Fields

Name

FIX tag

Req’d

Description

TradeReportID

571

Y

Key field. Unique ID of Trade Capture Report

CurrentDate

-

Y

Key field. Date and time when report was received.

Format: YYYYMMDD-HH:MM:SS

Key field. Together with TradeReportID and SendingTime identifies unique trade appearance.

Format: ExecID + "." + Symbol + "." + Side + "." + OrdStatus

TradeReportTransType                       

487

Y

Identifies Trade Report message transaction type.

Valid value:

0 = New

TradeReportType                               

856

N

Type of Trade Report.

Valid value:

0  = Submit

TrdType                                 

828

N

Type of trade.

ExecType       

150

N

ExecType will be equal to ‘NULL’ in case of live updates sent from ICE.

Valid values:

5 = Replace

F =  Trade (partial fill or fill)

H =  Trade Cancel

Please note:  it is possible to get a duplicate trade capture report with an ExecType of 5 even if nothing has changed on your side of the trade!

ExecID                                   

17

Y

Exchange Deal ID

OrigTradeID

1126

N

Original trade ID present only on the trades resulting from bust/adjust and containing the DealID of the original trade that was bust/adjusted

GroupIndicator

9820

N

Used to identify legs of spread deals brokered in WebICE TR

TradeLinkMktID

9414

N

Market id that links the futures market to the OTC market

OrdStatus                               

39

N

Identifies current status of order.

Valid values:

2 = Filled

4 = Cancelled

PreviouslyReported                           

570

Y

Indicates if the trade capture report was previously reported to the counterparty.

Valid values: N, Y

Symbol           

55

Y

MarketID (Symbol) needed to submit orders

SecurityID                             

48

N

Contract identifier/symbol.

SecurityIDSource                  

22

C

Exist only if SecurityID exists.

Valid value: 8

SecurityExchange

207

N

Exchange MIC Code

TradeLinkID

820

N

Deal id that links the futures market trade to the OTC market trade.

NOTE: The TransactTime (tag 60) for both the futures and OTC trade will be the same.

CFICode

461

Y

OptionsSymbol          

9403

N

Market id of the predefined option market. This tag is useful because for option trades, tag 55 will still contain the underlying Futures market id. This tag is optional because option markets hosted on our older trading engines don’t have any pre-configured marketIDs.

StrikePrice

202

N

Strike price of the option.

Required if  CFICode = ‘OCXXXX’ or ‘OPXXXX’

StartDate

916

N

In format, YYYYMMDD, used to report custom strips on bilateral trades. Please note for Endex Spot markets use DeliveryStartDate

EndDate

917

N

In format, YYYYMMDD, used to report custom strips on bilateral trades. Please note for Endex Spot markets use DeliveryEndDate

DeliveryStartDate

9520

N

Format will be based on UTCTimestamp with variation possible based on product. Accepted values include YYYYMMDD-HH:MM:SS and YYYMMDD-HH:MM:SS.sss

DeliveryEndDate

9521

N

Format will be based on UTCTimestamp with variation possible based on product. Accepted values include YYYYMMDD-HH:MM:SS and YYYMMDD-HH:MM:SS.sss

LocationCode

9522

N

Endex specific: Only populated for OCM Locational markets

MeterNumber

9523

N

Endex specific: Only populated for OCM Locational markets

LeadTime

9524

N

Endex specific: Only populated for OCM Locational markets

ReasonCode

9525

N

Endex specific: Only populated for OCM Locational markets

LastQty          

32

Y

Value of trade quantity

LastPx            

31

Y

Price of this (last) fill

TradeDate

75

Y

Indicates date of trade occurred in YYYYMMDD format

TransactTime                          

60

Y

Indicates time of trade occurred,

Format: HH:MI:SS.000

NumOfLots   

9018

Y

Trade quantity represented in number of lots

NumOfCycles

9022

Y

Remaining days left to a flow contract

NoSides         

552

Y

Total number of sides.
Will always be equal to 1

NoLegs

555

N

Total number of trade spread legs added into this report

ClientAppType

9413

N

Identifies the source which generated the current FIXTC report.

