Class TradeCaptureReport
Trade Capture Report Message
Inherited Members
Namespace: OnixS.CmeStpHandler
Assembly: OnixS.CmeStpHandler.dll
Syntax
[Serializable]
public class TradeCaptureReportConstructors
TradeCaptureReport()
Default constructor.
Declaration
public TradeCaptureReport()Properties
AlternatePrice
Alternate price.
Declaration
public decimal AlternatePrice { get; set; }Property Value
| Type | Description |
|---|---|
| decimal |
AveragePrice
Calculated average price of all fills on this order. Will be populated for Average Price System (APS) transactions only.
Declaration
public decimal AveragePrice { get; set; }Property Value
| Type | Description |
|---|---|
| decimal |
BlockID
Contains the platform-assigned block ID for the trade.
Declaration
public string BlockID { get; set; }Property Value
| Type | Description |
|---|---|
| string |
CalculationCurrencyLastQuantity
Used in calculating the quantity of the other side of the currency trade.
Declaration
public decimal CalculationCurrencyLastQuantity { get; set; }Property Value
| Type | Description |
|---|---|
| decimal |
ClearedIndicator
An indication of whether or not a reportable swap transaction is cleared by a derivatives clearing organization.
Declaration
public ClearedIndicator ClearedIndicator { get; set; }Property Value
| Type | Description |
|---|---|
| ClearedIndicator |
ClearingBusinessDate
The "Clearing Business Date" referred to by this report.
Declaration
public DateTime ClearingBusinessDate { get; set; }Property Value
| Type | Description |
|---|---|
| DateTime |
ClearingIntention
An indication of whether or not a reportable swap transaction is intended to clear.
Declaration
public ClearingIntention ClearingIntention { get; set; }Property Value
| Type | Description |
|---|---|
| ClearingIntention |
ClearingRequirementException
An indication of whether a party to a swap is using the end-user exception.
Declaration
public ClearingRequirementException ClearingRequirementException { get; set; }Property Value
| Type | Description |
|---|---|
| ClearingRequirementException |
ClearingTransformationType
Indicates the type of Clearing Transformation that generated this Trade.
Declaration
public ClearingTransformationType ClearingTransformationType { get; set; }Property Value
| Type | Description |
|---|---|
| ClearingTransformationType |
ClientOrderID
Only provided on tickets resulting from an API Order, this is the ClOrdId from the order. Not provided for LPs on EBS Direct. Provided to PBs to see their Prime Client's ClOrdID on interdealer tickets only (not synthetic tickets).
Declaration
public string ClientOrderID { get; set; }Property Value
| Type | Description |
|---|---|
| string |
ConfirmHubTradeType
Custom field to represent specific Confirm Hub Trade Types.
Declaration
public string ConfirmHubTradeType { get; set; }Property Value
| Type | Description |
|---|---|
| string |
ContraryInstructionIndicator
Used to indicate when a contrary instruction for exercise or abandonment is being submitted.
Declaration
public bool ContraryInstructionIndicator { get; set; }Property Value
| Type | Description |
|---|---|
| bool |
CrossType
Type of cross being submitted to a market Supported Values: 3 - Request for Cross Fee Indicator
Declaration
public CrossType CrossType { get; set; }Property Value
| Type | Description |
|---|---|
| CrossType |
DealID
BrokerTec Deal ID, common to all participants within an entire trade (not only a match)
Declaration
public string DealID { get; set; }Property Value
| Type | Description |
|---|---|
| string |
DifferentialPrice
Represents the differential price for spreads, or a TAS or TAM differential price.
Declaration
public decimal DifferentialPrice { get; set; }Property Value
| Type | Description |
|---|---|
| decimal |
DifferentialPriceType
This indicates the type of differential price represented in the Differential Price attribute. Supported Values: 0 - Differential from Settlement Price 1 - Differential between legs
Declaration
public DifferentialPriceType DifferentialPriceType { get; set; }Property Value
| Type | Description |
|---|---|
| DifferentialPriceType |
ExecID
Exchange assigned execution ID (trade identifier). Unique ID for each side of each leg. It does not match across buy/sell side.
