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=>) specifies the conditions to match. The rule above match any execution where route is ARCA or ARCAPOP and the liquidity flag is A and the price was less than $1. (The semi-colon character is used as an AND qualifier.)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 |
Wildcards / Partial Matches
For = and != operators you can specify a partial value to match by using the wildcard symbol: % (PropReports version 1.5.97.14.74 and greater).
This could be useful for capturing routes or symbols with a common prefix without having to list them all. For example, route=ARCA% will match any execution where route begins with ARCA (e.g. ARCA and ARCAPOP). Likewise, symbol=/KC% will match all symbols that start with /KC (e.g. /KCH4 and /KCK5) .
You can also specify the wildcard at the end of the text to match. For example symbol=%.TO will match any symbol with a suffix of .TO.
Please be aware that entering a % anywhere else in the text or both at the beginning and the end will match the percent sign. This means route=A%B will only match the exact route A%B and route=%AB% will only match the exact route %AB%.
In the very rare case you need to match text that actually ends or begins with a percent sign you can escape it by prepending a '\' For example route=XYZ\% will match the exact route and route=\%XYZ will match the route %XYZ.
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.
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