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Page History: Collateral Report

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Page Revision: 2014/05/07 10:35

Application Reports

The Collateral Report message (MsgType=BA) responds to the Collateral Inquiry message by listing detailed information about account positions, account updates, account permissions and account balances. Reports are generated as the result of the following events,


Responding to the Request to List User Accounts

A Collateral Inquiry request for a list of accounts (MsgType=BB with Tag 263=0) returns Collateral Reports for each account the user has access to. The Account name is specified in the Account field (Tag 1). The corresponding AccountID is specified in the PartyID field (Tag 448). Basic balance information (e.g. StartCash=Tag 921) is also provided. This report is differentiated by its Quantity Type equal to Account-List (Tag 854=1).

Responding to Account Subscription Requests

A Collateral Inquiry request to subscribe to User Accounts (MsgType=BB with Tag 263=1) returns a combination of Collateral Reports and Execution Reports for orders, fills, positions, account details, account updates and account position updates. The Collateral Report message provides detailed information for the following categories:







Asynchronous Account Notifications

Unsolicited Collateral Reports may also be received as a result of various notifications sent to the connected user. The notifications cover 3 categories: Account specific notifications (Tag 854=5), Exchange related notifications (Tag 854=6) and Market Request for Quotes (Tag 854=7). These reports are solely for user information only. By default, they are turned on for all FIX Connections. However, they can be suppressed from the FIX Session message flow by using a Logon MsgType of CB (Tag 372=CB).


