Trade Notification
All clients are notified of all trades as they occur, or for manual trades as they are entered.
This is a per-event notification, so partial trades will always prompt a Trade notification to be sent to the client. See also the TradeComplete notification for Partial or Strategy trade details.
Syntax
Trade <TradeID> <InstrumentID> <Side> <Price> <Quantity> <TradeDelta> <TradeDateTime> <Exchange> <Trader> <TradeAccountID> <TradeTheo> <TradeSource> <ContraParty> <ExchangeTradeIdentifier> [Label]
Example
Trade 1001017 3198072 B 71.2 1 1 05/05/2015-11:55:28 ICE AAA 2 71.2 ORDER_USER N/A 15011-220262-13004726
Trade Notification Structure
| Field | Value(s) | Repeating | Comment | Example Values |
|---|---|---|---|---|
| Header | Trade | No | Fixed header | Trade |
| TradeID | Long | No | The trade ID | 1001017 |
| InstrumentID | Long | No | The InstrumentID | 3198072 |
| Side | B,S | No | B - Buy, S - Sell | B |
| Price | Double | No | Trade price | 71.2 |
| Quantity | Integer | No | Trade quantity | 1 |
| TradeDelta | Integer | No | Trade delta | 1 |
| Time | String | No | Time of trade | 05/05/2015-11:55:28 |
| Exchange | String | No | Exchange for this trade | ICE |
| Trader | String | No | Trader | AAA |
| TradeAccount | Integer | No | Trader account identifier | 2 |
| TradeTheo | Double | No | Theo value when this trade occurred | 71.2 |
| TradeSource | String | No | Values include AUCTION, EXCHANGE, EXPIRATION, MANUAL, NONE, ORDER_AUTO_HEDGE, ORDER_USER, ORDER_TARGET, OUTCRY, QUOTE, TARGET, UNKNOWN | ORDER_USER |
| ContraParty | String | No | Contraparty of trade | N/A |
| ExchangeTradeIdentifier | String | No | 15011-220262-13004726 | |
| Label | String | No | Optional (Client-submitted string from TradeEntry Message) | ABJ |
Trade Complete Notification
The TradeComplete notification will contain the main trade notification plus all of the sub-trade notifications. A sub-trade contains simply the InstrumentID, side, quantity, and price for each leg of the trade. The information contained in the sub-trade part of this notification is essentially redundant in any non-strategy trade. For a trade involving a strategy, the subtrades have price and quantity information for each leg. These notifications are incremental; therefore, as the Trade notifications for each sub-trade is sent to the client, so will a TradeComplete notification be sent; however, each successive TradeComplete notification will contain details for all pertinent sub-trades (i.e., strategy legs) that have occurred up to that point.
Syntax
TradeComplete <TradeID> <OrderID> <InstrumentID> <Side> <Price> <Quantity> <TradeDelta> <TradeDateTime> <Exchange> <Trader> <TradeAccountID> <TradeTheo> <TradeSource> <ContraParty> <ExchangeTradeIdentifer> [Label] SubLegs <InstrumentIDSubLeg> <SideSubLeg> <QuantitySubLeg> <PriceSubLeg> <InstrumentIDSubLeg> <SideSubLeg> <QuantitySubLeg> <PriceSubLeg>
Example
TradeComplete 1001017 101165 3198072 B 71.2 1 1 05/05/2015-11:55:28 ICE AAA 2 71.2 ORDER_USER N/A 15011-220262-13004726
TradeComplete Notification Structure
| Field | Value(s) | Repeating | Comment | Example Values |
|---|---|---|---|---|
| Header | TradeComplete | No | Fixed header | TradeComplete |
| TradeID | Long | No | The trade ID | 1001017 |
| OrderID | Long | No | ID of order from which the trade originated | 101165 |
| InstrumentID | Long | No | The InstrumentID | 3198072 |
| Side | B,S | No | B - Buy, S - Sell | B |
| Price | Double | No | Trade price | 71.2 |
| Quantity | Integer | No | Trade quantity | 1 |
| TradeDelta | Integer | No | Trade delta | 1 |
| Time | String | No | Time of trade | 05/05/2015-11:55:28 |
| Exchange | String | No | Exchange for this trade | ICE |
| Trader | String | No | Trader account | AAA |
| TradeAccount | Integer | No | Trader account identifier | 2 |
| TradeTheo | Double | No | Theo value when this trade occurred | 71.2 |
| TradeSource | String | No | Values include AUCTION, EXCHANGE, EXPIRATION, MANUAL, NONE, ORDER_AUTO_HEDGE, ORDER_TARGET, ORDER_USER, OUTCRY, QUOTE, TARGET, UNKNOWN | ORDER_USER |
| OptionalData | String | No | Optional data | |
| Header | SubLegs | No | Fixed header | SubTrades |
| InstrumentIDSubLeg | Integer | Yes | InstrumentID of SubLeg | 3198072 |
| SideSubLeg | B, S | Yes | Side of traded SubLeg (B = Buy, S = Sell) | B |
| QuantitySubLeg | Integer | Yes | SubLeg quantity traded | 1 |
| PriceSubLeg | Double | Yes | SubLeg traded price | 71.2 |