FIX Version FIX.5.0SP2 Extension Pack EP141

Approval Date 2012-01-18T00:00:00.000

Description FIA PTWG Trade Reporting Extensions



Field Changes

Updated Fields

TagNameTypeDescriptionAssociatedDataTagAbbrNameBaseCategoryBaseCategoryAbbrNameNotReqXMLEnumDatatypeUnionDataType
378The reason for restatement when an ExecutionReport(35=8) or TradeCaptureReport(35=AE) message is sent with ExecType(150)=C (Restated) or used when communicating an unsolicited cancel.
704Long quantity.
705Short quantity.
820Used to link a group of trades together.
826Identifies if, and how, the trade is to be allocated or split.
828Type of trade.
912Indicates whether this message is the last report message in response to a request message, e.g. OrderMassStatusRequest(35=AF), TradeCaptureReportRequest(35=AD).
1015A trade that is being submitted for a trade date prior to the current trade or clearing date, e.g. in an open outcry market an out trade being submitted for the previous trading session or trading day.
1654Used to specify the portion of the short contract quantity that is considered covered (e.g. used for short option position).
1731Used by submitting firm to group trades being allocated into an average price group. The trades in average price group will be used to calculate an average price for the group.
1733Byte length of encoded (non-ASCII characters) EncodedFirmAllocText(1734) field.
1734Encoded (non-ASCII characters) representation of the FirmAllocText(1732) field in the encoded format specified via the MessageEncoding(347) field. If used, the ASCII (English) represention should also be specified in FirmAllocText(1732) field.
1735An indicator to override the normal procedure to roll up allocations for the same take-up firm.


New Fields

TagNameTypeDescriptionAssociatedDataTagAbbrNameBaseCategoryBaseCategoryAbbrNameNotReqXMLEnumDatatypeUnionDataType
1838NoTradePriceConditionsNumInGroupNumber of trade price conditions.0
1839TradePriceConditionintPrice conditions in effect at the time of the trade. Multiple price conditions can be in effect at the same time. Price conditions are usually required to be reported in markets that have regulations on price execution at a market or national best bid or offer, and the trade price differs from the best bid or offer.TrdPxCond0
1840TradeAllocStatusintIdentifies the status of an allocation when using a pre-clear workflow. Stat0
1841NoTradeQtysNumInGroupNumber of trade quantities.0
1842TradeQtyTypeintIndicates the type of trade quantity in TradeQty(1843).Typ0
1843TradeQtyQtyTrade quantity.Qty0
1844NoTradeAllocAmtsNumInGroupNumber of trade allocation amount entries.0
1845TradeAllocAmtTypeStringType of the amount associated with a trade allocation.Typ0707
1846TradeAllocAmtAmtThe amount associated with a trade allocation.Amt0
1847TradeAllocCurrencyCurrencyCurrency denomination of the trade allocation amount.Ccy0
1848TradeAllocGroupInstructionintInstruction on how to add a trade to an allocation group when it is being given-up. AllocGrpInst0
1849OffsetInstructionintIndicates the trade is a result of an offset or onset.OfstInst0
1850TradeAllocAmtReasonintSpecifies the reason for an amount type when reported on an allocation. Useful when multiple instances of the same amount type are reported.Rsn01585Reserved1000Plus
1851StrategyLinkIDStringIdentifies the multileg strategy (e.g. spread) to which the trade belongs. This links together trade legs executed as part of a strategy during a single match event.StrategyLinkID0
1852SideAvgPxPriceCalculated average price for this side of the trade.AvgPx0
1853SideAvgPxIndicatorintUsed to indicate whether a trade or a sub-allocation should be allocated at the trade price (e.g. no average pricing), or whether it should be grouped with other trades/sub-allocations and allocated at the average price of the group. AvgPxInd0
1854SideAvgPxGroupIDStringThe identifier for the average price group for the trade side. See also AvgPxGroupID(1731).AvgPxGrpID0


