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Collateral Report
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
- Account balances
Reports are generated as a result of:
- Listing Account Details for a connected user
- Account Subscription Requests
- Account Updates
- Account Position Updates
- Account and Exchange notifications
- User/Trader Information Requests
Responding to the Request to List User Accounts
A Collateral Inquiry (`MsgType=BB`, `Tag 263=0`) returns Collateral Reports for each account the user has access to:
- Account name in `Account` (`Tag 1`)
- Account ID in `PartyID` (`Tag 448`)
- Basic balance info (`StartCash` = `Tag 921`)
Differentiated by Quantity Type = Account-List (`Tag 854=1`).
Responding to Account Subscription Requests
A subscription request (`MsgType=BB`, `Tag 263=1`) returns Collateral Reports and Execution Reports for:
- Orders, fills, positions
- Account details
- Account updates
- Account position updates
Collateral Report Categories:
1. Account Details
- Privileges, permissions, configurations
- Quantity Type = Account-Details (`Tag 854=2`)
2. Account Updates
- Instantaneous balances: Start Cash, Margin Requirements, etc.
- Quantity Type = Account-Update (`Tag 854=3`)
- Can be received asynchronously without an inquiry
- Cash available = `StartCash` (`921`) + `Realized P&L` (`900`) - `Margin Requirements` (`899`) + `Premium` (`901`)
3. Account Position Updates
- Open positions, working orders, fills by market
- Includes `Buys` (`3002`), `Sells` (`3003`), `Short/Long` positions (`53`), `Open Volume` (`3011`)
- Quantity Type = Account-Position-Update (`Tag 854=4`)
- Can be received asynchronously
Asynchronous Account Notifications
Unsolicited Collateral Reports may be received for:
- Account notifications (`Tag 854=5`)
- Exchange notifications (`Tag 854=6`)
- Market RFQ (`Tag 854=7`)
Enabled by default for all FIX connections. Can be suppressed with Logon `MsgType=CB` (`Tag 372=CB`).
Message Dictionary
| Tag | Field Name | Req'd | Comments |
|---|---|---|---|
| Standard Header | Y | MsgType = BA | |
| 909 | CollInquiryID | N | ID for the collateral inquiry that generated this report |
| 908 | CollRptID | Y | Unique identifier for this report |
| 910 | CollStatus | N | Status of the entity carried by this report |
| 911 | TotNumReports | N | Total number of reports in this inquiry |
| 912 | LastReportRequested | N | Indicates if this is the last in the series |
| 1 | Account | N | Account code |
| Start Repeating Group | PartyIDs | ||
| 453 | NoPartyIDs | N | Number of PartyIDs |
| 448 | PartyID | Y | Depends on PartyRole |
| 452 | PartyRole | N | 22=User Exchange, 24=Customer Account, 3=Order Id |
| End Repeating Group | |||
| Start Repeating Group | Miscellaneous Fees | ||
| 136 | NoMiscFees | N | Number of misc fee entries |
| 137 | MiscFeeAmt | Y | Fee amount |
| 138 | MiscFeeCurr | N | Fee currency |
| 139 | MiscFeeType | N | C=Customer, M=Member, N=None |
| 891 | MiscFeeBasis | N | 0=Absolute, 1=Per Unit, 2=Percentage |
| End Repeating Group | |||
| 58 | Text | N | Free text |
| 899 | MarginExcess | N | Amount meaning depends on report type |
| 900 | TotalNetValue | N | Value meaning depends on report type |
| 901 | CashOutstanding | N | Option premium |
| 921 | StartCash | N | Start of day balance |
| 53 | Quantity | N | Total MP, Long MP, Short MP |
| 854 | QuantityType | N | 1=Account List, 2=Account Details, 3=Account Update, 4=Account Position Update, 5=Account Notification, 6=Exchange Notification, 7=Market RFQ, 8=User/Trader Info |
