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Database Schema

STP-to-Database mapping

Table: CMESTPReports

Usage: Table holds summary of reported trades.

Fields

Name

Tag

Req’d

Description

FIXML Element

FIX Tag

TradeReportID

 

RptID

571

Y

Key field. Unique identifier for the Trade Capture Report.

SecondaryTradeID

TrdID2

1040

N

Key field. Provides secondary trade ID. Unlike TradeID, this is unique across all trade dates and all clearing firms.

ExecId

ExecID

17

Y

Exchanged assigned Execution ID (Trade Identifier). Unique ID for each side of each leg and will now have a length of a maximum 26 characters long.

Note: ExecID will no longer match for the buyer and seller.

LastPx

LastPx

31

Y

Overall Trade Price per contract for regular cleared trades.

LastQty

LastQty

32

Y

Total Quantity based on user permissible allocation quantity.

TransactTime

 

TxnTm

60

Y

Date and Time when the trade was executed.

Format: YYYY-MM-DDTHH:MM:SS

TradeDate

TrdDt

75

Y

Trade date
Format: YYYY-MM-DD

PriceType

 

PxTyp

423

N

Settlement Price indicator for TAS, EFM and EFP's priced off settlement.

Valid 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 options)
  • ‘11’ (Variable cabinet trade price, primarily for listed options)
  • '100' (Tentative placeholder price)
  • '101' (Updated actual price)

MultiLegReportingType

 

MLEGRptTyp

442

Y

Indicates if a trade is being reported as a single-leg outright, the leg of a spread, or a multi-leg trade report.

Valid values:

  • '1' (Single side (default if not specified))
  • '2' (Individual leg of a multi-leg trade)
  • ‘3’ (Multi-leg security)

TradeReportTransType

 

TransTyp

487

Y

Type of Execution being reported.

Valid values:

  • '0' (New)
  • '1' (Cancel (Void))
  • '2' (Replace (Correction/ Re-allocation))

TradeRequestID

 

ReqID

568

Y

Original RequestID from the Trade Capture Report Request

ClearingBusinessDate

 

BizDt

715

Y

The Clearing Business Date referred to by this report.

Format: YYYY-MM-DD

LastUpdateTime

LastUpdateTm

779

N

Last update time of the trade.


Format: YYYY-MM-DDTHH:MM:SS

QtyType

 

QtyTyp

854

Y

Type of quantity specified in a quantity field.

Valid values:

  • ‘0’ (Notional/Units)
  • '1' (Contracts (Default – should specify ContractMultiplier (tag 231)))

TrdMatchID

 

TrdMtchID

880

N

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. Will not be present for IRS/FRA trades.

TradeID

 

TrdID

1003

Y

Represents the CME Front End Clearing (FEC) Firm Trade ID.


TradeID does not match across buy/sell side.

SecurityID

 

ID

48

Y

CME Group clearing product code, e.g. CL (2 Characters)

SecurityIDSrc

Src

22

Y

Identifies the source of the Security ID. If it is not specified, the default of Clearing is used.

Valid value:

‘H’ (Clearing House/ Organization)

Symbol

Sym

55

Y

Symbol for a CME Contract, e.g. CLX05. Note that Symbol now matches the value used by clearing firms in the FEC system, and may differ somewhat from the representation used in the legacy CTAPI system.

SecurityDesc

 

Desc

107

N

Long description/name for a product.

SecurityType

 

SecTyp

167

Y

Indicates type of security.

Valid values:

    • CDS - Credit Default Swap
    • CMDTYSWAP - Commodity Swap
    • FRA - Forward Rate Agreement
    • FUT - Future
    • FWD - Forward
    • IRS - Interest Rate Swap
    • MLEG - Multi Leg (Combo)
    • OPT - Option
    • SWAPTION - Swaption

MaturityMonthYear

 

MMY

200

Y

Month and Year of the maturity (used for standardized futures and options).

Format:

  • YYYYMM (i.e. 201403)
  • YYYYMMDD (20140323)
  • YYYYMMwN (201403w1)

StrikePrice

 

Strk

202

C

Strike Price for an Option.

SecurityExchange

 

Exch

207

Y

The exchange where the security is listed.

