RCV - Receive Quantity CAA - Corporate Action Adjustment UNEX - Unexercised Quantity DLT - Delta Position Limit ITD - Intraday Type of Position amount Valid values: FMTM = Final Mark to Market Amount IMTM = Incremental Mark to Market Amount TVAR = Trade Variation Amount SMTM = Start of Day Mark to Market Amount PREM = Premium Amount CRES = Cash Residual Amount CASH = Cash Amount Corporate Event VADJ = Value Adjusted Amount TMRG = Total Margin Requirement Amount NAV = Net Asset Value Amount ES = Expected Shortfall Amount AMRG = Additional Margin Amount SMRG = Super Margin Amount STAO = Stress Test Add On Amount Allows the Positions Report to be used for: reporting deliver and receive settlement activity of exercised and assigned positions; and transmission of a backout qualifer for a position report 4 - Settlement Activity 5 - Backout Message 6 - Delta Position 8 - LOPR Type of Trade Report 8=Defaulted 9=Invalid CMTA 10=Pended D=Composite Underlying Price E= P=Early Prices Distinguish the type of Trades and transfers submitted to OCC: Valid values: 0=CMTA 1=Internal Transfer 2=External Transfer 3=Reject For Submitting Side 4=Advisory For Contra Side 5 = Offset due to an allocation 6 = Onset due to an allocation 7 = Differential Spread 8 = Implied Spread Leg 9 = Exercise 10 = Assignment Specfic to the Underlying Instrument. Percent of the Strike Price that this underlying represents. Necessary for derivatives that deliver into more than one underlying instrument. Specific to the Underlying Instrument. Cash amount associated with the underlying component. Necessary for derivatives that deliver into more than one underlying instrument and one of the underlyings is a fixed cash value Specific to the Underlying Instrument. Used for derivatives that deliver into cash underlying. Indicates that the cash is either fixed (FIXED)or diference(DIFF) value (difference between strike and current underlying price) Specific to the Underlying Instrument. Amount to pay in order to receive the underlying instrument Specific to the Underlying Instrument. Amount to collect in order to deliver the underlying instrument Date the underlying instrument will settle. Used for derivatives that deliver into more than one underlying instrument. Settlement dates can vary across underlying instruments Settlement status of the underlying instrument. Used for derivatives that deliver into more than one underlying instrument. Settlement can be delayed for an underlying instrument Expiration Quantity Types: Valid values: 1=Auto Excercise 2=Non- Auto Exercise 3=Final Will Be Excercised 4=Contrary Intention 5=Difference Expiration Qty Types. Enumerations to include Auto Excercise Used for derivatives. Denotes the current state of the instrument Used for derivatives. Denotes the current state of the instrument Capped Value for an option instrument Position limit for a given exchange-traded product Position limit in the near-term for a given exchange-traded product Minimum priceincrease for a given exchange-traded instrument Date teh instrument will become inacctive. Specific to the Underlying Instrument. Indicates order settlement period for the underlying deliverable component The date when a distribution of interest is deducted from an underlying instrument The amount of a distribution of interest(dividend) on the underlying instrument Unique identifier for this contrary intention report Indicates if the contrary intention was received after the exchange imposed cutoff time Source of the contrary intention Identifier for the Security Definition Update message in a bulk transfer environment (No Request/Response) Necessary to identify the update action. Add (N), Modify (M), Delete (D) Necessary to identify the update action. Date the Instrument began trading at the Security Exchange Necessary to identify the clearing corporation for an Instrument. OCC (1), ICC (2), CME (3), NYCC (4), BOTCC (5), KCBTCC (6) Necessary to identify the clearing corporation for an Instrument. Reference identifier Date Associated to the quantity that is being reported for the position CME Specific Order Type Code Currency in which the position Amount is denominated Rounded Price As of trade indicator