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 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 | 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 (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 |
| I | Added liquidity on an RO or RPI order |
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) |
| E | Reduced liquidity on a sub-dollar execution |
| K | Reduced liquidity on an RO or RPI order |
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 of market or auction-only order |
| J | Executed Tracking order |
Z | Closing auction of market or auction-only order |
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* |
| T | PSO Order that removed liquidity from NYSE |
U | Routed NYSE MOC/LOC order |
Y | Routed AMEX MOC/LOC 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 |
NYSE (CCG Fix Spec p. 69 as of 2017-04-06)
Flag | Description |
|---|---|
1 | Taker |
2 | Provider |
3 | Blended |
5 | Opening/Provider |
6 | Closing/Provider |
7 | Closing/Blended |
| 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 |
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 |
| AM | Trade added Midpoint Peg Liquidity |
| AS | Execution from order that set NBBO |
| AV | Visible Liquidity Add Trade that was Price Improved |
R | Trade removed liquidity |
| RM | Trade removed Midpoint Peg 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.