FIX Version FIX.5.0SP2 Extension Pack EP179

Approval Date 2014-01-14T12:30:00

Description CME European Trade Data Repository Extensions

Field Changes

Updated Fields

Tag	Name	EnumDatatype	Description
156	SettlCurrFxRateCalc		Specifies whether or not SettlCurrFxRate (155) should be multiplied or divided.
1937	TradeContinuation		Specifies the post-execution trade continuation or lifecycle event. Additional values may be used by mutual agreement of the counterparties.
41049	DeliveryScheduleSettlFlowType		Specifies the commodity delivery flow type.
41292	StreamCommoditySettlFlowType	41049	Specifies the commodity delivery flow type.

New Fields

Tag	Name	Type	AssociatedDataTag	AbbrName	EnumDatatype	Description	Elaboration
2350	CollateralPortfolioID	String		PrtflioID		Identifier of the collateral portfolio when reporting on a portfolio basis.
42192	DeliveryStreamDeliveryPointSource	int		DlvryPntSrc		Identifies the class or source of DeliveryStreamDeliveryPoint(41062).
42193	DeliveryStreamDeliveryPointDesc	String		DlvryPntDesc		Description of the delivery point identified in DeliveryStreamDeliveryPoint(41062).
2353	TradingUnitPeriodMultiplier	int		TrdgUnitPeriodMult		Indicates the number of contract periods associated with the minimum trading unit for a given contract duration resulting in the number of total traded contracts.	As an example, 456 is the number of off-peak periods for a product with a minimum trading unit of 5 MWh resulting in 2280 total traded contracts.
2354	LegTradingUnitPeriodMultiplier	int		TrdgUnitPeriodMult		Indicates the number of contract periods associated with the minimum trading unit for a given contract duration resulting in the number of total traded contracts.	As an example, 456 is the number of off-peak periods for a product with a minimum trading unit of 5 MWh resulting in 2280 total traded contracts.
42195	LegDeliveryStreamDeliveryPointDesc	String		DlvryPntDesc		Description of the delivery point identified in LegDeliveryStreamDeliveryPoint(41433).
42194	LegDeliveryStreamDeliveryPointSource	int		DlvryPntSrc	42192	Identifies the class or source of LegDeliveryStreamDeliveryPoint(41433).
2357	LegTotalTradeQty	Qty		TotTrdQty		Expresses the total quantity traded over the life of the contract when LegLastQty(1418) is to be repeated periodically over the term of the contract. The value is the product of LegLastQty(1418) and LegTradingUnitPeriodMultiplier(2353).
2358	LegLastMultipliedQty	Qty		LastMultdQty		Expresses the quantity bought/sold when LastQty is expressed in contracts. Used in addition to LegLastQty(1418), it is the product of LegLastQty(1418) and LegContractMultiplier(614).
2359	LegTotalGrossTradeAmt	Amt		TotGrossTrdAmt		Expresses the full total monetary value of the traded contract. The value is the product of LegLastPx(637) and LegTotalTradeQty(2357) or LegTotalTradeMultipliedQty(2360), if priced in units instead of contracts.
2360	LegTotalTradeMultipliedQty	Qty		TotTrdMultdQty		Expresses the total trade quantity in units where LegContractMultiplier(614) is not 1. The value is the product of LegTotalTradeQty(2357) and LegContractMultiplier(614).
42197	UnderlyingDeliveryStreamDeliveryPointDesc	String		DlvryPntDesc		Description of the delivery point identified in UnderlyingDeliveryStreamDeliveryPoint(41781).
42196	UnderlyingDeliveryStreamDeliveryPointSource	int		DlvryPntSrc	42192	Identifies the class or source of UnderlyingDeliveryStreamDeliveryPoint(41781).
2363	UnderlyingTradingUnitPeriodMultiplier	int		TrdgUnitPeriodMult		Indicates the number of contract periods associated with the minimum trading unit for a given contract duration resulting in the number of total traded contracts.	As an example, 456 is the number of off-peak periods for a product with a minimum trading unit of 5 MWh resulting in 2280 total traded contracts.
2364	PosReportAction	int		Actn	712	Indicates action that triggered the Position Report.
2365	SettlForwardPoints	PriceOffset		SettlFwdPnts		FX forward points added to SettlPrice(730). The value is expressed in decimal form and may be a negative.	As an example, 61.99 points is expressed as 0.006199.