Valid values:  ‘CBT’, ‘CCE’, ‘CEE’, ‘CEU’, ‘CMD’, ‘CME’,  'COMEX' ,  'DME', ‘NYMEX’

CFICode

 

CFI

461

Y

Indicates the type of security - Classification of Financial Instruments (CFI code)

Valid values: security type values as defined by ISO 10962 standard

SecuritySubType

 

SubTyp

762

 Y

For spreads, indicates the strategy type. For CDS, indicates if the product is a Single Name or Index.

Valid values:

Options:

BX = Box

BO = Butterfly

XT = Xmas Tree

CC = Conditional Curve

CO = Condor

DB = Double

HO = Horizontal

HS = Horizontal Straddle

IC = Iron Condor

12 = Ratio 1x2

13 = Ratio 1x3

23 = Ratio 2x3

RR = Risk Reversal

SS = Straddle Strip

ST = Straddle

SG = Strangle

SR = Strip

VT = Vertical

JR = Jelly Roll

GT = Guts

GN = Generic

 

Futures:

SP = Calendar Spread

FX = FX Calendar Spread

RT = Reduced Tick Calendar Spread

EQ = Equity Calendar Spread

BF = Butterfly

CF = Condor

FS = Strip

IS = Intercommodity Spread

PK = Pack

MP = Month Pack

PB = Pack Butterfly

DF = Double Butterfly

PS = Pack Spread

C1 = Crack 1:1

FB = Bundle

BS = Bundle Spread

IV = Implied Treasury Intercommodity Spread

EC = TAS Calendar Spread

SI = Commodities Intercommodity Spread

MS = BMD Futures Strip

UnitofMeasure

 

UOM

996

Y

Physical unit of measure for Derivative products.

NOTE: Additional values may be used by mutual agreement of the counterparties.

  • Alw - Allowances
  • BDFT - Board feet
  • Bbl - Barrels
  • Bcf - Billion cubic feet
  • Bu - Bushels
  • CBM - Cubic Meters
  • CER - Certified Emissions Reduction
  • CRT - Climate Reserve Tonnes
  • Ccy- Amount of currency
  • EnvCrd - Environmental Credit
  • EnvOfst - Environmental Offset
  • GJ - Gigajoules
  • GT - Gross Tons 
  • Also known as long tons or imperial tons, equal to 2240 lbs
  • Gal - Gallons
  • IPNT - Index point
  • L - Liters
  • MMBtu - One Million BTU
  • MMbbl - Million Barrels
  • MW-M - Megawatt-Month (electrical capacity)
  • MWh - Megawatt hours
  • PRINC - Principal with relation to debt instrument
  • cwt - Hundredweight (US)
  • day - Days
  • dt- Dry metric tons
  • g - Grams
  • kL - Kiloliters
  • kW-M - Kilowatt-Month (electrical capacity)
  • kWh - Kilowatt hours
  • kg - Kilograms
  • lbs - pounds
  • oz_tr - Troy Ounces
  • t - Metric Tons (aka Tonne)
  • thm- Therms
  • tn- Tons (US)

TradeReportType

RptTyp

856

N

Indicates the purpose of the trade within the workflow and determines the action of the receiver of the trade

Valid value:

‘101’ (Notification)

AvgPx

AvgPx

6

N

Calculated average price of all fills on this order. Will be populated for Average Price System (APS) transactions only.

SecondaryExecID

ExecID2

527

N

Execution ID as assigned by originating platform, e.g. the ClearPort execution ID

TradeType

TrdTyp

828

N

CME Trade Type & Trade Transfer Flag.

Valid values:

  • 0 - Regular Trade
  • 1 - Block Trade
  • 2 - EFP (Exchange for physical)
  • 3 - Transfer
  • 11 - Exchange for Risk (EFR)
  • 22 - Over the Counter Privately Negotiated Trades (OPNT)
  • 23 - Substitution of Futures for Forwards
  • 45 - Option exercise
  • 54 - OTC / Large Notional Off Facility Swap
  • 55 - Exchange Basis Facility (EBF)
  • 57 - Netted trade
  • 58 - Block swap trade
  • 59 - Credit event trade
  • 60 - Succession event trade

TradeSubType

TrdSubTyp

829

N

Represents the CME Trade Type Subset, TAS Flag & the APS Offset and Onset Flag.