| 48 | SecurityID | N | T4 Market ID |
| 55 | Symbol | N | T4 Contract ID |
| 207 | SecurityExchange | N | T4 Exchange ID |
| 167 | SecurityType | N | FUT=Futures, OPT=Options, STK=Stock, SYN=Synthetic, BIN=Binary Option |
| 201 | PutOrCall | N | 0=Put, 1=Call |
| 202 | StrikePrice | N | Option strike price |
| 75 | TradeDate | N | Update date |
| 3000 | Buys | N | Lots bought today |
| 3001 | Sells | N | Lots sold today |
| 3002 | WorkingBuys | N | Working buy orders |
| 3003 | WorkingSells | N | Working sell orders |
| 3004 | OvernightUPL | N | Overnight unrealized P&L |
| 3005 | AverageOpenTicks | N | Avg price (ticks) of open positions |
| 3006 | OvernightPosition | N | Overnight market lots |
| 3007 | CurrencyRate | N | Conversion to USD |
| 3008 | TotalBuyFillTicks | N | Total price (ticks) of buys |
| 3009 | TotalSellFillTicks | N | Total price (ticks) of sells |
| 3010 | TotalOpenTicks | N | Total ticks*volume open positions |
| 3011 | TotalOpenVolume | N | Open position volume |
| 3100 | AccountID | N | Unique account ID |
| 3101 | AccountName | N | Account name |
| 3102 | ActiveTimeStart | N | Trading start time |
| 3103 | ActiveTimeStop | N | Trading stop time |
| 3104 | BlockExpiring | N | Hours before last trade time to block |
| 3105 | DayLossLimit | N | Max daily loss |
| 3106 | Deleted | N | Y=Deleted, N=Not deleted |
| 3107 | DisplayName | N | Display name prefix |
| 3108 | EditMargin | N | Can child firm admins edit margin? |
| 3109 | N | Fill notification email | |
| 3110 | Enabled | N | Y=Enabled, N=Disabled |
| 3111 | Firm | N | Firm name |
| 3112 | FirmID | N | Firm unique ID |
| 3113 | LossLimit | N | Max daily cash loss |
| 3114 | LossLimitPC | N | Max daily loss % |
| 3115 | MarginPC | N | Margin % rate for day trading |
| 3116 | MaxAccountPosition | N | Max total position |
| 3117 | MaxClipSize | N | Max per-order quantity |
| 3118 | MaxContractMargin | N | Max contract margin |
| 3119 | MaxPosition | N | Max position in a single market |
| 3120 | MinBalance | N | Minimum balance |
| 3121 | Mode | N | M=By Market, C=By Contract, A=By Account |
| 3122 | OrderRouting | N | Y=Yes, N=No |
| 3123 | OvernightMarginPC | N | Margin % for overnight positions |
| 3124 | ParentFirmID | N | Parent firm ID |
| 3125 | PLRollover | N | Y=Yes, N=No |
| 3126 | PositionRollover | N | Y=Yes, N=No |
| 3127 | PreTradeDisabled | N | Y=Yes, N=No |
| 3128 | RiskAlerts | N | Y=Yes, N=No |
| 3131 | StrategyMaxClipSize | N | Max per-order in Strategy markets |
| 3132 | StrategyMaxPosition | N | Max position in Strategy markets |
| 3133 | StrategyTotalPitTrades | N | Pit trades in all Strategy markets |
| 3134 | TotalPitTrades | N | Pit trades in this market |
| 3135 | UsePLForMargin | N | Y=Yes, N=No |
| 3136 | WarningThresholdLossLimit | N | Warning threshold % of Loss Limit |
| 3137 | WarningThresholdMargin | N | Warning threshold % of Margin |
| 3138 | WarningThresholdPL | N | Warning threshold % of P&L |
| 3139 | WideMarket | N | Bid/offer spread $ threshold |
| 3140 | UserID | N | Logged-in user ID |
| 3141 | UsrName | N | Logged-in user name |
| 3142 | UserFirm | N | Firm of logged-in user |
| 3143 | UserParentFirm | N | Parent firm of logged-in user |
| 3144 | UserIsMaster | N | True=Master User, False=Not Master |
| 3145 | UserRoles | N | Roles (separated by “.”) |
| 3146 | UserType | N | ATS, ATSDisplay, Desk, Manual, NonProfessional, Professional, SubVendor, Wallboard |
| 12 | Commission | N | Commission amount |
| 13 | CommType | N | Commission type |
| Standard Trailer | Y |