2366	SettlPriceFxRateCalc	char		SettlPxFxRtCalc	156	Specifies whether LastPx(31) [TradeCaptureReport] or SettlPrice(730) [PositionReport] should be multiplied or divided.
2367	TotalTradeQty	Qty		TotTrdQty		Expresses the total quantity traded over the life of the contract when LastQty(32) is repeated periodically over the term of the contract. The value is the product of LastQty(32) and TradingUnitPeriodMultiplier(2353).
2368	LastMultipliedQty	Qty		LastMultdQty		Expresses the quantity bought or sold when LastQty(32) is expressed in number of contracts. Used in addition to LastQty(32). It is the product of LastQty(32) and ContractMultiplier(231).
2369	TotalGrossTradeAmt	Amt		TotGrossTrdAmt		Expresses the full total monetary value of the traded contract. The value is the product of LastPx(31) and TotalTradeQty(2367) or TotalTradeMultipliedQty(2370), if priced in units instead of contracts.
2370	TotalTradeMultipliedQty	Qty		TotTrdMultdQty		Expresses the total trade quantity in units where ContractMultiplier(231) is not 1. The value is the product of TotalTradeQty(2367) and ContractMultiplier(231).
2371	EncodedTradeContinuationText	data		EncTrdContntnText		Encoded (non-ASCII characters) representation of the TradeContinuationText(2374) field in the encoded format specified via the MessageEncoding(347) field. If used, the ASCII (English) representation should also be specified in the TradeContinuationText(2374) field.
2372	EncodedTradeContinuationTextLen	Length	2371	EncTrdContntnTextLen		Byte length of encoded (non-ASCII characters) EncodedTradeContinuationText(2371) field.
2373	IntraFirmTradeIndicator	Boolean		IntraFirmTrdInd		Indicates whether the trade or position was entered into as an intra-group transaction, i.e. between two units of the same parent entity.	In the context of EMIR this refers to Regulation (EU) 648/2012 Article 3 "intragroup transactions" section 1 which states: "In relation to a non-financial counterparty, an intragroup transaction is an OTC derivative contract entered into with another counterparty which is part of the same group provided that both counterparties are included in the same consolidation on a full basis and they are subject to an appropriate centralised risk evaluation, measurement and control procedures and that counterparty is established in the Union or, if it is established in a third country, the Commission has adopted an implementing act under Article 13(2) in respect of that third country."
2374	TradeContinuationText	String		TrdContntnTxt		Elaboration of the purpose or action of the regulatory report when TradeContinuation(1937)=99 (Other).
2375	TaxonomyType	char		TxnmyTyp		The type of identification taxonomy used to identify the security.
2376	PartyRoleQualifier	int		Qual	1674	Used to further qualify the value of PartyRole(452).
2377	DerivativeInstrumentPartyRoleQualifier	int		Qual	1674	Used to further qualify the value of DerivativeInstrumentPartyRole(1295).
2378	InstrumentPartyRoleQualifier	int		Qual	1674	Used to further qualify the value of InstrumentPartyRole(1051).
2379	LegInstrumentPartyRoleQualifier	int		Qual	1674	Used to further qualify the value of LegInstrumentPartyRole(2257).
2380	LegProvisionPartyRoleQualifier	int		Qual	1674	Used to further qualify the value of LegProvisionPartyRole(40536).
2381	Nested2PartyRoleQualifier	int		Qual	1674	Used to further qualify the value of Nested2PartyRole(759).
2382	Nested3PartyRoleQualifier	int		Qual	1674	Used to further qualify the value of Nested3PartyRole(951).
2383	Nested4PartyRoleQualifier	int		Qual	1674	Used to further qualify the value of Nested4PartyRole(1417).
2384	NestedPartyRoleQualifier	int		Qual	1674	Used to further qualify the value of NestedPartyRole(538).
2385	ProvisionPartyRoleQualifier	int		Qual	1674	Used to further qualify the value of ProvisionPartyRole(40177).
2386	RequestedPartyRoleQualifier	int		Qual	1674	Used to further qualify the value of RequestedPartyRole(1509).
2388	RootPartyRoleQualifier	int		Qual	1674	Used to further qualify the value of RootPartyRole(1119).
2389	SettlPartyRoleQualifier	int		Qual	1674	Used to further qualify the value of SettlPartyRole(784).
2391	UnderlyingInstrumentPartyRoleQualifier	int		Qual	1674	Used to further qualify the value of UnderlyingInstrumentPartyRole(1061).