Valid values:

  • 7 - Differential spread
  • 8 - Implied spread leg executed against an outright
  • 36 - Converted SWAP (Aged Deal)
  • 37 - Crossed Trade (X)
  • 40 - TAS - Traded at settlement
  • 42 - Auction Trade
  • 43 - TAM - Traded at marker
  • 48 - Multilateral Compression
  • 200 - Delivery Transfer

TradeReportingStatus

TrdRptStat

939

N

Indicates the status of the trade in clearing.

Valid values: ‘0’ (Accepted)

VenueType

VenuTyp

1430

N

Type of the venue where trade was executed.

Valid values:

  • ‘C’ (Clearing house)
  • ‘E’ (Electronic)
  • ‘O’ (Off facility swap)
  • ‘P’ (Pit)
  • ‘R’ (Registered Market (SEF))
  • ‘X’ (Ex-Pit)

OffestInstructions

OfstInst

10021

N

Indicates offset or onset due to allocation.

Valid values:

  • ‘0’ (Onset)
  • ‘1’ (Offset)

PxNegotionation

PxNeg

10022

N

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.

Valid 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)

DifferentialPx

DiffPx

10033

N

Represents the differential price for spreads, or a TAS or TAM differential price.

DifferentialPxType

DiffPxTyp

10024

N

Type of differential price

Valid values:

  • ‘0’ (Differential from Settlement Price)
  • ‘1’ (Differential between legs)

OriginalTimeUnit

OrigTmUnit

997

N

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, regardless of the units originally used to enter the trade.

Valid values:

  • ‘D’ (Day)
  • ‘H’ (Hour)
  • ‘Min’ (Minute)
  • ‘Mo’ (Month)
  • ‘S’ (Second)
  • ‘Wk’ (Week)
  • ‘Yr’ (Year)

MaturityDate

MatDt

541

N

Date of maturity or the settlement date of a CDS contract

CouponPayment

CpnPmt

224

N

Next date on which Coupon Premium is due. Primarily used for CDS instruments

CouponPaymentRate

CpnRt

223

N

The premium rate expressed in percentage paid by the buyer of protection to the seller of protection. Relevant to CDS contracts

RestructureType

RestrctTyp

1449

N

A category of CDS credit event in which the underlying bond experiences a restructuring. Used to define a CDS instrument.

Valid values:

    • FR - Full Restructuring
    • MM - Modified Mod Restructuring
    • MM14 - Modified Mod Restructuring - 2014
    • MR - Modified Restructuring
    • XR - No Restructuring specified
    • XR14 - No Restructuring specified - 2014

Seniority

Snrty

1450

N

Specifies which issue (underlying bond) will receive payment priority in the event of a default. Used to define a CDS instrument.

Valid values:

  • ‘SB’ (Subordinated)
  • ‘SD’ (Senior Secured)
  • ‘SR’ (Senior

UOMCcy

UOMCcy

1716

N

Currency of the unit of measure. Conditionally required when UnitOfMeasure =Ccy

CallOrPut

PutCall

201

N

Call/Put indicator for Option

Valid values: ‘0’ (Call), ‘1’ (Put)

PxQteCcy

PxQteCcy

10026

N

The currency in which the price is quoted

InterestAcruel

IntAcrl

874

N

Used for CDS instruments. Represents the start date used to calculate the accrued interest

Yield

Yld

236

N

Indicates deal spread for CDS

NoSides

 

Number  of <RptSide> elements in a report

552

Y

Number of Sides within single report

NoReportingParties

Number  of <Pty> elements in a report

1116

N

Number of entries in block.

NoInstrumentAlternativeIds

Number  of <AltID> elements in a report

454

N

Number of alternate Security Identifiers

NoInstrumentEvents

Number  of <Evnt> elements in a report

864

N

Number of reported events

NoUnlderlyingInstruments

Number  of <Undly> elements in a report

711

N

Total number of entries in NoUnderlyingInstrument group

NoPositionAmtDataEntries

Number  of <Amt> elements in a report

753

N

Number of position amount entries

NoLegs

Number  of <TrdLeg> elements in a report

555

N

Total number of entries in NoLegs group (number of  trade legs)

Table: Sent_Messages_CMESTP

Usage: Table is used to exclude potential duplicates and build triggers for further data base messages processing.

Fields

Name

FIXML tag

 

Req’d

Description

TradeReportID

 

RptID

571

Y

Key field. Unique ID of Trade Capture Report.