Declaration
public string ExecID { get; set; }Property Value
| Type | Description |
|---|---|
| string |
ExecID2
This is used to communicate the execution ID of the originating platform, e.g. the ClearPort execution ID.
Declaration
public string ExecID2 { get; set; }Property Value
| Type | Description |
|---|---|
| string |
ExecutionMethod
Specifies whether the transaction was executed via an automated execution platform or other method.
Declaration
public ExecutionMethod ExecutionMethod { get; set; }Property Value
| Type | Description |
|---|---|
| ExecutionMethod |
FeeMultiplier
Multiplier that Clearing (Fee system) will use to calculate fees and will be sent to the firms on their confirms.
Declaration
public decimal FeeMultiplier { get; set; }Property Value
| Type | Description |
|---|---|
| decimal |
FeeQuantityThresholdIndicator
Indicator flag used to determine the eligibility of fee discount based on threshold level. Supported Value: L1 = Threshold Level 1 - The highest threshold level was met or surpassed. L2 = Threshold Level 3 - The lowest threshold level was met. L3 = Threshold Level 3 - The lowest threshold level was met. LN = Eligible but does not meet set thresholds. LP = Eligible pending evaluation.
Declaration
public FeeQuantityThresholdIndicator FeeQuantityThresholdIndicator { get; set; }Property Value
| Type | Description |
|---|---|
| FeeQuantityThresholdIndicator |
FinancingDetails
Information about financing details reported.
Declaration
public FinancingDetails FinancingDetails { get; }Property Value
| Type | Description |
|---|---|
| FinancingDetails |
Instrument
Information about Instrument reported.
Declaration
public ReportInstrument Instrument { get; }Property Value
| Type | Description |
|---|---|
| ReportInstrument |
LastMkt
Market of execution for last fill, or an indication of the market where an order was routed.
Declaration
public string LastMkt { get; set; }Property Value
| Type | Description |
|---|---|
| string |
LastPrice
Overall Trade Price per contract for regular cleared trades. For Average Price (APS): the Rounded Price will be placed in LastPx.
Declaration
public decimal LastPrice { get; set; }Property Value
| Type | Description |
|---|---|
| decimal |
LastQty
Total Quantity based on user permissible allocation quantity. Note: Zero (“0”) will appear when a trade is reallocated out to a different account owner or Clearing Member.
Declaration
public decimal LastQty { get; set; }Property Value
| Type | Description |
|---|---|
| decimal |
LastUpdateTime
Last modification date and time of the trade/allocation information. Timestamp of last update to data item (or creation if no updates made since creation).
Declaration
public DateTimeOffset LastUpdateTime { get; set; }Property Value
| Type | Description |
|---|---|
| DateTimeOffset |
MDStreamID
The identifier or name of the price stream.
Declaration
public string MDStreamID { get; set; }Property Value
| Type | Description |
|---|---|
| string |
MarketDataTradeEntryID
Unique Trade Identifier that will match to a CME Globex order execution, associated market data message and STP messaging.
Declaration
public int MarketDataTradeEntryID { get; set; }Property Value
| Type | Description |
|---|---|
| int |
MultiLegReportingType
Used to indicate what an Multi-leg Report represents (e.g. used with multi-leg trades, such as option call & puts, spreads, etc.). Supported Values: 1 = Single side (default if not specified) 2 = Individual leg of a multi-leg trade 3 = Multi leg of a multi-leg trade
Declaration
public MultiLegReportingType MultiLegReportingType { get; set; }Property Value
| Type | Description |
|---|---|
| MultiLegReportingType |
NonDisclosedIndicator
Flag indicating if this was a non-disclosed trade. All non-disclosed trades will include this tag/attribute with "Y". All disclosed trades will not include this tag/attribute.
Declaration
public bool NonDisclosedIndicator { get; set; }Property Value
| Type | Description |
|---|---|
| bool |
OffsetInstruction
Indicates offset or onset due to allocation. Supported Value: 0 = Offset 1 = Onset
Declaration
public OffsetInstruction OffsetInstruction { get; set; }Property Value
| Type | Description |
|---|---|
| OffsetInstruction |
OptionExerciseTimeFrame
For Exercise/Assignment Transformation, this indicates whether or not the resulting Future was the result of an Early Exercise Instruction (Prior to Settlement Date).
