Appendix

Allocation Category

Components

AllocAckGrp

This repeating group is optionally used for messages with AllocStatus = 2 (account level reject), AllocStatus = 0 (accepted), to provide details of the individual accounts that were accepted or rejected. In the case of a reject, the reasons for the rejection should be specified. This group should not be populated where AllocStatus has any other value.

Indicates number of allocation groups to follow.

Tag Name Req’d Description
78 NoAllocs
→79 AllocAccount N Required if NoAllocs > 0. Must be first field in repeating group.
→661 AllocAcctIDSource N
→366 AllocPrice N Used when performing executed price vs. average price allocations (e.g. Japan). AllocAccount plus AllocPrice form a unique Allocs entry. Used in lieu of AllocAvgPx.
→1047 AllocPositionEffect N
→467 IndividualAllocID N
→776 IndividualAllocRejCode N Required if NoAllocs > 0.
Component NestedParties N
→161 AllocText N Free format text field related to this AllocAccount (can be used here to hold text relating to the rejection of this AllocAccount)
→360 EncodedAllocTextLen N Must be set if EncodedAllocText field is specified and must immediately precede it.
→361 EncodedAllocText N Encoded (non-ASCII characters) representation of the AllocText field in the encoded format specified via the MessageEncoding field.
→989 SecondaryIndividualAllocID N Will allow the intermediary to specify an allocation ID generated by the system
→993 AllocCustomerCapacity N Will allow for granular reporting of separate allocation detail within a single trade report or allocation message.
→992 IndividualAllocType N Identifies whether the allocation is to be sub-allocated or allocated to a third party.
→80 AllocQty N Quantity to be allocated to specific sub-account

AllocGrp

Conditionally required except when AllocTransType = Cancel, or when AllocType = Ready-to-book or Warehouse instruction

Tag Name Req’d Description
78 NoAllocs
→79 AllocAccount N May be the same value as BrokerOfCredit if ProcessCode is step-out or soft-dollar step-out and Institution does not wish to disclose individual account breakdowns to the ExecBroker. Required if NoAllocs > 0. Must be first field in repeating group.
Conditionally required except when for AllocTransType=Cancel, or when AllocType= Ready-To-Book or Warehouse instruction.
→661 AllocAcctIDSource N
→573 MatchStatus N
→366 AllocPrice N Used when performing executed price vs. average price allocations (e.g. Japan). AllocAccount plus AllocPrice form a unique Allocs entry. Used in lieu of AllocAvgPx.
→80 AllocQty N Conditionally required except when for AllocTransType=Cancel, or when AllocType= Ready-To-Book or Warehouse instruction.
→467 IndividualAllocID N
→81 ProcessCode N
→989 SecondaryIndividualAllocID N Can be used by an intermediary to specify an allocation ID assigned by the intermediary's system.
→1002 AllocMethod N Specifies the method under which a trade quantity was allocated.
→993 AllocCustomerCapacity N Can be used for granular reporting of separate allocation detail within a single trade report or allocation message.
→1047 AllocPositionEffect N
→992 IndividualAllocType N
Component NestedParties N Insert here the set of Nested Parties (firm identification nested within additional repeating group) fields defined in Common Components of Application Messages
Used for NestedPartyRole=BrokerOfCredit, ClientID, Settlement location (PSET), etc.
Note: this field can be used for settlement location (PSET) information.
→208 NotifyBrokerOfCredit N
→209 AllocHandlInst N
→161 AllocText N Free format text field related to this AllocAccount
→360 EncodedAllocTextLen N Must be set if EncodedAllocText field is specified and must immediately precede it.
→361 EncodedAllocText N Encoded (non-ASCII characters) representation of the AllocText field in the encoded format specified via the MessageEncoding field.
Component CommissionData N Insert here the set of CommissionData fields defined in Common Components of Application Messages
→153 AllocAvgPx N AvgPx for this AllocAccount. For F/X orders, should be the all-in rate (spot rate adjusted for forward points) for this allocation, expressed in terms of Currency(15). For Fixed Income always express value as percent of par.
→154 AllocNetMoney N NetMoney for this AllocAccount
((AllocQty * AllocAvgPx) – Commission – sum of MiscFeeAmt + AccruedInterestAmt) if a Sell.
((AllocQty * AllocAvgPx) + Commission + sum of MiscFeeAmt + AccruedInterestAmt) if a Buy.
For FX, if specified, expressed in terms of Currency(15).
→119 SettlCurrAmt N Replaced by AllocSettlCurrAmt
→737 AllocSettlCurrAmt N AllocNetMoney in AllocSettlCurrency for this AllocAccount if AllocSettlCurrency is different from overall Currency
→120 SettlCurrency N Replaced by AllocSettlCurrency
SettlCurrency for this AllocAccount if different from overall Currency. Required if SettlCurrAmt is specified.
→736 AllocSettlCurrency N AllocSettlCurrency for this AllocAccount if different from overall Currency.
Required if AllocSettlCurrAmt is specified.
Required for NDFs.
→155 SettlCurrFxRate N Foreign exchange rate used to compute AllocSettlCurrAmt from Currency to AllocSettlCurrency
→156 SettlCurrFxRateCalc N Specifies whether the SettlCurrFxRate should be multiplied or divided
→742 AllocAccruedInterestAmt N Applicable for Convertible Bonds and fixed income
→741 AllocInterestAtMaturity N Applicable for securities that pay interest in lump-sum at maturity
Component MiscFeesGrp N
Component ClrInstGrp N
→635 ClearingFeeIndicator N
→780 AllocSettlInstType N Used to indicate whether settlement instructions are provided on this message, and if not, how they are to be derived.
Absence of this field implies use of default instructions.
Component SettlInstructionsData N Insert here the set of SettlInstructionsData fields defined in Common Components of Application Messages
Used to communicate settlement instructions for this AllocAccount detail. Required if AllocSettlInstType = 2 or 3.

ExecAllocGrp

Indicates number of individual execution repeating group entries to follow. Absence of this field indicates that no individual execution entries are included. Primarily used to support step-outs.

Tag Name Req’d Description
124 NoExecs
→32 LastQty N Amount of quantity (e.g. number of shares) in individual execution. Required if NoExecs > 0
→17 ExecID N
→527 SecondaryExecID N
→31 LastPx N Price of individual execution. Required if NoExecs > 0.
For FX, if specified, expressed in terms of Currency(15).
→669 LastParPx N Last price expressed in percent-of-par. Conditionally required for Fixed Income trades when LastPx is expressed in Yield, Spread, Discount or any other price type
→29 LastCapacity N Used to identify whether the trade was executed on an agency or principal basis.
→1003 TradeID N
→1041 FirmTradeID N

Messages

AllocationReport Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = AS
755 AllocReportID Y Unique identifier for this message
70 AllocID N
71 AllocTransType Y i.e. New, Cancel, Replace
795 AllocReportRefID N Required for AllocTransType = Replace or Cancel
796 AllocCancReplaceReason N Required for AllocTransType = Replace or Cancel
Gives the reason for replacing or cancelling the allocation report
793 SecondaryAllocID N Optional second identifier for this allocation instruction (need not be unique)
794 AllocReportType Y Specifies the purpose or type of Allocation Report message
87 AllocStatus Y
88 AllocRejCode N Required for AllocStatus = 1 (rejected)
72 RefAllocID N Required for AllocTransType = Replace or Cancel
808 AllocIntermedReqType N Required if AllocReportType = 8 (Request to Intermediary)
Indicates status that is requested to be transmitted to counterparty by the intermediary (i.e. clearing house)
196 AllocLinkID N Can be used to link two different Allocation messages (each with unique AllocID) together, i.e. for F/X Netting or Swaps
197 AllocLinkType N Can be used to link two different Allocation messages and identifies the type of link. Required if AllocLinkID is specified.
466 BookingRefID N
715 ClearingBusinessDate N Indicates Clearing Business Date for which transaction will be settled.
828 TrdType N Indicates Trade Type of Allocation.
829 TrdSubType N Indicates TradeSubType of Allocation. Necessary for defining groups.
442 MultiLegReportingType N Indicates MultiLegReportType of original trade marked for allocation.
582 CustOrderCapacity N Indicates CTI of original trade marked for allocation.
578 TradeInputSource N Indicates input source of original trade marked for allocation.
991 RndPx N Specifies the rounded price to quoted precision.
1011 MessageEventSource N Used to identify the event or source which gave rise to a message.
579 TradeInputDevice N Specific device number, terminal number or station where trade was entered
819 AvgPxIndicator N Indicates if an allocation is to be average priced. Is also used to indicate if average price allocation group is complete or incomplete.
857 AllocNoOrdersType N Indicates how the orders being booked and allocated by this message are identified, i.e. by explicit definition in the NoOrders group or not.
Component OrdAllocGrp N Indicates number of orders to be combined for allocation. If order(s) were manually delivered set to 1 (one).Required when AllocNoOrdersType = 1
Component ExecAllocGrp N Indicates number of individual execution repeating group entries to follow. Absence of this field indicates that no individual execution entries are included. Primarily used to support step-outs.
570 PreviouslyReported N
700 ReversalIndicator N
574 MatchType N
54 Side Y
Component Instrument Y Components of Application Messages.
For NDFs, fixing date (specified in MaturityDate(541)) is required. Fixing time (specified in MaturityTime(1079)) is optional.
Component InstrumentExtension N Insert here the set of InstrumentExtension fields defined in Common Components of Application Messages
Component FinancingDetails N Insert here the set of FinancingDetails fields defined in Common Components of Application Messages
Component UndInstrmtGrp N
Component InstrmtLegGrp N
53 Quantity Y Total quantity (e.g. number of shares) allocated to all accounts, or that is Ready-To-Book
854 QtyType N
30 LastMkt N Market of the executions.
229 TradeOriginationDate N
336 TradingSessionID N
625 TradingSessionSubID N
423 PriceType N
6 AvgPx Y For FX orders, should be the all-in rate (spot rate adjusted for forward points), expressed in terms of Currency(15).
860 AvgParPx N
Component SpreadOrBenchmarkCurveData N Insert here the set of SpreadOrBenchmarkCurveData fields defined in Common Components of Application Messages
15 Currency N Currency of AvgPx. Should be the currency of the local market or exchange where the trade was conducted.
74 AvgPxPrecision N Absence of this field indicates that default precision arranged by the broker/institution is to be used
Component Parties N Insert here the set of Parties (firm identification) fields defined in Common Components of Application Messages
75 TradeDate Y
60 TransactTime N Date/time when allocation is generated
63 SettlType N
64 SettlDate N Takes precedence over SettlType value and conditionally required/omitted for specific SettlType values.
Required for NDFs to specify the value date.
775 BookingType N Method for booking. Used to provide notification that this is to be booked out as an OTC derivative (e.g. CFD or similar). Absence of this field implies regular booking.
381 GrossTradeAmt N Expressed in same currency as AvgPx(6). (Quantity(53) * AvgPx(6) or AvgParPx(860)) or sum of (AllocQty(80) * AllocAvgPx(153) or AllocPrice(366)). For Fixed Income, AvgParPx(860) is used when AvgPx(6) is not expressed as percent of par price.
238 Concession N
237 TotalTakedown N
118 NetMoney N Expressed in same currency as AvgPx. Sum of AllocNetMoney.
For FX expressed in terms of Currency(15).
77 PositionEffect N
754 AutoAcceptIndicator N Indicates if Allocation has been automatically accepted on behalf of the Carry Firm by the Clearing House
58 Text N
354 EncodedTextLen N Must be set if EncodedText field is specified and must immediately precede it.
355 EncodedText N Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
157 NumDaysInterest N Applicable for Convertible Bonds and fixed income
158 AccruedInterestRate N Applicable for Convertible Bonds and fixed income
159 AccruedInterestAmt N Sum of AllocAccruedInterestAmt within repeating group.
540 TotalAccruedInterestAmt N
738 InterestAtMaturity N
920 EndAccruedInterestAmt N For repurchase agreements the accrued interest on termination.
921 StartCash N For repurchase agreements the start (dirty) cash consideration
922 EndCash N For repurchase agreements the end (dirty) cash consideration
650 LegalConfirm N
Component Stipulations N
Component YieldData N
Component PositionAmountData N Insert here here the set of Position Amount Data fields defined in Common Components of Application Messages
892 TotNoAllocs N Indicates total number of allocation groups (used to support fragmentation). Must equal the sum of all NoAllocs values across all message fragments making up this allocation instruction.
Only required where message has been fragmented.
893 LastFragment N Indicates whether this is the last fragment in a sequence of message fragments. Only required where message has been fragmented.
Component AllocGrp N Conditionally required except when AllocTransType = Cancel, or when AllocType = Ready-to-book or Warehouse instruction
Component RateSource N
Component StandardTrailer Y

