...
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 |
EA | Customer Internalization – Added Liquidity |
| ER | Customer Internalization – Removed Liquidity |
F | Routed to NYSE, adds liquidity |
G | Routed to ARCA (Tapes A & C), removes liquidity |
HA | Hidden Order Adds Liquidity |
| HR | Hidden Order Removes Liquidity (EDGA only) |
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 + |
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 | Listing Market 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 or Executed in |
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 |
| 8 | Routed to AMEX, Adds Liquidity |
| 9 | Routed to ARCA, Adds Liquidity (Tapes A & C) |
| 10 | Routed to ARCA , Adds Liquidity (Tape B) |
AA | Midpoint Match Cross (same MPID) |
| BB | Remove Liquidity from our Book (Tape B) |
| BY | Routed to BYX using ROBY or ROUC Order Type |
| CL | Listing Market Close, excluding NYSE ARCA |
| CR | Liquidity Remover via CLC Eligible Routing Strategy |
| DM | Non-Displayed Orders, Adds Liquidity using MDO |
| DT | Non-Displayed Orders, Removes Liquidity using |
MM | Add liquidity from Midpoint Match |
| MT | Midpoint Match Taker |
OO | DirectEdge Opening |
| PA | Midpoint Routing Strategy (RMPT), Adds Liquidity |
| PI | Removed Liquidity from Midpoint Match on EDGX |
| PR | Liquidity Remover via CLC Only Routing Strategy |
| PT | Midpoint Routing Strategy (RMPT), Removes |
| PX | Midpoint Routing Strategy (RMPT), Routed Out |
| RB | Routed to Nasdaq BX, Adds Liquidity |
| RC | Routed to NSX, Adds Liquidity |
| RM | Routed to CHX, Adds Liquidity |
| RQ | Routed using ROUQ |
| RR | Routed to EDGA (for EDGX orders) or to EDGX (for |
| RS | Routed to Nasdaq PSX, Adds Liquidity |
| RT | Routed using ROUT Order Type (EDGA Only) |
| RW | Routed to CBSX, Adds Liquidity |
| RX | Routed using ROUX Order Type (EDGA Only) |
| RY | Routed to BATS BYX, Adds Liquidity |
| RZ | Routed to BATS BZX, Adds Liquidity |
| SW | Routed using SWPA/SWPB (All mkts except NYSE) |
| XR | Liquidity Remover via Non -CLC Eligible Routing |
NASDAQ Flags (from FIX Spec pg
...
18 a/o 2017/4/16)
Flag | Description |
|---|---|
A | Added |
B | Routed to BX |
C | Closing Cross |
D | DOT |
E | NYSE Other |
F | Opening Trade (on NYSE) |
G | On-Close order (on NYSE) |
H | Halt/IPO Cross |
J | Non-displayed adding liquidity |
K | Halt Cross |
L | Closing Cross (imbalance-only) |
M | Open Cross (imbalance-only) |
| N | Halt Cross, orders entered in pilot symbols during the LULD Trading Pause |
O | Open Cross |
P | Routed to PSX |
R | Removed |
S | Odd Lot Execution (on NYSE) |
T | Executed in Open, Close, or Re-open on ARCA |
U | Added Liquidity (on NYSE) |
X | Routed |
Y | Re-Routed by NYSE |
| m | Removed liquidity at a midpoint |
| k | Added liquidity via a midpoint order |
| 7 | Displayed, liquidity-adding order improves the NBBO |
| 8 | Displayed, liquidity-adding order sets the QBBO while joining the NBBO |
| e | Retail designated execution that added displayed liquidity |
| j | RPI (Retail Price Improving) order provides liquidity |
| r | Retail Order removes RPI liquidity |
| t | Retail Order removes price improving non-displayed liquidity other than RPI liquidity |
| 4 | Added displayed liquidity in a Group A symbol |
| 5 | Added non-displayed liquidity in a Group A symbol |
| 6 | Removed liquidity in a Group A symbol |
| g | Added non-displayed mid-point liquidity in a Group A symbol |
| a | Added displayed liquidity in a SCIP Symbol |
| x | Displayed, liquidity-adding order improves the NBBO in a SCIP Symbol |
| y | Displayed, liquidity-adding order set the QBBO while joining the NBBO in a SCIP Symbol |
| b | Displayed, liquidity-adding order improves the NBBO in pilot symbol during specified LULD Pricing Pilot timeframe |
| c | Added displayed liquidity in a pilot symbol during specified LULD Pricing Pilot timeframe |
| h | Removed liquidity in a pilot symbol during specified LULD Pricing Pilot timeframe |
...
Flag | Description |
|---|---|
A, B, Q, V, W | Maker |
R, N | Taker |
F, T | Flash |
E, U | Flash Response |
X | Routed |
...
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
NYSE (CCG Fix Spec p. 69 as of 2017-04-06)
Flag | Description |
|---|---|
1 | Remove / Taker All interest on the initiating side of a trade that has not already been designated "2" to "7". |
2 | Add / Provider All CAP orders (even if executed at the open or on the close). All interest on the contra side of a trade that has not already been designated "1", "3" to "7". All Crossing Session 1 executions (includes odd lots). |
3 | Blended Discretionary e-Quotes that execute while using discretion. All odd lot executions except items executed in Crossing Session I or MOC Service. All non-regular way settlement executions (Cash, Next Day and Seller). |
4 | Opening/Provider (Prior-Day GTC Orders). All prior-day GTC orders executed in a trade that opens the stock, including re-openings. The first trade after a stock opens on a quote is not included. |
5 | Opening/Provider All interest, except prior-day GTC orders, executed in a trade that opens the stock, including re-openings. The first trade after a stock opens on a quote is not included. |
6 | Closing/Provider All non-MOC/LOC interest executed in a closing trade. |
7 | Closing/Blended All LOC and MOC interest executed in a closing trade (includes MOC odd lots). |
| 8 | Specialist DMM?RLP - Retail Order Provider |
| 9 | Odd Lots |
Y | Possibly routed out |
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RLP - Retail Order Taker | |
| 10 | RLP - Retail Taker MPL |
| 11 | Taker MPL |
| 12 | Provider MPL |
| 13 | RET - Retail Firm Provider |
| 14 | RET - Retail Firm MPL Taker |
If the flag is in the form of X/Y, refer to above for meaning of X, Meaning of Y is as follows:
Flag | Description |
|---|---|
0 | Round Lots |
1 | Greater than 0 and less than 1 round lot (0-99 shares) |
2 | From 1 to less than 20 round lots (100-1999 shares) |
3 | From 20 to less than 50 round lots (2000-4999 shares) |
4 | From 50 to less than 100 round lots (5000-9999 shares) |
5 | From 100 to less than 200 round lots (10,000-19,999 shares) |
6 | From 200 to less than 100,000 round lots - max order quantity and up (20,000 shares or more) |
7-9 | To be used in future releases |
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