EP055 – Trade Capture Extensions for Option Strategy Reporting

This proposal extends Trade Capture Report and Trade Capture Report Acknowledgement for privately negotiated block trades submitted as multileg option strategies. Because an option leg may not be unambiguously identified without its underlying, the proposal adds an UnderlyingLegInstrument structure within TrdInstrmtLegGrp. It also introduces a third-party or inter-dealer-broker workflow in which a two-sided trade is submitted and must be claimed by both parties before matching.

The proposal additionally supports daily adjustment rates for certain futures, adds a fee multiplier and rejection text, and introduces enumerations for yield-curve residual amounts, exchange-basis-facility trades, two-party reports for claim, privately negotiated quantities and daily or cumulative adjustment values for long and short positions. It also records several FIXML schema corrections affecting settlement-session fields, TradeReportRejectReason, LegSecuritySubType and TradeHandlingInstr.