AllocationReportAck Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = AT
755 AllocReportID Y
70 AllocID N
715 ClearingBusinessDate N Indicates Clearing Business Date for which transaction will be settled.
819 AvgPxIndicator N Indicates if an allocation is to be average priced. Is also used to indicate if average price allocation group is complete or incomplete.
53 Quantity N
71 AllocTransType N
Component Parties N Insert here the set of Parties (firm identification) fields defined in Common Components of Application Messages
793 SecondaryAllocID N Optional second identifier for the allocation report being acknowledged (need not be unique)
75 TradeDate N
60 TransactTime N Date/Time Allocation Report Ack generated
87 AllocStatus N Denotes the status of the allocation report; received (but not yet processed), rejected (at block or account level) or accepted (and processed).
AllocStatus will be conditionally required in a 2-party model when used by a counterparty to convey a change in status. It will be optional in a 3-party model in which only the central counterparty may issue the status of an allocation
88 AllocRejCode N Required for AllocStatus = 1 ( block level reject) and for AllocStatus 2 (account level reject) if the individual accounts and reject reasons are not provided in this message
794 AllocReportType N
808 AllocIntermedReqType N Required if AllocReportType = 8 (Request to Intermediary)
Indicates status that is requested to be transmitted to counterparty by the intermediary (i.e. clearing house)
573 MatchStatus N Denotes whether the financial details provided on the Allocation Report were successfully matched.
460 Product N
167 SecurityType N
58 Text N Can include explanation for AllocRejCode = 7 (other)
354 EncodedTextLen N Must be set if EncodedText field is specified and must immediately precede it.
355 EncodedText N Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
Component AllocAckGrp N This repeating group is optionally used for messages with AllocStatus = 2 (account level reject) to provide details of the individual accounts that caused the rejection, together with reject reasons. This group should not be populated where AllocStatus has any other value.
Indicates number of allocation groups to follow.
Component StandardTrailer Y

AllocationInstructionAlert Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = BM
70 AllocID Y Unique identifier for this allocation instruction alert message
71 AllocTransType Y i.e. New, Cancel, Replace
626 AllocType Y Specifies the purpose or type of Allocation message
793 SecondaryAllocID N Optional second identifier for this allocation instruction (need not be unique)
72 RefAllocID N Required for AllocTransType = Replace or Cancel
796 AllocCancReplaceReason N Required for AllocTransType = Replace or Cancel
Gives the reason for replacing or cancelling the allocation instruction
808 AllocIntermedReqType N Required if AllocType = 8 (Request to Intermediary)
Indicates status that is requested to be transmitted to counterparty by the intermediary (i.e. clearing house)
196 AllocLinkID N Can be used to link two different Allocation messages (each with unique AllocID) together, i.e. for F/X Netting or Swaps
197 AllocLinkType N Can be used to link two different Allocation messages and identifies the type of link. Required if AllocLinkID is specified.
466 BookingRefID N Can be used with AllocType= Ready-To-Book
857 AllocNoOrdersType N Indicates how the orders being booked and allocated by this message are identified, i.e. by explicit definition in the NoOrders group or not.
Component OrdAllocGrp N Indicates number of orders to be combined for allocation. If order(s) were manually delivered set to 1 (one).Required when AllocNoOrdersType = 1
Component ExecAllocGrp N Indicates number of individual execution repeating group entries to follow. Absence of this field indicates that no individual execution entries are included. Primarily used to support step-outs.
570 PreviouslyReported N
700 ReversalIndicator N
574 MatchType N
54 Side Y
Component Instrument Y Insert here the set of Instrument (symbology) fields defined in common components of application messages
Component InstrumentExtension N Insert here the set of InstrumentExtension fields defined in common components of application messages
Component FinancingDetails N Insert here the set of FinancingDetails fields defined in common components of application messages
Component UndInstrmtGrp N
Component InstrmtLegGrp N
53 Quantity Y Total quantity (e.g. number of shares) allocated to all accounts, or that is Ready-To-Book
854 QtyType N
30 LastMkt N Market of the executions.
229 TradeOriginationDate N
336 TradingSessionID N
625 TradingSessionSubID N
423 PriceType N
6 AvgPx N For F/X orders, should be the all-in rate (spot rate adjusted for forward points).
For 3rd party allocations used to convey either basic price or averaged price
Optional for average price allocations in the listed derivatives markets where the central counterparty calculates and manages average price across an allocation group.
860 AvgParPx N
Component SpreadOrBenchmarkCurveData N Insert here the set of SpreadOrBenchmarkCurveData fields defined in common components of application messages
15 Currency N Currency of AvgPx. Should be the currency of the local market or exchange where the trade was conducted.
74 AvgPxPrecision N Absence of this field indicates that default precision arranged by the broker/institution is to be used
Component Parties N Insert here the set of Parties (firm identification) fields defined in common components of application messages
75 TradeDate Y
60 TransactTime N Date/time when allocation is generated
63 SettlType N
64 SettlDate N Takes precedence over SettlType value and conditionally required/omitted for specific SettlType values.
775 BookingType N Method for booking. Used to provide notification that this is to be booked out as an OTC derivative (e.g. CFD or similar). Absence of this field implies regular booking.
381 GrossTradeAmt N Expressed in same currency as AvgPx. Sum of (AllocQty * AllocAvgPx or AllocPrice).
238 Concession N
237 TotalTakedown N
118 NetMoney N Expressed in same currency as AvgPx. Sum of AllocNetMoney.
77 PositionEffect N
754 AutoAcceptIndicator N Indicates if Allocation has been automatically accepted on behalf of the Carry Firm by the Clearing House
58 Text N
354 EncodedTextLen N Must be set if EncodedText field is specified and must immediately precede it.
355 EncodedText N Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
157 NumDaysInterest N Applicable for Convertible Bonds and fixed income
158 AccruedInterestRate N Applicable for Convertible Bonds and fixed income
159 AccruedInterestAmt N Applicable for Convertible Bonds and fixed income (REMOVED FROM THIS LOCATION AS OF FIX 4.4, REPLACED BY AllocAccruedInterest)
540 TotalAccruedInterestAmt N (Deprecated) use AccruedInterestAmt Sum of AccruedInterestAmt within repeating group.
738 InterestAtMaturity N
920 EndAccruedInterestAmt N For repurchase agreements the accrued interest on termination.
921 StartCash N For repurchase agreements the start (dirty) cash consideration
922 EndCash N For repurchase agreements the end (dirty) cash consideration
650 LegalConfirm N
Component Stipulations N
Component YieldData N
Component PositionAmountData N Insert here here the set of Position Amount Data fields defined in Common Components of Application Messages
892 TotNoAllocs N Indicates total number of allocation groups (used to support fragmentation). Must equal the sum of all NoAllocs values across all message fragments making up this allocation instruction.
Only required where message has been fragmented.
893 LastFragment N Indicates whether this is the last fragment in a sequence of message fragments. Only required where message has been fragmented.
Component AllocGrp N Indicates number of allocation groups to follow.
Not required for AllocTransType=Cancel
Not required for AllocType= Ready-To-Book or Warehouse instruction.
819 AvgPxIndicator N Indicates if an allocation is to be average priced. Is also used to indicate if average price allocation group is complete or incomplete.
715 ClearingBusinessDate N Indicates Clearing Business Date for which transaction will be settled.
828 TrdType N Indicates Trade Type of Allocation.
829 TrdSubType N Indicates TradeSubType of Allocation. Necessary for defining groups.
582 CustOrderCapacity N Indicates CTI of original trade marked for allocation.
578 TradeInputSource N Indicates input source of original trade marked for allocation.
442 MultiLegReportingType N Indicates MultiLegReportType of original trade marked for allocation.
1011 MessageEventSource N Used to identify the event or source which gave rise to a message.
991 RndPx N Specifies the rounded price to quoted precision.
Component StandardTrailer Y

AllocationInstruction Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = J
70 AllocID Y Unique identifier for this allocation instruction message
71 AllocTransType Y i.e. New, Cancel, Replace
626 AllocType Y Specifies the purpose or type of Allocation message
793 SecondaryAllocID N Optional second identifier for this allocation instruction (need not be unique)
72 RefAllocID N Required for AllocTransType = Replace or Cancel
796 AllocCancReplaceReason N Required for AllocTransType = Replace or Cancel
Gives the reason for replacing or cancelling the allocation instruction
808 AllocIntermedReqType N Required if AllocType = 8 (Request to Intermediary)
Indicates status that is requested to be transmitted to counterparty by the intermediary (i.e. clearing house)
196 AllocLinkID N Can be used to link two different Allocation messages (each with unique AllocID) together, i.e. for F/X Netting or Swaps
197 AllocLinkType N Can be used to link two different Allocation messages and identifies the type of link. Required if AllocLinkID is specified.
466 BookingRefID N Can be used with AllocType= Ready-To-Book
857 AllocNoOrdersType N Indicates how the orders being booked and allocated by this message are identified, i.e. by explicit definition in the NoOrders group or not.
Component OrdAllocGrp N Indicates number of orders to be combined for allocation. If order(s) were manually delivered set to 1 (one).Required when AllocNoOrdersType = 1
Component ExecAllocGrp N Indicates number of individual execution repeating group entries to follow. Absence of this field indicates that no individual execution entries are included. Primarily used to support step-outs.
570 PreviouslyReported N
700 ReversalIndicator N
574 MatchType N
54 Side Y
Component Instrument Y Insert here the set of Instrument (symbology) fields defined in Common Components of Application Messages.
For NDFs fixing date and time can be optionally specified using MaturityDate and MaturityTime.
Component InstrumentExtension N Insert here the set of InstrumentExtension fields defined in Common Components of Application Messages
Component FinancingDetails N Insert here the set of FinancingDetails fields defined in Common Components of Application Messages
Component UndInstrmtGrp N
Component InstrmtLegGrp N
53 Quantity Y Total quantity (e.g. number of shares) allocated to all accounts, or that is Ready-To-Book
854 QtyType N
30 LastMkt N Market of the executions.
229 TradeOriginationDate N
336 TradingSessionID N
625 TradingSessionSubID N
423 PriceType N
6 AvgPx N For FX orders, should be the all-in rate (spot rate adjusted for forward points), expressed in terms of Currency(15).
For 3rd party allocations used to convey either basic price or averaged price
Optional for average price allocations in the listed derivatives markets where the central counterparty calculates and manages average price across an allocation group.
860 AvgParPx N
Component SpreadOrBenchmarkCurveData N Insert here the set of SpreadOrBenchmarkCurveData fields defined in Common Components of Application Messages
15 Currency N Currency of AvgPx. Should be the currency of the local market or exchange where the trade was conducted.
74 AvgPxPrecision N Absence of this field indicates that default precision arranged by the broker/institution is to be used
Component Parties N Insert here the set of Parties (firm identification) fields defined in Common Components of Application Messages
75 TradeDate Y
60 TransactTime N Date/time when allocation is generated
63 SettlType N
64 SettlDate N Takes precedence over SettlType value and conditionally required/omitted for specific SettlType values.
Required for NDFs to specify the value date.
775 BookingType N Method for booking. Used to provide notification that this is to be booked out as an OTC derivative (e.g. CFD or similar). Absence of this field implies regular booking.
381 GrossTradeAmt N Expressed in same currency as AvgPx(6). (Quantity(53) * AvgPx(6) or AvgParPx(860)) or sum of (AllocQty(80) * AllocAvgPx(153) or AllocPrice(366)). For Fixed Income, AvgParPx(860) is used when AvgPx(6) is not expressed as percent of par price.
238 Concession N
237 TotalTakedown N
118 NetMoney N Expressed in same currency as AvgPx. Sum of AllocNetMoney.
For FX, if specified, expressed in terms of Currency(15).
77 PositionEffect N
754 AutoAcceptIndicator N Indicates if Allocation has been automatically accepted on behalf of the Carry Firm by the Clearing House
58 Text N
354 EncodedTextLen N Must be set if EncodedText field is specified and must immediately precede it.
355 EncodedText N Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
157 NumDaysInterest N Applicable for Convertible Bonds and fixed income
158 AccruedInterestRate N Applicable for Convertible Bonds and fixed income
159 AccruedInterestAmt N Applicable for Convertible Bonds and fixed income
540 TotalAccruedInterestAmt N
738 InterestAtMaturity N
920 EndAccruedInterestAmt N For repurchase agreements the accrued interest on termination.
921 StartCash N For repurchase agreements the start (dirty) cash consideration
922 EndCash N For repurchase agreements the end (dirty) cash consideration
650 LegalConfirm N
Component Stipulations N
Component YieldData N
Component PositionAmountData N Insert here here the set of Position Amount Data fields defined in Common Components of Application Messages
892 TotNoAllocs N Indicates total number of allocation groups (used to support fragmentation). Must equal the sum of all NoAllocs values across all message fragments making up this allocation instruction.
Only required where message has been fragmented.
893 LastFragment N Indicates whether this is the last fragment in a sequence of message fragments. Only required where message has been fragmented.
Component AllocGrp N Conditionally required except when AllocTransType = Cancel, or when AllocType = Ready-to-book or Warehouse instruction
819 AvgPxIndicator N Indicates if an allocation is to be average priced. Is also used to indicate if average price allocation group is complete or incomplete.
715 ClearingBusinessDate N Indicates Clearing Business Date for which transaction will be settled.
828 TrdType N Indicates Trade Type of Allocation.
829 TrdSubType N Indicates TradeSubType of Allocation. Necessary for defining groups.
582 CustOrderCapacity N Indicates CTI of original trade marked for allocation.
578 TradeInputSource N Indicates input source of original trade marked for allocation.
442 MultiLegReportingType N Indicates MultiLegReportType of original trade marked for allocation.
1011 MessageEventSource N Used to identify the event or source which gave rise to a message.
991 RndPx N Specifies the rounded price to quoted precision.
Component RateSource N
Component StandardTrailer Y