ExchangeSilo

9064

N

Identifies the Exchange Silo of a market.

Valid Values:

0= ICE

1= Endex

2= Liffe

SecuritySubType

762

N

Reserved for future use. Contains the strategy code for the UDS where applicable.

Valid Values:

https://www.theice.com/publicdocs/technology/ICE_Strategy_Code_Reference_Manual.pdf

TermsQualityComments

9510

N

Terms of Platts deal

Only required for MiFID II related markets when MIFIDID (Tag 9707) is not provided.
Supported value(s):
0 = False
1 = True

Only required for MiFID II related markets when MIFIDID (Tag 9707) is not provided.
Supported value(s):
0 = DEAL (own account)
1 = MTCH (matched principal)
2 = AOTC (any other capacity)

Only required for MiFID II related markets when MIFIDID (Tag 9707) is not provided.
Supported value(s):
0 = False
1 = True

Optional for MiFID II related markets when MIFIDID (Tag 9707) is not provided.
Supported value(s):
0 = False (Default if not sent)
1 = True

SenderCompID

56

Y

TargetCompID(56) from FIX message. Assigned value used to identify receiving firm.

Fields

Name

FIX tag

Req’d

Description

TradeReportID

571

Y

Key field. Unique ID of Trade Capture Report.

CurrentDate

-

Y

Key field. Date and time when report was received.

Format: YYYYMMDD-HH:MM:SS

SideEntry

-

Y

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

Key field. Together with TradeReportID and SendingTime identifies unique trade appearance.

Format: ExecID + "." + Symbol + "." + Side + "." + OrdStatus

Side

54

Y

Trade side.

Valid values:

1 = Buy

2 = Sell

OrderID

37

Y

Exchange OrderID

ClOrdID

11

N

Client OrderID

Text

58

N

CustOrderHandlingInst

1031

N

The CustOrderHandlingInst is used to mark deals with a value that determines how counterparty will be billed. This is only applicable to Griffin market types. Earlier Billing Code

ComplianceID

376

N

Unique Swap Identifier

NoParties

453

N

Number of Parties

AllocAccount

79

N

Allocation Account

Only if 78>0

PositionEffect

77

N

Valid Values:

O (Open)

C (Close)

MemoField

9121

N

TransactDetails

9123

N

Indicates the type of deal derived from a new order cross.
Supported value(s):
0 = Basic Crossing Order

Fields

Name

FIX tag

Req’d

Description

TradeReportID

571

Y

Key field. Unique ID of Trade Capture Report.

CurrentDate

-

Y

Key field. Date and time when report was received.

Format: YYYYMMDD-HH:MM:SS

SideEntry

-

Y

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

PartyEntry

-

Y

Key field. Together with TradeReportID, SendingTime and SideEntry identifies unique party of each report

Key field. Together with TradeReportID and SendingTime identifies unique trade appearance.

Format: ExecID + "." + Symbol + "." + Side + "." + OrdStatus

PartyID

448

Y

PartyID

PartyIDSource

447

Y

Valid value: D (Proprietary/Custom code)

PartyRole

452

Y

Fields

Name

FIX tag

Req’d

Description

TradeReportID

571

Y

Key field. Unique ID of Trade Capture Report.

CurrentDate

-

Y

Key field. Date and time when report was received.

Format: YYYYMMDD-HH:MM:SS

SideEntry

-

Y

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

Key field. Together with TradeReportID and SendingTime identifies unique trade appearance.

Format: ExecID + "." + Symbol + "." + Side + "." + OrdStatus

Nested2PartyEntry

-

Y

Key field. Together with TradeReportID, SendingTime and SideEntry identifies unique nested party of each report

Nested2PartyID

757

Y

Nested Party ID

Nested2PartyIDSource

758

Y

Valid value: D (Proprietary/Custom code)

Nested2PartyRole

759

Y

Clearing firm = 4

Give up type = 62

Only if 756>0

Fields

Name

FIX tag

Req’d

Description

TradeReportID

571

Key field.Unique ID of Trade Capture Report.