Declaration
public OptionExerciseTimeFrame OptionExerciseTimeFrame { get; set; }Property Value
| Type | Description |
|---|---|
| OptionExerciseTimeFrame |
OrderID
For Globex, this is the iLink OrderID. For EBS Direct, this is the LC Tag 37 seen in the Execution Report received.Not provided for LP tickets.
Declaration
public string OrderID { get; set; }Property Value
| Type | Description |
|---|---|
| string |
OriginalFixmlMessage
Gets Fixml string which represent original received message.
Declaration
public string OriginalFixmlMessage { get; }Property Value
| Type | Description |
|---|---|
| string |
OriginalTimeUnit
Specifies the Time Unit of the original trade, e.g. whether it was entered as contracts per day or per month. Note that all trades are normalized to default units in STP API, regardless of the units originally used to enter the trade. Supported Values: D - Day H - Hour Min - Minute Mo - Month S - Second Wk - Week Yr - Year
Declaration
public OriginalTimeUnit OriginalTimeUnit { get; set; }Property Value
| Type | Description |
|---|---|
| OriginalTimeUnit |
PackageID
A value that identifies the group of trades or a portfolio of trades cleared simultaneously under the one Package ID.
Declaration
public string PackageID { get; set; }Property Value
| Type | Description |
|---|---|
| string |
PaymentAmount
The total payment amount.
Declaration
public decimal PaymentAmount { get; set; }Property Value
| Type | Description |
|---|---|
| decimal |
Payments
Specifies the premium for commodity swaptions.
Declaration
public Collection<Payment> Payments { get; }Property Value
| Type | Description |
|---|---|
| Collection<Payment> |
PositionAmountData
Information about Position Amounts reported.
Declaration
public Collection<PositionAmountData> PositionAmountData { get; }Property Value
| Type | Description |
|---|---|
| Collection<PositionAmountData> |
PostTradeType
Identifies the type of ticket. Interdealer tickets(also known as Market tickets) are received by Bilateral GFIDs or Prime Broker GFIDs(when facing bilateral codes, ie not when facing their Prime Customer). Prime Give Up tickets are also known as synthetic tickets and are those in which either the Prime Broker or Prime of Prime Broker faces their Prime Client, OR when the Prime(or Prime of Prime) Client faces their credit parent broker. Prime of Prime Broker tickets are similar to Interdealer tickets in nature but are solely when the Prime of Prime Broker faces their credit parent broker.
Declaration
public PostTradeType PostTradeType { get; set; }Property Value
| Type | Description |
|---|---|
| PostTradeType |
PriceType
Indicates the type of the price associated with the trade. Supported Values: 1 - Percentage (i.e. percent of par) 2 - Per unit (i.e. per share or contract) 10 - Fixed cabinet trade price (primarily for listed futures and options) 11 - Variable cabinet trade price (primarily for listed futures and options) 100 - Tentative placeholder price 101 - Updated actual price
Declaration
public PriceType PriceType { get; set; }Property Value
| Type | Description |
|---|---|
| PriceType |
QtyType
Type of quantity specified in a quantity field. Supported Value: 0 = Notional / Units 1 = Contracts term
Declaration
public QtyType QtyType { get; set; }Property Value
| Type | Description |
|---|---|
| QtyType |
ReportSides
Information about Sides reported.
Declaration
public Collection<ReportSide> ReportSides { get; }Property Value
| Type | Description |
|---|---|
| Collection<ReportSide> |
RootParties
Information about Root Parties reported.
Declaration
public Collection<RootParty> RootParties { get; }Property Value
| Type | Description |
|---|---|
| Collection<RootParty> |
SenderCompID
On return messaging, NYMEX will be the SenderCompID.
Declaration
public string SenderCompID { get; set; }Property Value
| Type | Description |
|---|---|
| string |
SenderSubID
CME assigned user role used to identify specific role (traderadmin or clearingadmin). If not specified will default to highest assigned role.
Declaration
public string SenderSubID { get; set; }Property Value
| Type | Description |
|---|---|
| string |
SettlCurrency
Currency code of settlement denomination. For non-ndfs this will be the same as contra currency. For NDFs this will be the deliverable currency.