AllocationInstructionAck Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = P
70 AllocID Y
Component Parties N Insert here the set of Parties (firm identification) fields defined in Common Components of Application Messages
793 SecondaryAllocID N Optional second identifier for the allocation instruction being acknowledged (need not be unique)
75 TradeDate N
60 TransactTime N Date/Time Allocation Instruction Ack generated
87 AllocStatus Y Denotes the status of the allocation instruction; received (but not yet processed), rejected (at block or account level) or accepted (and processed).
88 AllocRejCode N Required for AllocStatus = 1 ( block level reject) and for AllocStatus 2 (account level reject) if the individual accounts and reject reasons are not provided in this message
626 AllocType N
808 AllocIntermedReqType N Required if AllocType = 8 (Request to Intermediary)
Indicates status that is requested to be transmitted to counterparty by the intermediary (i.e. clearing house)
573 MatchStatus N Denotes whether the financial details provided on the Allocation Instruction were successfully matched.
460 Product N
167 SecurityType N
58 Text N Can include explanation for AllocRejCode = 7 (other)
354 EncodedTextLen N Must be set if EncodedText field is specified and must immediately precede it.
355 EncodedText N Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
Component AllocAckGrp N This repeating group is optionally used for messages with AllocStatus = 2 (account level reject) to provide details of the individual accounts that caused the rejection, together with reject reasons. This group should not be populated when AllocStatus has any other value.
Indicates number of allocation groups to follow.
Component StandardTrailer Y

CollateralManagement Category

Components

CollInqQualGrp

Number of qualifiers to inquiry

Tag Name Req’d Description
938 NoCollInquiryQualifier
→896 CollInquiryQualifier N Required if NoCollInquiryQualifier > 0
Type of collateral inquiry

ExecCollGrp

Executions for which collateral is required

Tag Name Req’d Description
124 NoExecs
→17 ExecID N Required if NoExecs > 0

TrdCollGrp

Trades for which collateral is required

Tag Name Req’d Description
897 NoTrades
→571 TradeReportID N Required if NoTrades > 0
→818 SecondaryTradeReportID N

UndInstrmtCollGrp

Number of legs that make up the Security

Tag Name Req’d Description
711 NoUnderlyings
Component UnderlyingInstrument N Insert here the set of Underlying Instrument fields defined in Common Components of Application Messages
Required if NoUnderlyings > 0
→944 CollAction N Required if NoUnderlyings > 0

Messages

CollateralRequest Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = AX
894 CollReqID Y Unique identifier for collateral request
895 CollAsgnReason Y Reason collateral assignment is being requested
60 TransactTime Y
126 ExpireTime N Time until when Respondent has to assign collateral
Component Parties N
1 Account N Customer Account
581 AccountType N Type of account associated with the order (Origin)
11 ClOrdID N Identifier of order for which collateral is required
37 OrderID N Identifier of order for which collateral is required
198 SecondaryOrderID N Identifier of order for which collateral is required
526 SecondaryClOrdID N Identifier of order for which collateral is required
Component ExecCollGrp N Executions for which collateral is required
Component TrdCollGrp N Trades for which collateral is required
Component Instrument N Instrument that was traded for which collateral is required
Component FinancingDetails N Details of the Agreement and Deal
64 SettlDate N
53 Quantity N
854 QtyType N
15 Currency N
Component InstrmtLegGrp N Number of legs that make up the Security
Component UndInstrmtCollGrp N Number of legs that make up the Security
899 MarginExcess N
900 TotalNetValue N
901 CashOutstanding N
Component TrdRegTimestamps N Insert here the set of TrdRegTimestamps fields defined in Common Components of Application Messages
54 Side N
Component MiscFeesGrp N Required if any miscellaneous fees are reported.
44 Price N
423 PriceType N
159 AccruedInterestAmt N
920 EndAccruedInterestAmt N
921 StartCash N
922 EndCash N
Component SpreadOrBenchmarkCurveData N Insert here the set of SpreadOrBenchmarkCurveData fields defined in Common Components of Application Messages
Component Stipulations N Insert here the set of Stipulations fields defined in Common Components of Application Messages
336 TradingSessionID N Trading Session in which trade occurred
625 TradingSessionSubID N Trading Session Subid in which trade occurred
716 SettlSessID N
717 SettlSessSubID N
715 ClearingBusinessDate N
58 Text N
354 EncodedTextLen N Must be set if EncodedText field is specified and must immediately precede it.
355 EncodedText N Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
Component StandardTrailer Y

CollateralAssignment Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = AY
902 CollAsgnID Y Unique Identifer for collateral assignment
894 CollReqID N Identifer of CollReqID to which the Collateral Assignment is in response
895 CollAsgnReason Y Reason for collateral assignment
903 CollAsgnTransType Y Collateral Transaction Type
907 CollAsgnRefID N Collateral assignment to which this transaction refers
60 TransactTime Y
126 ExpireTime N For an Initial assignment, time by which a response is expected
Component Parties N
1 Account N Customer Account
581 AccountType N Type of account associated with the order (Origin)
11 ClOrdID N Identifier of order for which collateral is required
37 OrderID N Identifier of order for which collateral is required
198 SecondaryOrderID N Identifier of order for which collateral is required
526 SecondaryClOrdID N Identifier of order for which collateral is required
Component ExecCollGrp N Executions for which collateral is required
Component TrdCollGrp N Trades for which collateral is required
Component Instrument N Insert here the set of Instrument fields defined in Common Components of Application Messages
Component FinancingDetails N Insert here the set of FinancingDetails fields defined in Common Components of Application Messages
64 SettlDate N
53 Quantity N
854 QtyType N
15 Currency N
Component InstrmtLegGrp N Number of legs that make up the Security
Component UndInstrmtCollGrp N Number of legs that make up the Security
899 MarginExcess N
900 TotalNetValue N
901 CashOutstanding N
Component TrdRegTimestamps N Insert here the set of TrdRegTimestamps fields defined in Common Components of Application Messages
54 Side N
Component MiscFeesGrp N Required if any miscellaneous fees are reported.
44 Price N
423 PriceType N
159 AccruedInterestAmt N
920 EndAccruedInterestAmt N
921 StartCash N
922 EndCash N
Component SpreadOrBenchmarkCurveData N Insert here the set of SpreadOrBenchmarkCurveData fields defined in Common Components of Application Messages
Component Stipulations N Insert here the set of Stipulations fields defined in Common Components of Application Messages
Component SettlInstructionsData N Insert here the set of SettlInstructionsData fields defined in Common Components of Application Messages
336 TradingSessionID N Trading Session in which trade occurred
625 TradingSessionSubID N Trading Session Subid in which trade occurred
716 SettlSessID N
717 SettlSessSubID N
715 ClearingBusinessDate N
58 Text N
354 EncodedTextLen N Must be set if EncodedText field is specified and must immediately precede it.
355 EncodedText N Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
Component StandardTrailer Y

CollateralResponse Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = AZ
904 CollRespID Y Unique identifer for the collateral response
902 CollAsgnID N Conditionally required when responding to a Collateral Assignment message
894 CollReqID N Identifer of CollReqID to which the Collateral Assignment is in response
895 CollAsgnReason N Conditionally required when responding to a Collateral Assignment message
903 CollAsgnTransType N Collateral Transaction Type – not recommended because it causes confusion
905 CollAsgnRespType Y Collateral Assignment Response Type
906 CollAsgnRejectReason N Reason Colllateral Assignment was rejected
60 TransactTime Y
1043 CollApplType N
291 FinancialStatus N Tells whether security has been restricted.
715 ClearingBusinessDate N
Component Parties N
1 Account N Customer Account
581 AccountType N Type of account associated with the order (Origin)
11 ClOrdID N Identifier of order for which collateral is required
37 OrderID N Identifier of order for which collateral is required
198 SecondaryOrderID N Identifier of order for which collateral is required
526 SecondaryClOrdID N Identifier of order for which collateral is required
Component ExecCollGrp N Executions for which collateral is required
Component TrdCollGrp N Trades for which collateral is required
Component Instrument N Insert here the set of Instrument fields defined in Common Components of Application Messages
Component FinancingDetails N Insert here the set of FinancingDetails fields defined in Common Components of Application Messages
64 SettlDate N
53 Quantity N
854 QtyType N
15 Currency N
Component InstrmtLegGrp N Number of legs that make up the Security
Component UndInstrmtCollGrp N Number of legs that make up the Security
899 MarginExcess N
900 TotalNetValue N
901 CashOutstanding N
Component TrdRegTimestamps N Insert here the set of TrdRegTimestamps fields defined in Common Components of Application Messages
54 Side N
Component MiscFeesGrp N Required if any miscellaneous fees are reported.
44 Price N
423 PriceType N
159 AccruedInterestAmt N
920 EndAccruedInterestAmt N
921 StartCash N
922 EndCash N
Component SpreadOrBenchmarkCurveData N Insert here the set of SpreadOrBenchmarkCurveData fields defined in Common Components of Application Messages
Component Stipulations N Insert here the set of Stipulations fields defined in Common Components of Application Messages
58 Text N
354 EncodedTextLen N Must be set if EncodedText field is specified and must immediately precede it.
355 EncodedText N Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
Component StandardTrailer Y

CollateralReport Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = BA
908 CollRptID Y Unique Identifer for collateral report
909 CollInquiryID N Identifier for the collateral inquiry to which this message is a reply
60 TransactTime N
1043 CollApplType N Differentiates collateral pledged specifically against a position from collateral pledged against an entire portfolio on a valued basis.
291 FinancialStatus N Tells whether security has been restricted.
910 CollStatus Y Collateral status
911 TotNumReports N
912 LastRptRequested N
Component Parties N
1 Account N Customer Account
581 AccountType N Type of account associated with the order (Origin)
11 ClOrdID N Identifier of order for which collateral is required
37 OrderID N Identifier of order for which collateral is required
198 SecondaryOrderID N Identifier of order for which collateral is required
526 SecondaryClOrdID N Identifier of order for which collateral is required
Component ExecCollGrp N Executions for which collateral is required
Component TrdCollGrp N Trades for which collateral is required
Component Instrument N Insert here the set of Instrument fields defined in Common Components of Application Messages
Component FinancingDetails N Insert here the set of FinancingDetails fields defined in Common Components of Application Messages
64 SettlDate N
53 Quantity N
854 QtyType N
15 Currency N
Component InstrmtLegGrp N Number of legs that make up the Security
Component UndInstrmtGrp N Number of legs that make up the Security
899 MarginExcess N
900 TotalNetValue N
901 CashOutstanding N
Component TrdRegTimestamps N Insert here the set of TrdRegTimestamps fields defined in Common Components of Application Messages
54 Side N
Component MiscFeesGrp N Required if any miscellaneous fees are reported.
44 Price N
423 PriceType N
159 AccruedInterestAmt N
920 EndAccruedInterestAmt N
921 StartCash N
922 EndCash N
Component SpreadOrBenchmarkCurveData N Insert here the set of SpreadOrBenchmarkCurveData fields defined in Common Components of Application Messages
Component Stipulations N Insert here the set of Stipulations fields defined in Common Components of Application Messages
Component SettlInstructionsData N Insert here the set of SettlInstructionsData fields defined in Common Components of Application Messages
336 TradingSessionID N Trading Session in which trade occurred
625 TradingSessionSubID N Trading Session Subid in which trade occurred
716 SettlSessID N
717 SettlSessSubID N
715 ClearingBusinessDate N
58 Text N
354 EncodedTextLen N Must be set if EncodedText field is specified and must immediately precede it.
355 EncodedText N Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
Component StandardTrailer Y