CurrentDate

-

Y

Key field. Date and time when report was received.
Format: YYYYMMDD-HH:MM:SS

LegsEntry

-

Key field. Together withTradeReportID and SendingTime identifies unique leg of each report

Key field. Together withTradeReportID and SendingTime identifies unique trade appearance.

Format: ExecID + "." + Symbol + "." + Side + "." + OrdStatus

LegSymbol     

600

Y

Leg MarketID (Symbol)

LegSecurityID                                   

602

N

Contract identifier/symbol

LegSecurityIDSource

603

N

LegCFICode

608

Y

LegStrikePrice                       

612

N

Strike price of option leg

Required if LegCFICode = ‘OPXXXX’ or ‘OCXXXX’

LegSide                                  

624

Y

Side of a leg. Valid values:

1 = Buy

2 = Sell

LegLastPx

637

Y

Value of leg trade quantity

LegQty           

687

Y

Price of this (last) leg fill

LegOptionRatio

1017

N

Contains the hedge ratio value in percentage

LegRefID

654

Y

Leg TradeID

LegNumOfLots

9019

Y

Spread leg quantity represented innumberof lots

LegNumofCycles

9023

Y

LegStartDate

9020

Y

Start date for the leg markets

LegEndDate

9021

Y

End date for the leg markets

LegComplianceID

9376

N

Unique Swap Identifier or Unique Trade Identifier

NoNestedParties

539

N

Number of nested parties for the leg.

LegSecurityExchange

616

N

Exchange MIC

LegOptionSymbol

9404

N

Exist only if tis leg is option leg

LegCustOrderHandlingInst

9426

N

Supported value(s):

S = Sleeve
M = Originator
T = Aggressor

LegMemoField

9122

N

Fields

Name

FIX tag

Req’d

Description

TradeReportID

571

Y

Key field. Unique ID of Trade Capture Report.

CurrentDate

-

Y

Key field. Date and time when report was received.
Format: YYYYMMDD-HH:MM:SS

LegsEntry                              

-

Y

Key field. Together with TradeReportID and SendingTime identifies unique nested party of each report

UniqueTradeID

Y

Key field. Together with TradeReportID and SendingTime identifies unique trade appearance.

Format: ExecID + "." + Symbol + "." + Side + "." + OrdStatus

NestedPartyEntry

-

Y

Key field. Together with TradeReportID and SendingTime identifies unique nested party of each report

NestedPartyID

524

Y

Nested PartyId

NestedPartyIDSource

525

Y

Valid value: D (Proprietary/Custom code)

NestedPartyRole

538

Y

TradeReportID

571

Y

Key field. Unique ID of Trade Capture Report.

CurrentDate

-

Y

Key field. Date and time whenreport was received.

Format: YYYYMMDD-HH:MM:SS

UniqueTradeID

Y

Key field. Together with TradeReportID and SendingTime identifies unique trade appearance.

Format: ExecID + "." + Symbol + "." + Side + "." + OrdStatus

CombiDefEntry

Y

Key field. Numeric identifier of the CombiDefinitions group entry.

CombiPercentage

9501

N

Repeating group used to convey Platts specific combi fields.

CombiPriceBasis

9502

N

Returns the pricing basis for Platts combi deals.

CombiPriceBasisPeriod

9503

N

Returns the Platts basis period ex: Full month, quarter, 5 days, etc.

CombiPriceBasisSubLevel

9504

N

Returns the selectedsub level.

CombiLegPrice

9505

N

Returns the price of the combi leg.

Fields

Name

FIX tag

Req’d

Description

CurrentDate

-

Y

Key field. Date and time when report was received.

Format: YYYYMMDD-HH:MM:SS

OrdStatus

39

Y

Key field. Identifies current status of order.

Valid values:

2 = Filled

4 = Cancelled

ExecID

17

Y

Key field. Exchange Deal ID

Symbol

55

Y

Key field.

