Trade Capture Report Questions

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Imported from previous forum

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Hi,

I am trying to use this message type and have a couple of questions

  1. Can some one please point out to me how to correctly specify the Trading Book and Trading Desk in a TradeCaptRpt message.

  2. Also, in my messages, I would like to be able to optionally specify the “purpose” behind the deal. This could be items like “Roll”, “Funding”, “Hedging” etc, which would serve to additionally identify/tag the deal in question, possibly for differential treatment. Is there any provision to add this kind of information into the TradeCaptRpt message ?

Thanks!

3

[ original email was from Rikard Hedberg - rikard.hedberg@omxgroup.com ]
Udai,

the Trading Book is specified in the Instruments component block normally using one of the following alternatives:

  1. The Symbol (55)
  2. An ISIN, CUSIP, SEDOL or other code:
  • SecurityIDSource (48) = 4; 1; 2…
  • SecurityID (22)
  1. An exchange-assigned identification number:
  • SecurityIDSource (48) = 8
  • SecurityID (22)
    (The SecurityIDSource = 8 is proposed to be changed to “Marketplace assigned identifier” by the Exchange/ECNs working group)

What identifier is used depends on market convention for the respective security types.

The “purpose” behind the deal is often a regulatory requirement. If that is the case for you, the following fields are normally used:

  • TrdType (828)
  • TrdSubType (829)
  • SecondaryTrdType (855)
  • ShortSaleReason (853)
  • SideTrdSubType (1008)
  • CustOrderCapacity (582)

Please see FIX 5.0 for the latest list of standardized values.

Regards

Rikard

Hi,

I am trying to use this message type and have a couple of questions

  1. Can some one please point out to me how to correctly specify the
    Trading Book and Trading Desk in a TradeCaptRpt message.

  2. Also, in my messages, I would like to be able to optionally specify
    the “purpose” behind the deal. This could be items like “Roll”,
    “Funding”, “Hedging” etc, which would serve to additionally
    identify/tag the deal in question, possibly for differential
    treatment. Is there any provision to add this kind of information
    into the TradeCaptRpt message ?

Thanks!