CollateralInquiry Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = BB
909 CollInquiryID Y Unique identifier for this message.
Component CollInqQualGrp N Number of qualifiers to inquiry
263 SubscriptionRequestType N Used to subscribe / unsubscribe for collateral status reports.
If the field is absent, the default will be snapshot request only – no subscription.
725 ResponseTransportType N Ability to specify whether the response to the request should be delivered inband or via pre-arranged out-of-band transport.
726 ResponseDestination N URI destination name. Used if ResponseTransportType is out-of-band.
Component Parties N
1 Account N Customer Account
581 AccountType N Type of account associated with the order (Origin)
11 ClOrdID N Identifier of order for which collateral is required
37 OrderID N Identifier of order for which collateral is required
198 SecondaryOrderID N Identifier of order for which collateral is required
526 SecondaryClOrdID N Identifier of order for which collateral is required
Component ExecCollGrp N Executions for which collateral is required
Component TrdCollGrp N Trades for which collateral is required
Component Instrument N Insert here the set of Instrument fields defined in Common Components of Application Messages
Component FinancingDetails N Insert here the set of FinancingDetails fields defined in Common Components of Application Messages
64 SettlDate N
53 Quantity N
854 QtyType N
15 Currency N
Component InstrmtLegGrp N Number of legs that make up the Security
Component UndInstrmtGrp N Number of legs that make up the Security
899 MarginExcess N
900 TotalNetValue N
901 CashOutstanding N
Component TrdRegTimestamps N Insert here the set of TrdRegTimestamps fields defined in Common Components of Application Messages
54 Side N
44 Price N
423 PriceType N
159 AccruedInterestAmt N
920 EndAccruedInterestAmt N
921 StartCash N
922 EndCash N
Component SpreadOrBenchmarkCurveData N Insert here the set of SpreadOrBenchmarkCurveData fields defined in Common Components of Application Messages
Component Stipulations N Insert here the set of Stipulations fields defined in Common Components of Application Messages
Component SettlInstructionsData N Insert here the set of SettlInstructionsData fields defined in Common Components of Application Messages
336 TradingSessionID N Trading Session in which trade occurred
625 TradingSessionSubID N Trading Session Subid in which trade occurred
716 SettlSessID N
717 SettlSessSubID N
715 ClearingBusinessDate N
58 Text N
354 EncodedTextLen N Must be set if EncodedText field is specified and must immediately precede it.
355 EncodedText N Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
Component StandardTrailer Y

CollateralInquiryAck Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = BG
909 CollInquiryID Y Identifier for the collateral inquiry to which this message is a reply
945 CollInquiryStatus Y Status of the Collateral Inquiry referenced by CollInquiryID
946 CollInquiryResult N Result of the Collateral Inquriy referenced by CollInquiryID – specifies any errors or warnings
Component CollInqQualGrp N Number of qualifiers to inquiry
911 TotNumReports N Total number of reports generated in response to this inquiry
Component Parties N
1 Account N Customer Account
581 AccountType N Type of account associated with the order (Origin)
11 ClOrdID N Identifier of order for which collateral is required
37 OrderID N Identifier of order for which collateral is required
198 SecondaryOrderID N Identifier of order for which collateral is required
526 SecondaryClOrdID N Identifier of order for which collateral is required
Component ExecCollGrp N Executions for which collateral is required
Component TrdCollGrp N Trades for which collateral is required
Component Instrument N Insert here the set of Instrument fields defined in Common Components of Application Messages
Component FinancingDetails N Insert here the set of FinancingDetails fields defined in Common Components of Application Messages
64 SettlDate N
53 Quantity N
854 QtyType N
15 Currency N
Component InstrmtLegGrp N Number of legs that make up the Security
Component UndInstrmtGrp N Number of legs that make up the Security
336 TradingSessionID N Trading Session in which trade occurred
625 TradingSessionSubID N Trading Session Subid in which trade occurred
716 SettlSessID N
717 SettlSessSubID N
715 ClearingBusinessDate N
725 ResponseTransportType N Ability to specify whether the response to the request should be delivered inband or via pre-arranged out-of-band transport.
726 ResponseDestination N URI destination name. Used if ResponseTransportType is out-of-band.
58 Text N
354 EncodedTextLen N Must be set if EncodedText field is specified and must immediately precede it.
355 EncodedText N Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
Component StandardTrailer Y

Confirmation Category

Components

CpctyConfGrp

Tag Name Req’d Description
862 NoCapacities
→528 OrderCapacity Y Specifies the capacity of the firm executing the order(s)
→529 OrderRestrictions N
→863 OrderCapacityQty Y The quantity that was executed under this capacity (e.g. quantity executed as agent, as principal etc.). Sum of OrderCapacityQty values must equal this message's AllocQty.

Messages

Confirmation Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = AK
664 ConfirmID Y Unique ID for this message
772 ConfirmRefID N Mandatory if ConfirmTransType is Replace or Cancel
859 ConfirmReqID N Only used when this message is used to respond to a confirmation request (to which this ID refers)
666 ConfirmTransType Y New, Cancel or Replace
773 ConfirmType Y Denotes whether this message represents a confirmation or a trade status message
797 CopyMsgIndicator N Denotes whether or not this message represents copy confirmation (or status message)
Absence of this field indicates message is not a drop copy.
650 LegalConfirm N Denotes whether this message represents the legally binding confirmation
Absence of this field indicates message is not a legal confirm.
665 ConfirmStatus Y
Component Parties N Insert here the set of Parties (firm identification) fields defined in Common Components of Application Messages
Required for fixed income
Also to be used in associated with ProcessCode for broker of credit (e.g. for directed brokerage trades)
Also to be used to specify party-specific regulatory details (e.g. full legal name of contracting legal entity, registered address, regulatory status, any registration details)
Component OrdAllocGrp N Indicates number of orders to be combined for allocation. If order(s) were manually delivered set to 1 (one).Required when AllocNoOrdersType = 1
70 AllocID N Used to refer to an earlier Allocation Instruction.
793 SecondaryAllocID N Used to refer to an earlier Allocation Instruction via its secondary identifier
467 IndividualAllocID N Used to refer to an allocation account within an earlier Allocation Instruction.
60 TransactTime Y Represents the time this message was generated
75 TradeDate Y
Component TrdRegTimestamps N Time of last execution being confirmed by this message
Component Instrument Y Insert here the set of Instrument (symbology) fields defined in Common Components of Application Messages
Component InstrumentExtension N Insert here the set of InstrumentExtension fields defined in Common Components of Application Messages
Component FinancingDetails N Insert here the set of FinancingDetails fields defined in Common Components of Application Messages
Component UndInstrmtGrp N
Component InstrmtLegGrp N
Component YieldData N If traded on Yield, price must be calculated to worst and the <Yield> component block must specify how calculated, redemption date and price (if not par). If traded on Price, the <Yield> component block must specify how calculated – Worst, and include redemptiondate and price (if not par).
80 AllocQty Y The quantity being confirmed by this message (this is at a trade level, not block or order level)
854 QtyType N
54 Side Y
15 Currency N
30 LastMkt N
Component CpctyConfGrp Y
79 AllocAccount Y Account number for the trade being confirmed by this message
661 AllocAcctIDSource N
798 AllocAccountType N
6 AvgPx Y Gross price for the trade being confirmed
Always expressed in percent-of-par for Fixed Income
74 AvgPxPrecision N Absence of this field indicates that default precision arranged by the broker/institution is to be used
423 PriceType N Price type for the AvgPx field
860 AvgParPx N
Component SpreadOrBenchmarkCurveData N Insert here the set of SpreadOrBenchmarkCurveData fields defined in Common Components of Application Messages
861 ReportedPx N Reported price (may be different to AvgPx in the event of a marked-up or marked-down principal trade)
58 Text N
354 EncodedTextLen N
355 EncodedText N
81 ProcessCode N Used to identify whether the trade was a soft dollar trade, step in/out etc. Broker of credit, where relevant, can be specified using the Parties nested block above.
381 GrossTradeAmt Y AllocQty(80) * AvgPx(6)
157 NumDaysInterest N
230 ExDate N Optional next coupon date for Fixed Income
158 AccruedInterestRate N
159 AccruedInterestAmt N Required for Fixed Income products that trade with accrued interest
738 InterestAtMaturity N Required for Fixed Income products that pay lump sum interest at maturity
920 EndAccruedInterestAmt N For repurchase agreements the accrued interest on termination.
921 StartCash N For repurchase agreements the start (dirty) cash consideration
922 EndCash N For repurchase agreements the end (dirty) cash consideration
238 Concession N
237 TotalTakedown N
118 NetMoney Y
890 MaturityNetMoney N Net Money at maturity if Zero Coupon and maturity value is different from par value
119 SettlCurrAmt N
120 SettlCurrency N
155 SettlCurrFxRate N
156 SettlCurrFxRateCalc N
63 SettlType N
64 SettlDate N
Component SettlInstructionsData N Insert here the set of SettlInstructionsData fields defined in Common Components of Application Messages
Used to communicate settlement instructions for this Confirmation.
Component CommissionData N
858 SharedCommission N Used to identify any commission shared with a third party (e.g. directed brokerage)
Component Stipulations N
Component MiscFeesGrp N Required if any miscellaneous fees are reported.
Component StandardTrailer Y

ConfirmationAck Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = AU
664 ConfirmID Y
75 TradeDate Y
60 TransactTime Y Date/Time Allocation Instruction Ack generated
940 AffirmStatus Y
774 ConfirmRejReason N Required for ConfirmStatus = 1 (rejected)
573 MatchStatus N Denotes whether the financial details provided on the Confirmation were successfully matched.
58 Text N Can include explanation for AllocRejCode = 7 (other)
354 EncodedTextLen N Must be set if EncodedText field is specified and must immediately precede it.
355 EncodedText N Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
Component StandardTrailer Y

ConfirmationRequest Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = BH
859 ConfirmReqID Y Unique identifier for this message
773 ConfirmType Y Denotes whether this message is being used to request a confirmation or a trade status message
Component OrdAllocGrp N Indicates number of orders to be combined for allocation. If order(s) were manually delivered set to 1 (one).Required when AllocNoOrdersType = 1
70 AllocID N Used to refer to an earlier Allocation Instruction.
793 SecondaryAllocID N Used to refer to an earlier Allocation Instruction via its secondary identifier
467 IndividualAllocID N Used to refer to an allocation account within an earlier Allocation Instruction.
60 TransactTime Y Represents the time this message was generated
79 AllocAccount N Account number for the trade being confirmed by this message
661 AllocAcctIDSource N
798 AllocAccountType N
58 Text N
354 EncodedTextLen N
355 EncodedText N
Component StandardTrailer Y

PositionMaintenance Category

Components

ExpirationQty

Tag Name Req’d Description
981 NoExpiration
→982 ExpirationQtyType N Required if NoExpiration > 1
→983 ExpQty N

PosUndInstrmtGrp

Tag Name Req’d Description
711 NoUnderlyings
Component UnderlyingInstrument N Insert here the set of Underlying Instrument (underlying symbology) fields defined in Common Components of Application Messages
Required if NoUnderlyings > 0
→732 UnderlyingSettlPrice N
→733 UnderlyingSettlPriceType N Values = Final, Theoretical
→1037 UnderlyingDeliveryAmount N
Component UnderlyingAmount N Insert here the set of Underlying Amount fields defined in Common Components of Application Messages

PositionQty

Tag Name Req’d Description
702 NoPositions
→703 PosType N Required if NoPositions > 1
→704 LongQty N
→705 ShortQty N
→706 PosQtyStatus N
→976 QuantityDate N Date associated with the quantity being reported
Component NestedParties N Optional repeating group – used to associate or distribute position to a specific party other than the party that currently owns the position.

UnderlyingAmount

Tag Name Req’d Description
984 NoUnderlyingAmounts
→985 UnderlyingPayAmount N Amount to pay in order to receive the underlying instrument.
→986 UnderlyingCollectAmount N Amount to collect in order to deliver the underlying instrument.
→987 UnderlyingSettlementDate N Date the underlying instrument will settle. Used for derivatives that deliver into more than one underlying instrument. Settlement dates can vary across underlying instruments.
→988 UnderlyingSettlementStatus N Settlement status of the underlying instrument. Used for derivatives that deliver into more than one underlying instrument. Settlement can be delayed for an underlying instrument.