Contains the MarketID (Symbol) needed to submit orders

Side

54

Y

Key field. Trade side.

Valid values:

1 = Buy

2 = Sell

Key field. Describes the reason the trade capture report is sent. ExecType will be equal to ‘NULL’ in case of live updates sent from ICE.

5 = Replace
F = Trade (partial fill or fill)
H = Trade Cancel

TradeReportID

571

N

Unique ID of Trade Capture Report

Together with TradeReportID and SendingTime identifies unique trade appearance.

Format: ExecID + "." + Symbol + "." + Side + "." + OrdStatus

SendingTime

52

Y

Time of message transmission (always expressed in UTC (Universal Time Coordinated, also known as "GMT")

Fields

Name

FIX tag

Req’d

Description

SecurityResponseID

322

Y

Key field. Unique ID of Security Definition

CurrentDate

-

Y

Key field. Date when Security Definition was received

Format: YYYYMMDD

ICESessionTargetCompID

56

Y

Key field. Always set to ICE

SecurityReqID

320

Y

ID of Security Definitions Request

SecurityResponseType

393

Y

Valid value: 4

TotNoRelatedSym

393

Y

Total number of securities in this security type

NoRpts

82

Y

Total number of messages sent as a response of the request

ListSeqNo

67

Y

Sequence number of the message in a list

NoUnderlyings

711

Y

Total number of securities in this security definition response message

ExchangeSilo

9064

N

Identifies the Exchange Silo of a market.

Valid Values:

0= ICE

1= Endex

2= Liffe

Fields

Column Name

FIX tag

Req’d

Description

UnderlyingSymbol                             

311

Y

Key field. Contains the MarketID (Symbol) needed to submit orders

CurrentDate

-

Y

Key field. Date when Security Definition was received

Format: YYYYMMDD

UnderlyingCFICode                          

463

N

Key field.

Valid Values:

FXXXXX = Futures

OXXXXX = Options

OXXFXX = Unique Option market ID

ICESessionTargetCompID

56

Y

Always set to ICE

SecurityResponseID

322

Y

Unique ID of Security Definition

UnderlyingSecurityID                                                                       

309

Y

Contract symbol

UnderlyingSecurityIDSource                        

305

Y

Contract symbol source

UnderlyingSecurityDesc

307

Y

Security description

UnderlyingMaturityDate

542

Y

Maturity date of a security

UnderlyingContractMultiplier                       

436

Y

Contract multiplier

StartDate

916

Y

Start Date of the market strip

EndDate                     

917

Y

End Date of the market strip

IncrementPrice

9013

Y

Increment Price for a security

IncrementQty             

9014

Y

Increment quantity for a security

LotSize                       

9017

Y

LotSizeMultiplier

9024

N

 Clearable products only

StripID                       

9201

Y

StripType                               

9200

Y

StripName      

9202

N

HubID            

9300

Y

HubName                   

9301

N

HubAlias                    

9302

N

UnderlyingUnitOfMeasure

998

Y

Physical unit of measure for derivative products

Granularity     

9085

N

PriceDenomination    

9100

Y

Trading denomination the contract trades in e.g., USD, GB pence, USD cents

NOTE: For OXXFXX– unique Option marketIDs this tag will be absent

PriceUnit        

9101

Y

NOTE: For OXXFXX– unique Option marketIDs this tag will be absent

NumOfDecimalPrice 

9083

Y

ProductID      

9061

N

ProductName             

9062

N

NumOfDecimalQty   

9084

Y

Clearable        

9025

N

Valid values:

Y = Clearable

N = Not Clearable

ProductDescription    

9063

N

TickValue       

9032

N

IncrementStrike         

9400

N

Exists for options

MinStrike                               

9401

N

Exists for options

MaxStrike                              

9402

N

Exists for options

ImpliedType   

9002

N

Valid Value:

F – Full Spread

PrimaryLegSymbol

9004

N

Exists for spread products.

SecondaryLegSymbol

9005

N

Exists for spread products.

