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!).
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)
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 49) (INET flags are generally the same)
Flag | Description |
|---|---|
A | Added (Billed as: *SubDRebate, *Securities >= $1 (Displayed) - * Rebate) |
B | Routed to BX (Billed as: BSEXRoutedNotTFTY*) |
C | Closing Cross Liq. Accessor (billable) |
D | Routed to NYSE |
E | NYSE Other |
F | Opening Trade (on NYSE) |
G | On-Close order (on NYSE) |
H | Halt/IPO Cross Liq. Accessor (billable) |
I | Intraday/Post-Market Cross billable |
J | Non-displayed adding liquidity (Billed as: Non-Displayed Liquidity Provided) |
K | Halt/IPO Cross Liq. Provider (non-billable) |
L | Closing Cross Liq. Provider (non-billable) |
M | Open Cross Liq. Provider (non-billable) |
O | Open Cross Liq. Accessor (billable) (Billed as: Other charges - Opening Cross Billable) |
P | Routed to PSX (Billed as: PSEXRoutedNotTFTY*) |
R | Removed (Billed as: *Securities >= $1 (Displayed) - * Charge, Securities < $1 - * Charge) |
S | Odd Lot Execution (on NYSE) |
T | Opening Trade (on ARCA) |
U | Added Liquidity (on NYSE) |
X | Routed (Billed as: *Securities >= $1 (Displayed) - * Routed Charge, Securities < $1 - * Routed Charge) |
Y | Re-Routed by NYSE |
Z | On-Close Execution (on ARCA) |
| 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 |
| 9 | Added (displayed) using Minimum Life Order Type |
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 |
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) |
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 | Routed AMEX MarketOnClose or LimitOnClose 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)
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)
If using Instaquote and MLX route, NYSE trades may show as contra=TOD,LOC
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. |
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 |
All Oddlot executions will contain a value of 3 or 7.
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 (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 |
| AS | Execution from order that set NBBO |
| AV | Visible Liquidity Add Trade 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.