FIX Version FIX.5.0SP2 Extension Pack EP150

Approval Date 2012-02-16T00:00:00.000

Description FIA Post-Trade Standards Working Group Trade Match Report Proposal



Field Changes

Updated Fields

TagNameTypeDescriptionAssociatedDataTagAbbrNameBaseCategoryBaseCategoryAbbrNameNotReqXMLEnumDatatypeUnionDataType
715The business date for which the trade is expected to be cleared.
442Used to indicate how the multi-legged security (e.g. option strategies, spreads, etc.) is being reported.


New Fields

TagNameTypeDescriptionAssociatedDataTagAbbrNameBaseCategoryBaseCategoryAbbrNameNotReqXMLEnumDatatypeUnionDataType
1888TradeMatchTimestampUTCTimestampTimestamp of the match event. For off-exchange trades the time at which the deal was matched by the exchange. This timestamp will be the same on all the trades and will not change when a trade is modified.MtchTS0
1889NoInstrmtMatchSidesNumInGroupNumber of instrument match sides.0
1890NoTrdMatchSidesNumInGroupNumber of trade match sides.0
1891TrdMatchSubIDStringUsed to identify each price levels within a match event, e.g. each match steps or clips.MtchSubID0
1892NoLegExecsNumInGroupNumber of instrument leg executions.0
1893LegExecIDStringThe ExecID(17) value corresponding to a trade leg.ExecID0
1894LegTradeIDStringThe TradeID(1003) value corresponding to a trade leg.TrdID0
1895LegTradeReportIDStringThe TradeReportID(571) value corresponding to a trade leg.RptID0
1896TradeMatchAckStatusintUsed to indicate the status of the trade match report submission.MtchAckStat0
1897TradeMatchRejectReasonintReason the trade match report submission was rejected.RejRsn0Reserved100Plus
1898SideMarketSegmentIDStringIdentifies the market segment of the side.MktSegID0
1899SideVenueTypecharIdentifies the type of venue where the trade was executed for the side.VenuTyp01430
1900SideExecRefIDStringUsed to reference the value from SideExecID(1427).ExecRefID0
1901LegExecRefIDStringUsed to reference the value from LegExecID(1893).ExecRefID0


Enumerations

Enumerations Added

TagValueSymbolicNameGroupSortDescriptionDefinition
35DCTradeMatchReportTradeMatchReport
35DDTradeMatchReportAckTradeMatchReportAck
18960ReceivedNotProcessed0Received, not yet processed
18961Accepted1Accepted
18962Rejected2Rejected
18970Successful0Successful
18971InvalidPartyInformation1Invalid party information
18972UnknownInstrument2Unknown instrument
18973Unauthorized3Not authorized to report trades
18974InvalidTradeType4Invalid trade type
189799Other99Other

Messages

Messages Added

MsgTypeComponentIDNameCategoryIDSectionIDAbbrNameNotReqXMLDescription
DC139TradeMatchReportTradeCapturePostTradeTrdMtchRpt0The TradeMatchReport(35=DC) message is used by exchanges and ECN’s to report matched trades to central counterparties (CCPs) as an atomic event. The message is used to express the one-to-one, one-to-many and many-to-many matches as well as implied matches in which more complex instruments can match with simpler instruments.
DD140TradeMatchReportAckTradeCapturePostTradeTrdMtchRptAck0The TradeMatchReportAck(35=DD) is used to respond to theTradeMatchReport(35=DC) message. It may be used to report on the status of the request (e.g. accepting the request or rejecting the request).

Components

Components Added

ComponentIDComponentTypeCategoryIDNameAbbrNameNotReqXMLVolumeDescription
2217BlockRepeatingTradeCaptureInstrmtMatchSideGrpInstrmtMtchSide0The InstrmtMatchSideGrp component is used to convey all trades for a given match event reported by instrument and trade side.
2218BlockRepeatingTradeCaptureTrdMatchSideGrpTrdMtchSide0The TrdMatchSideGrp component conveys all trade sides for a single instance of the InstrmtMatchSideGrp component.
2219BlockRepeatingTradeCaptureTrdInstrmtLegExecGrpLegExec0The TrdInstrmtLegExecGrp component comprises individual executions for legs of the trade side of a trade match report for a specific instrument.

Message/Component Content

Messages/Components  Content Added

ComponentIDTagTextIndentPositionReqdDescription
139StandardHeader011MsgType=DC
139ApplicationSequenceControl020
139880031Unique identifier common for all trades included in a match event.
139574040
139856050
139715060
139828070
139829080
13975090Used when reporting other than current day trades.
13913010100
13913000110
1393360120
1396250130
13914300140
13918880150
139600160Time of the match event or transaction that resulted in this match report.
1394420170Differentiates 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.
139InstrmtMatchSideGrp0180Conditionally required when TradeReportType(856) = Submit(0).
139StandardTrailer0191
140StandardHeader011MsgType=DD
140ApplicationSequenceControl020
140880031Identifier of the TradeMatchReport(35=DC) being acknowledged.
1401896041
1401897050Conditionally required when TradeMatchAckStatus(1896) = Rejected(2).
1401328060
1401664070
1401665080
14058090
1403540100
1403550110
140StandardTrailer0121
22171889010
2217Instrument120Required if NoInstrmtMatchSides(1889) > 0.
2217InstrmtLegGrp130LegID(1788) in the InstrmtLegGrp component can be used to reference individual leg executions referenced in the TrdInstrmtLegExecGrp component with LegRefID(654).
2217UndInstrmtGrp140
22171891150
221753160Total quantity for this instrument in this match event. This is the cumulative sum of LastQty(32) for all match steps for this instrument.
221715170
2217120180
2217854190
2217321100Required 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.
22174231110
2217311120Required if NoInstrmtMatchSides(1889) > 0.
2217301130
2217TrdMatchSideGrp1140Required if NoInstrmtMatchSides(1889) > 0.
22181890010
221854120Required if NoTrdMatchSides(1890) > 0.
22181427130
22181900140
22181506150
22181005160
22181428170
22181429180
22181009190Required if NoTrdMatchSides(1890) > 0. Used to indicate the matched quantity for this trade side as a result of the match event.
221815971100
221815991110
221815981120
221810061130
221810071140
221810081150
22184301160
221811541170
221811551180
2218Parties1190Required if NoTrdMatchSides(1890) > 0.
22185781200
22185791210
22183761220
22183771230
22185821240
22189431250
2218771260For use in derivatives omnibus accounting.
22188251270
22188261280
22185911290
2218701300
2218TrdAllocGrp1310
221810721320
221810571330
221811391340
221816901350
221811151360
22188191370
221817311380
221818981390Can be used if the match event results in matches across different market segments for this side.
221818991400Can be used if the match event results in matches across different venue types for this side.
22186351410
2218TradeReportOrderDetail1420
2218TrdInstrmtLegExecGrp1430
221810311440
221810321450
2218581460Can be used to include text included in the order submission.
22183541470
22183551480
22191892010
2219654120Required if NoLegExecs(1892) > 0.
22191893130
22191901140
22191894150
22191895160
2219685170
2219564180Can be used to specify the position effect for the leg if it is different from the position effect of the overall multileg security.
2219565190Can be used to specify whether the option is a cover, if it is different from the overall multileg security.
2219NestedParties31100
22196371110
22196861120
22196751130
221916891140
221914181150
221915911160