Trade Notifications

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