fix协议介绍19-交易报告（TradeCaptureReport ）

FIX.5.0SP2 Message

TradeCaptureReport [type 'AE']

<TrdCaptRpt>

The Trade Capture Report message can be:

• Used to report trades between counterparties.

• Used to report trades to a trade matching system

• Can be sent unsolicited between counterparties.

• Sent as a reply to a Trade Capture Report Request.

• Can be used to report unmatched and matched trades.

Added  FIX.4.3

Expand Components | Collapse Components

	Field or Component	Field Name	FIXML name	Req'd	Comments	Depr.

Component

StandardHeader

BaseHeader

MsgType = AE

Component

ApplicationSequenceControl

ApplSeqCtrl

	571	TradeReportID	@RptID		TradeReportID is conditionally required in a message-chaining model in which a subsequent message may refer to a prior message via TradeReportRefID. The alternative to a message-chain model is an entity-based model in which TradeID is used to identify a trade. In this case, TradeID is required and TradeReportID can be optionally specified.
	1003	TradeID	@TrdID
	1040	SecondaryTradeID	@TrdID2
	1041	FirmTradeID	@FirmTrdID
	1042	SecondaryFirmTradeID	@FirmTrdID2
	487	TradeReportTransType	@TransTyp		Identifies Trade Report message transaction type.
	856	TradeReportType	@RptTyp
	939	TrdRptStatus	@TrdRptStat		Status of Trade Report In 3 party listed derivatives model used to convey status of a trade to a counterparty. Used specifically in a "claim" model.
	568	TradeRequestID	@ReqID		Request ID if the Trade Capture Report is in response to a Trade Capture Report Request
	828	TrdType	@TrdTyp
	829	TrdSubType	@TrdSubTyp
	855	SecondaryTrdType	@TrdTyp2
	1123	TradeHandlingInstr	@TrdHandlInst
	1124	OrigTradeHandlingInstr	@OrigTrdHandlInst
	1125	OrigTradeDate	@OrigTrdDt		Used to preserve original trade date when original trade is being referenced in a subsequent trade transaction such as a transfer
	1126	OrigTradeID	@OrigTrdID		Used to preserve original trade id when original trade is being referenced in a subsequent trade transaction such as a transfer
	1127	OrigSecondaryTradeID	@OrignTrdID2		Used to preserve original secondary trade id when original trade is being referenced in a subsequent trade transaction such as a transfer
	830	TransferReason	@TrnsfrRsn
	150	ExecType	@ExecTyp		Type of Execution being reported: Uses subset of ExecType for Trade Capture Reports
	748	TotNumTradeReports	@TotNumTrdRpts		Number of trade reports returned - if this report is part of a response to a Trade Capture Report Request
	912	LastRptRequested	@LastRptReqed		Indicates if this is the last report in the response to a Trade Capture Report Request
	325	UnsolicitedIndicator	@Unsol		Set to 'Y' if message is sent as a result of a subscription request or out of band configuration as opposed to a Position Request.
	263	SubscriptionRequestType	@SubReqTyp		Used to subscribe / unsubscribe for trade capture reports. If the field is absent, the value 0 will be the default
	572	TradeReportRefID	@RptRefID		The TradeReportID that is being referenced for some action, such as correction or cancellation
	881	SecondaryTradeReportRefID	@RptRefID2			FIX.5.0
	818	SecondaryTradeReportID	@RptID2			FIX.5.0
	820	TradeLinkID	@LinkID		Used to associate a group of trades together. Useful for average price calculations.
	880	TrdMatchID	@MtchID
	17	ExecID	@ExecID		Market (Exchange) assigned Execution Identifier
	527	SecondaryExecID	@ExecID2
	378	ExecRestatementReason	@ExecRstmtRsn		Reason for restatement
	570	PreviouslyReported	@PrevlyRpted		Indicates if the trade capture report was previously reported to the counterparty
	423	PriceType	@PxTyp		Can be used to indicate cabinet trade pricing

Component

RootParties

Pty

Insert here the set of "Root Parties" fields defined in "common components of application messages" Used for acting parties that applies to the whole message, not individual legs, sides, etc..