Messages

PositionMaintenanceRequest Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = AL
710 PosReqID N Unique identifier for the position maintenance request as assigned by the submitter. Conditionally required when used in a request/reply scenario (i.e. not required in batch scenario)
709 PosTransType Y
712 PosMaintAction Y
713 OrigPosReqRefID N Reference to the PosReqID of a previous maintenance request that is being replaced or canceled.
714 PosMaintRptRefID N Reference to a PosMaintRptID from a previous Position Maintenance Report that is being replaced or canceled.
715 ClearingBusinessDate Y The Clearing Business Date referred to by this maintenance request
716 SettlSessID N
717 SettlSessSubID N
Component Parties Y The Following PartyRoles can be specified:
ClearingOrganization
Clearing Firm
Position Account
1 Account N
660 AcctIDSource N
581 AccountType N Type of account associated with the order (Origin)
Component Instrument Y
15 Currency N
Component InstrmtLegGrp N Specifies the number of legs that make up the Security
Component UndInstrmtGrp N Specifies the number of underlying legs that make up the Security
Component TrdgSesGrp N Specifies the number of repeating TradingSessionIDs
60 TransactTime N Time this order request was initiated/released by the trader, trading system, or intermediary.
Component PositionQty Y
Component PositionAmountData N
718 AdjustmentType N Type of adjustment to be applied, used for PCS & PAJ
Delta_plus, Delta_minus, Final, If Adjustment Type is null, the request will be processed as Margin Disposition
719 ContraryInstructionIndicator N Boolean – if Y then indicates you are requesting a position maintenance that acting
720 PriorSpreadIndicator N Boolean – Y indicates you are requesting rollover of prior day's spread submissions
834 ThresholdAmount N
58 Text N
354 EncodedTextLen N Must be set if EncodedText field is specified and must immediately precede it.
355 EncodedText N Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
120 SettlCurrency N
Component StandardTrailer Y

PositionMaintenanceReport Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = AM
721 PosMaintRptID Y Unique identifier for this position report
709 PosTransType Y
710 PosReqID N Unique identifier for the position maintenance request associated with this report
712 PosMaintAction Y
713 OrigPosReqRefID N Reference to the PosReqID of a previous maintenance request that is being replaced or canceled.
722 PosMaintStatus Y Status of Position Maintenance Request
723 PosMaintResult N
715 ClearingBusinessDate Y The Clearing Business Date covered by this request
716 SettlSessID N
717 SettlSessSubID N
Component Parties N Position Account
1 Account N
660 AcctIDSource N
581 AccountType N Type of account associated with the order (Origin)
714 PosMaintRptRefID N Reference to a PosMaintRptID (Tag 721) from a previous Position Maintenance Report that is being replaced or canceled
Component Instrument Y
15 Currency N
120 SettlCurrency N
719 ContraryInstructionIndicator N Can be set to true when a position maintenance request is being performed contrary to current money position, i.e. for an exercise of an out of the money position or an abandonement (do not exercise ) of an in the money position
720 PriorSpreadIndicator N
Component InstrmtLegGrp N Specifies the number of legs that make up the Security
Component UndInstrmtGrp N Specifies the number of underlying legs that make up the Security
Component TrdgSesGrp N Specifies the number of repeating TradingSessionIDs
60 TransactTime N Time this order request was initiated/released by the trader, trading system, or intermediary. Conditionally required except when requests for reports are processed in batch, transaction time is not available, or when PosReqID is not present.
Component PositionQty Y See definition for Position Quantity in the Proposed Component Block section above
Component PositionAmountData N Insert here here the set of Position Amount Data fields defined in Common Components of Application Messages
718 AdjustmentType N Type of adjustment to be applied
Delta_plus, Delta_minus, Final. If Adjustment Type is null, the PCS request will be processed as Margin Disposition only
834 ThresholdAmount N
58 Text N
354 EncodedTextLen N Must be set if EncodedText field is specified and must immediately precede it.
355 EncodedText N Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
Component StandardTrailer Y

RequestForPositions Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = AN
710 PosReqID Y Unique identifier for the Request for Positions as assigned by the submitter
724 PosReqType Y
573 MatchStatus N
263 SubscriptionRequestType N Used to subscribe / unsubscribe for trade capture reports
If the field is absent, the value 0 will be the default
120 SettlCurrency N
Component Parties Y Position Account
1 Account N
660 AcctIDSource N
581 AccountType N Type of account associated with the order (Origin)
Component Instrument N
15 Currency N
Component InstrmtLegGrp N Specifies the number of legs that make up the Security
Component UndInstrmtGrp N Specifies the number of underlying legs that make up the Security
715 ClearingBusinessDate Y The Clearing Business Date referred to by this request
716 SettlSessID N
717 SettlSessSubID N
Component TrdgSesGrp N Specifies the number of repeating TradingSessionIDs
60 TransactTime Y Time this order request was initiated/released by the trader, trading system, or intermediary.
725 ResponseTransportType N Ability to specify whether the response to the request should be delivered inband or via pre-arranged out-of-band transport.
726 ResponseDestination N URI destination name. Used if ResponseTransportType is out-of-band.
58 Text N
354 EncodedTextLen N Must be set if EncodedText field is specified and must immediately precede it.
355 EncodedText N Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
Component StandardTrailer Y

RequestForPositionsAck Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = AO
721 PosMaintRptID Y Unique identifier for this position report
710 PosReqID N Unique identifier for the Request for Position associated with this report
This field should not be provided if the report was sent unsolicited.
727 TotalNumPosReports N Total number of Position Reports being returned
325 UnsolicitedIndicator N Set to 'Y' if message is sent as a result of a subscription request or out of band configuration as opposed to a Position Request.
728 PosReqResult Y
729 PosReqStatus Y
724 PosReqType N
573 MatchStatus N
715 ClearingBusinessDate N
263 SubscriptionRequestType N
716 SettlSessID N
717 SettlSessSubID N
120 SettlCurrency N
Component Parties Y Position Account
1 Account N
660 AcctIDSource N
581 AccountType N Type of account associated with the order (Origin)
Component Instrument N
15 Currency N
Component InstrmtLegGrp N Specifies the number of legs that make up the Security
Component UndInstrmtGrp N Specifies the number of underlying legs that make up the Security
725 ResponseTransportType N Ability to specify whether the response to the request should be delivered inband or via pre-arranged out-of-band transport.
726 ResponseDestination N URI destination name. Used if ResponseTransportType is out-of-band.
58 Text N
354 EncodedTextLen N Must be set if EncodedText field is specified and must immediately precede it.
355 EncodedText N Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
Component StandardTrailer Y

PositionReport Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = AP
Component ApplicationSequenceControl N
721 PosMaintRptID Y Unique identifier for this position report
710 PosReqID N Unique identifier for the Request for Positions associated with this report
This field should not be provided if the report was sent unsolicited.
724 PosReqType N
263 SubscriptionRequestType N Used to subscribe / unsubscribe for trade capture reports
If the field is absent, the value 0 will be the default
727 TotalNumPosReports N Total number of Position Reports being returned
728 PosReqResult N Result of a Request for Position
325 UnsolicitedIndicator N Set to 'Y' if message is sent as a result of a subscription request or out of band configuration as opposed to a Position Request.
715 ClearingBusinessDate Y The Clearing Business Date referred to by this maintenance request
716 SettlSessID N
717 SettlSessSubID N
423 PriceType N
120 SettlCurrency N
1011 MessageEventSource N Used to identify the event or source which gave rise to a message
Component Parties Y Position Account
1 Account N Account may also be specified through via Parties Block using Party Role 27 which signifies Account
660 AcctIDSource N
581 AccountType N Type of account associated with the order (Origin). Account may also be specified through via Parties Block using Party Role 27 which signifies Account
Component Instrument N
15 Currency N
730 SettlPrice N
731 SettlPriceType N Values = Final, Theoretical
734 PriorSettlPrice N
573 MatchStatus N Used to indicate if a Position Report is matched or unmatched
Component InstrmtLegGrp N Specifies the number of legs that make up the Security
Component PosUndInstrmtGrp N Specifies the number of underlying legs that make up the Security
Component PositionQty N Insert here the set of Position Qty fields defined in Common Components of Application Messages
Component PositionAmountData N Insert here the set of Position Amount Data fields defined in Common Components of Application Messages
506 RegistStatus N RegNonRegInd
743 DeliveryDate N
1434 ModelType N
811 PriceDelta N
58 Text N
354 EncodedTextLen N Must be set if EncodedText field is specified and must immediately precede it.
355 EncodedText N Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
Component StandardTrailer Y

AssignmentReport Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = AW
Component ApplicationSequenceControl N
833 AsgnRptID Y Unique identifier for the Assignment report
710 PosReqID N If specified,the identifier of the RequestForPositions(MsgType=AN) to which this message is sent in response.
832 TotNumAssignmentReports N Total Number of Assignment Reports being returned to a firm
912 LastRptRequested N
Component Parties Y Clearing Organization
Clearing Firm
Contra Clearing Organization
Contra Clearing Firm
Position Account
1 Account N Customer Account
581 AccountType N Type of account associated with the order (Origin)
Component Instrument N CFI Code – Market Indicator (col 4) used to indicate Market of Assignment
15 Currency N
Component InstrmtLegGrp N Number of legs that make up the Security
Component UndInstrmtGrp N Number of legs that make up the Security
Component PositionQty N Insert here here the set of Position Qty fields defined in Common Components of Application Messages
Component PositionAmountData N Insert here here the set of Position Amount Data fields defined in Common Components of Application Messages
834 ThresholdAmount N
730 SettlPrice N Settlement Price of Option
731 SettlPriceType N Values = Final, Theoretical
732 UnderlyingSettlPrice N Settlement Price of Underlying
734 PriorSettlPrice N
432 ExpireDate N Expiration Date of Option
744 AssignmentMethod N Method under which assignment was conducted
745 AssignmentUnit N Quantity Increment used in performing assignment
746 OpenInterest N Open interest that was eligible for assignment
747 ExerciseMethod N Exercise Method used to in performing assignment
Values = Automatic, Manual
716 SettlSessID N
717 SettlSessSubID N
715 ClearingBusinessDate Y Business date of assignment
58 Text N
354 EncodedTextLen N Must be set if EncodedText field is specified and must immediately precede it.
355 EncodedText N Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
Component StandardTrailer Y

AdjustedPositionReport Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = BL
721 PosMaintRptID Y Unique identifier for this Adjusted Position report
724 PosReqType N
715 ClearingBusinessDate Y The Clearing Business Date referred to by this maintenance request
716 SettlSessID N
714 PosMaintRptRefID N
Component Parties Y Position Account
Component PositionQty Y Insert here here the set of Position Qty fields defined in Common Components of Application Messages
Component InstrmtGrp N
730 SettlPrice N Settlement Price
734 PriorSettlPrice N Prior Settlement Price
Component StandardTrailer Y

ContraryIntentionReport Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = BO
Component ApplicationSequenceControl N
977 ContIntRptID Y Unique identifier for the Contrary Intention report
60 TransactTime N Time the contrary intention was received by clearing organization.
978 LateIndicator N Indicates if the contrary intention was received after the exchange imposed cutoff time
979 InputSource N Source of the contrary intention
715 ClearingBusinessDate Y Business date of contrary intention
Component Parties Y Clearing Organization
Clearing Firm
Position Account
Component ExpirationQty Y Expiration Quantities
Component Instrument Y
Component UndInstrmtGrp N
58 Text N
354 EncodedTextLen N Must be set if EncodedText field is specified and must immediately precede it.
355 EncodedText N Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
Component StandardTrailer Y

RegistrationInstruction Category

Components

RgstDistInstGrp

Number of Distribution instructions in this message (number of repeating groups to follow)

Tag Name Req’d Description
510 NoDistribInsts
→477 DistribPaymentMethod N Must be first field in the repeating group if NoDistribInsts > 0.
→512 DistribPercentage N
→478 CashDistribCurr N
→498 CashDistribAgentName N
→499 CashDistribAgentCode N
→500 CashDistribAgentAcctNumber N
→501 CashDistribPayRef N
→502 CashDistribAgentAcctName N

RgstDtlsGrp

Number of registration details in this message (number of repeating groups to follow)

Tag Name Req’d Description
473 NoRegistDtls
→509 RegistDtls N Must be first field in the repeating group
→511 RegistEmail N
→474 MailingDtls N
→482 MailingInst N
Component NestedParties N Insert here the set of Nested Parties (firm identification nested within additional repeating group) fields defined in Common Components of Application Messages
Used for NestedPartyRole=InvestorID
→522 OwnerType N
→486 DateOfBirth N
→475 InvestorCountryOfResidence N

Messages

RegistrationInstructions Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = o (lowercase O)
513 RegistID Y
514 RegistTransType Y
508 RegistRefID Y Required for Cancel and Replace RegistTransType messages
11 ClOrdID N Unique identifier of the order as assigned by institution or intermediary to which Registration relates
Component Parties N Insert here the set of Parties (firm identification) fields defined in Common Components of Application Messages
1 Account N
660 AcctIDSource N
493 RegistAcctType N
495 TaxAdvantageType N
517 OwnershipType N
Component RgstDtlsGrp N Number of registration details in this message (number of repeating groups to follow)
Component RgstDistInstGrp N Number of Distribution instructions in this message (number of repeating groups to follow)
Component StandardTrailer Y

