPosReqRefID N Reference to the PosReqID of a previous maintenance request that is being replaced or canceled.
722 PosMaintStatus N Status of PositionMaintenanceRequest. Condtionally required when responding to a PositionMaintenanceRequest.
723 PosMaintResult N
715 ClearingBusinessDate Y The Clearing Business Date covered by this request
2084 PreviousClearingBusinessDate N The business date previous to the clearing business date referred to by this maintenance request.
2085 ValuationDate N Valuation date of the position(s) in this report.
2086 ValuationTime N Valuation time of the position(s) in this report.
2087 ValuationBusinessCenter N Business center of ValuationDate(2085) and ValuationTime(2086). Single value only.
1592 DiscountFactor N For a forward position this is an appropriate value to discount the mark to market amount from the contract’s maturity date back to present value.
1328 RejectText N
1664 EncodedRejectTextLen N
1665 EncodedRejectText N
716 SettlSessID N
717 SettlSessSubID N
1832 ClearedIndicator N
1833 ContractRefPosType N
1834 PositionCapacity N
2101 TerminatedIndicator N
979 InputSource N
Component Parties N Position Account
1 Account N
660 AcctIDSource N
581 AccountType N Type of account associated with the order (Origin)
714 PosMaintRptRefID N Reference to a PosMaintRptID (Tag 721) from a previous Position Maintenance Report that is being replaced or canceled
Component Instrument Y
15 Currency N
2897 CurrencyCodeSource N
64 SettlDate N
120 SettlCurrency N
2899 SettlCurrencyCodeSource N
719 ContraryInstructionIndicator N Can 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
720 PriorSpreadIndicator N
Component InstrmtLegGrp N Specifies the number of legs that make up the Security
Component RelatedInstrumentGrp N
Component UndInstrmtGrp N Specifies the number of underlying legs that make up the Security
Component TrdgSesGrp N Specifies the number of repeating TradingSessionIDs
60 TransactTime N Time 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.
Component PositionQty N Conditionally required when PosMaintAction(712) = 1(New), 2(Replace) or 4(Reverse).
Component PositionAmountData N Insert here here the set of Position Amount Data fields defined in Common Components of Application Messages
Component RegulatoryTradeIDGrp N The source, value and relationship of multiple trade identifiers for the same trade, e.g. Unique Swap Identifiers.
Component PaymentGrp N Additional payments or bullet payments.
718 AdjustmentType N Type 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
834 ThresholdAmount N
Component RelatedTradeGrp N
58 Text N
354 EncodedTextLen N Must be set if EncodedText field is specified and must immediately precede it.
355 EncodedText N Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
Component StandardTrailer Y

RequestForPositions Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = AN
710 PosReqID Y Unique identifier for the Request for Positions as assigned by the submitter
724 PosReqType Y
573 MatchStatus N
263 SubscriptionRequestType N Used to subscribe / unsubscribe for trade capture reports
If the field is absent, the value 0 will be the default
120 SettlCurrency N
2899 SettlCurrencyCodeSource N
Component Parties Y Position Account
1 Account N
660 AcctIDSource N
581 AccountType N Type of account associated with the order (Origin)
Component Instrument N
15 Currency N
2897 CurrencyCodeSource N
Component InstrmtLegGrp N Specifies the number of legs that make up the Security
Component UndInstrmtGrp N Specifies the number of underlying legs that make up the Security
715 ClearingBusinessDate Y The Clearing Business Date referred to by this request
64 SettlDate N
716 SettlSessID N
717 SettlSessSubID N
Component TrdgSesGrp N Specifies the number of repeating TradingSessionIDs
60 TransactTime Y Time this order request was initiated/released by the trader, trading system, or intermediary.
725 ResponseTransportType N Ability to specify whether the response to the request should be delivered inband or via pre-arranged out-of-band transport.
726 ResponseDestination N URI destination name. Used if ResponseTransportType is out-of-band.
58 Text N
354 EncodedTextLen N Must be set if EncodedText field is specified and must immediately precede it.
355 EncodedText N Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
Component StandardTrailer Y

RequestForPositionsAck Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = AO
721 PosMaintRptID Y Unique identifier for this position report
710 PosReqID N Unique identifier for the Request for Position associated with this report
This field should not be provided if the report was sent unsolicited.
911 TotNumReports N
325 UnsolicitedIndicator N Set to ‘Y’ if message is sent as a result of a subscription request or out of band configuration as opposed to a Position Request.
728 PosReqResult Y
729 PosReqStatus Y
724 PosReqType N
573 MatchStatus N
715 ClearingBusinessDate N
263 SubscriptionRequestType N
716 SettlSessID N
717 SettlSessSubID N
120 SettlCurrency N
2899 SettlCurrencyCodeSource N
Component Parties Y Position Account
1 Account N
660 AcctIDSource N
581 AccountType N Type of account associated with the order (Origin)
Component Instrument N
15 Currency N
2897 CurrencyCodeSource N
Component InstrmtLegGrp N Specifies the number of legs that make up the Security
Component UndInstrmtGrp N Specifies the number of underlying legs that make up the Security
725 ResponseTransportType N Ability to specify whether the response to the request should be delivered inband or via pre-arranged out-of-band transport.
726 ResponseDestination N URI destination name. Used if ResponseTransportType is out-of-band.
58 Text N
354 EncodedTextLen N Must be set if EncodedText field is specified and must immediately precede it.
355 EncodedText N Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
Component StandardTrailer Y

PositionReport Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = AP
Component ApplicationSequenceControl N
721 PosMaintRptID Y Unique identifier for this position report
2618 PositionID N Unique identifier for this position entity.
710 PosReqID N Unique identifier for the Request for Positions associated with this report
This field should not be provided if the report was sent unsolicited.
724 PosReqType N Will be 7=Net Position if the report contains net position information for margin requirements.
2364 PosReportAction N
1635 MarginReqmtInqID N Unique identifier for the inquiry associated with this report. This field should not be provided if the report was sent unsolicited.
263 SubscriptionRequestType N Used to subscribe / unsubscribe for trade capture reports
If the field is absent, the value 0 will be the default
911 TotNumReports N
912 LastRptRequested N
728 PosReqResult N Result of a Request for Position
325 UnsolicitedIndicator N Set to ‘Y’ if message is sent as a result of a subscription request or out of band configuration as opposed to a Position Request.
1934 RegulatoryReportType N
2869 RegulatoryReportTypeBusinessDate N May be used when the business event date differs from when the regulatory report is actually being submitted (typically specified in TrdRegTimestamps component).
Component TransactionAttributeGrp N
Component TrdRegTimestamps N
715 ClearingBusinessDate Y The Clearing Business Date referred to by this maintenance request
2084 PreviousClearingBusinessDate N The business date previous to the clearing business date referred to by this maintenance request.
2870 ClearingPortfolioID N
716 SettlSessID N
717 SettlSessSubID N
423 PriceType N
120 SettlCurrency N
2899 SettlCurrencyCodeSource N
1011 MessageEventSource N Used to identify the event or source which gave rise to a message
1832 ClearedIndicator N
1833 ContractRefPosType N
1834 PositionCapacity N
2101 TerminatedIndicator N
2878 TerminationDate N
2373 IntraFirmTradeIndicator N
1937 TradeContinuation N
2374 TradeContinuationText N
2372 EncodedTradeContinuationTextLen N Must be set if EncodedTradeContinuationText(2371) field is specified and must immediately precede it.
2371 EncodedTradeContinuationText N Encoded (non-ASCII characters) representation of the TradeContinuationText(2374) field in the encoded format specified via the MessageEncoding(347) field.
1936 TradeCollateralization N
Component Parties Y Position Account
1 Account N Account may also be specified through via Parties Block using Party Role 27 which signifies Account
660 AcctIDSource N
581 AccountType N Type of account associated with the order (Origin). Account may also be specified through via Parties Block using Party Role 27 which signifies Account
2375 TaxonomyType N
Component Instrument N
Component FinancingDetails N
15 Currency N
2897 CurrencyCodeSource N
64 SettlDate N Position Settlement Date
730 SettlPrice N
2366 SettlPriceFxRateCalc N Expresses whether to multiply or divide SettlPrice(730) to arrive at the amount reported in PosAmt(708).
2365 SettlForwardPoints N
1886 SettlPriceUnitOfMeasure N
1887 SettlPriceUnitOfMeasureCurrency N
2960 SettlPriceUnitOfMeasureCurrencyCodeSource N
731 SettlPriceType N Values = Final, Theoretical
734 PriorSettlPrice N
1595 PositionContingentPrice N
1592 DiscountFactor N For a forward position this is an appropriate value to discount the mark to market amount from the contract’s maturity date back to present value.
2085 ValuationDate N Valuation date of the position(s) in this report
2086 ValuationTime N Valuation time of the position(s) in this report
2087 ValuationBusinessCenter N Business center of ValuationDate(2085) and ValuationTime(2086). Single value only.
573 MatchStatus N Used to indicate if a Position Report is matched or unmatched
Component InstrmtLegGrp N Specifies the number of legs that make up the Security
Component RelatedInstrumentGrp N
Component CollateralAmountGrp N
2868 CollateralizationValueDate N
Component PosUndInstrmtGrp N Specifies the number of underlying legs that make up the Security
60 TransactTime N
Component PositionQty N Insert here the set of Position Qty fields defined in Common Components of Application Messages
Component PositionAmountData N Insert here the set of Position Amount Data fields defined in Common Components of Application Messages
Component RegulatoryTradeIDGrp N
Component PaymentGrp N
506 RegistStatus N RegNonRegInd
743 DeliveryDate N
1434 ModelType N
811 PriceDelta N
Component RelatedTradeGrp N
58 Text N
354 EncodedTextLen N Must be set if EncodedText field is specified and must immediately precede it.
355 EncodedText N Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
Component StandardTrailer Y

AssignmentReport Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = AW
Component ApplicationSequenceControl N
833 AsgnRptID Y Unique identifier for the Assignment report
710 PosReqID N If specified,the identifier of the RequestForPositions(MsgType=AN) to which this message is sent in response.
832 TotNumAssignmentReports N Total Number of Assignment Reports being returned to a firm
912 LastRptRequested N
Component Parties Y Clearing Organization
Clearing Firm
Contra Clearing Organization
Contra Clearing Firm
Position Account
1 Account N Customer Account
581 AccountType N Type of account associated with the order (Origin)
Component Instrument N CFI Code – Market Indicator (col 4) used to indicate Market of Assignment
15 Currency N
2897 CurrencyCodeSource N
Component InstrmtLegGrp N Number of legs that make up the Security
Component UndInstrmtGrp N Number of legs that make up the Security
Component PositionQty N Insert here here the set of PositionQty fields defined in Common Components of Application Messages.
Component PositionAmountData N Insert here the set of PositionAmountData fields defined in Common Components of Application Messages.
834 ThresholdAmount N
730 SettlPrice N Settlement Price of Option
731 SettlPriceType N Values = Final, Theoretical
732 UnderlyingSettlPrice N Settlement Price of Underlying
734 PriorSettlPrice N
1595 PositionContingentPrice N
432 ExpireDate N Expiration Date of Option
744 AssignmentMethod N Method under which assignment was conducted
745 AssignmentUnit N Quantity Increment used in performing assignment
746 OpenInterest N Open interest that was eligible for assignment
747 ExerciseMethod N Exercise Method used to in performing assignment
Values = Automatic, Manual
716 SettlSessID N
717 SettlSessSubID N
715 ClearingBusinessDate Y Business date of assignment
58 Text N
354 EncodedTextLen N Must be set if EncodedText field is specified and must immediately precede it.
355 EncodedText N Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
Component StandardTrailer Y