SecondaryTradeID

TrdID2

1040

N

Key field. Provides secondary trade ID. Unlike TradeID, this is unique across all trade dates and all clearing firms

TransactTime

 

TxnTm

60

Y

Date and Time when the trade was executed.

Format: YYYY-MM-DDTHH:MM:SS

Table: CMESTP_Sides

Usage: Usage: Table holds information about sides of reported trade. For each Trade Capture Report there will be one record in CMESTPReports_Sides table.

Fields

Name

FIXML tag

 

Req’d

Description

TradeReportID

 

RptID

571

Y

Key field. Unique ID of Trade Capture Report.

SecondaryTradeID

TrdID2

1040

N

Key field. Provides secondary trade ID. Unlike TradeID, this is unique across all trade dates and all clearing firms

Side_ID

 

-

-

Y

Key field. Together with TradeReportID and SecondaryTradeID

Identifies unique side of each report

Side

Side

54

Y

Side of a deal.

Valid values:

'1' (Buy), '2' (Sell)

ClOrdID

 

ClOrdID

11

N

Unique identifier assigned for the trade side.

Currency

 

Ccy

15

N

Currency code

TradeInputSource

 

InptSrc

578

Y

Source of trade input

Valid values:

CPC = CME ClearPort® Clearing,

CPT = CME ClearPort® Trading,

CXPIT = COMEX Trading Floor,

GLBX = CME Globex® ,

NXPIT = NYMEX Trading Floor

CustomerCapacity

CustCpcty

582

N

Customer capacity for this trade

Valid values:

  • ‘1’ (Member trading for their own account)
  • ‘2’ (Clearing Firm trading for its proprietary account)
  • ‘3’ (Member trading for another member)
  • ‘4’ (All other)

AllocationIndicator

AllocInd

826

N

Identifies if the trade is marked for allocation.

Valid values:

  • ‘0’ (Allocation not required)
  • ‘1’ (Allocation required (give-up trade) allocation information not provided (incomplete))
  • ‘2’ (Use allocation provided with the trade)
  • ‘3’ (Allocation give-up executor)
  • ‘4’ (Allocation from executor)
  • ‘5’ (Allocation to claim account)
  • ‘100’ (SGX Offset)

AvgPxIndicator

AvgPxInd

819

N

Indicates if the trade is marked for average pricing allocation.

Valid values:

  • ‘0’ (No Average Pricing)
  • ‘1’ (Trade is part of an average price group identified by the SideAvgPxGroupID)

StrategyLinkID

StrategyLinkID

820

N

Unique ID linking all individual legs of a spread or strategy together. It can also link individual legs to the parent multi-leg trade

NoParties

 

Number  of <Pty> elements in a report

453

N

Number of Parties per Side in the report

NoRegulatoryIDs

Number  of <RegTrdID> elements in a report

10034

N

Number of RegTrdID group entries

NoRegulatoryTimestamps

Number  of < TrdRegTS > elements in a report

1016

N

Number of NoSideTrdRegTS group entries

Table: CMESTP_SideParties

Usage: Table holds parties associated with certain side of reported trade. For each Trade Capture Report number of records in CMESTPReports_SideParties table will be equal to value of NoParties in the correspondent record in CMESTPReports_Sides table.

Fields

Name

FIXML tag

 

Req’d

Description

TradeReportID

 

RptID

571

Y

Key field. Unique ID of Trade Capture Report.

SecondaryTradeID

TrdID2

1040

N

Key field. Provides secondary trade ID. Unlike TradeID, this is unique across all trade dates and all clearing firms

Side_ID

-

-

Y

Key field. Together with TradeReportID and SecondaryTradeID

identifies unique side of each report

Party_ID

-

-

Y

Key field. Together with TradeReportID, SecondaryTradeID and Party_ID

identifies unique party of each report

PartyId

ID

448

N

Party identifier/code

PartyIDSource

Src

447

N

Identifies class or source of the PartyID (448) value.

Valid values:

  • C - Generally accepted market participant identifier
  • H -Clearinghouse participant/member code
  • N - LEI

PartyRole

R

452

N

Identifies the type or role of the PartyID (448) specified.