	1015	AsOfIndicator	@AsOfInd		Indicates if the trade is an outtrade from a previous day.
	716	SettlSessID	@SetSesID
	717	SettlSessSubID	@SetSesSub
	1430	VenueType	@VenuTyp
	1300	MarketSegmentID	@MktSegID
	1301	MarketID	@MktID

Component

Instrument

Instrmt

Insert here the set of "Instrument" (symbology) fields defined in "Common Components of Application Messages"

Component

FinancingDetails

FinDetls

Insert here the set of "FinancingDetails" fields defined in "Common Components of Application Messages"

854

QtyType

@QtyTyp

Component

YieldData

Yield

Insert here the set of "YieldData" fields defined in "Common Components of Application Messages"

Component

UndInstrmtGrp

Undly

	822	UnderlyingTradingSessionID	@UndSesID
	823	UnderlyingTradingSessionSubID	@UndSesSub
	32	LastQty	@LastQty		Trade Quantity.
	31	LastPx	@LastPx		Trade Price.
	1056	CalculatedCcyLastQty	@CalcCcyLastQty
	15	Currency	@Ccy		Primary currency of the specified currency pair. Used to qualify LastQty and GrossTradeAmout
	120	SettlCurrency	@SettlCcy		Contra currency of the deal. Used to qualify CalculatedCcyLastQty
	669	LastParPx	@LastParPx		Last price expressed in percent-of-par. Conditionally required for Fixed Income trades when LastPx is expressed in Yield, Spread, Discount or any other price type that is not percent-of-par.
	194	LastSpotRate	@LastSpotRt		Applicable for F/X orders
	195	LastForwardPoints	@LastFwdPnts		Applicable for F/X orders
	1071	LastSwapPoints	@LastSwapPnts
	30	LastMkt	@LastMkt
	75	TradeDate	@TrdDt		Used when reporting other than current day trades.
	715	ClearingBusinessDate	@BizDt
	6	AvgPx	@AvgPx		Average Price - if present then the LastPx will contain the original price on the execution

Component

SpreadOrBenchmarkCurveData

SprdBnchmkCurve

Insert here the set of "SpreadOrBenchmarkCurveData" fields defined in "Common Components of Application Messages"

819

AvgPxIndicator

@AvgPxInd

Average Pricing indicator

Component

PositionAmountData

Amt

Insert here here the set of "Position Amount Data" fields defined in "Common Components of Application Messages"

	442	MultiLegReportingType	@MLegRptTyp		Type of report if multileg instrument. Provided to support a scenario for trades of multileg instruments between two parties.
	824	TradeLegRefID	@TrdLegRefID		Reference to the leg of a multileg instrument to which this trade refers Used when MultiLegReportingType = 2 (Single Leg of a Multileg security)

Component

TrdInstrmtLegGrp

TrdLeg

Number of legs Identifies a Multi-leg Execution if present and non-zero.

60

TransactTime

@TxnTm

Time the transaction represented by this Trade Capture Report occurred. Execution Time of trade. Also describes the time of block trades.

Component

TrdRegTimestamps

TrdRegTS

	63	SettlType	@SettlTyp
	64	SettlDate	@SettlDt		Takes precedence over SettlType value and conditionally required/omitted for specific SettlType values.
	987	UnderlyingSettlementDate	@StlDt		The settlement date for the underlying instrument of a derivatives security.
	573	MatchStatus	@MtchStat
	574	MatchType	@MtchTyp

Component

TrdCapRptSideGrp

RptSide

Number of sides

	1188	Volatility	@Vol
	1380	DividendYield	@DividendYield
	1190	RiskFreeRate	@RFR
	1382	CurrencyRatio	@CurrencyRatio
	797	CopyMsgIndicator	@CopyMsgInd		Indicates drop copy.

Component

TrdRepIndicatorsGrp

TrdRepIndicatorsGrp

Number of trade reporting indicators following

	852	PublishTrdIndicator	@PubTrdInd			FIX.5.0
	1390	TradePublishIndicator	@TrdPubInd
	853	ShortSaleReason	@ShrtSaleRsn
	994	TierCode	@TierCD		Indicates the algorithm (tier) used to match a trade
	1011	MessageEventSource	@MsgEvtSrc		Used to identify the event or source which gave rise to a message
	779	LastUpdateTime	@LastUpdateTm		Used to indicate reports after a specific time
	991	RndPx	@RndPx		Specifies the rounded price to quoted precision.
	1132	TZTransactTime	@TZTransactTime
	1134	ReportedPxDiff	@ReportedPxDiff		The reason(s) for the price difference should be stated by using field (Tag 828 ) TrdType and, if required, field (Tag 829) TrdSubType as well
	381	GrossTradeAmt	@GrossTrdAmt		(LastQty(32) * LastPx(31) or LastParPx(669)) For Fixed Income, LastParPx(669) is used when LastPx(31) is not expressed as "percent of par" price.
	1328	RejectText	@RejTxt
	1329	FeeMultiplier	@FeeMult

Component

StandardTrailer

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消息实现：

package cs.mina.codec.msg;

import java.util.HashSet;
import java.util.List;
import java.util.Set;

import cs.mina.exception.InValidDataException;

