TradeCaptureReportRequest

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FIX Message TradeCaptureReportRequest (MsgType=AD)

MsgType FIX Specification First introduced Deprecated
MsgType=AD PostTrade messages - TradeCapture FIX.4.3

The Trade Capture Report Request can be used to:

  • Request one or more trade capture reports based upon selection criteria provided on the trade capture report request
  • Subscribe for trade capture reports based upon selection criteria provided on the trade capture report request.

The following criteria can be specified on the Trade Capture Report Request:

  • All trades matching the order identification information: OrderId, ClOrdID, ExecID
  • All trades for the party defined in the component block Parties

o This can be a trader id, firm, broker id, clearing firm

  • All unreported trades - Executions that have not been sent
  • All unmatched trades - Trades that have not been matched
  • All trades matching specific date and trading session criteria
  • All Advisories

Each field in the Trade Capture Report Request (other than TradeRequestID and SubscriptionRequestType) identify filters - trade reports that satisfy all Specified filters will be returned. Note that the filters are combined using an implied "and" - a trade report must satisfy every specified filter to be returned.


The optional date or time range-specific filter criteria (within NoDates repeating group) can be used in one of two modes:

  • "Since" a time period. NoDates=1 with first TradeDate (and optional TransactTime) indicating the "since" (greater than or equal to operation) point in time.
  • "Between" time periods. NoDates=2 with first TradeDate (and optional TransactTime) indicating the "beginning" (greater than or equal to operation) point in time and the second TradeDate (and optional TransactTime) indicating the "ending" (less than or equal to operation) point in time.


Trade Capture Report messages are the normal return type to a Trade Capture Report Request.

The response to a Trade Capture Report Request can be:

  • One or more Trade Capture Reports
  • A Trade Capture Report Request Ack followed by one or more Trade Capture Reports in two specific cases:

o When the Trade Capture Reports are being delivered out of band (such as a file transfer),

o When there is a processing delay between the time of the request and when the reports will be sent (for instance in a distributed trading environment where trades are distributed across multiple trading systems).

  • A Trade Capture Report Ack only

o When no trades are found that match the selection criteria specified on the Trade Capture Report Request

o When the Trade Capture Report Request was deemed invalid for business reasons by the counterparty


Message Contents By FIX Version


Notes

Please post comments, clarifications, examples here. Click on the edit button on the right and away you go! 

Don't forget to refer to the FPL Discussion Groups to back up anything you write.
You will often find the authoritative statements on matters of FIX specification interpretation there.
Links from FIXwiki pages to relevant discussions on the FPL site are very valuable.

For example if you were writing a clarification on how to specify the "quantity" of an order in FIX, you might add the
following relevant link, http://www.fixprotocol.org/discuss/read/f5014573, to back up your points.
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