Class TradeCaptureReport

Trade Capture Report Message

Inheritance

object

TradeCaptureReport

Inherited Members

object.Equals(object)

object.Equals(object, object)

object.GetHashCode()

object.GetType()

object.MemberwiseClone()

object.ReferenceEquals(object, object)

Namespace: OnixS.CmeStpHandler

Assembly: OnixS.CmeStpHandler.dll

Syntax

[Serializable]
public class TradeCaptureReport

Constructors

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

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.

Overrides

object.ToString()