Enumerations

Updated Enumerations

TagValueSymbolicNameGroupSortDescriptionDefinition
707ACPNAccrued coupon amount
707BANKTotal banked amount
707CASHCash amount (corporate event)
707CMTMCollateralized mark-to-market
707COLATTotal collateralized amount
707CPNCoupon amount
707CRESCash residual amount
707DLVCompensation amount
707FMTMFinal mark-to-market amount
707IACPNIncremental accrued coupon
707ICMTMIncremental collateralized mark-to-market
707ICPNInitial trade coupon amount
707IMTMIncremental mark-to-market
707PREMPremium amount
707SETLSettlement value
707SMTMStart of day mark-to-market
707TVARTrade variation amount
707VADJValue adjusted amount
8190No average pricing
8191Trade is part of an average price group identified by the AvgPxGroupID(1731)
8192Last trade is the average price group identified by the AvgPxGroupID(1731)
8280Regular trade
8281Block trade
8282Exchange for physical (EFP)
8284Late trade
8285T trade
8286Weighted average price trade
8287Bunched trade
8288Late bunched trade
8289Prior reference price trade
82810After hours trade
82811Exchange for risk (EFR)
82812Exchange for swap (EFS)
82813Exchange of futures for in market futures (EFM)
82814Exchange of options for options (EOO)
82815Trading at settlement
82816All or none
82817Futures large order execution
82818Exchange of futures for external market futures (EFF)
82819Option interim trade
82820Option cabinet trade
82822Privately negotiated trade
82823Substitution of futures for forwards
82830Special price (SP)
82838Block trade
82839Worked principal trade
82840Block trades
82843Prorogation buy
82844Prorogation sell
82847Financing transaction
82849Derivative related transaction
82850Portfolio trade
82851Volume weighted average trade
82852Exchange granted trade
82853Repurchase agreement
82855Exchange basis facility (EBF)
82856Opening trade
1430EElectronic exchange
1430XEx-pit
15854Price alignment interest

Enumerations Added

TagValueSymbolicNameGroupSortDescriptionDefinition
8266TradeSplit7Trade split
82857NettedTrade57Netted trade
1430CClearingHouse3Clearinghouse
18390SpecialCumDividend0Special cum dividend (CD)
18391SpecialCumRights1Special cum rights (CR)
18392SpecialExDividend2Special ex dividend (XD)
18393SpecialExRights3Special ex rights (XR)
18394SpecialCumCoupon4Special cum coupon (CC)
18395SpecialCumCapitalRepayments5Special cum capital repayments (CP)
18396SpecialExCoupon6Special ex coupon (XC)
18397SpecialExCapitalRepayments7Special ex capital repayments (XP)
18398CashSettlement8Cash settlement (CS)
18399SpecialCumBonus9Special cum bonus (CB)
183910SpecialPrice10Special price (SP)
183911SpecialExBonus11Special ex bonus (XB)
183912GuaranteedDelivery12Guaranteed delivery (GD)
18400PendingClear0Pending clear
18401Claimed1Claimed
18402Cleared2Cleared
18403Rejected3Rejected
18420ClearedQuantity0Cleared quantity
18421LongSideClaimedQuantity1Long side claimed quantity
18422ShortSideClaimedQuantity2Short side claimed quantity
18423LongSideRejectedQuantity3Long side rejected quantity
18424ShortSideRejectedQuantity4Short side rejected quantity
18425PendingQuantity5Pending quantity
18426TransactionQuantity6Transaction quantity
18427RemainingQuantity7Remaining trade quantity
18428PreviousRemainingQuantity8Previous remaining trade quantity
18480Add0Add to an existing allocation group if one exists.
18481DoNotAdd1Do not add the trade to an allocation group.
18490Offset0Offset
18491Onset1Onset
18530NoAvgPricing0No average pricing
18531TradeIsPartAvgPriceGrp1Trade is part of the average price group identified by the SideAvgPxGroupID(1854)
18532LastTradeIsPartAvgPriceGrp2Last trade is the average price group identified by the SideAvgPxGroupID(1854)

Components

Components Changed

ComponentIDComponentTypeCategoryIDNameAbbrNameNotReqXMLVolumeDescription
1028The SideTrdRegTS component block is used to convey trading or regulatory timestamps associated with one side of a multi-sided trade event.