AdjustedPositionReport Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = BL
721 PosMaintRptID Y Unique identifier for this Adjusted Position report
724 PosReqType N
715 ClearingBusinessDate Y The Clearing Business Date referred to by this maintenance request
716 SettlSessID N
714 PosMaintRptRefID N
Component Parties Y Position Account
Component PositionQty Y Insert here here the set of Position Qty fields defined in Common Components of Application Messages
Component InstrmtGrp N
730 SettlPrice N Settlement Price
734 PriorSettlPrice N Prior Settlement Price
Component StandardTrailer Y

ContraryIntentionReport Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = BO
Component ApplicationSequenceControl N
977 ContIntRptID Y Unique identifier for the Contrary Intention report
60 TransactTime N Time the contrary intention was received by clearing organization.
978 LateIndicator N Indicates if the contrary intention was received after the exchange imposed cutoff time
979 InputSource N Source of the contrary intention
715 ClearingBusinessDate Y Business date of contrary intention
Component Parties Y Clearing Organization
Clearing Firm
Position Account
Component ExpirationQty Y Expiration Quantities
Component Instrument Y
Component UndInstrmtGrp N
58 Text N
354 EncodedTextLen N Must be set if EncodedText field is specified and must immediately precede it.
355 EncodedText N Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
Component StandardTrailer Y

PositionTransferInstruction Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = DL
2436 TransferInstructionID Y Submitting, cancelling, changing, accepting, and declining a transfer are all considered separate instructions, and each must have a unique ID. Chaining of firm generated IDs is not supported; TransferID(2437) assigned by the CCP must be used when sending an instruction referencing a previously submitted transfer.
2437 TransferID N Conditionally required when responding to a PositionTransferReport(35=DN) message (e.g. when accepting or declining a transfer) or performing an action on a transfer (e.g. cancel or replace).
2439 TransferTransType N
2440 TransferType N
2441 TransferScope N
Component Parties Y Specifies the source of the position transfer, e.g. the transferor.
Component TargetParties Y Specifies the target of the position transfer.
715 ClearingBusinessDate N Business date the transfer would clear.
75 TradeDate N Trade date associated with the position being transferred.
60 TransactTime N
Component Instrument N If not specified, indicates the transfer is for all instruments.
Component UndInstrmtGrp N
Component PositionQty N Position to transfer from the perspective of the source party prior to the transfer.
If not specified, indicates transfer of all positions for a specified instrument, if Instrument is specified, or transfer of all positions if Instrument is not specified.
1596 ClearingTradePrice N Price at which the position is transferred.
15 Currency N
2897 CurrencyCodeSource N
423 PriceType N
Component PositionAmountData N Optionally used to include cash residuals, etc., from the perspective of the source party prior to the transfer.
58 Text N
354 EncodedTextLen N Must be set if EncodedText(355) field is specified and must immediately precede it.
355 EncodedText N Encoded (non-ASCII characters) representation of the Text(58) field in the encoded format specified via the MessageEncoding(347) field.
Component StandardTrailer Y

PositionTransferInstructionAck Message

Tag Name Req’d Description
Component StandardHeader Y MsgType=DM
2436 TransferInstructionID Y The identifier of the PositionTransferInstruction(35=DL) this message is responding to.
2437 TransferID N Optional when responding to a new transfer. When responding to a PositionTransferInstruction(35=DM) accepting, declining, or cancelling a transfer already initiated, this field can echo the TransferID(2437) sent.
2439 TransferTransType N
2440 TransferType N
2442 TransferStatus N
2443 TransferRejectReason N Conditionally required when TransferStatus(2442) = 1(Rejected by intermediary).
2441 TransferScope N
Component Parties N Specifies the source of the position transfer, e.g. the transferor.
Component TargetParties N Specifies the target of the position transfer.
60 TransactTime N
1328 RejectText N
1664 EncodedRejectTextLen N Must be set if EncodedRejectText(1665) field is specified and must immediately precede it.
1665 EncodedRejectText N Encoded (non-ASCII characters) representation of the RejectText(1328) field in the encoded format specified via the MessageEncoding(347) field.
58 Text N
354 EncodedTextLen N Must be set if EncodedText(355) field is specified and must immediately precede it.
355 EncodedText N Encoded (non-ASCII characters) representation of the Text(58) field in the encoded format specified via the MessageEncoding(347) field.
Component StandardTrailer Y

PositionTransferReport Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = DN
2436 TransferInstructionID N Conditionally required when sent in response to a PositionTransferInstruction(35=DM).
2438 TransferReportID Y
2437 TransferID Y
2439 TransferTransType Y
2444 TransferReportType Y
2442 TransferStatus Y
2443 TransferRejectReason N Conditionally required when TransferStatus(2422) = 1(Rejected by intermediary).
2441 TransferScope N
Component Parties Y Specifies the source of the position transfer, e.g. the transferor.
Component TargetParties Y Specifies the target of the position transfer.
715 ClearingBusinessDate N Business date the transfer would clear.
75 TradeDate N Trade date associated with the position being transferred.
60 TransactTime N
Component Instrument N If not specified, indicates the transfer is for all instruments.
Component UndInstrmtGrp N
Component PositionQty N Position to transfer from the perspective of the source party prior to the transfer.
If not specified, indicates transfer of all positions for a specified instrument, if Instrument is specified, or transfer of all positions if Instrument is not specified.
1596 ClearingTradePrice N Price at which the position is transferred.
15 Currency N
2897 CurrencyCodeSource N
423 PriceType N
Component PositionAmountData N Optionally used to include cash residuals, etc., from the perspective of the source party prior to the transfer.
1328 RejectText N
1664 EncodedRejectTextLen N Must be set if EncodedRejectText(1665) field is specified and must immediately precede it.
1665 EncodedRejectText N Encoded (non-ASCII characters) representation of the RejectText(1328) field in the encoded format specified via the MessageEncoding(347) field.
58 Text N
354 EncodedTextLen N Must be set if EncodedText(355) field is specified and must immediately precede it.
355 EncodedText N Encoded (non-ASCII characters) representation of the Text(58) field in the encoded format specified via the MessageEncoding(347) field.
Component StandardTrailer N

Components

ExpirationQty

Tag Name Req’d Description
981 NoExpiration N
β†’982 ExpirationQtyType N Required if NoExpiration > 1
β†’983 ExpQty N

PosUndInstrmtGrp

Tag Name Req’d Description
711 NoUnderlyings N
β†’Component UnderlyingInstrument N Insert here the set of Underlying Instrument (underlying symbology) fields defined in Common Components of Application Messages
Required if NoUnderlyings > 0
β†’732 UnderlyingSettlPrice N
β†’733 UnderlyingSettlPriceType N Values = Final, Theoretical
β†’1037 UnderlyingDeliveryAmount N
β†’Component UnderlyingAmount N Insert here the set of Underlying Amount fields defined in Common Components of Application Messages

PositionQty

Tag Name Req’d Description
702 NoPositions N
β†’703 PosType N Required if NoPositions > 1
β†’704 LongQty N
β†’705 ShortQty N
β†’1654 CoveredQty N Short quantity that is considered covered, e.g. used for short option position
β†’706 PosQtyStatus N
β†’976 QuantityDate N Date associated with the quantity being reported
β†’1836 PosQtyUnitOfMeasure N
β†’1835 PosQtyUnitOfMeasureCurrency N
β†’2936 PosQtyUnitOfMeasureCurrencyCodeSource N
β†’Component NestedParties N Optional repeating group – used to associate or distribute position to a specific party other than the party that currently owns the position.

UnderlyingAmount

Tag Name Req’d Description
984 NoUnderlyingAmounts N
β†’985 UnderlyingPayAmount N Amount to pay in order to receive the underlying instrument.
β†’986 UnderlyingCollectAmount N Amount to collect in order to deliver the underlying instrument.
β†’987 UnderlyingSettlementDate N Date the underlying instrument will settle. Used for derivatives that deliver into more than one underlying instrument. Settlement dates can vary across underlying instruments.
β†’988 UnderlyingSettlementStatus N Settlement status of the underlying instrument. Used for derivatives that deliver into more than one underlying instrument. Settlement can be delayed for an underlying instrument.

Appendix – RegistrationInstruction Category

Messages

RegistrationInstructions Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = o (lowercase O)
513 RegistID Y
715 ClearingBusinessDate N
514 RegistTransType Y
508 RegistRefID Y Required for Cancel and Replace RegistTransType messages
11 ClOrdID N Unique identifier of the order as assigned by institution or intermediary to which Registration relates
Component Parties N Insert here the set of Parties (firm identification) fields defined in Common Components of Application Messages
1 Account N
660 AcctIDSource N
493 RegistAcctType N
495 TaxAdvantageType N
517 OwnershipType N
Component RgstDtlsGrp N Number of registration details in this message (number of repeating groups to follow)
Component RgstDistInstGrp N Number of Distribution instructions in this message (number of repeating groups to follow)
Component StandardTrailer Y

RegistrationInstructionsResponse Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = p (lowercase P)
513 RegistID Y Unique identifier of the original Registration Instructions details
514 RegistTransType Y Identifies original Registration Instructions transaction type
508 RegistRefID Y Required for Cancel and Replace RegistTransType messages
11 ClOrdID N Unique identifier of the order as assigned by institution or intermediary.
Component Parties N Insert here the set of Parties (firm identification) fields defined in Common Components of Application Messages
1 Account N
660 AcctIDSource N
506 RegistStatus Y
507 RegistRejReasonCode N
496 RegistRejReasonText N
Component StandardTrailer Y

Components

RgstDistInstGrp

Tag Name Req’d Description
510 NoDistribInsts N
β†’477 DistribPaymentMethod N Must be first field in the repeating group if NoDistribInsts > 0.
β†’512 DistribPercentage N
β†’478 CashDistribCurr N
β†’498 CashDistribAgentName N
β†’499 CashDistribAgentCode N
β†’500 CashDistribAgentAcctNumber N
β†’501 CashDistribPayRef N
β†’502 CashDistribAgentAcctName N

RgstDtlsGrp

Tag Name Req’d Description
473 NoRegistDtls N
β†’509 RegistDtls N Must be first field in the repeating group
β†’511 RegistEmail N
β†’474 MailingDtls N
β†’482 MailingInst N
β†’Component NestedParties N Insert 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
β†’522 OwnerType N
β†’486 DateOfBirth N
β†’475 InvestorCountryOfResidence N

