Fields

Name

Tag

Req’d

Description

FIXML Element

FIX Tag

TradeReportID

RptID

571

Y

Key field. Unique identifier for the Trade Capture Report.

SecondaryTradeID

TrdID2

1040

N

Key field. Provides secondary trade ID. Unlike TradeID, this is unique across all trade dates and all clearing firms.

ExecId

ExecID

17

Y

Exchanged assigned Execution ID (Trade Identifier). Unique ID for each side of each leg and will now have a length of a maximum 26 characters long.

Note: ExecID will no longer match for the buyer and seller.

LastPx

LastPx

31

Y

Overall Trade Price per contract for regular cleared trades.

LastQty

LastQty

32

Y

Total Quantity based on user permissible allocation quantity.

TransactTime

TxnTm

60

Y

Date and Time when the trade was executed.

Format: YYYY-MM-DDTHH:MM:SS

TradeDate

TrdDt

75

Y

Trade date
Format: YYYY-MM-DD

PriceType

PxTyp

423

N

Settlement Price indicator for TAS, EFM and EFP's priced off settlement.

Valid values:

• ‘1’ (Percentage, i.e. percent of par)

• ‘2’ (Per unit, i.e. per share or contract)

• ‘10’ (Fixed cabinet trade price, primarily for listed options)

• ‘11’ (Variable cabinet trade price, primarily for listed options)

• '100' (Tentative placeholder price)

• '101' (Updated actual price)

MultiLegReportingType

MLEGRptTyp

442

Y

Indicates if a trade is being reported as a single-leg outright, the leg of a spread, or a multi-leg trade report.

Valid values:

• '1' (Single side (default if not specified))

• '2' (Individual leg of a multi-leg trade)

• ‘3’ (Multi-leg security)

TradeReportTransType

TransTyp

487

Y

Type of Execution being reported.

Valid values:

• '0' (New)

• '1' (Cancel (Void))

• '2' (Replace (Correction/ Re-allocation))

TradeRequestID

ReqID

568

Y

Original RequestID from the Trade Capture Report Request

ClearingBusinessDate

BizDt

715

Y

The Clearing Business Date referred to by this report.

Format: YYYY-MM-DD

LastUpdateTime

LastUpdateTm

779

N

Last update time of the trade.

Format: YYYY-MM-DDTHH:MM:SS

QtyType

QtyTyp

854

Y

Type of quantity specified in a quantity field.

Valid values:

• ‘0’ (Notional/Units)

• '1' (Contracts (Default – should specify ContractMultiplier (tag 231)))

TrdMatchID

TrdMtchID

880

N

Trade Match ID is assigned by the matching engine or clearing system and used to correlate a cleared trade with a match event. Should be common for all trade sides included in a match event. For CME ClearPort, this represents the deal number and always links strategies. For CME Globex and Floor, this links calendar spreads only. Will not be present for IRS/FRA trades.

TradeID

TrdID

1003

Y

Represents the CME Front End Clearing (FEC) Firm Trade ID.

TradeID does not match across buy/sell side.

SecurityID

ID

48

Y

CME Group clearing product code, e.g. CL (2 Characters)

SecurityIDSrc

Src

22

Y

Identifies the source of the Security ID. If it is not specified, the default of Clearing is used.

Valid value:

‘H’ (Clearing House/ Organization)

Symbol

Sym

55

Y

Symbol for a CME Contract, e.g. CLX05. Note that Symbol now matches the value used by clearing firms in the FEC system, and may differ somewhat from the representation used in the legacy CTAPI system.

SecurityDesc

Desc

107

N

Long description/name for a product.

SecurityType

SecTyp

167

Y

Indicates type of security.

Valid values:

MaturityMonthYear

MMY

200

Y

Month and Year of the maturity (used for standardized futures and options).

Format:

• YYYYMM (i.e. 201403)

• YYYYMMDD (20140323)

• YYYYMMwN (201403w1)

StrikePrice

Strk

202

C

Strike Price for an Option.

SecurityExchange

Exch

207

Y

The exchange where the security is listed.

Valid values:  ‘CBT’, ‘CCE’, ‘CEE’, ‘CEU’, ‘CMD’, ‘CME’,  'COMEX' ,  'DME', ‘NYMEX’

CFICode

CFI

461

Y

Indicates the type of security - Classification of Financial Instruments (CFI code)

Valid values: security type values as defined by ISO 10962 standard

SecuritySubType

SubTyp

762

 Y

For spreads, indicates the strategy type. For CDS, indicates if the product is a Single Name or Index.

