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!).
DirectEdge Flags (source)
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 |
E | Customer Internalization |
F | Routed to NYSE, adds liquidity |
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) |
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 |
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 |
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.