RegistrationInstructionsResponse Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = p (lowercase P)
513 RegistID Y Unique identifier of the original Registration Instructions details
514 RegistTransType Y Identifies original Registration Instructions transaction type
508 RegistRefID Y Required for Cancel and Replace RegistTransType messages
11 ClOrdID N Unique identifier of the order as assigned by institution or intermediary.
Component Parties N Insert here the set of Parties (firm identification) fields defined in Common Components of Application Messages
1 Account N
660 AcctIDSource N
506 RegistStatus Y
507 RegistRejReasonCode N
496 RegistRejReasonText N
Component StandardTrailer Y

SettlementInstruction Category

Components

SettlInstGrp

Required except where SettlInstMode is 5=Reject SSI request

Tag Name Req’d Description
778 NoSettlInst
→162 SettlInstID N Unique ID for this settlement instruction.
Required except where SettlInstMode is 5=Reject SSI request
→163 SettlInstTransType N New, Replace, Cancel or Restate
Required except where SettlInstMode is 5=Reject SSI request
→214 SettlInstRefID N Required where SettlInstTransType is Cancel or Replace
Component Parties N Insert here the set of Parties (firm identification) fields defined in Common Components of Application Messages
Used here for settlement location.
Also used for executing broker for CIV settlement instructions
→54 Side N Can be used for SettleInstMode 1 if SSIs are being provided for a particular side.
→460 Product N Can be used for SettleInstMode 1 if SSIs are being provided for a particular product.
→167 SecurityType N Can be used for SettleInstMode 1 if SSIs are being provided for a particular security type (as alternative to CFICode).
→461 CFICode N Can be used for SettleInstMode 1 if SSIs are being provided for a particular security type (as identified by CFI code).
→120 SettlCurrency N Can be used for SettleInstMode 1 if SSIs are being provided for a particular settlement currency
→168 EffectiveTime N Effective (start) date/time for this settlement instruction.
Required except where SettlInstMode is 5=Reject SSI request
→126 ExpireTime N Termination date/time for this settlement instruction.
→779 LastUpdateTime N Date/time this settlement instruction was last updated (or created if not updated since creation).
Required except where SettlInstMode is 5=Reject SSI request
Component SettlInstructionsData N Insert here the set of SettlInstructionsData fields defined in Common Components of Application Messages
→492 PaymentMethod N For use with CIV settlement instructions
→476 PaymentRef N For use with CIV settlement instructions
→488 CardHolderName N For use with CIV settlement instructions
→489 CardNumber N For use with CIV settlement instructions
→503 CardStartDate N For use with CIV settlement instructions
→490 CardExpDate N For use with CIV settlement instructions
→491 CardIssNum N For use with CIV settlement instructions
→504 PaymentDate N For use with CIV settlement instructions
→505 PaymentRemitterID N For use with CIV settlement instructions

SettlObligationInstructions

Number of Settlement Obligations

Tag Name Req’d Description
1165 NoSettlOblig
→430 NetGrossInd N
→1161 SettlObligID N Unique ID for this settlement instruction
→1162 SettlObligTransType N New, Replace, Cancel, or Restate
→1163 SettlObligRefID N Required where SettlObligTransType(1162) is Cancel or Replace. The SettlObligID(1161) of the settlement obligation being canceled or replaced.
→1157 CcyAmt N Net flow of currency 1
→119 SettlCurrAmt N Net flow of currency 2
→15 Currency N Currency 1 in the stated currency pair, the dealt currency
→120 SettlCurrency N Currency 2 in the stated currency pair, the contra currency
→155 SettlCurrFxRate N Derived rate of Ccy2 per Ccy1 based on netting
→64 SettlDate N Value Date
Component Instrument N Used to express the instrument in which settlement is taking place
Component Parties N
→168 EffectiveTime N Effective (start) date/time for this settlement instruction
→126 ExpireTime N Termination date/time for this settlement instruction.
→779 LastUpdateTime N Date/time this settlement instruction was last updated (or created if not updated since creation).
Component SettlDetails N Conveys settlement account details reported as part of obligation

Messages

SettlementInstructionRequest Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = AV
791 SettlInstReqID Y Unique message ID
60 TransactTime Y Date/Time this request message was generated
Component Parties N Insert here the set of Parties (firm identification) fields defined in Common Components of Application Messages
Used here for party whose instructions this message is requesting and (optionally) for settlement location
Not required if database identifiers are being used to request settlement instructions. Required otherwise.
79 AllocAccount N Should not be populated if StandInstDbType is populated
661 AllocAcctIDSource N Required if AllocAccount populated
Should not be populated if StandInstDbType is populated
54 Side N Should not be populated if StandInstDbType is populated
460 Product N Should not be populated if StandInstDbType is populated
167 SecurityType N Should not be populated if StandInstDbType is populated
461 CFICode N Should not be populated if StandInstDbType is populated
120 SettlCurrency N Should not be populated if StandInstDbType is populated
168 EffectiveTime N Should not be populated if StandInstDbType is populated
126 ExpireTime N Should not be populated if StandInstDbType is populated
779 LastUpdateTime N Should not be populated if StandInstDbType is populated
169 StandInstDbType N Should not be populated if any of AllocAccount through to LastUpdateTime are populated
170 StandInstDbName N Should not be populated if any of AllocAccount through to LastUpdateTime are populated
171 StandInstDbID N The identifier of the standing instructions within the database specified in StandInstDbType
Required if StandInstDbType populated
Should not be populated if any of AllocAccount through to LastUpdateTime are populated
Component StandardTrailer Y

SettlementObligationReport Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = BQ
Component ApplicationSequenceControl N
715 ClearingBusinessDate N
1153 SettlementCycleNo N Settlement cycle in which the settlement obligation was generated
1160 SettlObligMsgID Y Unique identifier for this message
1159 SettlObligMode Y Used to identify the reporting mode of the settlement obligation which is either preliminary or final
58 Text N Can be used to provide any additional rejection text where rejecting a Settlement Instruction Request message.
354 EncodedTextLen N
355 EncodedText N
60 TransactTime N Time when the Settlemnt Obligation Report was created.
Component SettlObligationInstructions Y
Component StandardTrailer Y

SettlementInstructions Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = T
777 SettlInstMsgID Y Unique identifier for this message
791 SettlInstReqID N Only used when this message is used to respond to a settlement instruction request (to which this ID refers)
160 SettlInstMode Y 1=Standing Instructions, 2=Specific Allocation Account Overriding, 3=Specific Allocation Account Standing , 4=Specific Order, 5=Reject SSI request
792 SettlInstReqRejCode N Required for SettlInstMode = 5. Used to provide reason for rejecting a Settlement Instruction Request message.
58 Text N Can be used to provide any additional rejection text where rejecting a Settlement Instruction Request message.
354 EncodedTextLen N
355 EncodedText N
11 ClOrdID N Required for SettlInstMode(160) = 4 and when referring to orders that where electronically submitted over FIX or otherwise assigned a ClOrdID.
60 TransactTime Y Date/time this message was generated
Component SettlInstGrp N Required except where SettlInstMode is 5=Reject SSI request
Component StandardTrailer Y

TradeCapture Category

Components

SideTrdRegTS

Tag Name Req’d Description
1016 NoSideTrdRegTS
→1012 SideTrdRegTimestamp N
→1013 SideTrdRegTimestampType N
→1014 SideTrdRegTimestampSrc N

TradeCapLegUnderlyingsGrp

Number of legs for the underlying instrument

Tag Name Req’d Description
1342 NoOfLegUnderlyings
Component UnderlyingLegInstrument N

TradeReportOrderDetail

Tag Name Req’d Description
37 OrderID N
198 SecondaryOrderID N
11 ClOrdID N In the case of quotes can be mapped to QuoteMsgID(1166) of a single Quote(MsgType=S) or QuoteID(117) of a MassQuote(MsgType=i).
526 SecondaryClOrdID N In the case of quotes can be mapped to QuoteID(117) of a single Quote(MsgType=S) or QuoteEntryID(299) of a MassQuote(MsgType=i).
66 ListID N
1080 RefOrderID N Some hosts assign an order a new order id under special circumstances. The RefOrdID field will connect the same underlying order across changing OrderIDs.
1081 RefOrderIDSource N
1431 RefOrdIDReason N The reason for updating the RefOrdID
40 OrdType N Order type from the order associated with the trade
44 Price N Order price at time of trade
99 StopPx N Stop/Limit order price
18 ExecInst N Execution Instruction from the order associated with the trade
39 OrdStatus N Status of order as of this trade report
Component OrderQtyData N Order quantity at time of trade
151 LeavesQty N
14 CumQty N
59 TimeInForce N
126 ExpireTime N The order expiration date/time in UTC
Component DisplayInstruction N
528 OrderCapacity N
529 OrderRestrictions N
775 BookingType N
1432 OrigCustOrderCapacity N
821 OrderInputDevice N
1093 LotType N
483 TransBkdTime N
586 OrigOrdModTime N

TrdAllocGrp

Number of repeating groups for trade allocation

Tag Name Req’d Description
78 NoAllocs
→79 AllocAccount N Required if NoAllocs > 0. Must be first field in repeating group.
→661 AllocAcctIDSource N
→736 AllocSettlCurrency N
→467 IndividualAllocID N
Component NestedParties2 N Insert here the set of NestedParties2 (firm identification nested within additional repeating group) fields defined in Common Components of Application Messages
→80 AllocQty N
→993 AllocCustomerCapacity N Can be used for granular reporting of separate allocation detail within a single trade report or allocation message.
→1002 AllocMethod N Specifies the method under which a trade quantity was allocated.
→989 SecondaryIndividualAllocID N Provides support for an intermediary assigned allocation ID
→1136 AllocClearingFeeIndicator N

TrdCapDtGrp

Number of date ranges provided (must be 1 or 2 if specified)

Tag Name Req’d Description
580 NoDates
→75 TradeDate N Used when reporting other than current day trades.
Conditionally required if NoDates > 0
→779 LastUpdateTime N
→60 TransactTime N To request trades for a specific time.

TrdCapRptAckSideGrp

Tag Name Req’d Description
552 NoSides
→54 Side Y
→1427 SideExecID N This refers to the ExecID of the execution being reported. Used in trade reporting models that utilize different execution IDs for each side of the trade. This is used when reporting a trade with two or more sides.
→1428 OrderDelay N
→1429 OrderDelayUnit N Used in conjunction with OrderDelay to specify the time unit being expressed. Default is seconds if not specified.
Component Parties N Insert here here the set of Parties fields defined in Common Components of Application Messages
→1 Account N
→660 AcctIDSource N
→581 AccountType N
→81 ProcessCode N
→575 OddLot N
Component ClrInstGrp N
→578 TradeInputSource N
→579 TradeInputDevice N
→376 ComplianceID N
→377 SolicitedFlag N
→582 CustOrderCapacity N
→336 TradingSessionID N Generally the same for all sides of a trade, if reported only on the first side the same TradingSessionID will apply to all sides of the trade
→625 TradingSessionSubID N Generally the same for all sides of a trade, if reported only on the first side the same TradingSessionSubID will apply to all sides of the trade.
→943 TimeBracket N
→430 NetGrossInd N Code to represent whether value is net (inclusive of tax) or gross.
→1154 SideCurrency N Used to Identify the Currency of the Trade Report Side.
→1155 SideSettlCurrency N Used to Identify the Settlement Currency of the Trade Report Side.
Component CommissionData N Insert here here the set of Commission Data fields defined in Common Components of Application Messages
→157 NumDaysInterest N
→230 ExDate N
→158 AccruedInterestRate N
→159 AccruedInterestAmt N
→738 InterestAtMaturity N
→920 EndAccruedInterestAmt N
→921 StartCash N
→922 EndCash N
→238 Concession N
→237 TotalTakedown N
→118 NetMoney N
→119 SettlCurrAmt N
→155 SettlCurrFxRate N
→156 SettlCurrFxRateCalc N
→77 PositionEffect N
→752 SideMultiLegReportingType N
Component ContAmtGrp N
Component Stipulations N Insert here here the set of Stipulations fields defined in Common Components of Application Messages
Component MiscFeesGrp N
→825 ExchangeRule N
Component SettlDetails N Conveys settlement account details reported as part of obligation
→826 TradeAllocIndicator N
→591 PreallocMethod N
→70 AllocID N
Component TrdAllocGrp N
→1072 SideGrossTradeAmt N
→1057 AggressorIndicator N
→1009 SideLastQty N
→1005 SideTradeReportID N
→1006 SideFillStationCd N
→1007 SideReasonCd N
→83 RptSeq N
→1008 SideTrdSubTyp N
→1115 OrderCategory N
Component TradeReportOrderDetail N Details of the order associated with this side of the trade.
Component SideTrdRegTS N

