Receive Trade Capture (AE) Report on FIX Protocol

• Download source code from Github

Trade Capture Report (AE) message is a post-trade message which is sent by the broker or exchange to report the trades for participant.

How to Request Trade Capture Report?

A client may use Trade Capture Report Request (AD) to subscribe for trade capture reports based upon selection criteria provided on the trade capture report request.

The server will respond with a Trade Capture Report Request Ack (AR) to indicate, via the TradeRequestStatus (750) and TradeRequestResult (749) fields, whether the request is successful or not. Sometimes if the Trade Capture Report Request message is rejected due to some validations, a Reject message can be generated as the response.

Trade Capture Report Request (AD) Message Structure

You need to remember that these are standard fields for Trade Capture Report Request (AD) message, the list of supported fields may vary between various FIX formats.

Also, always follow the Rules of engagement document provided by the broker before implementing FIX messages.

Trade Capture Report Request Ack (AC) Message

It is acknowledged message to Trade Capture Report Request (AD)

Trade Capture Report

It is a response message to TradeCapture Report Request (AD) which reports trades between counterparties.

Message Structure

Implementation

TradeCaptureReportRequest (AD)

TradeCaptureReportRequest request = new TradeCaptureReportRequest();

string requestId = DateTime.UtcNow.ToString("yyyyMMddHHmmssfff");//generate unique request ID
request.TradeRequestID = new TradeRequestID(requestId);
request.TradeRequestType = new TradeRequestType
(TradeRequestType.MATCHED_TRADES_MATCHING_CRITERIA_PROVIDED_ON_REQUEST);

request.NoDates = new NoDates(2);
//Criteria to get trades between two dates
var noDatesGroup = new TradeCaptureReportRequest.NoDatesGroup();
noDatesGroup.TransactTime = new TransactTime(start);
request.AddGroup(noDatesGroup);
noDatesGroup = new TradeCaptureReportRequest.NoDatesGroup();
noDatesGroup.TransactTime = new TransactTime(end);
request.AddGroup(noDatesGroup);
<br>Session.SendToTarget(request, sessionId);

TradeCaptureReportRequest Ack (AC)

public void OnMessage(TradeCaptureReportRequestAck ackReport, SessionID session)
{
	if (ackReport.TradeRequestStatus.getValue() == TradeRequestStatus.REJECTED)
	{
	  if (OnReject != null)
	   Console.WriteLine("TradeReportRequest Rejected");
	}
	else if (ackReport.TradeRequestStatus.getValue() == TradeRequestStatus.ACCEPTED)
	{
	   Console.WriteLine("TradeReportRequestStatus Accepted");
	}
	else if (ackReport.TradeRequestStatus.getValue() == TradeRequestStatus.COMPLETED)
	{
	  Console.WriteLine("TradeReportRequestStatus COMPLETED");
	}
}

TradeCaptureReport (AE)

public override void OnMessage(TradeCaptureReport ackReport, SessionID session)
{
    //Capturing data in DTO
	TradeReport tradeReport = new TradeReport
	{
	  Id = ackReport.ExecID.getValue(),
	  LastQty = ackReport.LastQty.getValue(),
	  TransactTime = ackReport.IsSetTransactTime() ? 
                     ackReport.TransactTime.getValue() : DateTime.UtcNow,
	  LastPrice = ackReport.LastPx.getValue(),
	  InstrumentId = Convert.ToInt32(ackReport.SecurityID.getValue())
	};

	NoSides noSides = ackReport.NoSides;
	tradeReport.Symbol = _symbolMap[tradeReport.InstrumentId];

	var group = new TradeCaptureReport.NoSidesGroup();
	group = (TradeCaptureReport.NoSidesGroup)ackReport.GetGroup(1, group);
	if (group.IsSetSide())
	{
		switch (group.Side.getValue())
		{
		 case Side.BUY:
		  tradeReport.Side = BuySellType.Buy;
		  break;
		  case Side.SELL:
		   tradeReport.Side = BuySellType.Sell;
		  break;
		}
	}
	tradeReport.OrderId = group.OrderID.getValue();
	tradeReport.ClientOrderId = group.ClOrdID.getValue();
}

You can download the code from Github here.