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| Note |
|---|
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 pg. 20)
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Flag
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Description
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A
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Routed to Nasdaq, adds liquidity
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B
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Add Liquidity to our Book (Tape B)
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C
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Routed to Nasdaq BX (Tapes A & C), removes liquidity
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D
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Routed or Re-Routed to NYSE, removes liquidity
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EA
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Customer Internalization – Added Liquidity
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F
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Routed to NYSE, adds liquidity
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G
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Routed to ARCA (Tapes A & C), removes liquidity
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HA
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Hidden Order Adds Liquidity
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I
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Routed to EDGA (for EDGX orders) or to EDGX (for EDGA orders)
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J
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Routed to Nasdaq, removes liquidity
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K
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Routed to BATS using ROBA Order Type (EDGA + BATS) or Routed to Nasdaq PSX using ROUC Order Type
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L
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Routed to Nasdaq using INET Order Type, removes liquidity (Tapes A & C)
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M
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Add Liquidity on LavaFlow
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N
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Remove Liquidity from our Book (Tape B & C)
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O
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Listing Market Opening Cross
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P
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Add liquidity on EDGX via an EDGA-originated ROUC Order Type
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Q
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Routed using ROUQ or ROUC Order Types
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R
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Re-routed by exchange
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S
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Directed ISO Order
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T
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Routed using ROUD/ROUE Order Type
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U
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Remove Liquidity from LavaFlow
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V
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Add Liquidity to our Book (Tape A)
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W
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Remove Liquidity from our Book (Tape A)
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X
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Routed
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Y
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Add Liquidity to our Book (Tape C)
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Z
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Routed using ROUZ Order Type or Executed in CLC process using ICMT Order Type
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2
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Routed to Nasdaq using INET Order Type, removes liquidity (Tape B)
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3
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Add liquidity - Pre & Post Market (Tapes A & C)
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4
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Add Liquidity - Pre & Post Market (Tape B)
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5
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Customer Internalization - Pre & Post Market
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6
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Remove Liquidity - Pre & Post Market (All Tapes)
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7
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Routed - Pre & Post Market
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AA
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Midpoint Match Cross (same MPID)
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Liquidity Remover via CLC Eligible Routing Strategy (EDGA only)
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Non-Displayed Orders, Removes Liquidity using
MDO
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MM
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Add liquidity from Midpoint Match
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OO
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DirectEdge Opening
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Liquidity Remover via CLC Only Routing Strategy (EDGA only)
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Midpoint Routing Strategy (RMPT), Removes Liquidity
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Routed to EDGA (for EDGX orders) or to EDGX (for EDGA orders) using IOCT or IOCX
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Liquidity Remover via Non -CLC Eligible Routing Strategy (EDGA only)
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BATS / BZX (see liq flags & fees)
BATY / BYX (see liq flags & fees)
EDGA (see liq flags & fees)
EDGX (see liq flags & fees)
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NASDAQ Flags (from FIX Spec pg 18 a/o 2017/4/16)
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Flag | Description |
|---|---|
1 | Taker |
2 | Provider |
3 | Blended |
| 4 | Market on Close and Market Orders Executed in Close |
5 | Opening/Provider |
6 | Closing/Provider |
7Closing/Blended | Limit on Close |
| 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 |
| 15 | Closing Offset |
If the flag is in the form of X/Y, refer to above for meaning of X, Meaning of Y is as follows:
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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
BATS BYX/BZX (source and source)
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Flag
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Description
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A
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Added liquidity
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AH
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Trade added hidden liquidity
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AI
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Trade added hidden liquidity that was price improved
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R
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Trade removed liquidity
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X
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