NumOfCycles

9022

N

Remaining days left to a flow contract

PhysicalCode

9303

N

Always exist if Tag 711 value > 0

UnderlyingSecurityExchange

308

N

Supports Market Identifier Code (MIC) values. Examples of possible values are “IFEU”, “IFUS”, “IFCA”, “IFED”, etc. This will not be sent for options markets.

OffExchangeIncrementPrice

9040

N

The minimum increment price for Off Exchange markets

OffExchangeIncrementQty

9041

N

The minimum increment quantity for Off Exchange markets

UnderlyingStrikePrice

316

N

SecurityTradingStat

326

N

UnderlyingSecuritySubTyp

763

N

Reserved for future use. Contains the strategy code for a defined market where applicable.

https://www.theice.com/publicdocs/technology/ICE_Strategy_Code_Reference_Manual.pdf

IRS Futures - Payment Frequency: The interest rate swap future payment frequency. Not applicable for CDS.
Supported value(s):
6M = 6 months
1Y = 1 year

Supported value(s):
0 = Put
1 = Call

Adapted from FIX 5.0.
Supported value(s):
C = Cash/Financial
P = Physical

Adapted from FIX 5.0. Only supported for FLEX Expiry Option products.
Supported value(s):
0 = European
1 = American
3 = Asian

Indicates whether a market can only be used as a hedge.
Supported value(s):
0 = No (Default if not sent)
1 = Yes, Hedge only

Indicates whether or not the equity will be adjusted for dividends.
Supported value(s):
0 = No (Default if not sent)
1 = Yes

Supported value(s):
Energy
Futures
Spreads

Indication of whether the market is only traded as a block and not in the central limit order book.
Supported value(s):
0 = No (default if not sent)
1 = Yes

Indication of whether a market allows FLEX expiries.
Supported value(s):
0 = No (default if not sent)
1 = Yes

Indication of whether a market allows GTC and GTD orders.
Supported value(s):
0 = No (default if not sent)
1 = Yes

Indication of whether the market falls under MiFID regulations.
Supported value(s):
0 = No (default if not sent)
1 = Yes

Indication of whether a market allows Flexible options.
Supported value(s):
0 = No (default if not sent)
1 = Yes

Indication of whether the market is a production or test market.
Supported value(s):
0 = No, this is a production market (default if not sent).
1 = Yes, this is a test market only.

Indicates whether or not the market can be used as a leg to create a Defined Strategy.
Supported value(s):
0 = No (Default if not sent)
1 = Yes

Fields

Name

FIX tag

Req’d

Description

UnderlyingSymbol

311

Y

Key field. Contains the MarketID (Symbol) needed to submit orders

CurrentDate

-

Y

Key field. Date when Security Definition was received

Format: YYYYMMDD

UnderlyingCFICode

56

Y

Key field.

Valid Values:

FXXXXX = Futures

OXXXXX = Options

OXXFXX = Unique Option market ID

UnderlyingSecurityEntry

320

Y

Key field. Numeric identifier of the NoUnderlyingSecurityAltID group entry.

UnderlyingSecurityAltID

458

C

Will contain the ISIN of the instrument if UnderlyingSecurityAltIDSource (Tag 459) = 'U4'. Will contain the ISIN of the underlying equity if UnderlyingSecurityAltIDSource (Tag 459) = '4'.

UnderlyingSecurityAltIDSource

459

C

Supported value(s): 4 = ISIN (Underlying ISIN of Equity related market) U4 = ISIN (ISIN of Instrument as required by MiFID). Only supported for Futures and Options MiFID regulated markets. Not supported for strategies.

Fields

Name

FIX tag

Req’d

Description

UnderlyingSymbol

311

Y

Key field. Contains the MarketID (Symbol) needed to submit orders

CurrentDate

-

Y

Key field. Date when Security Definition was received

Format: YYYYMMDD

UnderlyingCFICode

56

Y

Key field.

Valid Values:

FXXXXX = Futures

OXXXXX = Options

OXXFXX = Unique Option market ID

UnderlyingBlockDetailsEntry

320

Y

Key field. Numeric identifier of the NoBlockDetails group entry.

