FIX Messaging - MC - Trade Capture Report (Type AE)

A Trade Capture Report (Type AE) enables an Approved Market Operator (AMO) to submit a trade or cancel a trade so that the trade (or trade cancellation) can be validated for acceptance into the clearing and settlement facilities.

Field

Field Name

Req

Data Type

Description

Valid Values


Standard Header

M

Header

MsgType = AE


<ApplicationSequenceControl>

487

TradeReportTrans Type

M

Int

Identifies that the AMO is either submitting a new trade to the clearing and settlement facility or is cancelling an existing trade that has already been registered within the clearing and settlement facility.

  • 0 = New
  • 1 = Cancel
856TradeReportTypeOInt

Identifies the type of Trade Report.

This tag is for ASX Settlement internal use only. This will only be used by ASX Settlement Operations under specific scenario's (e.g. replay previously rejected Trade Capture Report message).

This tag must not be populated by any AMO when sending a Trade Capture Report (Type AE) message. If a Trade Capture Report message is received from any AMO containing this tag then this will be rejected.

  • 5=No/Was (i.e. Used to report a full replacement of a previously submitted trade)

1125

OrigTradeDate

C

LocalMktDate

Identifies the original trade date of the trade being submitted or cancelled.

Must be present where the:

  • TradeReportTransType (487) is provided with the value 1 (Cancel).
    • The value must match the Trade Date of the Cancelled Trade (i.e. must match the value provided in tag TradeDate(75) of the Trade Capture Report (Type AE) when Trade was successfully submitted to the clearing and settlement facility).
  • TradeReportTransType (487) is provided with the value 0 (New) and the AsOfIndicator(1015) is provided with the value 1 (True).
    • The value must be a valid business date prior to the current business date.

When the TradeReportTransType (487) is provided with the value 0 (New) and the AsOfIndicator(1015) is provided with the value 0 (False) (i.e. a new trade that is not an As Of Trade) then the tag OrigTradeDate (1125) must not be present.


1126 

OrigTradeID

C

String

Identifier of a trade (i.e Trade ID) referenced by the Trade Capture Report (Type AE).

Must be present with the Trade ID of the cancelled trade where the tag TradeReportTransType (487) is provided with the value 1 (Cancel) i.e the value must match the value provided in the tag TradeID (1003) on the Trade Capture Report (Type AE) when Trade was successfully submitted to the clearing and settlement facility.


1003TradeIDMString

The unique identifier assigned to the trade or trade cancellation by the AMO.

Must be unique for a single business day.

The 1st character must be indicate the AMO submitting the Trade Capture Report (Type AE):

  • ASX Trade = 1 or 2
  • CHI-X = C
  • NSX = N
  • 10 character alphanumeric value
75TradeDateMLocalMktDate

Identifies the date the trade or trade cancellation is submitted to the clearing and settlement facility. The value provided must always be equal to the current business date.


1015AsOfIndicatorMChar

Indicates the trade was reported prior to the current business date.

The actual trade date should be reported in OrigTradedate (1125) where the tag AsOfIndicator (1015) is provided with the value 1 (True).

  • 0 - False (ie. trade is not an AsOf Trade)
  • 1 - True (ie. trade is an AsOf Trade)
<TrdRegTimestamps>
63SettlTypeOString

Identifies the order settlement period for a Non-Standard or Extended Settlement only. This field does not apply to a Standard Settlement.

SettlDate (64) overrides this field.

If both SettlType (63) and SettDate (64) are [BLANK], the default for SettlType (63) is 0 (Regular).

Regular is defined as the default settlement period for the particular security on the exchange of execution.

This is an optional tag. The CSP will not use this tag to derive a Settlement Date for the Trade.

  • 6 = Future
  • 0 = Regular
64SettlDateOLocalMktDate

Identifies the Settlement Date for the Trade being captured.

Where it is provided, the value must be a valid business date greater than the current business date.

  • The CSP will adjust this date to the First Settlement Date of the Security where it is greater than the Settlement Date Provided.

Where a value is not provided then CSP will derive a Settlement Date as the greater of:

  • 2 business day from the current business date (1 business day from the current business date where the tag AsOfIndicator (1015) is provided with the value 1 (True)); or
  • The First Settlement Date of the Security.

The Settlement Date applied to the trade that is registered in the CSP will be provided in the AR message response.