Appendix – SettlementInstruction Category

Messages

SettlementInstructionRequest Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = AV
791 SettlInstReqID Y Unique message ID
60 TransactTime Y Date/Time this request message was generated
Component Parties N Insert 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.
79 AllocAccount N Should not be populated if StandInstDbType is populated
661 AllocAcctIDSource N Required if AllocAccount populated
Should not be populated if StandInstDbType is populated
54 Side N Should not be populated if StandInstDbType is populated
460 Product N Should not be populated if StandInstDbType is populated
167 SecurityType N Should not be populated if StandInstDbType is populated
461 CFICode N Should not be populated if StandInstDbType is populated
2891 UPICode N Should not be populated if StandInstDbType is populated
120 SettlCurrency N Should not be populated if StandInstDbType is populated
2899 SettlCurrencyCodeSource N
168 EffectiveTime N Should not be populated if StandInstDbType is populated
126 ExpireTime N Should not be populated if StandInstDbType is populated
779 LastUpdateTime N Should not be populated if StandInstDbType is populated
169 StandInstDbType N Should not be populated if any of AllocAccount through to LastUpdateTime are populated
170 StandInstDbName N Should not be populated if any of AllocAccount through to LastUpdateTime are populated
171 StandInstDbID N The 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
Component StandardTrailer Y

SettlementObligationReport Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = BQ
Component ApplicationSequenceControl N
715 ClearingBusinessDate N
1153 SettlementCycleNo N Settlement cycle in which the settlement obligation was generated
1160 SettlObligMsgID Y Unique identifier for this message
1159 SettlObligMode Y Used to identify the reporting mode of the settlement obligation which is either preliminary or final
58 Text N Can be used to provide any additional rejection text where rejecting a Settlement Instruction Request message.
354 EncodedTextLen N
355 EncodedText N
60 TransactTime N Time when the Settlemnt Obligation Report was created.
Component SettlObligationInstructions Y
Component StandardTrailer Y

SettlementInstructions Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = T
777 SettlInstMsgID Y Unique identifier for this message
791 SettlInstReqID N Only used when this message is used to respond to a settlement instruction request (to which this ID refers)
160 SettlInstMode Y 1=Standing Instructions, 2=Specific Allocation Account Overriding, 3=Specific Allocation Account Standing , 4=Specific Order, 5=Reject SSI request
792 SettlInstReqRejCode N Required for SettlInstMode = 5. Used to provide reason for rejecting a Settlement Instruction Request message.
58 Text N Can be used to provide any additional rejection text where rejecting a Settlement Instruction Request message.
354 EncodedTextLen N
355 EncodedText N
11 ClOrdID N Required for SettlInstMode(160) = 4 and when referring to orders that where electronically submitted over FIX or otherwise assigned a ClOrdID.
60 TransactTime Y Date/time this message was generated
Component SettlInstGrp N Required except where SettlInstMode is 5=Reject SSI request
Component StandardTrailer Y

Components

SettlInstGrp

Tag Name Req’d Description
778 NoSettlInst N
β†’162 SettlInstID N Unique ID for this settlement instruction.
Required except where SettlInstMode is 5=Reject SSI request
β†’163 SettlInstTransType N New, Replace, Cancel or Restate
Required except where SettlInstMode is 5=Reject SSI request
β†’214 SettlInstRefID N Required where SettlInstTransType is Cancel or Replace
β†’Component Parties N Insert 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
β†’54 Side N Can be used for SettleInstMode 1 if SSIs are being provided for a particular side.
β†’460 Product N Can be used for SettleInstMode 1 if SSIs are being provided for a particular product.
β†’167 SecurityType N Can be used for SettleInstMode 1 if SSIs are being provided for a particular security type (as alternative to CFICode).
β†’461 CFICode N Can be used for SettleInstMode 1 if SSIs are being provided for a particular CFI (as identified by CFI code).
β†’2891 UPICode N Can be used for SettleInstMode 1 if SSIs are being provided for a particular UPI (as identified by UPI code).
β†’120 SettlCurrency N Can be used for SettleInstMode 1 if SSIs are being provided for a particular settlement currency
β†’2899 SettlCurrencyCodeSource N
β†’168 EffectiveTime N Effective (start) date/time for this settlement instruction.
Required except where SettlInstMode is 5=Reject SSI request
β†’126 ExpireTime N Termination date/time for this settlement instruction.
β†’779 LastUpdateTime N Date/time this settlement instruction was last updated (or created if not updated since creation).
Required except where SettlInstMode is 5=Reject SSI request
β†’Component SettlInstructionsData N Insert here the set of SettlInstructionsData fields defined in Common Components of Application Messages
β†’492 PaymentMethod N For use with CIV settlement instructions
β†’476 PaymentRef N For use with CIV settlement instructions
β†’488 CardHolderName N For use with CIV settlement instructions
β†’489 CardNumber N For use with CIV settlement instructions
β†’503 CardStartDate N For use with CIV settlement instructions
β†’490 CardExpDate N For use with CIV settlement instructions
β†’491 CardIssNum N For use with CIV settlement instructions
β†’504 PaymentDate N For use with CIV settlement instructions
β†’505 PaymentRemitterID N For use with CIV settlement instructions

SettlObligationInstructions

Tag Name Req’d Description
1165 NoSettlOblig N
β†’430 NetGrossInd N
β†’1161 SettlObligID N Unique ID for this settlement instruction
β†’1162 SettlObligTransType N New, Replace, Cancel, or Restate
β†’1163 SettlObligRefID N Required where SettlObligTransType(1162) is Cancel or Replace. The SettlObligID(1161) of the settlement obligation being canceled or replaced.
β†’1157 CcyAmt N Net flow of currency 1
β†’119 SettlCurrAmt N Net flow of currency 2
β†’15 Currency N Currency 1 in the stated currency pair, the dealt currency
β†’2897 CurrencyCodeSource N
β†’120 SettlCurrency N Currency 2 in the stated currency pair, the contra currency
β†’2899 SettlCurrencyCodeSource N
β†’155 SettlCurrFxRate N Derived rate of Ccy2 per Ccy1 based on netting
β†’64 SettlDate N Value Date
β†’Component Instrument N Used to express the instrument in which settlement is taking place
β†’Component Parties N
β†’168 EffectiveTime N Effective (start) date/time for this settlement instruction
β†’126 ExpireTime N Termination date/time for this settlement instruction.
β†’779 LastUpdateTime N Date/time this settlement instruction was last updated (or created if not updated since creation).
β†’Component SettlDetails N Conveys settlement account details reported as part of obligation

Appendix – SettlementStatusManagement Category

Messages

SettlementStatusRequest Message

Tag Name Req’d Description
Component StandardHeader Y MsgType(35)=EC
2965 SettlStatusRequestID Y Unique identifier assigned by sender of this message.
263 SubscriptionRequestType Y
Component Parties N
Component RegulatoryTradeIDGrp N May be used to specify the UTI (ISO 23897) of the trade this status request is for.
Either RegulatoryTradeIDGrp or SettlTradeDetails must be present.
Component SettlTradeDetails N May be used to provide trade details to look-up the trade this status request is for.
Either RegulatoryTradeIDGrp or SettlTradeDetails must be present.
60 TransactTime Y
58 Text N
354 EncodedTextLen N Must be set if EncodedText(355) field is specified and must immediately precede it.
355 EncodedText N Encoded (non-ASCII characters) representation of the Text(58) field in the encoded format specified via the MessageEncoding(347) field.
Component StandardTrailer Y

SettlementStatusRequestAck Message

Tag Name Req’d Description
Component StandardHeader Y MsgType(35)=ED
2965 SettlStatusRequestID Y Identifier of SettlementStatusRequest(35=EC) message being responded to.
2966 SettlStatusRequestStatus Y
1328 RejectText N
1664 EncodedRejectTextLen N Must be set if EncodedRejectText(1665) field is specified and must immediately precede it.
1665 EncodedRejectText N Encoded (non-ASCII characters) representation of the RejectText(1328) field in the encoded format specified via the MessageEncoding(347) field.
Component StandardTrailer Y

SettlementStatusReport Message

Tag Name Req’d Description
Component StandardHeader Y MsgType(35)=EE
2967 SettlStatusReportID Y Unique identifier assigned by sender of this message.
2965 SettlStatusRequestID N Identifier of SettlementStatusRequest(35=EC) message being responded to.
2968 SettlStatus Y
2969 SettlStatusReason N May be used when additional settlement status reason is available.
2970 SettlStatusReasonText N May be used to provide additional textual status reason accompanying SettlStatusReason(2969).
2971 EncodedSettlStatusReasonTextLen N Must be set if EncodedSettlStatusReasonText(2972) is specified and must immediately precede it.
2972 EncodedSettlStatusReasonText N Encoded (non-ASCII characters) representation of SettlStatusReasonText(2970) field in the encoded format specified via the MessageEncoding(347) field.
Component Parties N
Component RegulatoryTradeIDGrp N May be used to specify the UTI (ISO 23897) of the trade this status report is for.
Either RegulatoryTradeIDGrp or SettleTradeDetails must be present.
Component SettlTradeDetails N May be used to provide trade details this status report is for.
Either RegulatoryTradeIDGrp or SettlTradeDetails must be present.
60 TransactTime Y
58 Text N
354 EncodedTextLen N Must be set if EncodedText(355) field is specified and must immediately precede it.
355 EncodedText N Encoded (non-ASCII characters) representation of the Text(58) field in the encoded format specified via the MessageEncoding(347) field.
Component StandardTrailer Y

SettlementStatusReportAck Message

Tag Name Req’d Description
Component StandardHeader Y MsgType(35)=EF
2967 SettlStatusReportID Y Identifier of SettlementStatusReport(35=EE) message being responded to.
2973 SettlStatusReportStatus Y
1328 RejectText N
1664 EncodedRejectTextLen N Must be set if EncodedRejectText(1665) field is specified and must immediately precede it.
1665 EncodedRejectText N Encoded (non-ASCII characters) representation of the RejectText(1328) field in the encoded format specified via the MessageEncoding(347) field.
Component StandardTrailer N

Components

SettlTradeDetails

Tag Name Req’d Description
664 ConfirmID N May be used to identify the trade via the known Confirmation(35=AK) message.
70 AllocID N May be used to identify the trade via the known AllocationInstruction(35=J) message.
467 IndividualAllocID N May be used to identify the trade via a specific allocated account instance of an AllocationInstruction(35=J) this IndividualAllocID(467) is part of. If specified AllocID(70) should be specified.
793 SecondaryAllocID N May be used to identify the trade via a specific allocated account instance of an AllocationInstruction(35=J) this SecondaryAllocID(793) is part of. If specified AllocID(70) should be specified.
79 AllocAccount N
75 TradeDate N
Component Instrument N
80 AllocQty N
54 Side N
6 AvgPx N
423 PriceType N
860 AvgParPx N
381 GrossTradeAmt N
118 NetMoney N
15 Currency N
2897 CurrencyCodeSource N
854 QtyType N
Component NestedParties N
64 SettlDate N
119 SettlCurrAmt N
120 SettlCurrency N
2899 SettlCurrencyCodeSource N
Component SettlInstructionsData N

