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route=ARCA,ARCAPOP;penny=true;liq=A => 0.003
The right-hand side specifies the fee to assess if the conditions match. Positive fees are charges, negative fees are rebates. The rule above charges $3 / 1000 shares.
Leaving the condition blank will match every trade (useful as the last rule to provide a catch-all). For example, changing the example above as follows will charge all remaining executions $5 / 1000:
route=ARCA,ARCA=,ARCAPOP;penny=true;liq=A => 0.003
=> 0.005 Conditions
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Name | Description | Example |
|---|---|---|
afterHours | Execution occurred on or after 4pm EST | afterHours=true |
contra | MPID / identifier of the counterparty. | contra=PFSI |
ccy | An ISO 4217 (3-character) currency of the trade. (v1.5.97.13 or greater) | ccy=EUR |
exch | Listing exchange for the security being traded (see list of exchange codes). | exch=NYQ |
| execBroker | MPID / identifier of the executing broker. | execBroker=PFSI |
| internalLiq | Indicates the actual liquidity flag when an order is routed via an order desk or another intermediary (when available). Note: This value is case-sensitive. | internalLiq=A |
| internalRoute | Indicates the actual destination when an order is routed via an order desk or another intermediary (when available). | internalRoute=EDGA |
liq | Liquidity flag (see flags for various destinations). Note: This value is case-sensitive. | liq=A |
lot | Considers quantity of trade: (ODD = if quantity < 100 on an execution) | lot=odd |
| mult | The multiplier (sometimes called "contract size" for options and "value multiplier" for futures) associated with the traded instrument and used when computing profit and loss (v1.5.97.14.13 or greater) | mult=100 |
penny | Set to true if trade is sub-dollar | penny=true |
price | Execution price. | price>2 |
qty | Quantity of the execution. (v1.5.92.18 or greater) | qty=100 |
route | Exchange, Route or ECN. Different platforms send can send different values for the same venue (e.g. Sterling: NSDQ vs Laser: ISLD). Furthermore, some platforms can indicate multiple values for the same destination (e.g. Sterling: ARCA, ARCA= to mean ARCA). | route=ARCA |
side | Buy or sell | side=buy |
source | Where PropReports received the trade from (see list of source ids). | source=1 |
subType | For equities, this will be either etf or blank | subType=etf |
symbol | Ticker symbol of the security being traded | symbol=IBM |
tape | Trade reporting facility indicator (e.g. A, B, or C). See Tape Designations. | tape=A |
type | Type of instrument being traded (equity, option, future, index, fund, fx, bond) | type=option |
underlyingSymbol | For options, the ticker symbol of the underlying security or index. | underlyingSymbol=YHOO |
underlyingType | For options, the type of the underlying security (equity, future, index) | underlyingType=index |
underlyingSubType | For options, the sub type of the underlying equity (etf or blank) | underlyingSubType=etf |
AND-ing conditions
Sometimes you may require ALL of a multiple set of conditions, and you can do so with the use of the semi-colon character ";". For example, let's say you want to select trades where both the destination is set to EDGA and the contra is set to BATS.
route=EDGA;contra=BATS => 0.003OR-ing conditions
Sometimes you may want to match more than one set of conditions, and you can do so with the use of the comma character ",". For example, let's say you want to select trades where either the destination or contra are set to ARCA. Since version 1.5.92.18 you can specify a rule as follows (please note the use of parenthesis):
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