Valid values:

  • 1 - Executing Firm
  • 4 - Clearing Firm
  • 7 - Trading (Entering) Firm
  • 12 - Executing Trader (associated with Executing Firm - actually executes)
  • 21 - Clearing Organization
  • 22 - Exchange
  • 24 - Customer Account
  • 30 - Inter Dealer Broker
  • 36 - Entering trader
  • 44 - Order Entry Operator ID
  • 49 - Asset Manager
  • 55 - Session ID
  • 62 - Report originator
  • 73 - Execution Venue
  • 102 - Data Repository (e.g. SDR)

NoSubParties

Number  of <Pty/Sub> elements in a report

802

 

Repeating group of Party sub-identifiers

Table: CMESTP_SideSubParties

Usage: Table holds sub parties associated with certain party of reported trade. For each Trade Capture Report number of records in CMESTPReports_SideParties table will be equal to value of NoSubParties in the correspondent record in CMESTPReports_SideParties table

Fields

Name

FIXML tag

 

Req’d

Description

TradeReportID

 

RptID

571

Y

Key field. Unique ID of Trade Capture Report.

SecondaryTradeID

TrdID2

1040

N

Key field. Provides secondary trade ID. Unlike TradeID, this is unique across all trade dates and all clearing firms

Side_ID

-

-

Y

Key field. Together with TradeReportID and SecondaryTradeID

identifies unique side of each report

Party_ID

-

-

Y

Key field. Together with TradeReportID, SecondaryTradeID and Side_ID

identifies unique party of each report

Party_Sub_ID

-

-

Y

Key field. Together with TradeReportID, SecondaryTradeID, Side_ID and Party_ID

identifies unique sub party of each report

PartySubId

ID

523

N

Sub-identifier

PartySubIdType

Typ

803

N

Identifies the type of role in more detail.

Valid values:

  • 5 - Full legal name of firm
  • 9 - Contact name
  • 26 - Account type or Origin

Table: CMESTP_SideTrdRegIDs

Usage:  Table holds Regulatory Trade IDs associated with certain side of reported trade. For each Trade Capture Report number of records in CMESTPReports_SideTrdRegIDs table will be equal to value of NoRegulatoryIDs in the correspondent record in CMESTPReports_Sides table.

Fields

Name

FIXML tag

 

Req’d

Description

TradeReportID

 

RptID

571

Y

Key field. Unique ID of Trade Capture Report.

SecondaryTradeID

TrdID2

1040

N

Key field. Provides secondary trade ID. Unlike TradeID, this is unique across all trade dates and all clearing firms

Side_ID

-

-

Y

Key field. Together with TradeReportID and SecondaryTradeID

identifies unique side of each report

SideRegRecord_ID

-

-

Y

Key field. Together with TradeReportID, SecondaryTradeID and Side_ID

identifies unique side regulatory record of each report

SideTrdRegID

ID

10027

N

Regulatory Trade ID for the trade side used to communicate the Universal Swap Identifier (USI) or Unique Trade Identifier (UTI) associated with a cleared trade

SideTrdRegIDSrc

Src

10028

N

ID of reporting entity assigned by regulatory agency

SideTrdRegEvent

Evnt

10029

N

Event causing origination of the ID, i.e. Clearing

Valid value: ‘2’ (Clearing)

SideTrdRegIDType

Typ

10030

N

Type of Regulatory Trade ID being sent

Valid value:

‘0’ (Current – default)

SideTrdRegLegRefID

LegRefID

10031

N

Leg number that the USI or UTI references for spread or strategy (as communicated in the LegNo field)

SideTrdRegScope

Scope

10032

N

Included when a trade must be assigned more than one identifier, e.g. one for the clearing member and another for the client on a cleared trade as with the principal model in Europe

Valid values:

  • ‘ 1’ (Clearing Member)
  •  ‘2’ (Client)

Table: CMESTP_SideRegTimestamps

Usage: Table holds Trade Regulatory Timestamps associated with certain side of reported trade. For each Trade Capture Report number of records in CMESTPReports_SideRegTimestamps table will be equal to value of NoRegulatoryTimestamps in the correspondent record in CMESTPReports_Sides table.

Fields

Name

FIXML tag

 

Req’d

Description

TradeReportID

 

RptID

571

Y

Key field. Unique ID of Trade Capture Report.