Appendix – TradeCapture Category

Messages

TradeCaptureReportRequest Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = AD
568 TradeRequestID Y Unique identifier for the trade request.
1003 TradeID N
1040 SecondaryTradeID N
1041 FirmTradeID N
1042 SecondaryFirmTradeID N
569 TradeRequestType Y
263 SubscriptionRequestType N If the field is absent, SubscriptionRequestType(263)=0(Snapshot) will be the default.
571 TradeReportID N Can be used to request a specific trade report.
527 SecondaryExecID N To request all trades based on secondary execution identifier
17 ExecID N
150 ExecType N Can be used to request all trades of a specific execution type.
37 OrderID N
11 ClOrdID N
573 MatchStatus N
828 TrdType N Can be used to request all trades of a specific trade type.
829 TrdSubType N Can be used to request all trades of a specific trade sub type.
1849 OffsetInstruction N
1123 TradeHandlingInstr N
830 TransferReason N Can be used to request all trades for a specific transfer reason.
855 SecondaryTrdType N Can be used to request all trades of a specific secondary trade type.
820 TradeLinkID N Can be used to request all trades of a specific trade link identifier.
880 TrdMatchID N Can be used to request a trade matching a specific TrdMatchID(880).
Component Parties N Used to specify the parties for the trades to be returned (clearing firm, execution broker, trader id, etc.)
ExecutingBroker
ClearingFirm
ContraBroker
ContraClearingFirm
SettlementLocation – depository, CSD, or other settlement party
ExecutingTrader
InitiatingTrader
OrderOriginator
Component Instrument N
Component InstrumentExtension N
Component FinancingDetails N
Component UndInstrmtGrp N
Component InstrmtLegGrp N
Component TrdCapDtGrp N Number of date ranges provided (must be 1 or 2 if specified)
715 ClearingBusinessDate N Can be used to request trades for a specific clearing business date.
336 TradingSessionID N Can be used to request trades for a specific trading session.
625 TradingSessionSubID N Can be used to request trades for a specific trading session.
943 TimeBracket N Can be used to request trades within a specific time bracket.
54 Side N Can be used to request trades for a specific side of a trade.
442 MultiLegReportingType N Used to indicate if trades are to be returned for the individual legs of a multileg instrument or for the overall instrument.
578 TradeInputSource N Can be used to requests trades that were submitted from a specific trade input source.
579 TradeInputDevice N Can be used to request trades that were submitted from a specific trade input device.
725 ResponseTransportType N
726 ResponseDestination N
58 Text N Used to match specific values within Text(58) fields.
354 EncodedTextLen N
355 EncodedText N
1011 MessageEventSource N
Component StandardTrailer Y

TradeCaptureReport Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = AE
Component ApplicationSequenceControl N
571 TradeReportID N TradeReportID(571) is conditionally required in a message-chaining model in which a subsequent message may refer to a prior message via TradeReportRefID(572). The alternative to a message-chain model is an entity-based model in which TradeID(1003) is used to identify a trade. In this case, TradeID(1003) is required and TradeReportID(571) can be optionally specified.
1003 TradeID N
1040 SecondaryTradeID N
1041 FirmTradeID N
1042 SecondaryFirmTradeID N
2489 PackageID N
2490 TradeNumber N
487 TradeReportTransType N
856 TradeReportType N
939 TrdRptStatus N Status of the trade report. In 3-party listed derivatives model, this is used to convey status of a trade to a counterparty. Used specifically in a give-up (also known as claim) model.
568 TradeRequestID N Identifier for the trade capture report request associated with this trade capture report.
828 TrdType N
829 TrdSubType N
855 SecondaryTrdType N Conditionally requires presence of TrdType(828).
2896 TertiaryTrdType N Conditionally requires presence of SecondaryTrdType(855).
2961 AnonymousTradeIndicator N
2667 AlgorithmicTradeIndicator N
1849 OffsetInstruction N
Component TradePriceConditionGrp N
1123 TradeHandlingInstr N
1124 OrigTradeHandlingInstr N
1125 OrigTradeDate N
1126 OrigTradeID N
1127 OrigSecondaryTradeID N
830 TransferReason N
150 ExecType N Type of execution being reported. Uses subset of ExecType(150) for trade capture reports.
748 TotNumTradeReports N
912 LastRptRequested N
1028 ManualOrderIndicator N May be used to indicate manual reporting of the trade.
325 UnsolicitedIndicator N Set to ‘Y’ if message is sent as a result of a subscription request or out of band configuration.
263 SubscriptionRequestType N If the field is absent, SubscriptionRequestType(263)=0(Snapshot) will be the default.
572 TradeReportRefID N The TradeReportID(571) that is being referenced for trade correction or cancelation.
820 TradeLinkID N
880 TrdMatchID N
17 ExecID N Market (exchange) assigned execution identifier as provided in the ExecutionReport(35=8) message.
Conditionally required if ExecRefID(19) is present and refers to the new execution identifer assigned by the market (exchange).
19 ExecRefID N Reference to an execution identifier previously assigned by the market (exchange).
If specified, ExecID(17) is required.
527 SecondaryExecID N
378 ExecRestatementReason N
2347 RegulatoryTransactionType N
Component RegulatoryTradeIDGrp N
570 PreviouslyReported N
423 PriceType N Can be used to indicate cabinet trade pricing.
Component PriceQualifierGrp N
549 CrossType N
Component RootParties N Used for acting parties that applies to the whole message, not individual legs, sides, etc.
1015 AsOfIndicator N
716 SettlSessID N
717 SettlSessSubID N
1430 VenueType N
1300 MarketSegmentID N
1301 MarketID N
2375 TaxonomyType N
Component Instrument Y
Component InstrumentExtension N
Component FinancingDetails N
Component PaymentGrp N
854 QtyType N
Component YieldData N
Component UndInstrmtGrp N
Component RelatedInstrumentGrp N
Component CollateralAmountGrp N
2868 CollateralizationValueDate N
Component RateSource N
Component TransactionAttributeGrp N
822 UnderlyingTradingSessionID N
823 UnderlyingTradingSessionSubID N
32 LastQty N Conditionally required except when reporting trades to parties who will derive trade level quantity from the leg level information for multi-legged trades
1828 LastQtyVariance N
2301 LastQtyChanged N
2368 LastMultipliedQty N
2367 TotalTradeQty N
2370 TotalTradeMultipliedQty N
31 LastPx N Conditionally required except when reporting trades to parties who will derive trade level price from the leg level information for multi-legged trades
631 MidPx N
1522 DifferentialPrice N Used to specify the differential price when reporting the individual leg of a spread trade.
1056 CalculatedCcyLastQty N
2762 PriceMarkup N Dealer’s markup of market price to LastPx(31).
Component AveragePriceDetail N
15 Currency N Primary currency of the specified currency pair. Used to qualify LastQty(32) and GrossTradeAmt(381).
2897 CurrencyCodeSource N
120 SettlCurrency N Contra currency of the deal. Used to qualify CalculatedCcyLastQty(1056).
2899 SettlCurrencyCodeSource N
2366 SettlPriceFxRateCalc N For FX trades expresses whether to multiply or divide LastPx(31) to arrive at GrossTradeAmt(381).
669 LastParPx N
194 LastSpotRate N Applicable for F/X orders
195 LastForwardPoints N Applicable for F/X orders
1071 LastSwapPoints N
2349 PricePrecision N
30 LastMkt N
1596 ClearingTradePrice N Used when clearing price differs from execution price.
1740 TradePriceNegotiationMethod N
1743 LastUpfrontPrice N Upfront Price for CDS transactions. Conditionally required if TradePriceNegotiationMethod(1740) = 4(Percent of par and upfront amount), 5(Deal spread and upfront amount) or 6(Upfront points and upfront amount).
1741 UpfrontPriceType N
75 TradeDate N Used when reporting other than current day trades.
715 ClearingBusinessDate N
2870 ClearingPortfolioID N
6 AvgPx N If used then the LastPx(31) will contain the original price on the execution.
Component SpreadOrBenchmarkCurveData N
1731 AvgPxGroupID N
819 AvgPxIndicator N
2085 ValuationDate N
2086 ValuationTime N
2087 ValuationBusinessCenter N
Component PositionAmountData N
442 MultiLegReportingType N Type of report if multileg instrument.
Provided to support a scenario for trades of multileg instruments between two parties.
824 TradeLegRefID N Reference to the leg of a multileg instrument to which this trade refers. Used when MultiLegReportingType(442) = 2 (Individual leg of a multileg security).
Component TrdInstrmtLegGrp N Identifies a multileg execution if present and non-zero.
60 TransactTime N Time the transaction represented by when this TradeCaptureReport(35=AE) occurred. Execution time of trade. Also describes the time of block trades.
Component TrdRegTimestamps N
63 SettlType N
64 SettlDate N Takes precedence over SettlType(63) value and conditionally required/omitted for specific SettlType(63) values.
2878 TerminationDate N
987 UnderlyingSettlementDate N The settlement date for the underlying instrument of a derivatives security.
573 MatchStatus N
2405 ExecMethod N
574 MatchType N
Component TradeQtyGrp N
Component TrdCapRptSideGrp Y
1188 Volatility N
1189 TimeToExpiration N
1380 DividendYield N
1190 RiskFreeRate N
811 PriceDelta N
1382 CurrencyRatio N
797 CopyMsgIndicator N
Component TrdRepIndicatorsGrp N
2524 TradeReportingIndicator N
1390 TradePublishIndicator N
Component TrdRegPublicationGrp N
853 ShortSaleReason N
994 TierCode N Indicates the algorithm (tier) used to match a trade.
1011 MessageEventSource N
779 LastUpdateTime N Used to indicate reports after a specific time.
991 RndPx N Specifies the rounded price to quoted precision.
1132 TZTransactTime N
1134 ReportedPxDiff N
381 GrossTradeAmt N (LastQty(32) * LastPx(31) or LastParPx(669)). For Fixed Income, LastParPx(669) is used when LastPx(31) is not expressed as percent of par price.
2369 TotalGrossTradeAmt N
751 TradeReportRejectReason N Indicates the reason that a trade report was rejected.
1328 RejectText N
1664 EncodedRejectTextLen N
1665 EncodedRejectText N
1329 FeeMultiplier N
1832 ClearedIndicator N
1924 ClearingIntention N
1925 TradeClearingInstruction N
1926 BackloadedTradeIndicator N
1927 ConfirmationMethod N
1928 MandatoryClearingIndicator N
Component MandatoryClearingJurisdictionGrp N
1929 MixedSwapIndicator N
2527 MultiAssetSwapIndicator N
2526 InternationalSwapIndicator N
1930 OffMarketPriceIndicator N
1931 VerificationMethod N
1932 ClearingRequirementException N
1933 IRSDirection N
1934 RegulatoryReportType N
2869 RegulatoryReportTypeBusinessDate N May be used when the business event date differs from when the regulatory report is actually being submitted (typically specified in TrdRegTimestamps component).
1935 VoluntaryRegulatoryReport N
2963 MultiJurisdictionReportingIndicator N
1936 TradeCollateralization N
1937 TradeContinuation N
2387 TradeContingency N
2302 TradeVersion N
2303 HistoricalReportIndicator N
2596 DeltaCrossed N
2374 TradeContinuationText N
2372 EncodedTradeContinuationTextLen N Must be set if EncodedTradeContinuationText(2371) field is specified and must immediately precede it.
2371 EncodedTradeContinuationText N Encoded (non-ASCII characters) representation of the TradeContinuationText(2374) field in the encoded format specified via the MessageEncoding(347) field.
2373 IntraFirmTradeIndicator N
2525 AffiliatedFirmsTradeIndicator N
Component AttachmentGrp N
2343 RiskLimitCheckStatus N
Component StandardTrailer Y