Message Dictionary

Tag	Field Name	Req'd	Comments
	Standard Header	Y	MsgType = BA
908	CollInquiryID	N	Unique identifier for the collateral inquiry that generated this report.
909	CollRptID	Y	Unique identifier for this report.
910	CollStatus	N	Status of Entity carried by this report.
911	TotNumReports	N	Total number of Collateral Reports associated with its Collateral Inquiry.
912	LastReportRequested	N	Indicator whether this report is the last in the series of TotNumReports (Tag 911).
1	Account	N	Account (code) for which this report pertains.
	Start Repeating Group
453	NoPartyIDs	N	Number of PartyIDs fields requested. Repeating Group.
448	PartyID	Y	PartyID as applicable to the Party Role (Tag 452):
452	PartyRole	N	Identifies the Type of PartyID. The valid values are:
			24 = Customer Account
			3 = Order Id
	End Repeating Group
	Start Repeating Group
136	NoMiscFees	N	Number of repeating groups of miscellaneous fees
137	MiscFeeAmt	Y	Miscellaneous fee value.
138	MiscFeeCurr	N	Currency of miscellaneous fee.
139	MiscFeeType	N	Indicates type of miscellaneous fee.
891	MiscFeeBasis	N	Defines the unit for a miscellaneous fee. The valid values are:
			0 = Absolute
			1 = Per Unit
			2 = Percentage
	End Repeating Group
58	Text	N	Free form Text.
899	MarginExcess	N	Description of value per the type of collateral report:
			Account_List Report: Total amount of cash that is available for the account to trade with.
			Account_Update_Report: Total margin requirement for all the positions of this account. As applied to all markets.
			Account_Position_Update Report: Total margin requirement for all the positions. As applied to this specific market.
900	TotalNetValue	N	Description of value per the type of collateral report:
			Account_List Report: P&L including locally calculated Unrealized P&L.
			Account_Update_Report: Realized P&L for all positions of this account. As applied to all markets.
			Account_Position_Update Report: Realized P&L for all positions of this account. As applied to this specific market.
901	CashOutstanding	N	Option Premium.
921	StartCash	N	Start of Day Balance.
53	Quantity	N	Total MP, Long MP and Short MP
854	QuantityType	N	Quantity Type indicator of Collateral Report. The valid values are:
			1 = Account List
			2 = Account Details
			3 = Account Update
			4 = Account Position Update
			5 = Account Notification
			6 = Exchange Notification
			7 = Market RFQ
48	SecurityID	N	Security identifier. This is the T4 Market ID.
55	Symbol	N	Symbol. This is the T4 Contract ID.
207	SecurityExchange	N	Exchange at which the security trades. This is the T4 Exchange ID.
167	SecurityType	N	Instrument type. Futures="FUT", Options="OPT", Stock="STK", Synthetic="SYN", Binary Option="BIN"
201	PutOrCall	N	For Options. Indicates whether an Option is for a Put or Call. Valid values are:
			0 = Put
			1 = Call
202	StrikePrice	N	For Options. Indicates the Strike Price of the Option.
75	TradeDate	N	Date on which the update took place.
3000	Buys	N	Number of lots Bought in the current trading day for this market. Net position in market is equal to Buys (Tag 3000) minus Sells (Tag 3001).
3001	Sells	N	Number of lots Sold in the current trading day for this market. Net position in market is equal to Buys (Tag 3000) minus Sells (Tag 3001).
3002	WorkingBuys	N	The total number of lots that are currently working to buy in this market.
3003	WorkingSells	N	The total number of lots that are currently working to sell in this market.
3004	OvernightUPL	N	Overnight Unrealized Profit and Loss
3005	AverageOpenTicks	N	The average Price (in ticks) of open positions in this market.
3006	OvernightPosition	N	The number of market lots opened as an overnight position for the current trading day.
3007	CurrencyRate	N	Currency Rate conversion factor to US dollars.
3008	TotalBuyFillTicks	N	The total price (in ticks) of all buy trades in this market.
3009	TotalSellFillTicks	N	The total price (in ticks) of all sell trades in this market.
3010	TotalOpenTicks	N	The total ticks*volume for the open position in this market.
3011	TotalOpenVolume	N	The total volume for the open position in this market. Used for Average Price calculations.
3100	AccountID	N	Unique Account Identifier
3101	AccountName	N	Account Name
3102	ActiveTimeStart	N	Time the account is allowed to start trading (if any)
3103	ActiveTimeStop	N	Time the account stops trading (if any)
3104	BlockExpiring	N	The number of hours (before last trade time) that this account should be blocked for.
3105	DayLossLimit	N	The maximum cash amount that this account may lose in a trading day excluding overnight upl.
3106	Deleted	N	Whether the account has been deleted or not. The valid values are:
			Y = Yes. The Account has been deleted.
			N = No. The Account has been not deleted.
3107	DisplayName	N	The account display name (used to prefix the account name).
3108	EditMargin	N	Whether child firm administrators can edit margin details.
3109	EMail	N	Email address for sending fill notifications to, if any.
3110	Enabled	N	Whether the account is enabled. Anyone with access and permission can enter orders into this account if enabled. The valid values are:
			Y = Yes. The Account has been enabled.
			N = No. The Account has been not enabled.
3111	Firm	N	Firm Name
3112	FirmID	N	Unique identifier of Firm
3113	LossLimit	N	The maximum cash amount that this account may lose in a trading day.
3114	LossLimitPC	N	The maximum percentage of the account balance that this account may lose in a trading day.
3115	MarginPC	N	The margin percentage rate applied to day trading orders.
3116	MaxAccountPosition	N	The largest size position that can be held across the account in total.
3117	MaxClipSize	N	The largest order quantity (per transaction) that can be entered by this account.
3118	MaxContractMargin	N	The maximum amount of contract margin allowed.
3119	MaxPosition	N	The largest size position that can be held in any market.
3120	MinBalance	N	The minimum balance that this account is allowed to have.
3121	Mode	N	Account Mode. The valid values are:
			M = By Market. Track Positions per individual market.
			C = By Contract. Track positions by contract (by outrights only).
			A = By Account. Track positions by contract (by outrights only) and apply MaxPosition limits to the entire account and not to a market.
3122	OrderRouting	N	Whether this account supports order routing:
			Y = Yes. The Account supports order routing.
			N = No. The Account does not support order routing.
3123	OvernightMarginPC	N	The margin percentage rate applied to overnight positions.
3124	ParentFirmID	N	The identifier of this firm's parent firm
3125	PLRollover	N	Whether the system will rollover Profit and Loss at the end of each trading day.
			Y = Yes.
			N = No.
3126	PositionRollover	N	Whether the system will rollover positions at the end of each trading day.
			Y = Yes.
			N = No.
3127	PreTradeDisabled	N	Whether or not pre-trade risk management is disabled or not.
			Y = Yes.
			N = No.
3128	RiskAlerts	N	Whether sending email risk alerts is enabled for this account.
			Y = Yes.
			N = No.
3131	StrategyMaxClipSize	N	The largest size order that can be entered by this account into Strategy markets.
3132	StrategyMaxPosition	N	The largest size position that can be held in any Strategy market.
3133	StrategyTotalPitTrades	N	The number of pit trades held in all Strategy markets.
3134	TotalPitTrades	N	The size of pit trades held in this market.
3135	UsePLForMargin	N	Whether Profit/Loss can be used for meeting margin requirements.
			Y = Yes.
			N = No.
3136	WarningThresholdLossLimit	N	The warning threshold % of Loss Limit for this account.
3137	WarningThresholdMargin	N	The warning threshold % of Margin for this account.
3138	WarningThresholdPL	N	The warning threshold % of Profit and Loss for this account.
3139	WideMarket	N	The dollar value for a bid/offer spread that determines if the market is wide.
12	Commission	N	Commision to use in the account.
13	CommType	N	Commision Type.
	Standard Trailer	Y

