Trade Capture Report Sample

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Imported from previous forum

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Hi folks,

We are an Australian based on line trading company and right now implementing FIX for Australian Fixed Income Securities. FIX is popular here for Equities but not Fixed Income; so we are reseaching to make our implementation as close to the international standard as possible.

Has someone got a sample of Trade Capture Report for a “Switch” trade? (Price taker is buying security A and selling security B while price maker is selling security A and buying security B, maybe in US it’s referred as “Swap”?)

Many thanks in advance,

Charles

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[ original email was from Dean Kauffman - dean.kauffman@tradeweb.com ]
Charles,

Since 2001 The Bond Market Association and FPL’s Global Fixed Income Committee have worked together with industry professionals to extend the FIX protocol to support Fixed Income trading and reporting. Version 4.4 of the FIX Specification reflects much of their work, and Volume 7 contains a rich section on use of the protocol for Fixed Income. Switches are covered. They are submitted through NewOrder-Multiple and acknowledged with ExecutionReport with two legs. On fill, separate ExecutionReports are sent - one for the buy leg and one for the sell. The two executions are tied together through the original ClOrdID or a common OrderID or SecondaryOrderID.

TradeCaptureReport is not meant for reporting between counterparties. It is used for street-side reporting to regulatory or trade matching agencies. For a switch separate TCRs would be sent - one for each leg.

As part of the protocol initiative a number of business practice documents have been published that drive the message modeling and might prove useful in your work. They should be available from TBMA through their website. For a contact go to the Tech/Ops page on www.bondmarkets.com.

Finally you might want to consider joining FPL and participating in the Global Fixed Income Committee to ensure that Australian FI issues are addressed in the evolving standard. Contact one of the co-chairs listed on www.fixprotocol.org/committees/gfic.

Dean

Hi folks,

We are an Australian based on line trading company and right now
implementing FIX for Australian Fixed Income Securities. FIX is popular
here for Equities but not Fixed Income; so we are reseaching to make our
implementation as close to the international standard as possible.

Has someone got a sample of Trade Capture Report for a “Switch” trade?
(Price taker is buying security A and selling security B while price
maker is selling security A and buying security B, maybe in US it’s
referred as “Swap”?)

Many thanks in advance,

Charles

4

Thanks Dean,

Your reply is really helpful and we will consider using Excecution Report instead. Currently, we are just implementing FIX for IOIs and post trade reporting, we will report to counterparties once the trade is done through our existing trading system. We might move on to implement post trade allocations if the first phase is successful.

Definitely we are interested in joining FPL, I have forwarded the pricing link to our boss.

Cheers,

Charles

Charles,

Since 2001 The Bond Market Association and FPL’s Global Fixed Income
Committee have worked together with industry professionals to extend the
FIX protocol to support Fixed Income trading and reporting. Version 4.4
of the FIX Specification reflects much of their work, and Volume 7
contains a rich section on use of the protocol for Fixed Income.
Switches are covered. They are submitted through NewOrder-Multiple and
acknowledged with ExecutionReport with two legs. On fill, separate
ExecutionReports are sent - one for the buy leg and one for the sell.
The two executions are tied together through the original ClOrdID or a
common OrderID or SecondaryOrderID.

TradeCaptureReport is not meant for reporting between counterparties. It
is used for street-side reporting to regulatory or trade matching
agencies. For a switch separate TCRs would be sent - one for each leg.

As part of the protocol initiative a number of business practice
documents have been published that drive the message modeling and might
prove useful in your work. They should be available from TBMA through
their website. For a contact go to the Tech/Ops page on
www.bondmarkets.com.

Finally you might want to consider joining FPL and participating in the
Global Fixed Income Committee to ensure that Australian FI issues are
addressed in the evolving standard. Contact one of the co-chairs listed
on www.fixprotocol.org/committees/gfic.

Dean

Hi folks,

We are an Australian based on line trading company and right now
implementing FIX for Australian Fixed Income Securities. FIX is
popular here for Equities but not Fixed Income; so we are reseaching
to make our implementation as close to the international standard as
possible.

Has someone got a sample of Trade Capture Report for a “Switch” trade?
(Price taker is buying security A and selling security B while price
maker is selling security A and buying security B, maybe in US it’s
referred as “Swap”?)

Many thanks in advance,

Charles