TradeCaptureReportRequestAck Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = AQ
568 TradeRequestID Y Identifier for the trade request
1003 TradeID N
1040 SecondaryTradeID N
1041 FirmTradeID N
1042 SecondaryFirmTradeID N
569 TradeRequestType Y
263 SubscriptionRequestType N Used to subscribe / unsubscribe for trade capture reports
If the field is absent, the value 0 will be the default
748 TotNumTradeReports N Number of trade reports returned
749 TradeRequestResult Y Result of Trade Request
750 TradeRequestStatus Y Status of Trade Request
Component Instrument N Insert here the set of Instrument (symbology) fields defined in Common Components of Application Messages
Component InstrumentExtension N
Component UndInstrmtGrp N
Component InstrmtLegGrp N Number of legs
NoLegs > 0 identifies a Multi-leg Execution
442 MultiLegReportingType N Specify type of multileg reporting to be returned.
725 ResponseTransportType N Ability to specify whether the response to the request should be delivered inband or via pre-arranged out-of-band transport.
726 ResponseDestination N URI destination name. Used if ResponseTransportType is out-of-band.
58 Text N May be used by the executing market to record any execution Details that are particular to that market
354 EncodedTextLen N Must be set if EncodedText field is specified and must immediately precede it.
355 EncodedText N Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
1011 MessageEventSource N Used to identify the event or source which gave rise to a message
Component StandardTrailer Y

TradeCaptureReportAck Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = AR
571 TradeReportID N
1003 TradeID N
1040 SecondaryTradeID N
1041 FirmTradeID N
1042 SecondaryFirmTradeID N
487 TradeReportTransType N
856 TradeReportType N Indicates action to take on trade.
828 TrdType N
829 TrdSubType N
855 SecondaryTrdType N
1849 OffsetInstruction N
1123 TradeHandlingInstr N
1124 OrigTradeHandlingInstr N
1125 OrigTradeDate N
1126 OrigTradeID N
1127 OrigSecondaryTradeID N
830 TransferReason N
Component RootParties N
150 ExecType N Type of execution being reported. Uses subset of ExecType(150) for trade capture reports.
572 TradeReportRefID N The TradeReportID(571) that is being referenced for trade correction or cancelation.
939 TrdRptStatus N Status of trade report.
1523 TrdAckStatus N
751 TradeReportRejectReason N
1328 RejectText N Reason description for rejecting the TradeCaptureReport(35=AE).
1664 EncodedRejectTextLen N Must be set if EncodedRejectText(1665) field is specified and must immediately precede it.
1665 EncodedRejectText N Encoded (non-ASCII characters) representation of the RejectText(1328) field in the encoded format specified via the MessageEncoding(347) field.
263 SubscriptionRequestType N If the field is absent, SubscriptionRequestType(263)=0(Snapshot) will be the default.
820 TradeLinkID N
880 TrdMatchID N
17 ExecID N Exchanged assigned execution identifier (trade identifier).
527 SecondaryExecID N
378 ExecRestatementReason N
570 PreviouslyReported N
423 PriceType N
Component PriceQualifierGrp N
549 CrossType N
822 UnderlyingTradingSessionID N
823 UnderlyingTradingSessionSubID N
716 SettlSessID N
717 SettlSessSubID N
854 QtyType N
32 LastQty N
31 LastPx N
1430 VenueType N
1300 MarketSegmentID N
1301 MarketID N
Component Instrument Y
Component InstrumentExtension N
Component FinancingDetails N
669 LastParPx N
1056 CalculatedCcyLastQty N
1071 LastSwapPoints N
2762 PriceMarkup N Dealer’s markup of market price to LastPx(31).
Component AveragePriceDetail N
15 Currency N Primary currency of the specified currency pair. Used to qualify LastQty(32) and GrossTradeAmt(381).
2897 CurrencyCodeSource N
120 SettlCurrency N Contra currency of the deal. Used to qualify CalculatedCcyLastQty(1056).
2899 SettlCurrencyCodeSource N
194 LastSpotRate N
195 LastForwardPoints N
30 LastMkt N
75 TradeDate N
715 ClearingBusinessDate N
6 AvgPx N
1731 AvgPxGroupID N
819 AvgPxIndicator N
442 MultiLegReportingType N
824 TradeLegRefID N
60 TransactTime N Time this message was issued by matching system, trading system or counterparty.
63 SettlType N
Component UndInstrmtGrp N
573 MatchStatus N
574 MatchType N
797 CopyMsgIndicator N
Component TrdRepIndicatorsGrp N
1390 TradePublishIndicator N
853 ShortSaleReason N
Component TrdInstrmtLegGrp N
Component TrdRegTimestamps N
725 ResponseTransportType N
726 ResponseDestination N
58 Text N
354 EncodedTextLen N Must be set if EncodedText(355) field is specified and must immediately precede it.
355 EncodedText N
1015 AsOfIndicator N
635 ClearingFeeIndicator N
Component PositionAmountData N
994 TierCode N Indicates the algorithm (tier) used to match a trade.
1011 MessageEventSource N
779 LastUpdateTime N Used to indicate reports after a specific time.
991 RndPx N Specifies the rounded price to quoted precision.
Component TradeQtyGrp N
Component TrdCapRptAckSideGrp N
1135 RptSys N
381 GrossTradeAmt N (LastQty(32) * LastPx(31) or LastParPx(669)). For Fixed Income, LastParPx(669) is used when LastPx(31) is not expressed as percent of par price.
64 SettlDate N
1329 FeeMultiplier N
2343 RiskLimitCheckStatus N
Component StandardTrailer Y

TradeMatchReport Message

Tag Name Req’d Description
Component StandardHeader Y MsgType=DC
Component ApplicationSequenceControl N
880 TrdMatchID Y Unique identifier common for all trades included in a match event.
574 MatchType N
856 TradeReportType N
715 ClearingBusinessDate N
828 TrdType N
829 TrdSubType N
75 TradeDate N Used when reporting other than current day trades.
1301 MarketID N
1300 MarketSegmentID N
336 TradingSessionID N
625 TradingSessionSubID N
1430 VenueType N
1888 TradeMatchTimestamp N
60 TransactTime N Time of the match event or transaction that resulted in this match report.
442 MultiLegReportingType N Differentiates match events involving complex instruments (MultiLegReportingType(442)=3(multileg security)) from those only involving simple instruments (MultiLegReportingType(442)=1(single security)). MultiLegReportingType(442)=2(individual leg of multileg security) should not be used.
Component InstrmtMatchSideGrp N Conditionally required when TradeReportType(856) = Submit(0).
Component StandardTrailer Y

TradeMatchReportAck Message

Tag Name Req’d Description
Component StandardHeader Y MsgType=DD
Component ApplicationSequenceControl N
880 TrdMatchID Y Identifier of the TradeMatchReport(35=DC) being acknowledged.
1896 TradeMatchAckStatus Y
1897 TradeMatchRejectReason N Conditionally required when TradeMatchAckStatus(1896) = Rejected(2).
1328 RejectText N
1664 EncodedRejectTextLen N
1665 EncodedRejectText N
58 Text N
354 EncodedTextLen N
355 EncodedText N
Component StandardTrailer Y

Components

AveragePriceDetail

Tag Name Req’d Description
2763 AveragePriceType N
2764 AveragePriceStartTime N Required if AveragePriceType(2763)=2 (Percent of volume average price) or 0 (Time weighted average price).
2765 AveragePriceEndTime N Required if AveragePriceType(2763)=2 (Percent of volume average price) or 0 (Time weighted average price).

InstrmtMatchSideGrp

Tag Name Req’d Description
1889 NoInstrmtMatchSides N
β†’Component Instrument N Required if NoInstrmtMatchSides(1889) > 0.
β†’Component InstrmtLegGrp N LegID(1788) in the InstrmtLegGrp component can be used to reference individual leg executions referenced in the TrdInstrmtLegExecGrp component with LegRefID(654).
β†’Component UndInstrmtGrp N
β†’1891 TrdMatchSubID N
β†’53 Quantity N Total quantity for this instrument in this match event. This is the cumulative sum of LastQty(32) for all match steps for this instrument.
β†’15 Currency N
β†’2897 CurrencyCodeSource N
β†’120 SettlCurrency N
β†’2899 SettlCurrencyCodeSource N
β†’854 QtyType N
β†’32 LastQty N Required if NoInstrmtMatchSides(1889) > 0.
Trade quantity for this instrument within this match step. The value is the greater of the sum of SideLastQty(1009) of each side (i.e. buy or sell) for each TrdMatchSideGrp instance within the current InstrmtMatchSideGrp instance.
β†’423 PriceType N
β†’31 LastPx N Required if NoInstrmtMatchSides(1889) > 0.
β†’30 LastMkt N
β†’Component TrdMatchSideGrp N Required if NoInstrmtMatchSides(1889) > 0.

LegPositionAmountData

Tag Name Req’d Description
1586 NoLegPosAmt N
β†’1587 LegPosAmt N Conditionally required if NoLegPosAmt > 0.
β†’1588 LegPosAmtType N
β†’1589 LegPosCurrency N
β†’2938 LegPosCurrencyCodeSource N
β†’1590 LegPosAmtReason N

MandatoryClearingJurisdictionGrp

Tag Name Req’d Description
41312 NoMandatoryClearingJurisdictions N
β†’41313 MandatoryClearingJurisdiction N Required if NoNoMandatoryClearingJurisdictions(41312) > 0.

RelatedPositionGrp

Tag Name Req’d Description
1861 NoRelatedPositions N
β†’1862 RelatedPositionID N Required if NoRelatedPositions(1861) > 0.
β†’1863 RelatedPositionIDSource N
β†’1864 RelatedPositionDate N

SideCollateralAmountGrp

Tag Name Req’d Description
2691 NoSideCollateralAmounts N
β†’2702 SideCurrentCollateralAmount N Required if NoSideCollateralAmounts(2691) > 0.
β†’2695 SideCollateralCurrency N Can be used to specify the currency of SideCollateralAmount(2702) if Currency(15) is not specified or is not the same.
β†’2930 SideCollateralCurrencyCodeSource N
β†’2694 SideCollateralAmountType N
β†’2696 SideCollateralFXRate N
β†’2697 SideCollateralFXRateCalc N
β†’2701 SideCollateralType N
β†’2693 SideCollateralAmountMarketSegmentID N
β†’2692 SideCollateralAmountMarketID N
β†’2703 SideHaircutIndicator N
β†’2700 SideCollateralPortfolioID N
β†’2699 SideCollateralPercentOverage N
β†’2698 SideCollateralMarketPrice N
β†’2862 SideCollateralReinvestmentRate N When multiple instances of the SideCollateralReinvestmentGrp component are present this field specifies the average reinvestment rate.
β†’Component SideCollateralReinvestmentGrp N
β†’2863 SideUnderlyingRefID N May be used to indicate that this entry applies to the underlying collateral instrument being referenced by the value in UnderlyingID(2874).