Sample Messages

Account Details

[FIXCOLLATERALINQUIRY] 34=64|49=T4Example|56=T4|52=20121218-15:19:15.357|909=ci-12/18/2012 9:19:15 AM|263=2|725=0|453=1|
448=9A65B2FE-1D27-4230-A942-F60983CFB33B|452=24|938=1|896=0|

[MsgSeqNum] 34 = 64
[SenderCompID] 49 = T4Example
[TargetCompID] 56 = T4
[SendingTime] 52 = 20121218-15:19:15.357
[CollInquiryID] 909 = ci-12/18/2012 9:19:15 AM
[SubscriptionRequestType] 263 = 2 (DISABLE_PREVIOUS_SNAPSHOT_PLUS_UPDATE_REQUEST)
[ResponseTransportType] 725 = 0 (IN_BAND)
[NoPartyIDs] 453 = 1
[PartyID] 448 = 9A65B2FE-1D27-4230-A942-F60983CFB33B
[PartyRole] 452 = 24 (CUSTOMER_ACCOUNT)
[NoCollInquiryQualifier] 938 = 1
[CollInquiryQualifier] 896 = 0 (CUSTOMER_ACCOUNTS)



[fixcollateralreport] 34=1463|49=T4|56=T4Example|50=T4FIX|52=20121218-15:19:17.806|908=cr-634914191578066280|909=ci-12/18/2012 8:54:31 AM
|910=3|911=1|912=Y|1=Account1|453=1|448=9A65B2FE-1D27-4230-A942-F60983CFB33B|136=1|137=-1|139=C|854=2
|3100=9A65B2FE-1D27-4230-A942-F60983CFB33B|3101=Account1|3104=-1|3105=0|3106=N|3108=N|3110=Y|3111=test
|3112=2884B215-4A4B-4E9D-A40E-F8212D713E13|3113=0|3114=0|3115=100|3116=-1|3117=10|3118=-1|3119=-1|3120=0|3121=C
|3122=N|3123=100|3124=2884B215-4A4B-4E9D-A40E-F8212D713E13|3125=Y|3126=Y|3127=Y|3128=Y|3131=1000
|3132=-1|3133=100|3134=100|3135=Y|3136=-1|3137=-1|3138=10|3139=-1|12=2.5|

[MsgSeqNum] 34 = 1463
[SenderCompID] 49 = T4
[TargetCompID] 56 = T4Example
[SenderSubID] 50 = T4FIX
[SendingTime] 52 = 20121218-15:19:17.806
[CollRptID] 908 = cr-634914191578066280
[CollInquiryID] 909 = ci-12/18/2012 8:54:31 AM
[CollStatus] 910 = 3 (ASSIGNED)
[TotNumReports] 911 = 1
[LastRptRequested] 912 = Y (YES)
[Account] 1 = Account1
[NoPartyIDs] 453 = 1
[PartyID] 448 = 9A65B2FE-1D27-4230-A942-F60983CFB33B
[NoMiscFees] 136 = 1
[MiscFeeAmt] 137 = -1
[MiscFeeType] 139 = C
[QtyType] 854 = 2 (ACCOUNT_DETAILS)
[AccountID] 3100 = 9A65B2FE-1D27-4230-A942-F60983CFB33B
[AccountName] 3101 = Account1
[BlockExpiring] 3104 = -1
[DayLossLimit] 3105 = 0
[Deleted] 3106 = N
[EditMargin] 3108 = N
[Enabled] 3110 = Y
[Firm] 3111 = test
[FirmID] 3112 = 2884B215-4A4B-4E9D-A40E-F8212D713E13
[LossLimit] 3113 = 0
[LossLimitPC] 3114 = 0
[MarginPC] 3115 = 100
[MaxAccountPosition] 3116 = -1
[MaxClipSize] 3117 = 10
[MaxContractMargin] 3118 = -1
[MaxPosition] 3119 = -1
[MinBalance] 3120 = 0
[Mode] 3121 = C
[OrderRouting] 3122 = N
[OvernightMarginPC] 3123 = 100
[ParentFirmID] 3124 = 2884B215-4A4B-4E9D-A40E-F8212D713E13
[PLRollover] 3125 = Y
[PositionRollover] 3126 = Y
[PreTradeDisabled] 3127 = Y
[RiskAlerts] 3128 = Y
[StrategyMaxClipSize] 3131 = 1000
[StrategyMaxPosition] 3132 = -1
[StrategyTotalPitTrades] 3133 = 100
[TotalPitTrades] 3134 = 100
[UsePLForMargin] 3135 = Y
[WarningThresholdLossLimit] 3136 = -1
[WarningThresholdMargin] 3137 = -1
[WarningThresholdPL] 3138 = 10
[WideMarket] 3139 = -1
[Commission] 12 = 2.5