TrdCapRptSideGrp

Number of sides

Tag Name Req’d Description
552 NoSides
→54 Side Y
→1427 SideExecID N Execution Identifier assigned by Market – used when each side of a trade is assigned its own unique ExecID
→1428 OrderDelay N
→1429 OrderDelayUnit N
→1009 SideLastQty N Used to indicate the quantity on one side of a multi-sided Trade Capture Report
→1005 SideTradeReportID N Used to indicate the report ID on one side of a multi-sided Trade Capture Report
→1006 SideFillStationCd N Used for order routing to indicate the Fill Station Code on one side of a multi-sided Trade Capture Report
→1007 SideReasonCd N Used to indicate the reason of a multi-sided Trade Capture Report
→83 RptSeq N Used for order routing to indicate the fill sequence on one side of a multi-sided Trade Capture Report
→1008 SideTrdSubTyp N Used to support multi-sided orders of different trade types
→430 NetGrossInd N Code to represent whether value is net (inclusive of tax) or gross.
→1154 SideCurrency N Used to Identify the Currency of the Trade Report Side.
→1155 SideSettlCurrency N Used to Identify the Settlement Currency of the Trade Report Side.
Component Parties N Insert here the set of Parties (firm identification) fields defined in Common Components of Application Messages
Range of values on report:
→1 Account N Required for executions against electronically submitted orders which were assigned an account by the institution or intermediary
→660 AcctIDSource N
→581 AccountType N Specifies type of account
→81 ProcessCode N Used to specify Step-out trades
→575 OddLot N
Component ClrInstGrp N
→578 TradeInputSource N
→579 TradeInputDevice N
→376 ComplianceID N
→377 SolicitedFlag N
→582 CustOrderCapacity N The customer capacity for this trade
→336 TradingSessionID N Usually the same for all sides of a trade, if reported only on the first side the same TradingSessionID then applies to all sides of the trade
→625 TradingSessionSubID N Usually the same for all sides of a trade, if reported only on the first side the same TradingSessionSubID then applies to all sides of the trade
→943 TimeBracket N
Component CommissionData N Insert here the set of CommissionData fields defined in Common Components of Application Messages
Note: On a fill/partial fill messages, it represents value for that fill/partial fill, on ExecType=Calculated, it represents cumulative value for the order. Monetary commission values are expressed in the currency reflected by the Currency field.
→157 NumDaysInterest N
→230 ExDate N
→158 AccruedInterestRate N
→159 AccruedInterestAmt N
→738 InterestAtMaturity N
→920 EndAccruedInterestAmt N For repurchase agreements the accrued interest on termination.
→921 StartCash N For repurchase agreements the start (dirty) cash consideration
→922 EndCash N For repurchase agreements the end (dirty) cash consideration
→238 Concession N
→237 TotalTakedown N
→118 NetMoney N Note: On a fill/partial fill messages, it represents value for that fill/partial fill, on ExecType=Calculated, it represents cumulative value for the order. Value expressed in the currency reflected by the Currency field.
→119 SettlCurrAmt N Used to report results of forex accommodation trade
→155 SettlCurrFxRate N Foreign exchange rate used to compute SettlCurrAmt from Currency to SettlCurrency
→156 SettlCurrFxRateCalc N Specifies whether the SettlCurrFxRate should be multiplied or divided
→77 PositionEffect N For use in derivatives omnibus accounting
→58 Text N May be used by the executing market to record any execution Details that are particular to that market
→354 EncodedTextLen N Must be set if EncodedText field is specified and must immediately precede it.
→355 EncodedText N Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
→752 SideMultiLegReportingType N Default is a single security if not specified.
Provided to support the scenario where a single leg instrument trades against an individual leg of a multileg instrument.
Component ContAmtGrp N
Component Stipulations N
Component MiscFeesGrp N
→825 ExchangeRule N Used to report any exchange rules that apply to this trade.
→826 TradeAllocIndicator N Identifies if the trade is to be allocated
→591 PreallocMethod N
→70 AllocID N Used to assign an ID to the block of preallocations
Component TrdAllocGrp N
Component SideTrdRegTS N Used to indicate the regulatory time stamp on one side of a multi-sided Trade Capture Report.
Component SettlDetails N Conveys settlement account details reported as part of obligation
→1072 SideGrossTradeAmt N
→1057 AggressorIndicator N
→1139 ExchangeSpecialInstructions N
→1115 OrderCategory N
→1444 SideLiquidityInd N
Component TradeReportOrderDetail N Order details for the order associated with this side of the trade

TrdInstrmtLegGrp

Number of legs

Identifies a Multi-leg Execution if present and non-zero.

Tag Name Req’d Description
555 NoLegs
Component InstrumentLeg N Must be provided if Number of legs > 0
→687 LegQty N
→690 LegSwapType N Instead of LegQty – requests that the sellside calculate LegQty based on opposite Leg
→990 LegReportID N Additional attribute to store the Trade ID of the Leg.
→1152 LegNumber N Allow sequencing of Legs for a Strategy to be captured
Component LegStipulations N
→564 LegPositionEffect N Provide if the PositionEffect for the leg is different from that specified for the overall multileg security
→565 LegCoveredOrUncovered N Provide if the CoveredOrUncovered for the leg is different from that specified for the overall multileg security.
Component NestedParties N Insert here the set of Nested Parties (firm identification nested within additional repeating group) fields defined in Common Components of Application Messages
Used for NestedPartyRole=Leg Clearing Firm/Account, Leg Account/Account Type
→654 LegRefID N Used to identify a specific leg.
→587 LegSettlType N
→588 LegSettlDate N Takes precedence over LegSettlmntTyp value and conditionally required/omitted for specific LegSettlType values.
→637 LegLastPx N Used to report the execution price assigned to the leg of the multileg instrument
→675 LegSettlCurrency N
→1073 LegLastForwardPoints N
→1074 LegCalculatedCcyLastQty N
→1075 LegGrossTradeAmt N For FX Futures can be used to express the notional value of a trade when LegLastQty and other quantity fields are expressed in terms of number of contracts – LegContractMultiplier (231) is required in this case.
→1379 LegVolatility N
→1381 LegDividendYield N
→1383 LegCurrencyRatio N
→1384 LegExecInst N
→1418 LegLastQty N
Component TradeCapLegUnderlyingsGrp N

TrdRepIndicatorsGrp

Number of trade publication indicators following

Tag Name Req’d Description
1387 NoTrdRepIndicators
→1388 TrdRepPartyRole N
→1389 TrdRepIndicator N

UnderlyingLegInstrument

Tag Name Req’d Description
1330 UnderlyingLegSymbol N
1331 UnderlyingLegSymbolSfx N
1332 UnderlyingLegSecurityID N
1333 UnderlyingLegSecurityIDSource N
Component UnderlyingLegSecurityAltIDGrp N
1344 UnderlyingLegCFICode N
1337 UnderlyingLegSecurityType N
1338 UnderlyingLegSecuritySubType N
1339 UnderlyingLegMaturityMonthYear N
1345 UnderlyingLegMaturityDate N
1405 UnderlyingLegMaturityTime N
1340 UnderlyingLegStrikePrice N
1391 UnderlyingLegOptAttribute N
1343 UnderlyingLegPutOrCall N
1341 UnderlyingLegSecurityExchange N
1392 UnderlyingLegSecurityDesc N

UnderlyingLegSecurityAltIDGrp

Tag Name Req’d Description
1334 NoUnderlyingLegSecurityAltID
→1335 UnderlyingLegSecurityAltID N
→1336 UnderlyingLegSecurityAltIDSource N

Messages

TradeCaptureReportRequest Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = AD
568 TradeRequestID Y Identifier for the trade request
1003 TradeID N
1040 SecondaryTradeID N
1041 FirmTradeID N
1042 SecondaryFirmTradeID N
569 TradeRequestType Y
263 SubscriptionRequestType N Used to subscribe / unsubscribe for trade capture reports
If the field is absent, the value 0 will be the default (snapshot only – no subscription)
571 TradeReportID N To request a specific trade report
818 SecondaryTradeReportID N To request a specific trade report
17 ExecID N
150 ExecType N To requst all trades of a specific execution type
37 OrderID N
11 ClOrdID N
573 MatchStatus N
828 TrdType N To request all trades of a specific trade type
829 TrdSubType N To request all trades of a specific trade sub type
1123 TradeHandlingInstr N
830 TransferReason N To request all trades for a specific transfer reason
855 SecondaryTrdType N To request all trades of a specific trade sub type
820 TradeLinkID N To request all trades of a specific trade link id
880 TrdMatchID N To request a trade matching a specific TrdMatchID
Component Parties N Used to specify the parties for the trades to be returned (clearing firm, execution broker, trader id, etc.)
ExecutingBroker
ClearingFirm
ContraBroker
ContraClearingFirm
SettlementLocation – depository, CSD, or other settlement party
ExecutingTrader
InitiatingTrader
OrderOriginator
Component Instrument N Insert here the set of Instrument (symbology) fields defined in Common Components of Application Messages
Component InstrumentExtension N Insert here the set of InstrumentExtension fields defined in Common Components of Application Messages
Component FinancingDetails N Insert here the set of FinancingDetails fields defined in Common Components of Application Messages
Component UndInstrmtGrp N
Component InstrmtLegGrp N
Component TrdCapDtGrp N Number of date ranges provided (must be 1 or 2 if specified)
715 ClearingBusinessDate N To request trades for a specific clearing business date.
336 TradingSessionID N To request trades for a specific trading session.
625 TradingSessionSubID N To request trades for a specific trading session.
943 TimeBracket N To request trades within a specific time bracket.
54 Side N To request trades for a specific side of a trade.
442 MultiLegReportingType N Used to indicate if trades are to be returned for the individual legs of a multileg instrument or for the overall instrument.
578 TradeInputSource N To requests trades that were submitted from a specific trade input source.
579 TradeInputDevice N To request trades that were submitted from a specific trade input device.
725 ResponseTransportType N Ability to specify whether the response to the request should be delivered inband or via pre-arranged out-of-band transport.
726 ResponseDestination N URI destination name. Used if ResponseTransportType is out-of-band.
58 Text N Used to match specific values within Text fields
354 EncodedTextLen N
355 EncodedText N
1011 MessageEventSource N Used to identify the event or source which gave rise to a message
Component StandardTrailer Y