SideCollateralReinvestmentGrp

Tag Name Req’d Description
2864 NoSideCollateralReinvestments N
β†’2867 SideCollateralReinvestmentType N Required if NoSideCollateralReinvestments(2864) > 0.
β†’2865 SideCollateralReinvestmentAmount N
β†’2866 SideCollateralReinvestmentCurrency N
β†’2932 SideCollateralReinvestmentCurrencyCodeSource N

SideRegulatoryTradeIDGrp

Tag Name Req’d Description
1971 NoSideRegulatoryTradeIDs N
β†’1972 SideRegulatoryTradeID N Required if NoSideRegulatoryTradeIDs(1971) > 0.
β†’1973 SideRegulatoryTradeIDSource N
β†’1974 SideRegulatoryTradeIDEvent N
β†’1975 SideRegulatoryTradeIDType N
β†’2416 SideRegulatoryLegRefID N This field may be is used for multi-leg trades sent as a single message to indicate that the entry applies only to a specific leg.
β†’2398 SideRegulatoryTradeIDScope N

SideTrdRegTS

Tag Name Req’d Description
1016 NoSideTrdRegTS N
β†’1012 SideTrdRegTimestamp N
β†’1013 SideTrdRegTimestampType N
β†’1014 SideTrdRegTimestampSrc N

TradePositionQty

Tag Name Req’d Description
702 NoPositions N
β†’703 PosType N Required if NoPositions > 0.
β†’704 LongQty N
β†’705 ShortQty N
β†’1654 CoveredQty N
β†’706 PosQtyStatus N
β†’976 QuantityDate N

TradeQtyGrp

Tag Name Req’d Description
1841 NoTradeQtys N
β†’1842 TradeQtyType N Required if NoTradeQty(1841) > 0.
β†’1843 TradeQty N Required if NoTradeQty(1841) > 0.

TradeReportOrderDetail

Tag Name Req’d Description
37 OrderID N
198 SecondaryOrderID N
11 ClOrdID N In the case of quotes can be mapped to QuoteMsgID(1166) of a single Quote(MsgType=S) or QuoteID(117) of a MassQuote(MsgType=i).
526 SecondaryClOrdID N In the case of quotes can be mapped to QuoteID(117) of a single Quote(MsgType=S) or QuoteEntryID(299) of a MassQuote(MsgType=i).
66 ListID N
1080 RefOrderID N Some hosts assign an order a new order id under special circumstances. The RefOrdID field will connect the same underlying order across changing OrderIDs.
1081 RefOrderIDSource N
1431 RefOrdIDReason N The reason for updating the RefOrdID
Component RelatedOrderGrp N
1091 PreTradeAnonymity N
40 OrdType N Order type from the order associated with the trade
44 Price N Order price at time of trade
99 StopPx N Stop/Limit order price
18 ExecInst N Execution Instruction from the order associated with the trade
39 OrdStatus N Status of order as of this trade report
Component OrderQtyData N Order quantity at time of trade
151 LeavesQty N
14 CumQty N
59 TimeInForce N
126 ExpireTime N The order expiration date/time in UTC
Component MatchingInstructions N
2362 SelfMatchPreventionID N May be used as an alternative to MatchingInstructions when the identifier does not appear in another field.
2964 SelfMatchPreventionInstruction N
1629 ExposureDuration N The (minimum or suggested) period of time a quoted price is to be tradable before it becomes indicative. (i.e. quoted price becomes off-the-wire).
1916 ExposureDurationUnit N
Component DisplayInstruction N
528 OrderCapacity N
529 OrderRestrictions N
775 BookingType N
1432 OrigCustOrderCapacity N
1724 OrderOrigination N
Component OrderAttributeGrp N
2704 ExDestinationType N
821 OrderInputDevice N
1093 LotType N
483 TransBkdTime N
586 OrigOrdModTime N
2766 OrderPercentOfTotalVolume N

TrdAllocGrp

Tag Name Req’d Description
78 NoAllocs N
β†’79 AllocAccount N Required if NoAllocs(78) > 0.
β†’661 AllocAcctIDSource N
β†’736 AllocSettlCurrency N
β†’2927 AllocSettlCurrencyCodeSource N
β†’467 IndividualAllocID N
β†’1593 ParentAllocID N
β†’2727 AllocLegRefID N The field may not be used in any message where there are no legs.
β†’Component AllocRegulatoryTradeIDGrp N
β†’1729 FirmMnemonic N
β†’Component NestedParties2 N
β†’209 AllocHandlInst N
β†’80 AllocQty N
β†’2515 AllocCalculatedCcyQty N
β†’1752 CustodialLotID N Only used for specific lot trades.
β†’1753 VersusPurchaseDate N Only used for specific lot trades. If this field is used, either VersusPurchasePrice(1754) or CurrentCostBasis(1755) should be specified.
β†’1754 VersusPurchasePrice N Only used for specific lot trades. If this field is used, VersusPurchaseDate(1753) should be specified.
β†’1755 CurrentCostBasis N Only used for specific lot trades. If this field is used, VersusPurchaseDate(1753) should be specified
β†’993 AllocCustomerCapacity N Can be used for granular reporting of separate allocation detail within a single trade report or allocation message.
β†’1002 AllocMethod N
β†’989 SecondaryIndividualAllocID N
β†’1136 AllocClearingFeeIndicator N
β†’Component TradeAllocAmtGrp N
β†’1840 TradeAllocStatus N
β†’1735 AllocationRollupInstruction N
β†’161 AllocText N
β†’360 EncodedAllocTextLen N
β†’361 EncodedAllocText N
β†’1732 FirmAllocText N
β†’1733 EncodedFirmAllocTextLen N
β†’1734 EncodedFirmAllocText N
β†’2392 AllocRefRiskLimitCheckID N
β†’2393 AllocRefRiskLimitCheckIDType N
β†’Component AllocCommissionDataGrp N

TrdCapDtGrp

Tag Name Req’d Description
580 NoDates N
β†’75 TradeDate N Used when reporting other than current day trades.
Conditionally required if NoDates > 0
β†’779 LastUpdateTime N
β†’60 TransactTime N To request trades for a specific time.

TrdCapRptAckSideGrp

Tag Name Req’d Description
552 NoSides N
β†’54 Side Y Required when NoSides(552) > 0.
β†’1427 SideExecID N
β†’1506 SideTradeID N
β†’1507 SideOrigTradeID N
β†’1428 OrderDelay N
β†’1429 OrderDelayUnit N
β†’Component Parties N
β†’1 Account N
β†’660 AcctIDSource N
β†’581 AccountType N
β†’Component LimitAmts N Insert here the set of LimitAmts field defined in Common Components
β†’81 ProcessCode N
β†’Component ClrInstGrp N
β†’2671 SideTradeReportingIndicator N
β†’578 TradeInputSource N
β†’579 TradeInputDevice N
β†’376 ComplianceID N
β†’2404 ComplianceText N
β†’2351 EncodedComplianceTextLen N Must be set if EncodedComplianceText(2352) field is specified and must immediately precede it.
β†’2352 EncodedComplianceText N Encoded (non-ASCII characters) representation of the ComplianceText(2404) field in the encoded format specified via the MessageEncoding(347) field.
β†’377 SolicitedFlag N
β†’582 CustOrderCapacity N
β†’336 TradingSessionID N
β†’625 TradingSessionSubID N
β†’943 TimeBracket N
β†’430 NetGrossInd N
β†’1154 SideCurrency N
β†’2901 SideCurrencyCodeSource N
β†’1155 SideSettlCurrency N
β†’2902 SideSettlCurrencyCodeSource N
β†’Component CommissionData N
β†’Component CommissionDataGrp N Use as an alternative to CommissionData if multiple commissions or enhanced attributes are needed.
β†’157 NumDaysInterest N
β†’230 ExDate N
β†’158 AccruedInterestRate N
β†’159 AccruedInterestAmt N
β†’738 InterestAtMaturity N
β†’920 EndAccruedInterestAmt N
β†’921 StartCash N
β†’922 EndCash N
β†’238 Concession N
β†’237 TotalTakedown N
β†’118 NetMoney N
β†’119 SettlCurrAmt N
β†’155 SettlCurrFxRate N
β†’156 SettlCurrFxRateCalc N
β†’77 PositionEffect N
β†’752 SideMultiLegReportingType N
β†’Component ContAmtGrp N
β†’Component Stipulations N
β†’Component MiscFeesGrp N
β†’825 ExchangeRule N
β†’Component SettlDetails N Conveys settlement account details reported as part of obligation.
β†’826 TradeAllocIndicator N
β†’1730 AllocGroupID N
β†’2771 PreviousAllocGroupID N Identifies the previous AllocGroupID(1730) being changed when AllocGroupStatus(2767)=3 (Changed).
β†’2759 GroupAmount N
β†’2767 AllocGroupStatus N
β†’1853 SideAvgPxIndicator N
β†’1854 SideAvgPxGroupID N
β†’1852 SideAvgPx N
β†’591 PreallocMethod N
β†’70 AllocID N
β†’Component TrdAllocGrp N
β†’1072 SideGrossTradeAmt N
β†’1057 AggressorIndicator N
β†’1009 SideLastQty N
β†’1005 SideTradeReportID N
β†’1006 SideFillStationCd N
β†’1007 SideReasonCd N
β†’83 RptSeq N
β†’1008 SideTrdSubType N
β†’1115 OrderCategory N
β†’1851 StrategyLinkID N
β†’Component TradeReportOrderDetail N Details of the order associated with this side of the trade.
β†’Component SideTrdRegTS N
β†’1031 CustOrderHandlingInst N
β†’1032 OrderHandlingInstSource N
β†’Component RelatedTradeGrp N
β†’Component RelatedPositionGrp N
β†’2344 SideRiskLimitCheckStatus N