Account Update

[fixcollateralreport] 34=1464|49=T4|56=T4Example|50=T4FIX|52=20121218-15:19:17.806|908=cr-634914191578066280
|909=ci-12/18/2012 8:54:31 AM|910=Unrestricted|911=1|912=Y|1=Account1|453=1|448=9A65B2FE-1D27-4230-A942-F60983CFB33B
|136=1|137=5|899=50935|900=0|901=0|921=-3501094.9228|53=15 13 -2|854=3|

[MsgSeqNum] 34 = 1464
[SenderCompID] 49 = T4
[TargetCompID] 56 = T4Example
[SenderSubID] 50 = T4FIX
[SendingTime] 52 = 20121218-15:19:17.806
[CollRptID] 908 = cr-634914191578066280
[CollInquiryID] 909 = ci-12/18/2012 8:54:31 AM
[CollStatus] 910 = Unrestricted
[TotNumReports] 911 = 1
[LastRptRequested] 912 = Y (YES)
[Account] 1 = Account1
[NoPartyIDs] 453 = 1
[PartyID] 448 = 9A65B2FE-1D27-4230-A942-F60983CFB33B
[NoMiscFees] 136 = 1
[MiscFeeAmt] 137 = 5
[MarginExcess] 899 = 50935
[TotalNetValue] 900 = 0
[CashOutstanding] 901 = 0
[StartCash] 921 = -3501094.9228
[Quantity] 53 = 15 13 -2
[QtyType] 854 = 3 (ACCOUNT_UPDATE)

Account Position Update

[fixcollateralreport] 34=1465|49=T4|56=T4Example|50=T4FIX|52=20121218-15:19:17.806|908=cr-634914191578066280
|909=ci-12/18/2012 8:54:31 AM|911=1|912=Y|1=Account1|453=1|448=9A65B2FE-1D27-4230-A942-F60983CFB33B|136=1|137=5|899=21875|900=0|901=0|53=5 5 0|854=4
|55=ES|48=CME_20121200_ESZ2|207=CME_Eq|200=201212|167=FUT|75=20121218|3000=4|3001=0|3002=1|3003=0|3004=287.5|3005=141575|3006=2
|3007=1|3008=566300|3009=0|3010=709150|3011=5|

[MsgSeqNum] 34 = 1465
[SenderCompID] 49 = T4
[TargetCompID] 56 = T4Example
[SenderSubID] 50 = T4FIX
[SendingTime] 52 = 20121218-15:19:17.806
[CollRptID] 908 = cr-634914191578066280
[CollInquiryID] 909 = ci-12/18/2012 8:54:31 AM
[TotNumReports] 911 = 1
[LastRptRequested] 912 = Y (YES)
[Account] 1 = Account1
[NoPartyIDs] 453 = 1
[PartyID] 448 = 9A65B2FE-1D27-4230-A942-F60983CFB33B
[NoMiscFees] 136 = 1
[MiscFeeAmt] 137 = 5
[MarginExcess] 899 = 21875
[TotalNetValue] 900 = 0
[CashOutstanding] 901 = 0
[Shares] 53 = 5 5 0
[QtyType] 854 = 4 (ACCOUNT_POSITION_UPDATE)
[Symbol] 55 = ES
[SecurityID] 48 = CME_20121200_ESZ2
[SecurityExchange] 207 = CME_Eq
[MaturityMonthYear] 200 = 201212
[SecurityType] 167 = FUT (FUTURE)
[TradeDate] 75 = 20121218
[Buys] 3000 = 4
[Sells] 3001 = 0
[WorkingBuys] 3002 = 1
[WorkingSells] 3003 = 0
[OvernightUPL] 3004 = 287.5
[AverageOpenTicks] 3005 = 141575
[OvernightPosition] 3006 = 2
[CurrencyRate] 3007 = 1
[TotalBuyFillTicks] 3008 = 566300
[TotalSellFillTicks] 3009 = 0
[TotalOpenTicks] 3010 = 709150
[TotalOpenVolume] 3011 = 5

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