SecondaryTradeID

TrdID2

1040

N

Key field. Provides secondary trade ID. Unlike TradeID, this is unique across all trade dates and all clearing firms

Side_ID

-

-

Y

Key field. Together with TradeReportID and SecondaryTradeID

identifies unique side of each report

SideRegTimestamp_ID

-

-

Y

Key field. Together with TradeReportID, SecondaryTradeID and Side_ID

identifies unique regulatory timestamp od side of each report

SideTrdRegTimestamp

TS

1012

N

Regulatory timestamp

SideTrdRegTimestampTyp

Typ

1013

N

Regulatory timestamp type

Valid values:

‘1’ (Execution time)

Table: CMESTP_PositionAmountData

Usage:  Table holds information about position amount data for reported trade. For each Trade Capture Report number of records in CMESTPReports_PositionAmountData table will be equal to value of NoPositionAmtDataEntries in correspondent record in CMESTPReports table.

Fields

Name

FIXML tag

 

Req’d

Description

TradeReportID

 

RptID

571

Y

Key field. Unique ID of Trade Capture Report.

SecondaryTradeID

TrdID2

1040

N

Key field. Provides secondary trade ID. Unlike TradeID, this is unique across all trade dates and all clearing firms

Position_ID

-

-

Y

Key field. Together with TradeReportID and SecondaryTradeID

identifies unique side of each report

AmountType

Typ

707

N

Position amount type.

Valid values:

  • 'CRES' (CashResidualAmount)
  • ‘ICPN’ (Initial Trade Coupon Amount)
  • ‘IPMT’ (Upfront Payment)
  • ‘PREM’ (Premium Amount)
  • ‘TVAR’ (Trade Variation Amount)

Amount

Amt

708

N

Position amount value

AmountCcy

Ccy

1055

N

The currency in which the position amount is denominated

Table: CMESTP_Legs

Usage: Table holds information about individual leg of reported multileg trade. For each Trade Capture Report number of records in CMESTPReports_Legs table will be equal to value of NoLegs in correspondent record in CMESTPReports table.

Fields

Name

FIXML tag

 

Req’d

Description

TradeReportID

 

RptID

571

Y

Key field. Unique ID of Trade Capture Report.

SecondaryTradeID

TrdID2

1040

N

Key field. Provides secondary trade ID. Unlike TradeID, this is unique across all trade dates and all clearing firms

Leg_ID

-

-

Y

Key field. Together with TradeReportID and SecondaryTradeID

Identifies unique leg of each report

LegSecurityID

ID

602

N

CME Group clearing product code for leg instrument, e.g. CL (2 Characters)

LegSecurityIDSrc

Src

603

Y

Source for leg Security ID

Valid value:

H - Clearing House / Clearing Organization

LegCFICode

CFI

608

N

CFI code for this leg security

Valid values: as defined by ISO 10962

LegSecurityType

SecTyp

609

N

Indicates type of leg security

Valid values:

  • FUT - Future
  • FWD - Forward
  • MLEG - Multi Leg (Combo)
  • OPT - Option

LegMaturityMonthYear

Mat

611

N

Date of maturity or the settlement date of a CDS contract for this leg

LegSecurityExchange

Exch

616

N

The exchange where the leg security is listed.

Valid values:

  • CBT - Chicago Board of Trade
  • CCE - CME Clearing Europe
  • CEE - Stock Exchange Group
  • CEU - CME Europe, LTD
  • CMD - Credit Default Swap Exchange
  • CME - Chicago Mercantile Exchange
  • COMEX - Commodities Exchange, Inc
  • DME - Dubai Mercantile Exchange
  • IFUS - Intercontinental Exchange
  • NGXC - Natural Gas Exchange
  • NODX - Nodal
  • NYMEX - New York Mercantile Exchange
  • NYMSW - CME Swaps - NYMEX
  • VMAC - VMAC
  • XNAS - Nasdaq
  • XXXX - OTC Trades

LegSide

Side

624

N

Side of the leg within spread or strategy

Valid values:

  • ‘1’ (Buy)
  • ‘2’ (Sell)

LegContractMultiplier

Mult

10045

N

Price multiplier used to convert the change in price (sell - buy) into P&L per contract leg.

LegQty

Qty

687

N

Actual quantity of the leg as it participated in the spread trade

LegReportID

RptID

990

N

Leg report ID as generated by the clearing system

LegNumber

LegNo

1152

N

Number identifying the leg within a strategy or spread. When reporting a USI or UTI, the field LegRefID will reference this number

LegRefID

RefID

654

N

Unique Trade ID generated by the clearing system for this leg

LegPrice

LastPx

637

N

Unique Trade ID generated by the clearing system for this leg

LegOriginalTmUnit

OrigTmUnit

1001

N

Time Unit for this leg 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, regardless of the units originally used to enter the trade.