Enumerations

Updated Enumerations

Tag	Value	SymbolicName	Description	Elaboration
1937	2	TradeUnwind	Trade unwind	"Trade" includes "Swaps".
1937	3	PartialTradeUnwind	Partial trade unwind	"Trade" includes "Swaps".
1937	5		Compression/Netting	Compression (used for OTC derivative trades) and Netting (used for Futures trades) are essentially the same business process, i.e. rolling up closely related contracts into a single trade or position.
1937	99			Other price-forming continuation data or lifecycle event. Include description of type in TradeContinuationText(2374).

Enumerations Added

Tag	Value	SymbolicName	Group	Sort	Description	Elaboration
167	INDEX	Index	Derivatives	19	General type for a contract based on an established index
707	MTD	MarkToModel		28	Mark-to-model
707	VMTM	MarkToMarketVariance		29	Mark-to-market variance
707	VMTD	MarkToModelVariance		30	Mark-to-model variance
770	24	PostTrdContntnEvnt		24	Post-trade continuation event
803	64	CompanyActivities		64	Company activities	For regulatory reporting. ID values include: A = Assurance undertaking authorized in accordance with Directive 2002/83/EC C=Credit institution authorized in accordance with Directive 2006/48/EC F=Investment firm in accordance with Directive 2004/39/EC I=Insurance undertaking authorized in accordance with Directive 73/239/EC L=Alternative investment fund managed by AIFMs authorized or registered in accordance with Directive 2011/61/EC O=Institution for occupational retirement provision within the meaning of Article 6(a0 of Directive 2003/41/EC R=Reinsurance undertaking authorized in accordance with Directive 2005/68/EC U=UCITS and its management company, authorized in accordance with Directive 2009/65/EC or blank in case of coverage by LEI or in case of non-financial counterparties.
803	65	EEAreaDomiciled		65	European Economic Area domiciled	ID values: Y or N
803	66	ContractLinked		66	Contract linked to commercial or treasury financing for this counterparty	ID values: Y or N
803	67	ContractAbove		67	Contract above clearing threshold for this counterparty	ID values: Y or N
1904	6	PostTrdVal		6	Post-trade valuation
1927	2	Unconfirmed		2	Unconfirmed
1937	17	AccountTransfer		17	Account transfer
1937	18	GiveUp		18	Give up
1937	19	TakeUp		19	TakeUp
1937	20	AveragePricing		20	Average pricing
1937	21	Reversal		21	Reversal
1937	22	AllocTrdPosting		22	Allocation/Trade posting
1937	23	Cascade		23	Cascade	The breakdown of a contract position to a more granular level, e.g. from a yearly position to monthly positions.
1937	24	Delivery		24	Delivery
1937	25	OptionAsgn		25	Option assignment
1937	26	Expiration		26	Expiration
1937	27	Maturity		27	Maturity
1937	28	EqualPosAdj		28	Equal position adjustment
1937	29	UnequalPosAdj		29	Unequal position adjustment	An adjustment to either the long or short position quantity but not both.
1938	6	Other		6	Other
1939	8	Exotic	Other	8	Exotic
41049	4	BlockHours		4	Block hours
41049	5	Other		5	Other
42192	0	Proprietary		0	Proprietary
42192	1	EIC		1	Energy Identification Code (EIC)	Energy Identification Code specifies the location or connection point codes of energy delivery. See http://www.entsog.eu/eic-codes/eic-location-codes-v or http://www.eiccodes.eu for more information and allocated values to use in DeliveryStreamDeliveryPoint(41062).
2375	I	ISINOrAltInstrmtID		0	ISIN or Alternate instrument identifier plus CFI	Identified through use of SecurityID(48) and SecurityIDSource(22) of ISIN or another standard source plus CFICode(461).
2375	E	InterimTaxonomy		1	Interim Taxonomy	Identified through use of AssetClass(1938) plus either Symbol(55) or SecurityID(48) and SecurityIDSource(22), and/or other additional instrument attributes.