Total number of Mesages Sent Market used to help identify a security Valid values: See Appendix 6 C Exchange traded options can be dually traded and therefore there is a need for a component block that can repeat for each Exchange listing. Amount to pay in order to receive the underlying instrument Amount to collect in order to deliver the underlying instrument Date the underlying instrument will settle. Used for derivatives that deliver into more than one underlying instrument Indicates order settlement period for the underlying instrument Settlement status of the underlying instrument. Used for derivatives that deliver into more than one underlying instrument 11 = EFR - Exchange for Risk 12 = EFS - Exchange for Swap 13 = Exchange of NYMEX Futures for e-miNY Futures 14 = Exchange of Options for Options 15 = Trading at Settlement 16 = All or None 17 = Futures Large Order Execution 18 = Clearing Transactions 19 = EFF (Exchange for futures for futures) 20 = Options Interim Futures trade 21 = Options Cabinet Trade 22 = Generic Privately Negotiated Trade 23 = Substitution of Futures for Forward) 9 - Accept 10 - Reject 11 - AcceptPending 12 - Incomplete group 13 - Complete Group 14 - Reversal Pending 6 - Reversal Reference identifier The Price Format the firm/Clrg Org uses to send the Price. The format can be TCC or Decimal format. By default decimal format will be used Copy to /RptSide Used to indicate the quantity on one of a multi-sided Trade Capture Report Copy to /RptSide Used to indicate the Report ID on one side of a multi-sided Trade Capture Report Copy to /RptSide Used to indicate the Fill Station Code on one side of a multi-sided Trade Capture Report Copy to /RptSide Used to indicate the Error Reason Code Copy to /RptSide on one side of a multi-sided Trade Capture Report MessageEventSource used to identify the event or source which gave rise to a message. “MQM” (originated at Firm Back Office) “Clear” (originated in Clearing System) “Reg” (static data generated via Register request) 2= Uint of Measure/Time Units Unit of Measure, used to indicate the size of the underlying commodity on which the contract is based. For example, 25000 lbs of lean cattle, 1000 barrels of crude oil, 1000 bushels of corn et. Time Unit Term is used to indicate the time unit of the contract, days, weeks, months Unit of Measure, used to indicate the size of the underlying commodity on which the contract is based. For example, 25000 lbs of lean cattle, 1000 barrels of crude oil, 1000 bushels of corn et. Time Unit Term is used to indicate the time unit of the contract, days, weeks, months Unit of Measure, used to indicate the size of the underlying commodity on which the contract is based. For example, 25000 lbs of lean cattle, 1000 barrels of crude oil, 1000 bushels of corn et. Time Unit Term is used to indicate the time unit of the contract, days, weeks, months 40 = Already used (Chinese requirement) 41 = Contra Position Account 42 = Contra Exchange 43 = Internal Carry Account 44 = Order Entry Operator ID 45 = Secondary Customer Account 46= Foreign Firm 47 = 48 = 49 = Asset Manager 50 = Pledgor Account 51 = Pledgee Account 75 = Location ID 78 = CRD Number 82 = Central Registration Depository 87 = In Concert Group 88 = In Concert Controlling Entity 89 = LOPR An additional Allocation ID that can be used by the intermediary. Unique identifier of the Trade Leg of the trade capture report The Rounded Price Describes the specific type or purpose of the Allocation Block Valid values: 1 = Sub Allocate Capacity of customer placing the order = Member trading for their own account 2 = Clearing Firm trading for its proprietary account 3 = Member trading for another member 4 = All other Primarily used by futures exchanges to indicate the CTICode customer type indicator as required by the US CFTC Commodity Futures Trading Commission 6 - Allocation Pending 7 - Reversed 2 = Request to Intermediary 9 = Accept 10 = Reject 11 = Accept Pending 12 = Complete 14 = Reverse Pending Further qualification to the trade type 11= ACATS Transfer J = Hold K = Release Traded Regulatory timestamp value Use to store time information required by government regulators or self regulatory organizations