Liquidity Flags
The liquidity code values are passed unmodified from the execution platform which in turn usually passes them from the exchange. As a result, the meaning of a specific code varies depending on the destination (and codes are added and removed all the time!).
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This information is compiled to the best of our ability from various publicly available sources. Barshay Software, Inc. makes no warranties, guarantees or representations as to the accuracy of the information contained herein. |
DirectEdge Flags (source)
Flag | Description |
|---|---|
A | Routed to Nasdaq, adds liquidity |
B | Add Liquidity to our Book (Tape B) |
C | Routed to Nasdaq BX (Tapes A & C), removes liquidity |
D | Routed or Re-Routed to NYSE, removes liquidity |
E | Customer Internalization |
F | Routed to NYSE, adds liquidity |
G | Routed to ARCA (Tapes A & C), removes liquidity |
H | Hidden Orders |
I | Routed to EDGA (for EDGX orders) or to EDGX (for EDGA orders) |
J | Routed to Nasdaq, removes liquidity |
K | Routed to BATS Using ROBA Order Type (EDGA + BATS) |
L | Routed to Nasdaq using INET Order Type, removes liquidity (Tapes A & C) |
M | Add Liquidity on LavaFlow |
N | Remove Liquidity from our Book (Tape B & C) |
O | NOOP (Nasdaq Opening Cross) |
P | Add liquidity on EDGX via an EDGA-originated ROUC Order Type |
Q | Routed using ROUQ or ROUC Order Types |
R | Re-routed by exchange |
S | Directed ISO Order |
T | Routed using ROUD/ROUE Order Type |
U | Remove Liquidity from LavaFlow |
V | Add Liquidity to our Book (Tape A) |
W | Remove Liquidity from our Book (Tape A) |
X | Routed |
Y | Add Liquidity to our Book (Tape C) |
Z | Routed Using ROUZ Order Type (Book + ELP only) |
2 | Routed to Nasdaq using INET Order Type, removes liquidity (Tape B) |
3 | Add liquidity - Pre & Post Market (Tapes A & C) |
4 | Add Liquidity - Pre & Post Market (Tape B) |
5 | Customer Internalization - Pre & Post Market |
6 | Remove Liquidity - Pre & Post Market (All Tapes) |
7 | Routed - Pre & Post Market |
AA | Midpoint Match Cross (same MPID) |
MM | Add liquidity from Midpoint Match |
OO | DirectEdge Opening |
NASDAQ Flags (from FIX Spec) (INET flags are generally the same)
Flag | Description |
|---|---|
A | Added (Billed as: *SubDRebate, *Securities >= $1 (Displayed) - * Rebate) |
R | Removed (Billed as: *Securities >= $1 (Displayed) - * Charge, Securities < $1 - * Charge) |
X | Routed (Billed as: *Securities >= $1 (Displayed) - * Routed Charge, Securities < $1 - * Routed Charge) |
D | Routed to NYSE |
F | Opening Trade (on NYSE) |
G | On-Close order (on NYSE) |
J | Non-displayed adding liquidity (Billed as: Non-Displayed Liquidity Provided) |
O | Open Cross Liq. Accessor (billable) (Billed as: Other charges - Opening Cross Billable) |
M | Open Cross Liq. Provider (non-billable) |
C | Closing Cross Liq. Accessor (billable) |
L | Closing Cross Liq. Provider (non-billable) |
H | Halt/IPO Cross Liq. Accessor (billable) |
K | Halt/IPO Cross Liq. Provider (non-billable) |
I | Intraday/Post-Market Cross billable |
Y | Re-Routed (on NYSE) |
S | Odd Lot Execution (on NYSE) |
U | Added Liquidity (on NYSE) |
B | Routed to BX (Billed as: BSEXRoutedNotTFTY*) |
E | NYSE Other |
P | Routed to PSX (Billed as: PSEXRoutedNotTFTY*) |
T | Opening Trade (on ARCA) |
Z | On-Close Execution (on ARCA) |
NASDAQ SAVE Flags
Flag | Description |
|---|---|
A |
|
B | (Billed as: BSEXRoutedSAVE*) |
D | (Billed as: NYSERoutedSAVE*) |
P | (Billed as PSEXRoutedSAVE*) |
R | Removed (Billed as: ListedAMEXSaveCharge, ListedNYSESaveCharge, OTCSAVECharge) |
X | Routed (Billed as: OtherRoutedSAVEAMEXCharge, OtherRoutedSAVENYSECharge, OtherRoutedSAVENasdaqCharge) |
NASDAQ Thrifty Flags (from PDF)
Flag | Description |
|---|---|
B | Routed to BX (Billed as: BSEXRoutedTFTYETFAMEXCharge, BSEXRoutedTFTYNYSECharge, BSEXRoutedNotTFTYNasdaqCharge) |
