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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!).

Please Note
Note
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title

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.

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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)

Flag

Description

A

Routed to Nasdaq, adds liquidity

Added

B

Add Liquidity to our Book (Tape B)

Routed to BX

C

Routed to Nasdaq BX (Tapes A & C), removes liquidity

Closing Cross

D

Routed or Re-Routed to NYSE, removes liquidity

DOT

E

Customer Internalization

NYSE Other

F

Routed to NYSE, adds liquidity

Opening Trade (on NYSE)

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

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)

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)

NHalt 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

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)

Re-Routed by NYSE

m

Removed liquidity at a midpoint

k

Added liquidity via a midpoint order

7Displayed, liquidity-adding order improves the NBBO
8

Displayed, liquidity-adding order sets the QBBO while joining the NBBO

eRetail designated execution that added displayed liquidity
jRPI (Retail Price Improving) order provides liquidity
rRetail 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

...

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

added shares executed qualifying for the standard rebate

and added liquidity

R

Removed

shares subject to standard fee

XRouted
DDOT
QRouted to Nasdaq
9Added (displayed) using Minimum Life Order Type

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NYSE ARCA Flags (

...

FIX spec - page 49 as of 2017-04-07)

Flag

Description

A

Liquidity Adding

(Billed as: OTC/LISTED/AMEX POSTED, OTC/AMEX ETF_POSTED, OTC/LISTED/AMEX ADD SUB DOLLAR)

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

B

Liquidity Adding while the order was not displayed (Add Blind)

C

Routed to NYSE or AMEX where the order participated in the opening or re-opening

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*

Adding - Sub Dollar

E

Removing - Sub Dollar

F

Routed to NYSE or AMEX where the order was liquidity adding at NYSE or AMEX

G

Executed in Opening, Market or Halt Auction on ARCA

H

Routed - Sub Dollar

IAdded liquidity - Retail
JTracking order
KRemoving - Retail

L

Removing - MPL order

M

Adding - MPL order

N

Routed to NYSE or AMEX where the order was liquidity taking at NYSE or AMEX

O

Liquidity Neutral

R

Removing

SSet new Arca BBO and Adding Liquidity ‐ ARCA

U

MOC/LOC - On NYSE

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)

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Y

MOC/LOC - On AMEX

Z

MOC/LOC - On ARCA



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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.

4Market on Close and Market Orders Executed in Close

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?

9

Odd Lots

Y

Possibly routed out

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7

Limit on Close

8

RLP - Retail Order Provider

9

RLP - Retail Order Taker

10

RLP - Retail Taker MPL

11Taker MPL
12Provider MPL
13RET - Retail Firm Provider
14RET - Retail Firm MPL Taker
15Closing Offset

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

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

...

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")

For penny stock trades, there may not be a flag set. In this case, the fee is passed directly from NSX.



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