Declaration
public string SettlCurrency { get; set; }Property Value
| Type | Description |
|---|---|
| string |
SettlDate
Specific date of trade settlement (SettlementDate) in YYYYMMDD format. If present, this field overrides SettlType (63). This field is required if the value of SettlType (63) is 6 (Future) or 8 (Sellers Option). This field must be omitted if the value of SettlType (63) is 7 (When and If Issued) (expressed in local time at place of settlement).
Declaration
public DateTimeOffset SettlDate { get; set; }Property Value
| Type | Description |
|---|---|
| DateTimeOffset |
SettlType
Settlement Type of trade. Note: B represents broken date, actual settlement date is reflected in Tag 64.
Declaration
public string SettlType { get; set; }Property Value
| Type | Description |
|---|---|
| string |
SettlementTradeID
Trade identifier as assigned by BrokerTec Clearing.
Declaration
public string SettlementTradeID { get; set; }Property Value
| Type | Description |
|---|---|
| string |
SplitIndicator
Indicates whether or not a trade is split.
Declaration
public SplitIndicator SplitIndicator { get; set; }Property Value
| Type | Description |
|---|---|
| SplitIndicator |
SpotDate
For FXNDF, the associated SPOT settlement date. Note: Not provided for FXSPOT.
Declaration
public DateTime SpotDate { get; set; }Property Value
| Type | Description |
|---|---|
| DateTime |
TargetCompID
Identifies the entity to whom the message is being sent. This echoes the SenderCompID sent on the request.
Declaration
public string TargetCompID { get; set; }Property Value
| Type | Description |
|---|---|
| string |
TargetSubID
Assigned value used to identify specific message recipient (user, etc.) This echoes the SenderSubID sent on the request.
Declaration
public string TargetSubID { get; set; }Property Value
| Type | Description |
|---|---|
| string |
TradeCollateralization
If a swap is not cleared, an indication of whether a swap is Uncollateralized, Partially Collateralized, One-Way Collateralize, Fully Collateralized.
Declaration
public TradeCollateralization TradeCollateralization { get; set; }Property Value
| Type | Description |
|---|---|
| TradeCollateralization |
TradeDate
Trade Date
Declaration
public DateTime TradeDate { get; set; }Property Value
| Type | Description |
|---|---|
| DateTime |
TradeID
Now represents the CME Front End Clearing (FEC) Firm Trade ID. TrdID does not match across buy/sell side.
Declaration
public string TradeID { get; set; }Property Value
| Type | Description |
|---|---|
| string |
TradeID2
Now represents the CME Front End Clearing (FEC) Firm Secondary Trade ID. TrdID2 does not match across buy/sell side.
Declaration
public string TradeID2 { get; set; }Property Value
| Type | Description |
|---|---|
| string |
TradeLegs
Information about trade legs reported.
Declaration
public Collection<TradeLeg> TradeLegs { get; }Property Value
| Type | Description |
|---|---|
| Collection<TradeLeg> |
TradeLinkID
Used to link a group of trades together. Useful for linking a group of trades together for average price calculations.
Declaration
public string TradeLinkID { get; set; }Property Value
| Type | Description |
|---|---|
| string |
TradeMatchID
Trade Match ID is assigned by the matching engine or clearing system and used to correlate a cleared trade with a match event. Should be common for all trade sides included in a match event. For CME ClearPort, this represents the deal number and always links strategies. For CME Globex and Floor, this links calendar spreads only.
Declaration
public string TradeMatchID { get; set; }Property Value
| Type | Description |
|---|---|
| string |
TradeNumber
Declaration
public string TradeNumber { get; set; }Property Value
| Type | Description |
|---|---|
| string |
TradePriceNegotiationMethod
The method used to negotiate the trade price. This is to support CDS trade negotiation where dealers can negotiate prices in deal spread or in percent of par. Supported Values: 0 - Percent of Par 1 - Deal Spread 2 - Upfront Points 3 - Upfront Amount 4 - Upfront Amount and Percent of Par 5 - Upfront Amount and Deal Spread 6 - Upfront Amount and Upfront points
Declaration
public TradePriceNegotiationMethod TradePriceNegotiationMethod { get; set; }Property Value
| Type | Description |
|---|---|
| TradePriceNegotiationMethod |
TradePriceStatus
Status of the price.