Components Added

ComponentIDComponentTypeCategoryIDNameAbbrNameNotReqXMLVolumeDescription
2205BlockRepeatingCommonTradeAllocAmtGrpAmt0The TradeAllocAmtGrp component is used to communicate the monetary amounts associated with allocated positions. This is the per-allocation portion of the per-trade amount specified in PositionAmountData component.
2206BlockRepeatingCommonTradePriceConditionGrpTrdPxConds0Price conditions associated with a trade that impact trade price.
2207BlockRepeatingCommonTradeQtyGrpQty0Quantities of the trade that have been processed and the type of processing that has occurred for that trade quantity.
2208BlockRepeatingCommonTradePositionQtyQty0The TradePositionQty component block specifies, for a single trade side, the various types of position quantity in the position life-cycle including start-of-day, intraday, trade, adjustments, and end-of-day position quantities.

Message/Component Content

Message/Components Content Changes

ComponentIDTagTextIndentPositionReqdDescription
64571TradeReportID(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.
64487
64939Status 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.
64568Identifier for the trade capture report request associated with this trade capture report.
641125
641126
641127
64150Type of execution being reported. Uses subset of ExecType(150) for trade capture reports.
64748
64912
64325Set to 'Y' if message is sent as a result of a subscription request or out of band configuration.
64263If the field is absent, SubscriptionRequestType(263)=0(Snapshot) will be the default.
64572The TradeReportID(571) that is being referenced for trade correction or cancelation.
64820
6417Market (exchange) assigned execution identifier.
64378
64570
64423Can be used to indicate cabinet trade pricing.
64RootPartiesUsed for acting parties that applies to the whole message, not individual legs, sides, etc.
641015
64Instrument
64FinancingDetails
64YieldData
6415Primary currency of the specified currency pair. Used to qualify LastQty(32) and GrossTradeAmout(381).
64120Contra currency of the deal. Used to qualify CalculatedCcyLastQty(1056).
64669
646If used then the LastPx(31) will contain the original price on the execution.
64SpreadOrBenchmarkCurveData
64819
64PositionAmountData
64824Reference to the leg of a multileg instrument to which this trade refers. Used when MultiLegReportingType(442) = 2 (Individual leg of a multileg security).
64TrdInstrmtLegGrpIdentifies a multileg execution if present and non-zero.
6460Time the transaction represented by when this TradeCaptureReport(35=AE) occurred. Execution time of trade. Also describes the time of block trades.
6464Takes precedence over SettlType(63) value and conditionally required/omitted for specific SettlType(63) values.
64TrdCapRptSideGrp
64797
64TrdRepIndicatorsGrp
64994Indicates the algorithm (tier) used to match a trade.
641011
64779Used to indicate reports after a specific time.
641134
64381(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.
77571
77487
77856Indicates action to take on trade.
771125
771126
771127
77RootParties
77150Type of execution being reported. Uses subset of ExecType(150) for trade capture reports.
77572The TradeReportID(571) that is being referenced for trade correction or cancelation.
77939Status of trade report.
77751
77263If the field is absent, SubscriptionRequestType(263)=0(Snapshot) will be the default.
77820
7717Exchanged assigned execution identifier (trade identifier).
77Instrument19.94
7715Primary currency of the specified currency pair. Used to qualify LastQty(32) and GrossTradeAmout(381).
77120Contra currency of the deal. Used to qualify CalculatedCcyLastQty(1056).
7760Time this message was issued by matching system, trading system or counterparty.
77725
77726
7758
77354Must be set if EncodedText(355) field is specified and must immediately precede it.
77355
771015
77PositionAmountData
77994Indicates the algorithm (tier) used to match a trade.
771011
77779Used to indicate reports after a specific time.