60TransactTimeMUTCTimestamp

Trade or Trade Cancellation agreement date and time.

The UTCTimestamp must be a UTC (Universal Time Coordinated, also known as "GMT") date and time field formatted as either YYYYMMDD-HH:MM:SS (whole seconds) or YYYYMMDD-HH:MM:SS.sss (milliseconds).

Observe the usage of dashes and colons separating date and time components below.

  • YYYY = 0000-9999, MM = 01-12, DD = 01-31, HH = 00-23, MM = 00-59, SS = 00-60 (60 only if UTC leap second) (without milliseconds).
  • YYYY = 0000-9999, MM = 01-12, DD = 01-31, HH = 00-23, MM = 00-59, SS = 00-60 (60 only if UTC leap second), sss=000-999 (indicating milliseconds) - UTCTimestamp only allows 3 digits of milliseconds.
<Instrument>
55SymbolMString

Identifies the security on the trade or the trade that is cancelled. The AMO must provide the proprietary security code (ticker symbol) that is maintained by ASX.


48SecurityIDCString

Identifies the security on the trade being captured or for the trade being cancelled.
Mandatory when populating SecurityIDSource (22).

The Security will only be identified by the CSP by the value provided within the tag Symbol (55).


22SecurityIDSourceCString

Indicates the type of identifier used to identify the security in SecurityID (48).

The Security will only be identified by the CSP by the value provided within the tag Symbol (55).

  • 4 = ISIN
  • 8 = Exchange ID
  • Mandatory when populating SecurityID (48)
231ContractMultiplierOFloat

Specifies the ratio or multiply factor to convert from "nominal" units (contracts) to total units (shares). For example, 1.0, 100, 1000, etc.

This is an optional tag. The CSP will not use this tag to calculate the Gross Trade Amount.


461CFICodeMString

Identifies the type of security using ISO 10962 Standard, Classification of Financial Instruments (CFI code) values.

This is mandatory for the listing market in Securities reference data.

The Security will only be identified by the CSP by the value provided within the tag Symbol (55).

Please see Appendix B.
<TradeData>
381

GrossTradeAmount

OAmt

Identifies the total amount traded.

  • If provided, the value must be equal to LastPx(31) multiplied by LastQty(32) (where applicable, truncated to 2 decimal places); and
  • Where it is not provided, the CSP will drive the value as LastPx(31) multiplied by LastQty(32) (where applicable, truncated to 2 decimal places).

The Gross Trade Amount provided or derived will be present in the AR message response.

Please see Appendix E.
31LastPxMPrice

The price of the security bought or sold on the trade being captured or on the trade cancelled. The LastPx (31) should be formatted as follows:

  • The price should be in dollars and cents;
  • The precision must not exceed 6 decimal places; and
  • The price must be greater than or equal to 0.001000.

Example: 1.123456

Please see Appendix E.
32LastQtyMQty

The quantity of the security bought or sold on the trade being captured or on the trade cancelled. The LastQty (32) should be formatted as follows:

  • The quantity must be a whole number greater than or equal to 1.
Please see Appendix E.
15CurrencyMCurrency

Identifies the currency of LastPx (31) and GrossTradeAmount (381).

  • AUD
1300MarketSegmentIDOString

The MIC code of the market trading platform. Only approved AMO codes will be accepted.

Please see Appendix A.

1301MarketIDMExchange

The MIC code of the market operator. Only approved AMO codes will be accepted.

Please see Appendix A.
20003TrdConditionCodeOString

Identifies the condition(s) under which the trade was effected. Where applicable for the trade, the AMO can provide up to 5 unique condition code values in a single TrdConditionCode (20003) tag where each code is delimited by space.

Please see Appendix C.

Condition Code values must be provided in upper case.

20007CorporateActionOString

Identifies the basis of quotation if effected outside the default basis of quotation (i.e. where there is special market). Indicates whether a movement in corporate action entitlement is applicable to the trade being submitted when it is due to settle in the ex-period of one or more corporate actions.

Where applicable for the trade, the AMO may optionally provide up to 3 unique basis of quotation (BOQ) values in a single CorporateAction (20007) tag where each value is delimited by space.

Note that a BOQ value:

  • Must only be provided for a Corporate Action that will be in it’s ex-period when the trade settles;
  • Should not be duplicated for a corporate action type - e.g. it would be invalid to provide CD CD or CD XD or XD XD; and
  • Does not need to be provided for each or any corporate action that will be in it’s ex-period when the trade settles.