/*
 *@author(huangxiaoping)
 *@date 2013-12-2
 */
public class TradeCaptureReportMsg extends BaseMsg {
	private Tag tradeReportID=new Tag("571","String",false);
	private Tag tradeReportTransType=new Tag("487","int",false);
	private Tag tradeReportType=new Tag("856","int",false);
	private Tag trdType=new Tag("828","int",false);
	private Tag tradeHandlingInstr=new Tag("1123","char",false);
	private Tag lastPx=new Tag("31","Price",true);
	private Tag lastQty=new Tag("32","Qty",true);
	private Tag transactTime = new Tag("60", "UTCTimestamp", false);
	private Tag trdCapRptSideGrp=new TrdCapRptSideGrpTag(true);
	private Tag instrument = new InstrumentTag(true);
	private Tag exchangeTradeType=new Tag("5681","char",false);
	private Tag execType=new Tag("150","char",false);
	private Tag tradeID=new Tag("1003","String",false);
	private Tag trdRptStatus=new Tag("939","int",false);
	
	private Set<String> tagIdsSet = new HashSet<String>();
	public TradeCaptureReportMsg(){
		this.getHeadEntity().getMsgType().setTagValue("AE");
		tagIdsSet.add("571");
		tagIdsSet.add("487");
		tagIdsSet.add("856");
		tagIdsSet.add("828");
		tagIdsSet.add("1123");
		tagIdsSet.add("31");
		tagIdsSet.add("32");
		tagIdsSet.add("60");
		tagIdsSet.add("5681");
		tagIdsSet.add("150");
		tagIdsSet.add("1003");
		tagIdsSet.add("939");
		this.bodyEntity.getBodyTagList().add(tradeReportID);
		this.bodyEntity.getBodyTagList().add(tradeReportTransType);
		this.bodyEntity.getBodyTagList().add(tradeReportType);
		this.bodyEntity.getBodyTagList().add(trdType);
		this.bodyEntity.getBodyTagList().add(tradeHandlingInstr);
		this.bodyEntity.getBodyTagList().add(lastPx);
		this.bodyEntity.getBodyTagList().add(lastQty);
		this.bodyEntity.getBodyTagList().add(transactTime);
		this.bodyEntity.getBodyTagList().add(trdCapRptSideGrp);
		this.bodyEntity.getBodyTagList().add(instrument);
		this.bodyEntity.getBodyTagList().add(exchangeTradeType);
		this.bodyEntity.getBodyTagList().add(execType);
		this.bodyEntity.getBodyTagList().add(tradeID);
		this.bodyEntity.getBodyTagList().add(trdRptStatus);
	}
	
	@Override
	public void decodeBody() {
		Set<String> already=new HashSet<String>();
		String input=this.body;
		while(input.length()!=0){
			String firstTagId=input.substring(0, input.indexOf("="));
			if(firstTagId.equals("552")){
				input=this.getTrdCapRptSideGrp().decode(input, already);
			}else if(InstrumentTag.tagIdsSet.contains(firstTagId)){
				input=this.instrument.decode(input, already);
			}else{
				List<Tag> tagList=this.bodyEntity.getBodyTagList();
				boolean exist=false;
				for(int j=0;j<tagList.size();j++){
					Tag tag=tagList.get(j);
					if(tag.getTagId().equals(firstTagId)){
						input=tag.decode(input, already);
						exist=true;
						break;
					}
				}
				if(!exist){
					throw new InValidDataException(firstTagId+"不在消息字段中");
				}
			}
			
