This message is sent by the CQG gateway in response to a Request for Position (MsgType=UAN) message with PosReqType = 0 (FCM-confirmed positions). Multiple position reports can be sent for the same symbol.
Note: This message does not contain ClOrdID field, but Current Day Fills report does. On the demo environment, the CQG gateway simulates FCM statements and generates one position per contract.
On the production environment, we do not control how the FCM presents and sends position statements to CQG. Some FCMs aggregate positions by contracts, and some do not. If the FCM does not aggregate positions by contracts, those positions are reported in separate position messages “as is” because aggregation is an ambiguous operation and cannot be done on the CQG side.
The following example demonstrates this ambiguity: Consider three filled orders to buy 1 @ 100, buy 2 @ 105, and sell 1 @ 104 for the same contract. Matching the first with the last results in a position long 2 @ 105. Joining the first two fills as buy 3 @ average price 103.33 and matching it with the sell order results in a position long 2 @ 103.33. Matching one of the two fills @ 105 with the sell results in a position long 2 @ 102.5.
|
Tag |
Name |
Format |
Req |
Comments |
|
|
Standard Header |
|
Y |
MsgType = UAP |
|
1 |
Account |
String(256) |
Y |
Account ID (managed by the CQG gateway). |
|
6 |
AvgPx |
Price |
Y |
Average position open price. |
|
15 |
Currency |
String(64) |
C |
Currency code associated with the price. Sent only if tag 150 (ExecType) is 1 (Partial Fill) or 2 (Fill) on reports for single securities. For multi-leg securities, tag 50556 (LegCurrency) is populated instead. Currency format is ISO-4217-based currency code, note that cryptos use codes that are ISO-4217-style, though usually not actual ISO codes and can be longer than 3 chars. |
|
30 |
LastMkt |
String(4) |
N |
Market of execution for last fill, or an indication of the market where an order was routed. Market identification codes (ISO 10383) are used as exchange identifiers. |
|
22 |
IDSource |
String |
N |
Reserved for contract identification used by custom FIX Connect vendor contract symbol mappings. It should not appear for FIX vendors that do not have it explicitly configured. |
|
32 |
LastShares |
Qty |
Y |
Quantity of the open position. |
|
48 |
SecurityID |
String |
N |
Reserved for contract identification used by custom FIX Connect vendor contract symbol mappings. It should not appear for FIX vendors that do not have it explicitly configured. |
|
54 |
Side |
Char |
Y |
Indicates the side of the order. Valid values: 1 = Long 2 = Short 5 = Sell Short 6 = Sell Short Exempt |
|
55 |
Symbol |
String(64) |
Y |
Qualifier used to indicate the trading instrument of the CQG system for which orders are returned. |
|
65 |
SymbolSfx |
String |
N |
Reserved for contract identification used by custom FIX Connect vendor contract symbol mappings. It should not appear for FIX vendors that do not have it explicitly configured. |
|
167 |
SecurityType |
String |
N |
Indicates type of security. Reserved for contract identification used by custom FIX Connect vendor contract symbol mappings. It should not appear for FIX vendors that do not have it explicitly configured. |
|
200 |
MaturityMonthYear |
MonthYear |
N |
Month and year of the maturity. Format: YYYYMM. Reserved for contract identification used by custom FIX Connect vendor contract symbol mappings. It should not appear for FIX vendors that do not have it explicitly configured. For FIX message consistency, CQG defines maturity as contract last trading date. |
|
201 |
PutOrCall |
Int |
N |
Indicates whether an option is a put or call. Valid values: 0 = Put 1 = Call Reserved for contract identification used by custom FIX Connect vendor contract symbol mappings. It should not appear for FIX vendors that do not have it explicitly configured. |
|
202 |
StrikePrice |
Price |
N |