such as an exchange or clearing house Traded Regulatory timestamp type Valid values: = Execution Time 2 = Time In 3 = Time Out 4 = Broker Receipt 5 = Broker Execution Note of Applicability: values are required in US futures markets by the CFTC to support computerized trade reconstruction see Volume : Glossary for value definitions Text which identifies the origin i e system which was used to generate the time stamp for the Traded Regulatory timestamp value The unique ID assigned to a trade once it enters the Clearing System. This will become the primary ID by which the Clearing Organization and Firm refer to the Trade entity. This is a Custom attribute for CME. Identifies CME's error code. This will be used by all the messages to communicate the error to the firms. The ID assigned to a trade by the Firm to track a trade within the Firm back office system. This ID can be assigned either prior to being submitted for Clearing or after being received from the Clearing System. Used to carry an internal Clearing System assigned ID which may or may not be reported to the firm Used to carry an internal back office assigned ID which may or may not be reported to the Clearing System. 13 = Product ticks in 1/2 14 = Product ticks in 1/4 15 = Product ticks in 1/8 16 = Product ticks in 1/16 17 = Product ticks in 1/32 18 = Product ticks in 1/64 19 = Product ticks in 1/128 Denotes whether or not a product is a settle-on-open issue Valid values: Y-Yes N-No 5 - Activation 6 - Inactivation 27 - 31 - Location 34 - Account Address City 35 - Account Address State 36 - Account Address Zip Code 37 - Account Address Street Custom CME attribute: The decimalized fractional value of the Trade Price of this last fill Custom CME attribute: The decimalized fractional value of the Settlement Price Custom CME attribute: The decimalized fractional value of the Settlement Price Custom CME attribute: The decimalized fractional value of the Underlying Settlement Price Unique identifier of adjusted positions report Settlement Method for products that deliver into more than 1 component whose settlement method are different SetMeth="CCC" means Correspondent Clearing Corp (instructions are being sent to NSCC) SetMeth="CADF" means cash difference, as all indexes are settled and some equity products SetMeth="CAFX" means cash fixed, as some equity products have a cash in lieu piece SetMeth="BTOB" means broker-to-broker SetMeth="CRFX" means Cross Currency SetMeth="FRFX" means Foreign Currency SetMeth="POSN" means Positional SetMeth="CFR" means fixed cash amount from settlement of binary option. SetMeth="POST" means Positional SetMeth="RNGE" means Range This is the # of shares adjusted for upcoming corporate action. Only used for securities which are optionable and are between ex-date and settlement date (4 days). Foreign exchange rate used to compute CurrentValue (market value). Specifies whether the FxRate should be multiplied or divided to derive CurrentValue, (or D = Divided) D=Divided M=Multiply Collateral Application Type, conveys how the collateral should be/has been applied. Values Include: 0 = Marginable basis / Specific Deposit 1 = Valued basis / General / Valued Security K = L= Bank Reference K = L= Bank Reference K = L=Bank Reference K = L= Bank Reference 3 = Restricted (new enum.) Indicates whether the resulting position after a trade should be an opening position or closing position Used for omnibus accounting where accounts are held on a gross basis instead of being netted together Valid Values: O = Open C = Close R = Rolled F = FIFO Free format text string related to exchange Note: this field does not have a specified maximum length Percentage of adjusted corporate action quantity to be applied to each new position Options Regulatory Fee Indicator Unique identifier of margin requirement report Type of MarginRequirement Report Valid values: 0 = Summary Margin Requirement Indicates type of Margin Requirement e g 22 = Total Margin Requirement Code to Side Clearing Trade price type Valid values: 0=TradeClearingAtExecutionPrice 1=TradeClearingAtAlternateClearingPrice 0 = TradeClearingAtExecutionPrice 1 = TradeClearingAtAlternateClearingPrice Side Clearing Trade Price MktID