For each BOQ value that is not provided, the CSP will derive the movement in corporate action entitlement(s) applicable to the trade at settlement as follows:

  • Where AsOfIndicator (1015) is provided as 0 and Trade Date (75) is less than the ex-date of the Corporate Action - then trade will settle cum-entitlement;
  • Where AsOfIndicator (1015) is provided as 0 and Trade Date (75) is greater than or equal to the ex-date of the Corporate Action - then trade will settle ex-entitlement;
  • Where AsOfIndicator (1015) is provided as 1 and OrigTradeDate (1125) is less than the ex-date of the Corporate Action - then trade will settle cum-entitlement; and
  • Where AsOfIndicator (1015) is provided as 1 and OrigTradeDate (1125) is greater than or equal to the ex-date of the Corporate Action - then trade will settle ex-entitlement.

Please see Appendix D.

Basis of Quotation values must be provided in upper case.

58TextOString

Free text comment for the trade.


552NoSidesMNumInGroup

Identifies the number of sides on the trade or trade cancelled i.e. the number of instances of repeating group 552 “NoSides” included within the message.

Two instances of repeating group 452 “NoSides” are required. One instance to report the buy side details of the trade and the other instance to report the sell side details of the trade. The side of the trade is identified in tag Side (54).

  • 2
Start of Repeating Group 552, NoSides
54SideMChar

Identifies the side of the trade, buy or sell, that is reported in the repeating group.
Two instances of repeating group 552 “NoSides” are required. One instance to report the buy side of the trade (the value 1 present in tag Side (54)) and the other instance to report the sell side of the trade (the value 2 or 5 present in tag Side (54)).

Valid values:

  • 1 - Buy
  • 2 - Sell
453NoPartyIDsMNumInGroup

Identifies the number of parties involved in the side of the trade submitted or trade cancelled i.e. the number of instances of repeating group 453 “NoPartyIDs” for the side of the trade.

At least one instance of repeating group 453 “NoPartyIDs” is required per side to identify the buying and selling trading participants. It is optional to identify the related clearing participant to the trading participant and/or a trading (secondary) account.

  • 1, 2 or 3 to match the number of instances of repeating group 453 “NoPartyIDs” for the side of the trade.
Start of Repeating Group 453, NoPartyIDs
448PartyIDMString

Identifies the party reported in the repeating group.

  • For the Trading Participant (identified by PartyIDSource (447) with value C and PartyRole (452) with value 1), the value provided must be the 4 digit Trading ID. The trading participant must be set up in the CSP;
  • For the Clearing Participant (identified by PartyIDSource (447) with value D and PartyRole (452) with value 4), the value provided must be the 5 digit Clearing Participant ID. The clearing participant must be set up within the CSP with a relationship to the trading participant; and
  • For the Trading (Secondary) Account (identified by PartyIDSource (447) with value D and PartyRole (452) with value 45), the value provided must be in the format text {1,10}.

447PartyIDSourceMString

Identifies the type of Party Identifier within tag PartyID (448).

  • C - (must be used where tag PartyRole (452) is present with the value 1- Executing Firm)
  • D - (must be used where tag PartyRole (452) is present with the value 4 - Clearing Firm or 45 - Secondary Account Number)
452PartyRoleMint

Identifies the type of party reported in the repeating group. The value must be unique across all instances of repeating group 453 “NoPartyIDs” per side of the trade.

It is mandatory for each side of the trade to contain an instance of repeating group 453 “NoPartyIDs” where the tag PartyRole (452) is present with the value 1 - Executing Firm.

  • 1 - Executing Firm (i.e. Trading participant)
  • 4 - Clearing Firm (i.e. Clearing participant)
  • 45 - Secondary Account Number (i.e. Trading account from trading participant)
End of Repeating Group 453, NoPartyIDs
End of Repeating Group 452, NoSides
End

Standard TrailerMTrailer Trailer 

 Req:

  • M = Mandatory field. This field is required for this message type.
  • O = Optional field. Optional fields not specified in this ASX FIX Specification will be ignored if sent. However, optional fields specified in this ASX FIX Specification will be validated.
  • C = Conditional field. This field is dependent on the field / data type.



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