ExecType and TradeReportTransType in Trade Capture Report

, ,
1

Imported from previous forum

2

[ original email was from Andrew Thompson - anthomps@blackrock.com ]
Hi everyone,

We were looking for some feedback on the expected relationship between ExecType(150) and TradeReportTransType(487) as used in Trade Capture Report (MsgType=AE).

For this message, TradeReportTransType is defined as:
0 = New
1 = Cancel
2 = Replace
3 = Release
4 = Reverse

And ExecType is defined as:

“Type of Execution being reported:
Uses subset of ExecType for Trade Capture Reports”

==========================

The first issue is the “subset” of ExecTypes that may be used does not seem to be defined anywhere.

The second issue is that we cannot find any documentation on the intended relationship between TradeReportTransType and ExecType. I was hoping for something resembling the examples used to define how ExecType relates to OrderStatus in an Execution Report message.

Let’s examine 3 scenarios:

  1. A new trade is reported to a counterparty using a Trade Capture Report

  2. The trade is later corrected and the correction must be reported

  3. The trade is cancelled and the cancel must be reported.

  4. New Trade

I’d assume:

571=R-54321 The trade capture report’s id
150=F Trade: Fill or Partial Fill
487=0 New
17=T-12345 The trade’s id

  1. Trade Correction - the orignal trade is corrected

Should this be:

571=R-54322 The trade capture report’s id
572=R-54321 Reference to the original report
150=G Trade Correct
487=2 Replace
17=T-12346 The trade correction’s id

This seems reasonable - as the message doesn’t allow ExecRefID (Tag 19) the linkage has to be through 572, right?

  1. Alternatively the original Trade is Cancelled

571=R-54322 The trade capture report’s id
572=R-54321 Reference to the original report
150=H Trade Cancel
487=2 Replace <-- which of these two
487=1 Cancel <-- should this be? my guess is "Replace"
17=T-12346 The trade cancel’s id

It boils down to “what does TradeReportTransType refer to?” Is it purely the Trade Capture Report or does it convey information about the trade?

If I set it to Cancel, I assume it means I’m trying to cancel the Trade Capture Report, not report that the trade itself was cancelled.

Thanks for any input.

3

[ original email was from Matt Simpson - msimpson@cme.com ]
Hi Andrew -

The definition of ExecType is conveying that only certain types of executions will result in a corresponding Trade Capture Report. For example, an ExecType of New shouldn’t be used in the context of Trade Capture since the trade in not yet realized.

There is no strict correlation between ExecType (150) and TradeReportTransType (tag487) values. Tag 487 allows you to manage the transaction throughout the trade life-cycle. “New” is used when a trade is initially submitted after a fill or off-exchange deal has been done. “Replace” or “Cancel” can be used if the trade needs to be changed prior to acceptance. “Reverse” is used to counteract the results of trade if already accepted.

While these actions refer to the Trade Capture Report, it’s also true that they represent the trade itself in the middle or back office to which it is being reported.

Finally, you may want to consider use of the recently defined TradeID tag rather than ExecID. An ExecID does not guarantee uniqueness since one execution may give rise to many trades. In general, each trade should be assigned its own unique TradeID. Hope this helps.

Hi everyone,

We were looking for some feedback on the expected relationship between
ExecType(150) and TradeReportTransType(487) as used in Trade Capture
Report (MsgType=AE).

For this message, TradeReportTransType is defined as: = New 1 = Cancel 2
= Replace 3 = Release 4 = Reverse

And ExecType is defined as:

“Type of Execution being reported: Uses subset of ExecType for Trade
Capture Reports”

==========================

The first issue is the “subset” of ExecTypes that may be used does not
seem to be defined anywhere.

The second issue is that we cannot find any documentation on the
intended relationship between TradeReportTransType and ExecType. I was
hoping for something resembling the examples used to define how ExecType
relates to OrderStatus in an Execution Report message.

Let’s examine 3 scenarios:

  1. A new trade is reported to a counterparty using a Trade
    Capture Report

  2. The trade is later corrected and the correction must be reported

  3. The trade is cancelled and the cancel must be reported.

  4. New Trade

I’d assume:

571=R-54321 The trade capture report’s id 150=F Trade: Fill or Partial
Fill 487=0 New 17=T-12345 The trade’s id

  1. Trade Correction - the orignal trade is corrected

Should this be:

571=R-54322 The trade capture report’s id 572=R-54321 Reference to the
original report 150=G Trade Correct 487=2 Replace 17=T-12346 The trade
correction’s id

This seems reasonable - as the message doesn’t allow ExecRefID (Tag 19)
the linkage has to be through 572, right?

  1. Alternatively the original Trade is Cancelled

571=R-54322 The trade capture report’s id 572=R-54321 Reference to the
original report 150=H Trade Cancel 487=2 Replace ← which of these two
487=1 Cancel ← should this be? my guess is “Replace” 17=T-12346 The
trade cancel’s id

It boils down to “what does TradeReportTransType refer to?” Is it purely
the Trade Capture Report or does it convey information about the trade?

If I set it to Cancel, I assume it means I’m trying to cancel the Trade
Capture Report, not report that the trade itself was cancelled.

Thanks for any input.