Declaration
public TradePriceStatus TradePriceStatus { get; set; }Property Value
| Type | Description |
|---|---|
| TradePriceStatus |
TradeRegulationPublications
Information about trade regulations reported.
Declaration
public Collection<TradeRegulationPublication> TradeRegulationPublications { get; }Property Value
| Type | Description |
|---|---|
| Collection<TradeRegulationPublication> |
TradeReportID
Unique identifier for the Trade Capture Report. Maximum of 50 Characters.
Declaration
public string TradeReportID { get; set; }Property Value
| Type | Description |
|---|---|
| string |
TradeReportTransType
Type of Execution being reported. Supported Values: 0 = New 1 = Cancel (Void) 2 = Replace (Correction/ Re-allocation)
Declaration
public TradeReportTransType TradeReportTransType { get; set; }Property Value
| Type | Description |
|---|---|
| TradeReportTransType |
TradeReportType
Indicates the purpose of the trade within the workflow and determines the action of the receiver of the trade. Supported Values: 101 = Notification
Declaration
public TradeReportType TradeReportType { get; set; }Property Value
| Type | Description |
|---|---|
| TradeReportType |
TradeRequestID
Original RequestID from the Trade Capture Report Request will be returned.
Declaration
public string TradeRequestID { get; set; }Property Value
| Type | Description |
|---|---|
| string |
TradeStatus
Indicates the status of the trade in clearing. Supported Values: 0 = Accepted
Declaration
public TradeStatus TradeStatus { get; set; }Property Value
| Type | Description |
|---|---|
| TradeStatus |
TradeSubType
Represents the CME Trade Type Subset, TAS Flag & the APS Offset and Onset Flag.
Declaration
public TradeSubType TradeSubType { get; set; }Property Value
| Type | Description |
|---|---|
| TradeSubType |
TradeType
CME Trade Type && Trade Transfer Flag.
Declaration
public TradeType TradeType { get; set; }Property Value
| Type | Description |
|---|---|
| TradeType |
TradingQuantity
Indicates the trading quantity entered, in unit terms (e.g. in MWh), for a trade. This may differ from the cleared quantity, especially in the case of contracts like electricity that follow delivery schedules.
Declaration
public decimal TradingQuantity { get; set; }Property Value
| Type | Description |
|---|---|
| decimal |
TransactTime
Date and Time when the trade was executed.
Declaration
public DateTimeOffset TransactTime { get; set; }Property Value
| Type | Description |
|---|---|
| DateTimeOffset |
TransferReason
Reason trade is being transferred.
Declaration
public TrnsfrRsn TransferReason { get; set; }Property Value
| Type | Description |
|---|---|
| TrnsfrRsn |
UnderlyingInstruments
Information about Underlying Instruments reported.
Declaration
public Collection<UnderlyingInstrument> UnderlyingInstruments { get; }Property Value
| Type | Description |
|---|---|
| Collection<UnderlyingInstrument> |
VenueSubType
Identifies the sub-type of the venue where a trade was executed.
Declaration
public VenueSubType VenueSubType { get; set; }Property Value
| Type | Description |
|---|---|
| VenueSubType |
VenueType
Identifies the type of venue where a trade was executed. Supported Values: C - Clearing house E - Electronic O - Off facility swap P - Pit R - Registered Market (SEF) X - Ex-Pit
Declaration
public VenueType VenueType { get; set; }Property Value
| Type | Description |
|---|---|
| VenueType |
Yield
Information about Yield reported.
Declaration
public Yield Yield { get; }Property Value
| Type | Description |
|---|---|
| Yield |
Methods
FromXml(XElement, XElement)
Extract data from XML and fill current object.
Declaration
public void FromXml(XElement reportElement, XElement header)Parameters
| Type | Name | Description |
|---|---|---|
| XElement | reportElement | Report element (TrdCaptRpt). |
| XElement | header | Header element. |
ToString()
Returns string representation of an object.
Declaration
public override string ToString()Returns
| Type | Description |
|---|---|
| string | String representation of an object. |