X | Routed to low-priced liquidity venues. (Billed as: DARKRoutedFTFYNYSECharge, DARKRoutedNasdaqCharge) |
D | Routed to NYSE (Billed as: NYSERoutedTFTYNYSECharge) |
S | Routed to NYSE |
A | Added to NASDAQ Book |
R | Removed from NASDAQ Book |
P | (Billed as PSEXRoutedTFTY*) |
NASDAQ BX Flags - (NSDQBX) (from Ouch Spec source)
Flag | Description |
|---|---|
A | Added |
R | Removed |
J | Non-displayed and added liquidity |
NASDAQ OMX PSX (NQPX) Flags (source)
Flag | Description |
|---|---|
A | Displayed added shares executed qualifying for the standard rebate |
V | Displayed added shares with original order size of greater than or equal to 2,000 |
J | Non-displayed added shares executed qualifying for the standard rebate |
R | Removed shares subject to standard fee |
NYSE ARCA Flags (source)
Flag | Description |
|---|---|
A | Liquidity Adding (Billed as: OTC/LISTED/AMEX POSTED, OTC/AMEX ETF_POSTED, OTC/LISTED/AMEX ADD SUB DOLLAR) |
B | Liquidity Adding while the order was not displayed |
D | Added Liquidity on a sub-dollar execution |
M | Added Liquidity on a MPL order |
R | Liquidity Reducing (Billed as: OTC/LISTED/AMEX NONPOSTED, OTC/AMEX ETF_NONPOSTED, OTC/LISTED/AMEX TAKE SUB DOLLAR) |
L | Reduced Liquidity on a MPL order |
O | Liquidity Neutral - Order executed in an auction (Billed as: AMEX AUCTION for Buy orders, AMEX CLOSING AUCTION for Sell orders) |
G | Opening or Halt Auction |
Z | Closing Auction |
X | Routed to another venue (Billed as OTC/LISTED/AMEX PREFOUT NON NY, OTC/LISTED/AMEX ROUTED SUB DOLLAR, AMEX ETF PREFOUT) |
F | Routed to NYSE/AMEX and added liquidity* |
N | Routed to NYSE/AMEX and reduced liquidity (Billed as LISTED PREFOUT) |
H | Routed sub-dollar execution |
C | Routed to NYSE/AMEX and participated in the opening or halt auction* |
U | Routed NYSE MarketOnClose or LimitOnClose order |
Y | Routed AMEX MarketOnClose or LimitOnClose order |
W | Routed to NYSE/AMEX where the order was re-routed to an external market |
*Utilized when orders are routed to NYSE as day orders instead of Immediate or Cancel (IOC) Orders. The PO+ Order is an example of an order that may be routed as a Day Order.
Note: When comparing Sterling trades against ARCA invoice, N and X quantities may not match – it seems some X trades get classified as N and vice-versa.
CBSX (source)
Flag | Description |
|---|---|
A, B, Q, V, W | Maker |
R, N | Taker |
F, T | Flash |
E, U | Flash Response |
X | Routed |
BELZBERG (source)
Flag | Description |
|---|---|
1 | Taking Liquidity / Floor Take |
2 | Providing |
3 | Blended or Broker d-Quotes (except when providing) / Verbal on Close |
4 | Prior Day GTC Orders |
5 | Opening Executions |
6 | Electronic Executions at the Close - Not MOC/LOC |
7 | Charge for market at-the-close and limit at-the-close orders |
NYFIX/NYSE (FIX Spec http://www.nyse.com/pdfs/Displayed_Liquidity_Notice_2010_10.pdf)
If using Instaquote and MLX route, NYSE trades may show as contra=TOD,LOC
...
Examples:
2/2 - represents a report for less than 20 round lots that provided liquidity.
2/3 - represents a report for less than 50 round lots but greater than 20 round lots that
provided liquidity.
2/6 - represents a report for greater than 200 round lots that provided liquidity.
N/MP - represents MatchPoint Trade
LavaFlow (source) - might also be seen as GOTO
Flag | Description |
|---|---|
A | Added liquidity (Y is the 5037 flag) |
R | Removed liquidity (N is the 5037 flag) |
H | Added liquidity via a fully hidden order |
BATS BYX/BZX (source and source)
Flag | Description |
|---|---|
A | Added liquidity |
AH | Trade added hidden liquidity |
AI | Trade added hidden liquidity that was price improved |
R | Trade removed liquidity |
X | Routed |
NSX (NSX, NSXONLY, NSXDARK, NSXX)
Flag | Description |
|---|---|
A | Adding liquidity (billed as "Provider Fee") |
R | Removing liquidity (billed as "Taker Fee") |
X | Routed (billed as "Router Fee") |
...