TrdCapRptSideGrp

Tag Name Req’d Description
552 NoSides N
β†’54 Side Y Required when NoSides(552) > 0.
β†’2102 ShortMarkingExemptIndicator N
β†’1427 SideExecID N
β†’1428 OrderDelay N
β†’1429 OrderDelayUnit N
β†’1009 SideLastQty N
β†’1597 SideClearingTradePrice N Used to indicate a side specific alternate clearing price.
β†’1599 SidePriceDifferential N Used to indicate the Price Differential between the first and second leg of a complex instrument.
β†’1598 SideClearingTradePriceType N Used to indicate whether the trade is clearing using execution price (LastPx) or alternate clearing price (ClrTrdPx)
β†’1005 SideTradeReportID N
β†’1506 SideTradeID N
β†’1507 SideOrigTradeID N
β†’1006 SideFillStationCd N
β†’1007 SideReasonCd N
β†’83 RptSeq N
β†’1008 SideTrdSubType N
β†’430 NetGrossInd N
β†’1154 SideCurrency N
β†’2901 SideCurrencyCodeSource N
β†’1155 SideSettlCurrency N
β†’2902 SideSettlCurrencyCodeSource N
β†’Component Parties N
β†’Component PartyDetailGrp N PartyDetailID(1619) must reference an existing entry in Parties component or a previous entry in RelatedPartyDetailGrp. The instance must have the same role as the referenced entry. The embedded RelatedPartyDetailID(1563) should introduce a new party identifier not previously reported.
β†’1 Account N Required for executions against electronically submitted orders which were assigned an account by the institution or intermediary.
β†’660 AcctIDSource N
β†’581 AccountType N
β†’522 OwnerType N
β†’Component LimitAmts N Insert here the set of LimitAmts fields defined in Common Components
β†’81 ProcessCode N Used to specify Step-out trades.
β†’Component ClrInstGrp N
β†’635 ClearingFeeIndicator N
β†’Component SideRegulatoryTradeIDGrp N
β†’2671 SideTradeReportingIndicator N May be used to bilaterally inform counterparty of trade reporting status for this side of the trade.
β†’2418 FirmTradeEventID N
β†’578 TradeInputSource N
β†’579 TradeInputDevice N
β†’376 ComplianceID N
β†’2404 ComplianceText N
β†’2351 EncodedComplianceTextLen N Must be set if EncodedComplianceText(2352) field is specified and must immediately precede it.
β†’2352 EncodedComplianceText N Encoded (non-ASCII characters) representation of the ComplianceText(2404) field in the encoded format specified via the MessageEncoding(347) field.
β†’377 SolicitedFlag N
β†’582 CustOrderCapacity N The customer capacity for this trade
β†’336 TradingSessionID N Usually the same for all sides of a trade, if reported only on the first side the same TradingSessionID(336) then applies to all sides of the trade.
β†’625 TradingSessionSubID N Usually the same for all sides of a trade, if reported only on the first side the same TradingSessionSubID(625) then applies to all sides of the trade.
β†’943 TimeBracket N
β†’2356 RemunerationIndicator N
β†’Component CommissionData N
β†’Component CommissionDataGrp N Use as an alternative to CommissionData if multiple commissions or enhanced attributes are needed.
β†’157 NumDaysInterest N
β†’230 ExDate N
β†’158 AccruedInterestRate N
β†’159 AccruedInterestAmt N
β†’738 InterestAtMaturity N
β†’920 EndAccruedInterestAmt N For repurchase agreements the accrued interest on termination.
β†’921 StartCash N For repurchase agreements the start (dirty) cash consideration.
β†’922 EndCash N For repurchase agreements the end (dirty) cash consideration.
β†’238 Concession N
β†’237 TotalTakedown N
β†’118 NetMoney N Value expressed in the currency reflected by the Currency(15) field.
β†’119 SettlCurrAmt N
β†’155 SettlCurrFxRate N
β†’156 SettlCurrFxRateCalc N
β†’77 PositionEffect N Can be used for derivatives omnibus accounting.
β†’58 Text N Can be used by the executing market to record any execution details that are particular to that market.
β†’354 EncodedTextLen N Must be set if EncodedText field is specified and must immediately precede it.
β†’355 EncodedText N
β†’752 SideMultiLegReportingType N Can be used to support the scenario where a single leg instrument trades against an individual leg of a multileg instrument.
β†’Component ContAmtGrp N
β†’Component Stipulations N
β†’Component MiscFeesGrp N
β†’825 ExchangeRule N
β†’826 TradeAllocIndicator N
β†’1848 TradeAllocGroupInstruction N
β†’1730 AllocGroupID N
β†’2771 PreviousAllocGroupID N Identifies the previous AllocGroupID(1730) being changed by this message when AllocGroupStatus(2767)=3 (Changed).
β†’2759 GroupAmount N
β†’2767 AllocGroupStatus N
β†’1853 SideAvgPxIndicator N
β†’1854 SideAvgPxGroupID N
β†’1852 SideAvgPx N
β†’591 PreallocMethod N
β†’70 AllocID N Used to assign an ID to the block of preallocations.
β†’Component TrdAllocGrp N
β†’Component SideTrdRegTS N
β†’Component SettlDetails N Conveys settlement account details reported as part of obligation.
β†’1072 SideGrossTradeAmt N
β†’1057 AggressorIndicator N
β†’1139 ExchangeSpecialInstructions N
β†’1690 SideShortSaleExemptionReason N Optional when Side (54) = 6 (Sell short exempt)
β†’1115 OrderCategory N
β†’1444 SideLiquidityInd N
β†’1851 StrategyLinkID N
β†’Component TradeReportOrderDetail N Order details for the order associated with this side of the trade.
β†’1031 CustOrderHandlingInst N
β†’1032 OrderHandlingInstSource N
β†’Component TradePositionQty N
β†’Component RelatedTradeGrp N
β†’Component RelatedPositionGrp N
β†’1980 BlockTrdAllocIndicator N
β†’2344 SideRiskLimitCheckStatus N
β†’29 LastCapacity N In the context of regulatory trade reporting, this specifies the trading capacity of the reporting party.
β†’2334 RefRiskLimitCheckID N
β†’2335 RefRiskLimitCheckIDType N
β†’2361 CompressionGroupID N
β†’Component SideCollateralAmountGrp N

TrdInstrmtLegExecGrp

Tag Name Req’d Description
1892 NoLegExecs N
β†’654 LegRefID N Required if NoLegExecs(1892) > 0.
β†’1893 LegExecID N
β†’1901 LegExecRefID N
β†’1894 LegTradeID N
β†’1895 LegTradeReportID N
β†’685 LegOrderQty N
β†’564 LegPositionEffect N Can be used to specify the position effect for the leg if it is different from the position effect of the overall multileg security.
β†’565 LegCoveredOrUncovered N Can be used to specify whether the option is a cover, if it is different from the overall multileg security.
β†’Component NestedParties3 N
β†’637 LegLastPx N
β†’686 LegPriceType N
β†’675 LegSettlCurrency N
β†’2900 LegSettlCurrencyCodeSource N
β†’1689 LegShortSaleExemptionReason N
β†’1418 LegLastQty N
β†’1591 LegQtyType N

TrdInstrmtLegGrp

Tag Name Req’d Description
555 NoLegs N
β†’Component InstrumentLeg N Required if NoLegs(555) > 0.
β†’Component LegFinancingDetails N
β†’Component LegPositionAmountData N
β†’685 LegOrderQty N Quantity ordered for this leg as provided during order entry.
β†’2346 LegMidPx N
β†’690 LegSwapType N Instead of LegOrderQty(685) requests that the sellside calculate LegOrderQty(685) based on opposite Leg.
β†’990 LegReportID N Additional attribute to store the trade or trade report identifier of the leg.
β†’1152 LegNumber N Allow sequencing of legs for a strategy to be captured.
β†’Component LegStipulations N
β†’2680 LegAccount N
β†’1817 LegClearingAccountType N Provide if different from the value specified for the overall multileg security in ClearingAccountType(1816) in the Instrument component.
β†’564 LegPositionEffect N Provide if different from the value specified for the overall multileg security in PositionEffect(77) in the Instrument component.
β†’565 LegCoveredOrUncovered N Provide if different from the value specified for the overall multileg security in CoveredOrUncovered(203) in the Instrument component.
β†’Component NestedParties N
β†’587 LegSettlType N
β†’588 LegSettlDate N Takes precedence over a calculated LegSettlType(587) when specified regardless of LegSettlType(587) value.
Conditionally required when LegSettlType(587) = B(Broken date).
β†’637 LegLastPx N Used to report the execution price assigned to the leg of the multileg instrument.
β†’686 LegPriceType N Indicates the price type provided with each leg of a multi-leg trade
β†’675 LegSettlCurrency N
β†’2900 LegSettlCurrencyCodeSource N
β†’1073 LegLastForwardPoints N
β†’1074 LegCalculatedCcyLastQty N
β†’1075 LegGrossTradeAmt N For FX Futures can be used to express the notional value of a trade when LegLastQty(1418) and other quantity fields are expressed in terms of number of contracts – LegContractMultiplier(231) is required in this case.
β†’1689 LegShortSaleExemptionReason N Available for optional use when LegSide(624) = 6 (Sell short exempt) in InstrumentLeg component.
β†’1379 LegVolatility N
β†’1381 LegDividendYield N
β†’1383 LegCurrencyRatio N
β†’1384 LegExecInst N
β†’1418 LegLastQty N Quantity executed for this leg.
β†’1591 LegQtyType N Leg quantity type to be specified at the leg level. Can be different for each leg.
β†’2358 LegLastMultipliedQty N
β†’2357 LegTotalTradeQty N
β†’2360 LegTotalTradeMultipliedQty N
β†’2359 LegTotalGrossTradeAmt N
β†’2492 LegDifferentialPrice N

TrdMatchSideGrp

Tag Name Req’d Description
1890 NoTrdMatchSides N
β†’54 Side N Required if NoTrdMatchSides(1890) > 0.
β†’1427 SideExecID N
β†’1900 SideExecRefID N
β†’1506 SideTradeID N
β†’1005 SideTradeReportID N
β†’1428 OrderDelay N
β†’1429 OrderDelayUnit N
β†’1009 SideLastQty N Required if NoTrdMatchSides(1890) > 0.
Used to indicate the matched quantity for this trade side as a result of the match event.
β†’1597 SideClearingTradePrice N
β†’1599 SidePriceDifferential N
β†’1598 SideClearingTradePriceType N
β†’1006 SideFillStationCd N
β†’1007 SideReasonCd N
β†’1008 SideTrdSubType N
β†’430 NetGrossInd N
β†’1154 SideCurrency N
β†’2901 SideCurrencyCodeSource N
β†’1155 SideSettlCurrency N
β†’2902 SideSettlCurrencyCodeSource N
β†’Component Parties N Required if NoTrdMatchSides(1890) > 0.
β†’578 TradeInputSource N
β†’579 TradeInputDevice N
β†’376 ComplianceID N
β†’2404 ComplianceText N
β†’2351 EncodedComplianceTextLen N Must be set if EncodedComplianceText(2352) field is specified and must immediately precede it.
β†’2352 EncodedComplianceText N Encoded (non-ASCII characters) representation of the ComplianceText(2404) field in the encoded format specified via the MessageEncoding(347) field.
β†’377 SolicitedFlag N
β†’582 CustOrderCapacity N
β†’943 TimeBracket N
β†’77 PositionEffect N For use in derivatives omnibus accounting.
β†’825 ExchangeRule N
β†’826 TradeAllocIndicator N
β†’591 PreallocMethod N
β†’70 AllocID N
β†’Component TrdAllocGrp N
β†’1072 SideGrossTradeAmt N
β†’1057 AggressorIndicator N
β†’1139 ExchangeSpecialInstructions N
β†’1690 SideShortSaleExemptionReason N
β†’1115 OrderCategory N
β†’819 AvgPxIndicator N
β†’1731 AvgPxGroupID N
β†’1898 SideMarketSegmentID N Can be used if the match event results in matches across different market segments for this side.
β†’1899 SideVenueType N Can be used if the match event results in matches across different venue types for this side.
β†’635 ClearingFeeIndicator N
β†’Component TradeReportOrderDetail N
β†’Component TrdInstrmtLegExecGrp N
β†’1031 CustOrderHandlingInst N
β†’1032 OrderHandlingInstSource N
β†’58 Text N Can be used to include text included in the order submission.
β†’354 EncodedTextLen N
β†’355 EncodedText N

TrdRepIndicatorsGrp

Tag Name Req’d Description
1387 NoTrdRepIndicators N
β†’1388 TrdRepPartyRole N
β†’1389 TrdRepIndicator N

Appendix – TradeManagement Category

Messages

TradeAggregationRequest Message

Tag Name Req’d Description
Component StandardHeader Y MsgType=DW
2786 TradeAggregationRequestID Y Unique identifier for the message.
2787 TradeAggregationRequestRefID N Required when TradeAggregationTransType(2788)=1 (Cancel) or 2 (Replace)
2788 TradeAggregationTransType Y
2789 AggregatedQty N
15 Currency N
2897 CurrencyCodeSource N
6 AvgPx N
54 Side Y
2349 PricePrecision N
Component OrderAggregationGrp N Maybe used to specify the IDs of the orders being aggregated together.
Component ExecutionAggregationGrp N Maybe used to specify the IDs of the execution fills being aggregated together.
1 Account N
Component Instrument Y
Component Parties N
Component StandardTrailer Y