Option strike price. Reserved for contract identification used by custom FIX Connect vendor contract symbol mappings. It should not appear for FIX vendors that do not have it explicitly configured. |
|
205 |
MaturityDay |
Int |
N |
Day of the maturity. Reserved for contract identification used by custom FIX Connect vendor contract symbol mappings. It should not appear for FIX vendors that do not have it explicitly configured. For FIX message consistency, CQG defines maturity as contract last trading date. |
|
207 |
SecurityExchange |
String |
N |
Market used to help identify a security. Reserved for contract identification used by custom FIX Connect vendor contract symbol mappings. It should not appear for FIX vendors that do not have it explicitly configured. |
|
223 |
CouponRate |
Price |
N |
For fixed income. Coupon rate of the bond. Reserved for contract identification used by custom FIX Connect vendor contract symbol mappings. It should not appear for FIX vendors that do not have it explicitly configured. |
|
325 |
UnsolicitedIndicator |
Boolean |
Y |
Set to Y if message is sent as a result of a subscription request or out of band configuration as opposed to a Position Request (UAN). |
|
541 |
MaturityDate |
LocalMktDate |
N |
Date of maturity. Reserved for contract identification used by custom FIX Connect vendor contract symbol mappings. It should not appear for FIX vendors that do not have it explicitly configured. For FIX message consistency, CQG defines maturity as contract last trading date. |
|
20119 |
ExchangeKeyID |
String(10) |
N |
Unique identifier, assigned by the CQG gateway, of exchange. |
|
50461 |
CFICode |
String |
N |
Indicates the type of security as per ISO 10962 standard. For futures: FXXXXX For options: OPXXXX, OCXXXX For spreads: MXXXXX For other instruments: XXXXXX Reserved for contract identification used by custom FIX Connect vendor contract symbol mappings. It should not appear for FIX vendors that do not have it explicitly configured. |
|
50762 |
SecuritySubType |
String |
N |
Sub-type qualification/identification of the SecurityType(167). For SecurityType(167) = "MLEG" CQG can provide the name of the futures strategy, such as Calendar, Crack, Butterfly, etc. Reserved for contract identification used by custom FIX Connect vendor contract symbol mappings. It should not appear for FIX vendors that do not have it explicitly configured. |
|
20010 |
AccountName |
String |
N |
Symbolic name of account. |
|
20014 |
FCMAccountNumber |
String |
N |
Unique identifier of the account of the FCM. |
|
20017 |
MarketValue |
Amt |
N |
Market value of options and fixed income. |
|
20018 |
OpenTradeEquity |
Amt |
C |
Open Trade Equity for Futures and futures-style options. Can be absent if FCM does not provide it within its statement file. |
|
20021 |
UnrealizedPL |
Amt |
C |
Unrealized P&L for options and fixed income. |
|
20023 |
StatementDate |
LocalMktDate |
Y |
FCM statement date. |
|
20062 |
SalesSeriesNumber |
String(16) |
N |
Reserved for account sales series identification used by custom FIX Connect vendor. It should not appear for FIX vendors that do not have it explicitly configured. |
|
20154 |
SpeculationType |
Char |
C |
Specifies a speculation type for an order. Valid values: S = Speculation H = Hedge A = Arbitrage |
|
50715 |
ClearingBusinessDate |
LocalMktDate |
Y |
Clearing business date. |
|
50724 |
PosReqType |
Int |
Y |
Identifier used to determine type of Position Reports to be sent. Valid values: 0 = Position (FCM-confirmed) 1 = Trade (current day fills) |
|
50710 |
PosReqID |
String(64) |
Y |
If tag 325 (UnsolicitedIndicator) is either N or Y, PosReqID will be used from Request for Position (UAN) message. |
|
50730 |
SettlPrice |
Price |
Y |
Settlement price as per FCM statement. |
Example: Position Report
8=FIX.4.2 | 9=143 | 35=UAP | 1=403 | 32=8.00000000 | 54=1 | 55=F.US.DDU06 | 325=N | 50710=s25 | 50724=0 | 15=USD | 20017=1250.00000000 | 20021=2062.50000000 | 20018=800.00000000 | 6=2220.00000000 | 50730=789.00000000 | 50715=20080718-00:00:00.000 | 20023=20080720-00:00:00.000 | 10=131 |