BlockDetailsBlockType

9071

C

First tag in the repeating group. Required with NoBlockDetails (Tag 9070) > ‘0’.
Supported value(s):
0 = Regular
1 = PNC
2 = DP
3 = LIS

BlockDetailsTradeType

9072

C

Required with NoBlockDetails (Tag 9070) > ‘0’.
Supported value(s):
See TrdType (Tag 828) for Supported value(s).

Fields

Name

FIX tag

Req’d

Description

SecurityResponseID

322

Y

Key field. Unique identifier for Security Definition Response

Key field. Date when Defined Strategy was received

Format: YYYYMMDD

SecurityResponseType

323

Y

Key field. Supported value(s):

1 = Accept security proposal as is

4 = List of securities returned per request

5 = Security proposal is rejected

10 = Security proposal already defined

SecurityReqID

320

Y

Unique ID of request.

UDS Market ID

Please note that this data type is Int and not String

Supported value(s):

8 = Exchange Symbol

Supported value(s):

MLEG = Multi-leg instrument

Contains the Strategy Code for defined market where applicable.

For Supported value(s) please see: https://www.theice.com/publicdocs/technology/ICE_Strategy_Code _Reference_Manual.pdf

Identifies the Exchange Silo of a Market.

Supported value(s):

0 = ICE

1 = ENDEX

2 = LIFFE

Indication of whether the market is only traded as a block and not in the central limit order book.

Supported value(s):

0 = No (default if not sent)

1 = Yes

Indication of whether a market allows FLEX expiries or strikes.

Supported value(s):

0 = No (default if not sent)

1 = Yes

Indication of whether the market supports GTC and GTD orders.

Supported value(s):

0 = No (default if not sent)

1 = Yes

Indication of whether the market falls under MiFID regulations.

Supported value(s):

0 = No (default if not sent)

1 = Yes

Indicates whether or not the client can expect to receive legs deals when trading the strategy

Supported value(s):

0 = No, leg deals will be sent (Default value if not sent)

1 = Yes, leg deals will NOT be sent

Indication of whether the market is a production or test market.

Supported value(s):

0 = No, this is a production market (default if not sent).

1 = Yes, this is a test market only.

Fields

Name

FIX tag

Req’d

Description

SecurityResponseID

322

Y

Key field. Unique identifier for Security Definition Response

Key field. Date when Defined Strategy was received

Format: YYYYMMDD

SecurityResponseType

323

Y

Key field. Supported value(s):

1 = Accept security proposal as is

4 = List of securities returned per request

5 = Security proposal is rejected

10 = Security proposal already defined

BlockDetailsBlockType

9071

C

First tag in the repeating group.

Required with NoBlockDetails (Tag 9070) > 0.

Supported value(s):

0 = Regular

1 = PNC

2 = DP

3 = LIS

Required with NoBlockDetails (Tag 9070) > 0.

Supported value(s):

See TrdType (Tag 828) for Supported value(s).

Required with NoBlockDetails (Tag 9070) > 0. 

Block minimum quantity.

Fields

Name

FIX tag

Req’d

Description

SecurityResponseID

322

Y

Key field. Unique identifier for Security Definition Response

Key field. Date when Defined Strategy was received

Format: YYYYMMDD

SecurityResponseType

323

Y

Key field. Supported value(s):

1 = Accept security proposal as is

4 = List of securities returned per request

5 = Security proposal is rejected

10 = Security proposal already defined

LegSymbol

600

C

Option or Future Market ID for this leg of the UDS. Must be first tag in repeating group. Required if NoLegs (Tag 555) > 0.

Contains the Strategy Code for defined market where applicable.

For Supported value(s) please see: https://www.theice.com/publicdocs/technology/ICE_Strategy_Code_Reference_Manual.pdf

Please note data type of Int and not Float.

Required if LegSecurityType (Tag 609) = ‘FUT’ or ‘CS’. 

Supported value(s) are integers with a minimum value of ‘1