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DirectEdge Flags (source pg. 20)
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 |
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 - FIX)
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 and added liquidity |
R | Removed |
| X | Routed |
| D | DOT |
| Q | Routed to Nasdaq |
| 9 | Added (displayed) using Minimum Life Order Type |
...
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 |
| I | Added liquidity on an RO or RPI order |
M | Added Liquidity on a MPL order |
| S | Added liquidity, set new Arca BBO. |
R | Liquidity Reducing (Billed as: OTC/LISTED/AMEX NONPOSTED, OTC/AMEX ETF_NONPOSTED, OTC/LISTED/AMEX TAKE SUB DOLLAR) |
| E | Reduced liquidity on a sub-dollar execution |
| K | Reduced liquidity on an RO or RPI order |
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 of market or auction-only order |
| J | Executed Tracking order |
Z | Closing auction of market or auction-only order |
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* |
| T | PSO Order that removed liquidity from NYSE |
U | Routed NYSE MOC/LOC order |
Y | Routed AMEX MOC/LOC 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)
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Flag
...
Description
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A, B, Q, V, W
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Maker
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R, N
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Taker
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F, T
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Flash
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E, U
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Flash Response
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X
...
Routed
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NYSE (CCG Fix Spec p. 69 as of 2017-04-06)
Flag | Description |
|---|---|
1 | Taker |
2 | Provider |
3 | Blended |
5 | Opening/Provider |
6 | Closing/Provider |
7 | Closing/Blended |
| 8 | RLP - Retail Order Provider |
| 9 | 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 round lots and up (20,000 shares or more) |
7-9 | To be used in future releases |
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
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Flag
...
Description
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A
...
Added liquidity (Y is the 5037 flag)
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R
...
Removed liquidity (N is the 5037 flag)
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H
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Added liquidity via a fully hidden order
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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 |
| AM | Trade added Midpoint Peg Liquidity |
| AS | Execution from order that set NBBO |
| AV | Visible Liquidity Add Trade that was Price Improved |
R | Trade removed liquidity |
| RM | Trade removed Midpoint Peg Liquidity |
X
Routed
NSX (NSX, NSXONLY, NSXDARK, NSXX)
Flag
Description
A
Adding liquidity (billed as "Provider Fee")
R
X | Routed |
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