77381(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.
63568Unique identifier for the trade request.
63263If the field is absent, SubscriptionRequestType(263)=0(Snapshot) will be the default.
63571Can be used to request a specific trade report.
63150Can be used to request all trades of a specific execution type.
63828Can be used to request all trades of a specific trade type.
63829Can be used to request all trades of a specific trade sub type.
63830Can be used to request all trades for a specific transfer reason.
63855Can be used to request all trades of a specific secondary trade type.
63820Can be used to request all trades of a specific trade link identifier.
63880Can be used to request a trade matching a specific TrdMatchID(880).
63Instrument
63InstrumentExtension
63FinancingDetails
63715Can be used to request trades for a specific clearing business date.
63336Can be used to request trades for a specific trading session.
63625Can be used to request trades for a specific trading session.
63943Can be used to request trades within a specific time bracket.
6354Can be used to request trades for a specific side of a trade.
63578Can be used to requests trades that were submitted from a specific trade input source.
63579Can be used to request trades that were submitted from a specific trade input device.
63725
63726
6358Used to match specific values within Text(58) fields.
631011
2061552
206154Required when NoSides(552) > 0.
20611427
20611009
20611005
20611006
20611007
206183
20611008
2061430
20611154
20611155
2061Parties
20611Required for executions against electronically submitted orders which were assigned an account by the institution or intermediary.
2061581
206181Used to specify Step-out trades.
2061336Usually 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.
2061625Usually 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.
2061CommissionData
2061921For repurchase agreements the start (dirty) cash consideration.
2061922For repurchase agreements the end (dirty) cash consideration.
2061118Value expressed in the currency reflected by the Currency(15) field.
2061119
2061155
2061156
206177Can be used for derivatives omnibus accounting.
206158Can be used by the executing market to record any execution details that are particular to that market.
2061355
2061752Can be used to support the scenario where a single leg instrument trades against an individual leg of a multileg instrument.
2061825
2061826
206170Used to assign an ID to the block of preallocations.
2061SideTrdRegTS
2061SettlDetailsConveys settlement account details reported as part of obligation.
2061TradeReportOrderDetailOrder details for the order associated with this side of the trade.
209454Required when NoSides(552) > 0.
20941427
20941429
2094Parties
2094336
2094625
2094430
20941154
20941155
2094CommissionData
2094Stipulations
2094SettlDetailsConveys settlement account details reported as part of obligation.
206078
206079Required if NoAllocs(78) > 0.
2060NestedParties2
20601002
2060989

Messages/Components  Content Added

ComponentIDTagTextIndentPositionReqdDescription
64184908.020
64TradePriceConditionGrp08.040
641731044.50
64TradeQtyGrp067.50
641189069.50
64811071.50
77184907.050
77FinancingDetails019.960
771731020.640
77TradeQtyGrp050.750
631849013.050
20611848165.020
20611853165.040
20611854165.060
20611852165.080
20611851170.80
2061TradePositionQty1730
20941853165.030
20941854165.060
20941852165.090
20941851169.0150
2060172915.30
2060TradeAllocAmtGrp180
20601840190
206017351100
20601611110
20603601120
20603611130
206017321140
206017331150
206017341160
22051844010
22051845120Required if NoTradeAllocAmts(1844) > 0.
22051846130Required if NoTradeAllocAmts(1844) > 0.
22051847140
22051850150
22061838010
22061839120Required if NoTradePriceConditions(1838) > 0.
22071841010
22071842120Required if NoTradeQty(1841) > 0.
22071843130Required if NoTradeQty(1841) > 0.
2208702010
2208703120Required if NoPositions > 0.
2208704130
2208705140
22081654150
2208706160
2208976170