TradeCaptureReport Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = AE
Component ApplicationSequenceControl N
571 TradeReportID N TradeReportID is conditionally required in a message-chaining model in which a subsequent message may refer to a prior message via TradeReportRefID. The alternative to a message-chain model is an entity-based model in which TradeID is used to identify a trade. In this case, TradeID is required and TradeReportID can be optionally specified.
1003 TradeID N
1040 SecondaryTradeID N
1041 FirmTradeID N
1042 SecondaryFirmTradeID N
487 TradeReportTransType N Identifies Trade Report message transaction type.
856 TradeReportType N
939 TrdRptStatus N Status of Trade Report
In 3 party listed derivatives model used to convey status of a trade to a counterparty. Used specifically in a claim model.
568 TradeRequestID N Request ID if the Trade Capture Report is in response to a Trade Capture Report Request
828 TrdType N
829 TrdSubType N
855 SecondaryTrdType N
1123 TradeHandlingInstr N
1124 OrigTradeHandlingInstr N
1125 OrigTradeDate N Used to preserve original trade date when original trade is being referenced in a subsequent trade transaction such as a transfer
1126 OrigTradeID N Used to preserve original trade id when original trade is being referenced in a subsequent trade transaction such as a transfer
1127 OrigSecondaryTradeID N Used to preserve original secondary trade id when original trade is being referenced in a subsequent trade transaction such as a transfer
830 TransferReason N
150 ExecType N Type of Execution being reported:
Uses subset of ExecType for Trade Capture Reports
748 TotNumTradeReports N Number of trade reports returned – if this report is part of a response to a Trade Capture Report Request
912 LastRptRequested N Indicates if this is the last report in the response to a Trade Capture Report Request
325 UnsolicitedIndicator N Set to 'Y' if message is sent as a result of a subscription request or out of band configuration as opposed to a Position Request.
263 SubscriptionRequestType N Used to subscribe / unsubscribe for trade capture reports. If the field is absent, the value 0 will be the default
572 TradeReportRefID N The TradeReportID that is being referenced for some action, such as correction or cancellation
881 SecondaryTradeReportRefID N
818 SecondaryTradeReportID N
820 TradeLinkID N Used to associate a group of trades together. Useful for average price calculations.
880 TrdMatchID N
17 ExecID N Market (Exchange) assigned Execution Identifier
527 SecondaryExecID N
378 ExecRestatementReason N Reason for restatement
570 PreviouslyReported N Indicates if the trade capture report was previously reported to the counterparty
423 PriceType N Can be used to indicate cabinet trade pricing
Component RootParties N Insert here the set of Root Parties fields defined in common components of application messages Used for acting parties that applies to the whole message, not individual legs, sides, etc..
1015 AsOfIndicator N Indicates if the trade is an outtrade from a previous day.
716 SettlSessID N
717 SettlSessSubID N
1430 VenueType N
1300 MarketSegmentID N
1301 MarketID N
Component Instrument Y Insert here the set of Instrument (symbology) fields defined in Common Components of Application Messages
Component FinancingDetails N Insert here the set of FinancingDetails fields defined in Common Components of Application Messages
854 QtyType N
Component YieldData N Insert here the set of YieldData fields defined in Common Components of Application Messages
Component UndInstrmtGrp N
822 UnderlyingTradingSessionID N
823 UnderlyingTradingSessionSubID N
32 LastQty Y Trade Quantity.
31 LastPx Y Trade Price.
1056 CalculatedCcyLastQty N
15 Currency N Primary currency of the specified currency pair. Used to qualify LastQty and GrossTradeAmout
120 SettlCurrency N Contra currency of the deal. Used to qualify CalculatedCcyLastQty
669 LastParPx N Last price expressed in percent-of-par. Conditionally required for Fixed Income trades when LastPx is expressed in Yield, Spread, Discount or any other price type that is not percent-of-par.
194 LastSpotRate N Applicable for F/X orders
195 LastForwardPoints N Applicable for F/X orders
1071 LastSwapPoints N
30 LastMkt N
75 TradeDate N Used when reporting other than current day trades.
715 ClearingBusinessDate N
6 AvgPx N Average Price – if present then the LastPx will contain the original price on the execution
Component SpreadOrBenchmarkCurveData N Insert here the set of SpreadOrBenchmarkCurveData fields defined in Common Components of Application Messages
819 AvgPxIndicator N Average Pricing indicator
Component PositionAmountData N Insert here here the set of Position Amount Data fields defined in Common Components of Application Messages
442 MultiLegReportingType N Type of report if multileg instrument.
Provided to support a scenario for trades of multileg instruments between two parties.
824 TradeLegRefID N Reference to the leg of a multileg instrument to which this trade refers
Used when MultiLegReportingType = 2 (Single Leg of a Multileg security)
Component TrdInstrmtLegGrp N Number of legs
Identifies a Multi-leg Execution if present and non-zero.
60 TransactTime N Time the transaction represented by this Trade Capture Report occurred. Execution Time of trade. Also describes the time of block trades.
Component TrdRegTimestamps N
63 SettlType N
64 SettlDate N Takes precedence over SettlType value and conditionally required/omitted for specific SettlType values.
987 UnderlyingSettlementDate N The settlement date for the underlying instrument of a derivatives security.
573 MatchStatus N
574 MatchType N
Component TrdCapRptSideGrp Y Number of sides
1188 Volatility N
1380 DividendYield N
1190 RiskFreeRate N
1382 CurrencyRatio N
797 CopyMsgIndicator N Indicates drop copy.
Component TrdRepIndicatorsGrp N Number of trade reporting indicators following
852 PublishTrdIndicator N
1390 TradePublishIndicator N
853 ShortSaleReason N
994 TierCode N Indicates the algorithm (tier) used to match a trade
1011 MessageEventSource N Used to identify the event or source which gave rise to a message
779 LastUpdateTime N Used to indicate reports after a specific time
991 RndPx N Specifies the rounded price to quoted precision.
1132 TZTransactTime N
1134 ReportedPxDiff N The reason(s) for the price difference should be stated by using field (Tag 828 ) TrdType and, if required, field (Tag 829) TrdSubType as well
381 GrossTradeAmt N (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.
1328 RejectText N
1329 FeeMultiplier N
Component StandardTrailer Y

TradeCaptureReportRequestAck Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = AQ
568 TradeRequestID Y Identifier for the trade request
1003 TradeID N
1040 SecondaryTradeID N
1041 FirmTradeID N
1042 SecondaryFirmTradeID N
569 TradeRequestType Y
263 SubscriptionRequestType N Used to subscribe / unsubscribe for trade capture reports
If the field is absent, the value 0 will be the default
748 TotNumTradeReports N Number of trade reports returned
749 TradeRequestResult Y Result of Trade Request
750 TradeRequestStatus Y Status of Trade Request
Component Instrument N Insert here the set of Instrument (symbology) fields defined in Common Components of Application Messages
Component UndInstrmtGrp N
Component InstrmtLegGrp N Number of legs
NoLegs > 0 identifies a Multi-leg Execution
442 MultiLegReportingType N Specify type of multileg reporting to be returned.
725 ResponseTransportType N Ability to specify whether the response to the request should be delivered inband or via pre-arranged out-of-band transport.
726 ResponseDestination N URI destination name. Used if ResponseTransportType is out-of-band.
58 Text N May be used by the executing market to record any execution Details that are particular to that market
354 EncodedTextLen N Must be set if EncodedText field is specified and must immediately precede it.
355 EncodedText N Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
1011 MessageEventSource N Used to identify the event or source which gave rise to a message
Component StandardTrailer Y

TradeCaptureReportAck Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = AR
571 TradeReportID N Unique identifier for the Trade Capture Report
1003 TradeID N
1040 SecondaryTradeID N
1041 FirmTradeID N
1042 SecondaryFirmTradeID N
487 TradeReportTransType N Identifies Trade Report message transaction type.
856 TradeReportType N Indicates action to take on trade
828 TrdType N
829 TrdSubType N
855 SecondaryTrdType N
1123 TradeHandlingInstr N
1124 OrigTradeHandlingInstr N
1125 OrigTradeDate N Used to preserve original trade date when original trade is being referenced in a subsequent trade transaction such as a transfer
1126 OrigTradeID N Used to preserve original trade id when original trade is being referenced in a subsequent trade transaction such as a transfer
1127 OrigSecondaryTradeID N Used to preserve original secondary trade id when original trade is being referenced in a subsequent trade transaction such as a transfer
830 TransferReason N
Component RootParties N Insert here the set of Root Parties (firm identification) fields defined in common components of application messages Range of values on report:
150 ExecType N Type of Execution being reported:
Uses subset of ExecType for Trade Capture Reports
572 TradeReportRefID N The TradeReportID that is being referenced for some action, such as correction or cancellation
881 SecondaryTradeReportRefID N The SecondaryTradeReportID that is being referenced for some action, such as correction or cancellation
939 TrdRptStatus N Status of Trade Report
751 TradeReportRejectReason N Reason for Rejection of Trade Report
818 SecondaryTradeReportID N
263 SubscriptionRequestType N Used to subscribe / unsubscribe for trade capture reports
If the field is absent, the value 0 will be the default
820 TradeLinkID N Used to associate a group of trades together. Useful for average price calculations.
880 TrdMatchID N
17 ExecID N Exchanged assigned Execution ID (Trade Identifier)
527 SecondaryExecID N
378 ExecRestatementReason N
570 PreviouslyReported N
423 PriceType N
822 UnderlyingTradingSessionID N
823 UnderlyingTradingSessionSubID N
716 SettlSessID N
717 SettlSessSubID N
854 QtyType N
32 LastQty N
31 LastPx N
1430 VenueType N
1300 MarketSegmentID N
1301 MarketID N
Component Instrument Y Insert here the set of Instrument (symbology) fields defined in Common Components of Application Messages
669 LastParPx N
1056 CalculatedCcyLastQty N
1071 LastSwapPoints N
15 Currency N Primary currency of the specified currency pair. Used to qualify LastQty and GrossTradeAmout
120 SettlCurrency N Contra currency of the deal. Used to qualify CalculatedCcyLastQty
194 LastSpotRate N
195 LastForwardPoints N
30 LastMkt N
75 TradeDate N
715 ClearingBusinessDate N
6 AvgPx N
819 AvgPxIndicator N
442 MultiLegReportingType N
824 TradeLegRefID N
60 TransactTime N Time ACK was issued by matching system, trading system or counterparty
63 SettlType N
Component UndInstrmtGrp N
573 MatchStatus N
574 MatchType N
797 CopyMsgIndicator N
Component TrdRepIndicatorsGrp N
852 PublishTrdIndicator N
1390 TradePublishIndicator N
853 ShortSaleReason N
Component TrdInstrmtLegGrp N
Component TrdRegTimestamps N
725 ResponseTransportType N Ability to specify whether the response to the request should be delivered inband or via pre-arranged out-of-band transport.
726 ResponseDestination N URI destination name. Used if ResponseTransportType is out-of-band.
58 Text N May be used by the executing market to record any execution Details that are particular to that market
354 EncodedTextLen N Must be set if EncodedText field is specified and must immediately precede it.
355 EncodedText N Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
1015 AsOfIndicator N Indicates if the trade is an outtrade from a previous day
635 ClearingFeeIndicator N
Component PositionAmountData N Insert here here the set of Position Amount Data fields defined in Common Components of Application Messages
994 TierCode N Indicates the algorithm (tier) used to match a trade
1011 MessageEventSource N Used to identify the event or source which gave rise to a message
779 LastUpdateTime N Used to indicate reports after a specific time
991 RndPx N Specifies the rounded price to quoted precision.
Component TrdCapRptAckSideGrp N
1135 RptSys N
381 GrossTradeAmt N (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.
64 SettlDate N
1329 FeeMultiplier N
Component StandardTrailer Y

Common Category

Components

ClrInstGrp

Tag Name Req’d Description
576 NoClearingInstructions
→577 ClearingInstruction N Required if NoClearingInstructions > 0

DlvyInstGrp

Tag Name Req’d Description
85 NoDlvyInst
→165 SettlInstSource N
→787 DlvyInstType N
Component SettlParties N

OrdAllocGrp

Indicates number of orders to be combined for allocation. If order(s) were manually delivered set to 1 (one).Required when AllocNoOrdersType = 1

Tag Name Req’d Description
73 NoOrders
→11 ClOrdID N Order identifier assigned by client if order(s) were electronically delivered over FIX (or otherwise assigned a ClOrdID) and executed. If order(s) were manually delivered (or otherwise not delivered over FIX) this field should contain string MANUAL. Note where an order has undergone one or more cancel/replaces, this should be the ClOrdID of the most recent version of the order.
Required when NoOrders(73) > 0 and must be the first repeating field in the group.
→37 OrderID N
→198 SecondaryOrderID N Can be used to provide order id used by exchange or executing system.
→526 SecondaryClOrdID N
→66 ListID N Required for List Orders.
Component NestedParties2 N Insert here the set of NestedParties2 fields defined in Common Components of Application Messages
This is used to identify the executing broker for step in/give in trades
→38 OrderQty N
→799 OrderAvgPx N Average price for this order.
For FX, if specified, expressed in terms of Currency(15).
→800 OrderBookingQty N Quantity of this order that is being booked out by this message (will be equal to or less than this order's OrderQty)
Note that the sum of the OrderBookingQty values in this repeating group must equal the total quantity being allocated (in Quantity (53) field)

PositionAmountData

Number of Position Amount entries

Tag Name Req’d Description
753 NoPosAmt
→707 PosAmtType N
→708 PosAmt N
→1055 PositionCurrency N

SettlDetails

Number of settlement parties

Tag Name Req’d Description
1158 NoSettlDetails
→1164 SettlObligSource N Indicates the Source of the Settlement Instructions
Component SettlParties N Carries settlement account information

SettlInstructionsData

The SettlInstructionsData component block is used to convey key information regarding standing settlement and delivery instructions. It also provides a reference to standing settlement details regarding the source, delivery instructions, and settlement parties

Tag Name Req’d Description
172 SettlDeliveryType N Required if AllocSettlInstType = 1 or 2
169 StandInstDbType N Required if AllocSettlInstType = 3 (should not be populated otherwise)
170 StandInstDbName N Required if AllocSettlInstType = 3 (should not be populated otherwise)
171 StandInstDbID N Identifier used within the StandInstDbType
Required if AllocSettlInstType = 3 (should not be populated otherwise)
Component DlvyInstGrp N Required (and must be > 0) if AllocSettlInstType = 2 (should not be populated otherwise)

SettlParties

Repeating group below should contain unique combinations of SettlPartyID, SettlPartyIDSource, and SettlPartyRole

Tag Name Req’d Description
781 NoSettlPartyIDs
→782 SettlPartyID N Used to identify source of SettlPartyID. Required if SettlPartyIDSource is specified. Required if NoSettlPartyIDs > 0.
→783 SettlPartyIDSource N Used to identify class source of SettlPartyID value (e.g. BIC). Required if SettlPartyID is specified. Required if NoSettlPartyIDs > 0.
→784 SettlPartyRole N Identifies the type of SettlPartyID (e.g. Executing Broker). Required if NoSettlPartyIDs > 0.
Component SettlPtysSubGrp N Repeating group of SettlParty sub-identifiers.

SettlPtysSubGrp

Tag Name Req’d Description
801 NoSettlPartySubIDs
→785 SettlPartySubID N
→786 SettlPartySubIDType N