		}
	}

	@Override
	public void validate() {
		this.headEntity.validate();
		List<Tag> bodyTagList = this.bodyEntity.getBodyTagList();
		for (int i = 0; i < bodyTagList.size(); i++) {
			bodyTagList.get(i).validate();
		}
		this.tailerEntity.validate();
		if (tradeReportTransType.getTagValue() != null) {
			if (!(Integer.parseInt(tradeReportTransType.getTagValue()) >= 0 && Integer
					.parseInt(tradeReportTransType.getTagValue()) <= 5)) {
				throw new InValidDataException("tradeReportTransType错误["
						+ tradeReportTransType.getTagId() + "=" + tradeReportTransType.getTagValue()
						+ "]");
			}
		}
		if (tradeReportType.getTagValue() != null) {
			if (!(Integer.parseInt(tradeReportType.getTagValue()) >= 0 && Integer
					.parseInt(tradeReportType.getTagValue()) <= 15)) {
				throw new InValidDataException("tradeReportType错误["
						+ tradeReportType.getTagId() + "=" + tradeReportType.getTagValue()
						+ "]");
			}
		}
		if (trdType.getTagValue() != null) {
			if (!(Integer.parseInt(trdType.getTagValue()) >= 0 && Integer
					.parseInt(trdType.getTagValue()) <= 55)) {
				throw new InValidDataException("trdType错误["
						+ trdType.getTagId() + "=" + trdType.getTagValue()
						+ "]");
			}
		}
		if(tradeHandlingInstr.getTagValue()!=null){
			if(!MsgUtil.tradeHandlingInstr.contains(tradeHandlingInstr.getTagValue())){
				throw new InValidDataException("tradeHandlingInstr错误["
						+ tradeHandlingInstr.getTagId() + "=" + tradeHandlingInstr.getTagValue()
						+ "]");
			}
		}
		if(exchangeTradeType.getTagValue()!=null){
			if(!MsgUtil.exchangeTradeType.contains(exchangeTradeType.getTagValue())){
				throw new InValidDataException("exchangeTradeType错误["
						+ exchangeTradeType.getTagId() + "=" + exchangeTradeType.getTagValue()
						+ "]");
			}
		}
		if(execType.getTagValue()!=null){
			if(!MsgUtil.execType.contains(execType.getTagValue())){
				throw new InValidDataException("execType错误["
						+ execType.getTagId() + "=" + execType.getTagValue()
						+ "]");
			}
		}
		if(trdRptStatus.getTagValue()!=null){
			if(!(Integer.parseInt(trdRptStatus.getTagValue())==0
					||Integer.parseInt(trdRptStatus.getTagValue())==1
					||Integer.parseInt(trdRptStatus.getTagValue())==3)){
				throw new InValidDataException("trdRptStatus错误["
						+ trdRptStatus.getTagId() + "=" + trdRptStatus.getTagValue()
						+ "]");
			}
		}
	}

	public Tag getTradeReportID() {
		return tradeReportID;
	}

	public void setTradeReportID(Tag tradeReportID) {
		this.tradeReportID = tradeReportID;
	}

	public Tag getTradeReportTransType() {
		return tradeReportTransType;
	}

	public void setTradeReportTransType(Tag tradeReportTransType) {
		this.tradeReportTransType = tradeReportTransType;
	}

	public Tag getTradeReportType() {
		return tradeReportType;
	}

	public void setTradeReportType(Tag tradeReportType) {
		this.tradeReportType = tradeReportType;
	}

	public Tag getTrdType() {
		return trdType;
	}

	public void setTrdType(Tag trdType) {
		this.trdType = trdType;
	}

	public Tag getTradeHandlingInstr() {
		return tradeHandlingInstr;
	}

	public void setTradeHandlingInstr(Tag tradeHandlingInstr) {
		this.tradeHandlingInstr = tradeHandlingInstr;
	}

	public Tag getLastPx() {
		return lastPx;
	}

	public void setLastPx(Tag lastPx) {
		this.lastPx = lastPx;
	}

	public Tag getLastQty() {
		return lastQty;
	}

	public void setLastQty(Tag lastQty) {
		this.lastQty = lastQty;
	}

	public Tag getTransactTime() {
		return transactTime;
	}

	public void setTransactTime(Tag transactTime) {
		this.transactTime = transactTime;
	}

	public Tag getTrdCapRptSideGrp() {
		return trdCapRptSideGrp;
	}

	public void setTrdCapRptSideGrp(Tag trdCapRptSideGrp) {
		this.trdCapRptSideGrp = trdCapRptSideGrp;
	}

	public Tag getInstrument() {
		return instrument;
	}

	public void setInstrument(Tag instrument) {
		this.instrument = instrument;
	}

	public Set<String> getTagIdsSet() {
		return tagIdsSet;
	}

	public void setTagIdsSet(Set<String> tagIdsSet) {
		this.tagIdsSet = tagIdsSet;
	}

	public Tag getExchangeTradeType() {
		return exchangeTradeType;
	}

	public void setExchangeTradeType(Tag exchangeTradeType) {
		this.exchangeTradeType = exchangeTradeType;
	}

	public Tag getExecType() {
		return execType;
	}

	public void setExecType(Tag execType) {
		this.execType = execType;
	}

	public Tag getTradeID() {
		return tradeID;
	}

	public void setTradeID(Tag tradeID) {
		this.tradeID = tradeID;
	}

	public Tag getTrdRptStatus() {
		return trdRptStatus;
	}

	public void setTrdRptStatus(Tag trdRptStatus) {
		this.trdRptStatus = trdRptStatus;
	}

}

处理逻辑：略