...
=>) specifies the conditions to match. The rule above match any execution where route is ARCA or ARCAPOP and and the liquidity flag is A and 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
Unless otherwise specified, conditions are not case sensitive and support a variety of operators: =, != (not equals), >=, >, <=, <
Name | Description | Example |
|---|---|---|
afterHours | Execution occurred on or after 4pm EST | afterHours=true |
| capacity | Trading capacity of the order (when available). A = Agency, C = Agency Cross, P = Principal, R = Riskless Principal. | capacity=P |
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 |
| internalContra | Indicates the actual MPID / identifier of the counterparty when an order is routed via an order desk or another intermediary (when available). (v1.5.98.19.16 or greater) | internalContra=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 |
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 |
| time | Execution time in the format HH:MM:SS (v.1.6.5.85 or greater). | time>=10:00:00 |
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.
route=EDGA;contra=BATS => 0.003OR-ing conditions
Sometimes you may want to match more than one set of conditions, and you can do so with the use of the comma character ",". For example, let's say you want to select trades where either the destination or contra are set to ARCA. Since version 1.5.92.18 you can specify a rule as follows (please note the use of parenthesis):
(route=ARCA),(contra=ARCA) => 0.003
Slicing
Sometimes you may want to match one particular character placed in the nth position of a string in order to assess a fee based on that sliced character. You can use brackets [ ] to do so and note that you can use this with non-numeric comparison operators (!= and =). Using [] or [:] alone will have no effect. Slicing is available beginning in version 1.6.5.68.
Example: In the Liq field there is an eight character string of "ABCDEFGH". The following examples of slicing could be used:
| Condition examples | Fee Rule Syntax |
liq[1] will match against A | liq[1]=A => 0.001 |
| liq[2] will match against B | liq[2]=B => 0.001 |
| liq[1:2] will match against AB | liq[1:2]=AB => 0.001 |
| liq[1:5] will match against ABCDE | liq[1:5]=ABCDE => 0.001 |
| liq[4:] will match against DEFGH | liq[4:]=DEFGH => 0.001 |
| liq[:4] will match against ABCD | liq[:4]=ABCD => 0.001 |
When multiple sliced conditions need to be true, use the AND-ing semi-colon character ";" liq[1] will match against A and liq[4] will match against D | liq[1]=A;liq[4]=D => 0.001 |
When one sliced condition needs to be true, use the OR-ing comma character "," liq[1] will match against A or liq[4] will match against D | liq[1]=A,liq[4]=D => 0.001 |
Fees
Positive fees are charges, negative fees are rebates. There are four ways to assess a fee or rebate:
| Method | Example |
|---|---|
| Per Share | 0.003 (1,000 shares @ $2 is charged 1,000 * 0.003 = $3.00). |
| Percentage of Value | 0.003% (1,000 shares @ $2 is charged $2,000 * 0.003 = $6.00). |
Fixed Amount per Execution (available in v1.5.92.51.3 or greater) | [10] ($10 is charged) |
| Pass Through (do not change) | blank (the fee will be left as received from the data source) |
You can also specify a minimum/maximum of two or three fees (available in PropReports v1.5.91.17 and greater):
| Example | Description |
|---|---|
max(0.003%, 0.003) | Result will be the highest of : (0.003 * trade value) or (0.003 * quantity) |
min(0.003%, 0.003, |
[3]) | Result will be the lowest of : (0.003 * trade value) or (0.003 * quantity) or 3 |
Markup/Markdown
To mark up or mark down a received (original) fee you can specify a fee as follows (PropReports v1.5.97.14.36 and greater):
Important: When using in Fee Rules plan, the fee that is being marked up/down is the computed Exchange Fee. If you need to mark up/down a different trade fee, you will need to use this within a Per Execution plan type.
| Example | Description |
|---|---|
markup(0.003) | Add a charge of 0.003 per share to the imported fee. |
markdown([1]) | Reduce imported fee by $1 |
Blocks
To avoid repeating the same condition you can specify blocks.
Instead of:
route=EDGA;liq=A => -0.002route=EDGA;liq=B => 0.0002You can use:
route=EDGA { liq=A => -0.002 liq=B => 0.0002}Blocks can also be nested. For example:
route=EDGA { penny=true { liq=A => -0.001% liq=B => 0.003% } liq=A => -0.002 liq=B => 0.0002}Comments
Any lines that start with a '#' are ignored. Any text following a '#' at the end of a line will also be ignored. Comments are available in PropReports v1.5.91.17 and greater.
# this Comment line will be ignoredroute=EDGA;liq=A => -0.002route=EDGA;liq=B => 0.002 # another comment that will be ignored...