Valid values:

  • ‘D’ (Day)
  • ‘H’ (Hour)
  • ‘Min’ (Minute)
  • ‘Mo’ (Month)
  • ‘S’ (Second)
  • ‘Wk’ (Week)
  • ‘Yr’ (Year)

NoLegUnderlyingInstruments

Number of <TrdLeg/Undlys> elements in a report

1342

N

Number of underlying instrument entries for reported trade leg

Table: CMESTP_LegsUndlyInstrument

Usage: Table holds information about leg's underlying instrument of reported multileg trade. For each Trade Capture Report number of records in CMESTPReports_LegsUndlyInstrument table will be equal to value of NoLegUnderlyingInstruments in correspondent record in CMESTPReports_Legs table.

Fields

Name

FIXML tag

 

Req’d

Description

TradeReportID

 

RptID

571

Y

Key field. Unique ID of Trade Capture Report.

SecondaryTradeID

TrdID2

1040

N

Key field. Provides secondary trade ID. Unlike TradeID, this is unique across all trade dates and all clearing firms

Leg_ID

-

-

Y

Key field. Together with TradeReportID and SecondaryTradeID

identifies unique leg of each report

LegUndlyInstrmnt_ID

-

-

Y

Key field. Together with TradeReportID, SecondaryTradeID and Leg_ID

identifies unique leg’s underlying instrument of each report

LegUndlySecurityID

ID

1332

N

CME Group clearing product code for a leg of underlying instrument, e.g. CL (2 Characters)

LegUndlySecurityIDSrc

Src

1333

N

Source for leg’s underlying Security ID.

Valid value:

‘H’ (Clearing House / Organization)

LegUndlySecurityType

SecType

1337

N

Indicates type of the leg’s underlying security.

Valid values:

    • FUT - Future
    • FWD - Forward
    • MLEG - Multi Leg (Combo)

LegUnderlyingMaturity

MMY

1339

N

Month and Year of the leg’s underlying  instrument maturity

Format:

  • YYYYMM (i.e. 201403)
  • YYYYMMDD (20140323)

YYYYMMwN (201403w1)

LegUndlySecurityExchange

Exch

1341

N

The exchange on which the leg’s underlying security is listed.

Valid values:  

  • CBT - Chicago Board of Trade
  • CCE - CME Clearing Europe
  • CEE - Stock Exchange Group
  • CEU - CME Europe, LTD
  • CMD - Credit Default Swap Exchange
  • CME - Chicago Mercantile Exchange
  • COMEX - Commodities Exchange, Inc
  • DME - Dubai Mercantile Exchange
  • IFUS - Intercontinental Exchange
  • NGXC - Natural Gas Exchange
  • NODX - Nodal
  • NYMEX - New York Mercantile Exchange
  • NYMSW - CME Swaps - NYMEX
  • VMAC - VMAC
  • XNAS - Nasdaq
  • XXXX - OTC Trades

Table: CMESTP_ReportingPty

Usage: Table holds information about Reporting Parties associated with reported trade. For each Trade Capture Report number of records in CMESTPReports_ReportingPty table will be equal to value of NoReportingParties in correspondent record in CMESTPReports table.

Fields

Name

Tag

Req’d

Description

FIXML Element

FIX Tag

TradeReportID

 

RptID

 

571

Y

Key field. Unique ID of Trade Capture Report.

SecondaryTradeID

TrdID2

1040

N

Key field. Provides secondary trade ID. Unlike TradeID, this is unique across all trade dates and all clearing firms

RptngParty_ID

-

-

Y

Key field. Together with TradeReportID and SecondaryTradeID identifies unique reporting party of each report

ReportingPartyId

ID

1117

N

Root Party identifier

ReportingPartyIdSrc

Src

1118

N

Party Source.

Valid value:

  • ‘N’ (LEI)

ReportingPartyRole

R

1119

N

Type or role of the party

Valid value:

  •  73 - Execution Venue

Table: CMESTP_InstrumentAlternativeIDs

Usage: Table holds alternative identifiers of traded security. For each Trade Capture Report number of records in CMESTPReports_InstrumentAlternativeIDs table will be equal to value of NoInstrumentAlternativeIds in correspondent record in CMESTPReports table.