Components

Components Changed

ComponentID	ComponentType	CategoryID	Name	AbbrName	NotReqXML	Volume	Description	Elaboration	Deprecated
2191		Common

Message/Component Content

Message/Components Content Changes

ComponentID	TagText	Position
1003	1435	29.03
1003	1439	29.06
1005	1436	29.01
1005	1440	29.02
1021	1437	30.02
1021	1441	30.07

Messages/Components Content Added

ComponentID	TagText	Indent	Position	Description
19	RegulatoryTradeIDGrp	0	78.05
78	RegulatoryTradeIDGrp	0	82.05
75	2364	0	4.05
75	2373	0	11.75
75	1937	0	11.8
75	2374	0	11.84
75	2372	0	11.87	Must be set if EncodedTradeContinuationText(2371) field is specified and must immediately precede it.
75	2371	0	11.90	Encoded (non-ASCII characters) representation of the TradeContinuationText(2374) field in the encoded format specified via the MessageEncoding(347) field.
75	1936	0	11.94
75	2375	0	15.5
75	FinancingDetails	0	16.5
75	2366	0	18.04	Expresses whether to multiply or divide SettlPrice(730) to arrive at the amount reported in PosAmt(708).
75	2365	0	18.07
75	CollateralAmountGrp	0	22.05
64	2375	0	25.8
64	CollateralAmountGrp	0	32
64	2368	0	35.7
64	2367	0	35.8
64	2370	0	35.9
64	2366	0	36.2	For FX trades expresses whether to multiply or divide LastPx(31) to arrive at GrossTradeAmt(381).
64	2369	0	144.45
64	2374	0	159.3
64	2372	0	159.4	Must be set if EncodedTradeContinuationText(2371) field is specified and must immediately precede it.
64	2371	0	159.5	Encoded (non-ASCII characters) representation of the TradeContinuationText(2374) field in the encoded format specified via the MessageEncoding(347) field.
64	2373	0	159.6
2003	AllocRegulatoryTradeIDGrp	1	7.5
2191	2350	1	6
4155	42192	0	6.3
4155	42193	0	6.7
1003	2353	0	29.04
1005	2354	0	29.015
4206	42194	0	6.3
4206	42195	0	6.7
1012	2376	1	4.5
2061	29	1	76	In the context of regulatory trade reporting, this specifies the trading capacity of the reporting party.
2063	2358	1	13.41
2063	2357	1	13.43
2063	2360	1	13.45
2063	2359	1	13.47
4257	42196	0	6.3
4257	42197	0	6.6
1021	2363	0	30.04
2141	2377	1	1.35
1032	2378	1	4.5
2239	2379	1	4.5
4054	2380	1	4.5
1009	2381	1	4.5
1010	2382	1	4.5
1059	2383	1	1.35
1008	2384	1	4.5
4019	2385	1	4.5
2153	2386	1	3
1031	2388	1	1.35
1017	2389	1	4.5
1033	2391	1	4.5