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!).
| Note | ||||
|---|---|---|---|---|
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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 |
Added |
B |
Routed to BX |
C |
Closing Cross |
D |
DOT |
E |
NYSE Other |
F |
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)
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)
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) |
| 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
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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 |
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NYSE ARCA Flags (
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FIX spec - page 49 as of 2017-04-07)
Flag | Description |
|---|---|
A | Liquidity Adding |
B | Liquidity Adding while the order was not displayed (Add Blind) |
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*
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
| C | Routed to NYSE or AMEX where the order participated in the opening or re-opening |
D | 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 |
| I | Added liquidity - Retail |
| J | Tracking order |
| K | Removing - 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 |
| S | Set 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
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 |
Taker |
2 |
Provider |
3 | Blended |
4
| 4 | Market on Close and Market Orders Executed in Close |
5 | Opening/Provider |
6 | Closing/Provider |
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 |
| 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:
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
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 added hidden liquidity that was price improved |
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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