Fields

Name

Tag

Req’d

Description

FIXML Element

FIX Tag

TradeReportID

 

RptID

 

571

Y

Key field. Unique ID of Trade Capture Report.

SecondaryTradeID

TrdID2

1040

N

Key field. Provides secondary trade ID. Unlike TradeID, this is unique across all trade dates and all clearing firms

InstrmtAID_ID

-

-

Y

Key field. Together with TradeReportID and SecondaryTradeID identifies unique side of each report

AlternativeInstrmtId

AltID

455

N

Security alternate identifier for this security.

AlternativeInstrmtIdSrc

AlDSrc

456

N

Source of SecurityAltID (455)

Valid values:

    • 112 - TAM Marker Price Symbol
    • N - Markit RED entity CLIP
    • P - Markit RED pair CLIP

Table: CMESTP_InstrumentEvents

Usage: Usage: Table holds information events associated with traded security. For each Trade Capture Report number of records in CMESTPReports_InstrumentEvents table will be equal to value of NoInstrumentEvents in correspondent record in CMESTPReports table.

Fields

Name

Tag

Req’d

Description

FIXML Element

FIX Tag

TradeReportID

 

RptID

 

571

Y

Key field. Unique ID of Trade Capture Report.

SecondaryTradeID

TrdID2

1040

N

Key field. Provides secondary trade ID. Unlike TradeID, this is unique across all trade dates and all clearing firms

Event_ID

-

-

Y

Key field. Together with TradeReportID and SecondaryTradeID identifies unique event of each report

EventDate

Dt

865

N

Event Date

EventType

EventTyp

866

N

Event type

Valid values:

    • 8 - Swap / CDS Start Date
    • 9 - Swap / CDS End Date
    • 13 - First Delivery Date
    • 111 - Unadjusted Next Coupon Date
    • 112 - Unadjusted Previous Coupon Date
    • 113 - Unadjusted Previous Previous Coupon Date
    • 121 - Fixing Date

Table: CMESTP_UnderlyingInstrument

Usage: Table holds description of underlying instrument for traded instrument. For each Trade Capture Report number of records in CMESTPReports_UnderlyingInstrument table will be equal to value of NoUnlderlyingInstruments in correspondent record in CMESTPReports table.

Fields

Name

Tag

Req’d

Description

FIXML Element

FIX Tag

TradeReportID

 

RptID

 

571

Y

Key field. Unique ID of Trade Capture Report.

SecondaryTradeID

TrdID2

1040

N

Key field. Provides secondary trade ID. Unlike TradeID, this is unique across all trade dates and all clearing firms

UndlyInstrmnt_ID

-

-

Y

Key field. Together with TradeReportID and SecondaryTradeID

identifies unique underlying instrument of each report

UnderlyingSecurityID

ID

309

Y

CME Group clearing product code for underlying instrument, e.g. CL (2 Characters)

UnderlyingSecurityIDSrc

Src

305

Y

Source for underlying Security ID.

Valid value:

‘H’ (Clearing House / Organization)

UnderlyingSecurityType

SecTyp

310

N

Indicates type of underlying security.

Valid values:

    • CMDTYSWAP - Commodity Swap
    • FUT - Future
    • FWD - Forward
    • MLEG - Multi Leg (Combo)

UnderlyingMaturityMonthYear

MMY

313

N

Month and Year of the underlying  instrument maturity

Format:

  • YYYYMM (i.e. 201403)
  • YYYYMMDD (20140323)
  • YYYYMMwN (201403w1)

UnderlyingSecurityExchange

Exch

308

N

The exchange on which the underlying security is listed.

Valid values:  

  • CBT - Chicago Board of Trade
  • CCE - CME Clearing Europe
  • CEE - Stock Exchange Group
  • CEU - CME Europe, LTD
  • CMD - Credit Default Swap Exchange
  • CME - Chicago Mercantile Exchange
  • COMEX - Commodities Exchange, Inc
  • DME - Dubai Mercantile Exchange
  • IFUS - Intercontinental Exchange
  • NGXC - Natural Gas Exchange
  • NODX - Nodal
  • NYMEX - New York Mercantile Exchange
  • NYMSW - CME Swaps - NYMEX
  • VMAC - VMAC
  • XNAS - Nasdaq
  • XXXX - OTC Trades
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