I am sending a Trade capture report request with 35 = AD. I am getting an acknowledge message back with 35=AQ(TradeCaptureReportRequestAck) with 750 =0 and another acknowledge message 35=AQ with 750=1. However I am not getting any 35=AE(TradeCaptureReport) messages even though there are trades booked on ICE. I am using quickfixj.
You need to read the ICE FIX Trade Capture interface documentation.
If you don't see any AE messages in your message log, then they're not being sent to you. If you get an AQ/750=0 followed by a AQ/750=1 with no AEs in between, that means you've successfully received a TCR set of size 0.
I am quite familiar with the ICE FIX Trade Capture API. Their documentation is pretty good; please review it to make sure you understand how requests are honored.