Valid values:

Options:

BX = Box

BO = Butterfly

XT = Xmas Tree

CC = Conditional Curve

CO = Condor

DB = Double

HO = Horizontal

HS = Horizontal Straddle

IC = Iron Condor

12 = Ratio 1x2

13 = Ratio 1x3

23 = Ratio 2x3

RR = Risk Reversal

SS = Straddle Strip

ST = Straddle

SG = Strangle

SR = Strip

VT = Vertical

JR = Jelly Roll

GT = Guts

GN = Generic

Futures:

SP = Calendar Spread

FX = FX Calendar Spread

RT = Reduced Tick Calendar Spread

EQ = Equity Calendar Spread

BF = Butterfly

CF = Condor

FS = Strip

IS = Intercommodity Spread

PK = Pack

MP = Month Pack

PB = Pack Butterfly

DF = Double Butterfly

PS = Pack Spread

C1 = Crack 1:1

FB = Bundle

BS = Bundle Spread

IV = Implied Treasury Intercommodity Spread

EC = TAS Calendar Spread

SI = Commodities Intercommodity Spread

MS = BMD Futures Strip

UnitofMeasure

UOM

996

Y

Physical unit of measure for Derivative products.

NOTE: Additional values may be used by mutual agreement of the counterparties.

• Alw - Allowances

• BDFT - Board feet

• Bbl - Barrels

• Bcf - Billion cubic feet

• Bu - Bushels

• CBM - Cubic Meters

• CER - Certified Emissions Reduction

• CRT - Climate Reserve Tonnes

• Ccy- Amount of currency

• EnvCrd - Environmental Credit

• EnvOfst - Environmental Offset

• GJ - Gigajoules

• GT - Gross Tons 

• Also known as long tons or imperial tons, equal to 2240 lbs

• Gal - Gallons

• IPNT - Index point

• L - Liters

• MMBtu - One Million BTU

• MMbbl - Million Barrels

• MW-M - Megawatt-Month (electrical capacity)

• MWh - Megawatt hours

• PRINC - Principal with relation to debt instrument

• cwt - Hundredweight (US)

• day - Days

• dt- Dry metric tons

• g - Grams

• kL - Kiloliters

• kW-M - Kilowatt-Month (electrical capacity)

• kWh - Kilowatt hours

• kg - Kilograms

• lbs - pounds

• oz_tr - Troy Ounces

• t - Metric Tons (aka Tonne)

• thm- Therms

• tn- Tons (US)

TradeReportType

RptTyp

856

N

Indicates the purpose of the trade within the workflow and determines the action of the receiver of the trade

Valid value:

‘101’ (Notification)

AvgPx

AvgPx

6

N

Calculated average price of all fills on this order. Will be populated for Average Price System (APS) transactions only.

SecondaryExecID

ExecID2

527

N

Execution ID as assigned by originating platform, e.g. the ClearPort execution ID

TradeType

TrdTyp

828

N

CME Trade Type & Trade Transfer Flag.

Valid values:

• 0 - Regular Trade

• 1 - Block Trade

• 2 - EFP (Exchange for physical)

• 3 - Transfer

• 11 - Exchange for Risk (EFR)

• 22 - Over the Counter Privately Negotiated Trades (OPNT)

• 23 - Substitution of Futures for Forwards

• 45 - Option exercise

• 54 - OTC / Large Notional Off Facility Swap

• 55 - Exchange Basis Facility (EBF)

• 57 - Netted trade

• 58 - Block swap trade

• 59 - Credit event trade

• 60 - Succession event trade

TradeSubType

TrdSubTyp

829

N

Represents the CME Trade Type Subset, TAS Flag & the APS Offset and Onset Flag.

Valid values:

• 7 - Differential spread

• 8 - Implied spread leg executed against an outright

• 36 - Converted SWAP (Aged Deal)

• 37 - Crossed Trade (X)

• 40 - TAS - Traded at settlement

• 42 - Auction Trade

• 43 - TAM - Traded at marker

• 48 - Multilateral Compression

• 200 - Delivery Transfer

TradeReportingStatus

TrdRptStat

939

N

Indicates the status of the trade in clearing.

Valid values: ‘0’ (Accepted)

VenueType