TradeAggregationReport Message

Tag Name Req’d Description
Component StandardHeader Y MsgType=DX
2792 TradeAggregationReportID Y Unique identifier for the report message.
2786 TradeAggregationRequestID N Unique identifier for the TradeAggregationRequest(35=DW) message being responded to.
2790 TradeAggregationRequestStatus Y
1003 TradeID N Conditionally required when TradeAggregationRequestStatus(2790)=0 (Accepted).
The trade identifier for the group of aggregated trades.
2791 TradeAggregationRejectReason N
2789 AggregatedQty N Conditionally required when TradeAggregationRequestStatus(2790)=0 (Accepted).
6 AvgPx N
2793 AvgSpotRate N
2794 AvgForwardPoints N
64 SettlDate N
Component Instrument N Conditionally required when TradeAggregationRequestStatus(2790)=0 (Accepted).
54 Side N Conditionally required when TradeAggregationRequestStatus(2790)=0 (Accepted).
1328 RejectText N
1664 EncodedRejectTextLen N Must be set if EncodedRejectText(1665) field is specified and must immediately precede it.
1665 EncodedRejectText N Encoded (non-ASCII characters) representation of the RejectText(1328) field in the encoded format specified via the MessageEncoding(347) field.
Component StandardTrailer Y

Components

ExecutionAggregationGrp

Tag Name Req’d Description
124 NoExecs N
β†’32 LastQty N Required if NoExecs(124) > 0
β†’17 ExecID N Either ExecID(17) or TradeID(1003) must be specified.
β†’1003 TradeID N Either ExecID(17) or TradeID(1003) must be specified.
β†’31 LastPx N

OrderAggregationGrp

Tag Name Req’d Description
73 NoOrders N
β†’11 ClOrdID N Required if NoOrders(73) > 0.
β†’37 OrderID N
β†’38 OrderQty N Required if NoOrders(73) > 0.
β†’799 OrderAvgPx N

Appendix – Common Category

Components

AllocCommissionDataGrp

Tag Name Req’d Description
2653 NoAllocCommissions N
β†’2654 AllocCommissionAmount N Required if NoAllocCommissions(2653) > 0.
If the commission is based on a percentage of trade quantity or a factor of unit of measure, AllocCommissionRate(2660) and AllocCommissionUnitOfMeasure(2658) may also be specified as appropriate.
β†’2655 AllocCommissionAmountType N Required if NoAllocCommissions(2653) > 0.
β†’2726 AllocCommissionAmountSubType N
β†’2656 AllocCommissionBasis N Required if NoAllocCommissions(2653) > 0.
β†’2657 AllocCommissionCurrency N
β†’2925 AllocCommissionCurrencyCodeSource N
β†’2658 AllocCommissionUnitOfMeasure N
β†’2659 AllocCommissionUnitOfMeasureCurrency N
β†’2926 AllocCommissionUnitOfMeasureCurrencyCodeSource N
β†’2660 AllocCommissionRate N
β†’2661 AllocCommissionSharedIndicator N
β†’2662 AllocCommissionAmountShared N If specified, AllocCommissionSharedIndicator(2661) must be set to Y.
β†’2663 AllocCommissionLegRefID N This field may be used for multi-leg trades sent as a single message to indicate that the entry applies only to a specific leg.
β†’2664 AllocCommissionDesc N
β†’2665 EncodedAllocCommissionDescLen N Must be set if EncodedAllocCommissionDesc(2666) is specified and must immediately precede it.
β†’2666 EncodedAllocCommissionDesc N Encoded (non-ASCII characters) representation of the AllocCommissionDesc(2664) field in the encoded format specified via the MessageEncoding(347) field.

AllocRegulatoryTradeIDGrp

Tag Name Req’d Description
1908 NoAllocRegulatoryTradeIDs N
β†’1909 AllocRegulatoryTradeID N Required if NoAllocRegulatoryTradeIDs(1908) > 0.
β†’1910 AllocRegulatoryTradeIDSource N
β†’1911 AllocRegulatoryTradeIDEvent N
β†’1912 AllocRegulatoryTradeIDType N
β†’2406 AllocRegulatoryLegRefID N This field may be is used for multi-leg trades sent as a single message to indicate that the entry applies only to a specific leg.
β†’2399 AllocRegulatoryTradeIDScope N

ClrInstGrp

Tag Name Req’d Description
576 NoClearingInstructions N
β†’577 ClearingInstruction N Required if NoClearingInstructions > 0

CollateralAmountGrp

Tag Name Req’d Description
1703 NoCollateralAmounts N
β†’1704 CurrentCollateralAmount N Required if NoCollateralAmounts(1703) > 0.
β†’1705 CollateralCurrency N Can be used to specify the currency of CollateralAmount(1704) if Currency(15) is not specified or is not the same.
β†’2929 CollateralCurrencyCodeSource N
β†’2632 CollateralAmountType N
β†’2090 CollateralFXRate N
β†’2091 CollateralFXRateCalc N
β†’1706 CollateralType N
β†’2092 CollateralAmountMarketSegmentID N
β†’2093 CollateralAmountMarketID N
β†’1902 HaircutIndicator N
β†’2350 CollateralPortfolioID N
β†’2690 CollateralPercentOverage N
β†’2689 CollateralMarketPrice N
β†’2840 CollateralReinvestmentRate N May be used to specify the average reinvestment rate when there are multiple instances of the CollateralReinvestmentGrp.
β†’Component CollateralReinvestmentGrp N
β†’2841 UnderlyingRefID N May be used to indicate that this entry applies to the underlying collateral instrument being referenced by the value in UnderlyingID(2874).

CollateralReinvestmentGrp

Tag Name Req’d Description
2845 NoCollateralReinvestments N
β†’2844 CollateralReinvestmentType N Required if NoCollateralReinvestments(2845) > 0.
β†’2842 CollateralReinvestmentAmount N
β†’2843 CollateralReinvestmentCurrency N
β†’2931 CollateralReinvestmentCurrencyCodeSource N

DlvyInstGrp

Tag Name Req’d Description
85 NoDlvyInst N
β†’165 SettlInstSource N
β†’787 DlvyInstType N
β†’Component SettlParties N

ExecAllocGrp

Tag Name Req’d Description
124 NoExecs N
β†’32 LastQty N Amount of quantity (e.g. number of shares) in individual execution. Required if NoExecs > 0
β†’17 ExecID N
β†’527 SecondaryExecID N
β†’31 LastPx N Price of individual execution. Required if NoExecs > 0.
For FX, if specified, expressed in terms of Currency(15).
β†’669 LastParPx N Last 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
β†’29 LastCapacity N Used to identify whether the trade was executed on an agency or principal basis.
β†’1003 TradeID N
β†’1041 FirmTradeID N
β†’880 TrdMatchID N Used to identify the match event resulting in the execution or trade.
β†’2749 ExecutionTimestamp N
β†’2524 TradeReportingIndicator N
β†’Component TrdRegPublicationGrp N
β†’Component TradePriceConditionGrp N

MarginAmount

Tag Name Req’d Description
1643 NoMarginAmt N
β†’1645 MarginAmt N
β†’1644 MarginAmtType N Total margin requirement if not provided
β†’1646 MarginAmtCcy N Can be used to specify the base settlement currency if Currency(15) is not specified.
β†’2088 MarginAmtFXRate N
β†’2089 MarginAmtFXRateCalc N
β†’1714 MarginAmountMarketSegmentID N
β†’1715 MarginAmountMarketID N
β†’2851 MarginDirection N

OrdAllocGrp

Tag Name Req’d Description
73 NoOrders N
β†’11 ClOrdID N Order 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.
β†’37 OrderID N
β†’198 SecondaryOrderID N Can be used to provide order id used by exchange or executing system.
β†’526 SecondaryClOrdID N
β†’66 ListID N Required for List Orders.
β†’Component NestedParties2 N Insert 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
β†’38 OrderQty N
β†’799 OrderAvgPx N Average price for this order.
For FX, if specified, expressed in terms of Currency(15).
β†’800 OrderBookingQty N Quantity 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)
β†’40 OrdType N

PositionAmountData

Tag Name Req’d Description
753 NoPosAmt N
β†’707 PosAmtType N
β†’708 PosAmt N
β†’2096 PosAmtStreamDesc N Used when the PosAmt(708) value corresponds to a specific stream in of a swap.
β†’1055 PositionCurrency N
β†’2937 PositionCurrencyCodeSource N
β†’2097 PositionFXRate N
β†’2098 PositionFXRateCalc N
β†’1585 PosAmtReason N
β†’2099 PosAmtMarketSegmentID N
β†’2100 PosAmtMarketID N
β†’2876 PosAmtPrice N
β†’2877 PosAmtPriceType N

SettlDetails

Tag Name Req’d Description
1158 NoSettlDetails N
β†’1164 SettlObligSource N Indicates the Source of the Settlement Instructions
β†’169 StandInstDbType N
β†’170 StandInstDbName N
β†’171 StandInstDbID N
β†’Component SettlParties N Carries settlement account information

SettlInstructionsData

Tag Name Req’d Description
172 SettlDeliveryType N Required if AllocSettlInstType = 1 or 2
169 StandInstDbType N Required if AllocSettlInstType = 3 (should not be populated otherwise)
170 StandInstDbName N Required if AllocSettlInstType = 3 (should not be populated otherwise)
171 StandInstDbID N Identifier used within the StandInstDbType
Required if AllocSettlInstType = 3 (should not be populated otherwise)
Component DlvyInstGrp N Required (and must be > 0) if AllocSettlInstType = 2 (should not be populated otherwise)

SettlParties

Tag Name Req’d Description
781 NoSettlPartyIDs N
β†’782 SettlPartyID N Used to identify source of SettlPartyID. Required if SettlPartyIDSource is specified. Required if NoSettlPartyIDs > 0.
β†’783 SettlPartyIDSource N Used to identify class source of SettlPartyID value (e.g. BIC). Required if SettlPartyID is specified. Required if NoSettlPartyIDs > 0.
β†’784 SettlPartyRole N Identifies the type of SettlPartyID (e.g. Executing Broker). Required if NoSettlPartyIDs > 0.
β†’2389 SettlPartyRoleQualifier N
β†’Component SettlPtysSubGrp N Repeating group of SettlParty sub-identifiers.

SettlPtysSubGrp

Tag Name Req’d Description
801 NoSettlPartySubIDs N
β†’785 SettlPartySubID N
β†’786 SettlPartySubIDType N

TradeAllocAmtGrp

Tag Name Req’d Description
1844 NoTradeAllocAmts N
β†’1845 TradeAllocAmtType N Required if NoTradeAllocAmts(1844) > 0.
β†’1846 TradeAllocAmt N Required if NoTradeAllocAmts(1844) > 0.
β†’1847 TradeAllocCurrency N
β†’2933 TradeAllocCurrencyCodeSource N
β†’1850 TradeAllocAmtReason N

TransactionAttributeGrp

Tag Name Req’d Description
2871 NoTransactionAttributes N
β†’2872 TransactionAttributeType N Required if NoTransactionAttributes(2871) > 0.
β†’2873 TransactionAttributeValue N