OATS Web Interface Data Dictionary - FINRA · OATS Web Interface Data Dictionary 4 Field Name...
Transcript of OATS Web Interface Data Dictionary - FINRA · OATS Web Interface Data Dictionary 4 Field Name...
OATS Web Interface Data Dictionary
The OATS Web Interface Data Dictionary provides a description of data and feedback on theOATS Web Interface including OATS statistics and OATS fields definitions, allowable values,and conditions that make fields mandatory.
The Data Dictionary is a companion document to the following OATS Resources:
o OATS Reporting Technical Specifications, www.finra.org/oatsspecifications. Thisdocument provides technical information related to OATS Reporting, including orderreporting responsibilities, ROE and FORE layout, and descriptions of each order report.
o OATS Registration and User Entitlement Guide www.finra.org/oats/registration. Thisdocument provides all of the information needed to Register for and create users inOATS.
o OATS Frequently Asked Questions, located at www.finra.org/oatsfaqs.
o OATS Web Interface User Guide, located at www.finra.org/oats/webuserguide. Thisresource provides an overview of the OATS Web Interface. It also describes thefunctionality and steps used to navigate, view, and take action on OATS data andfeedback.
If you have a problem or question and cannot find the solution in the OATS Web Interface UserGuide or in the above mentioned OATS Resources, please contact FINRA Business andTechnology Support Services. Technology support is available from 8:00 a.m. Monday to 8:00a.m. Saturday, Eastern Time. Business support is available Monday through Friday, 8:00 a.m.to 6:00 p.m., Eastern Time.
Technical Support Business Support
Telephone: 800-321-6273 800-321-6273Fax: 240-386-6499 240-386-4841Email: [email protected] [email protected]: http://www.finra.org http://www.finra.org
To get more information about OATS, visit the OATS Web Pages at http://www.finra.org/oats.
OATS Web Interface Data Dictionary 2
OATS Field Descriptions1
Field Name Definition Allowable Values Data Type Mandatory/Conditional
Instructions
Account TypeCode
The account type forwhich an order is placed.
A Institutional Customer –An institutional account asdefined in NASD Rule3110(c)(4)
C Combined – An orderrepresenting more thanone type of account
E Employee Account – Anemployee or associatedperson of a member firm
I Individual Customer – Anaccount that does notmeet the definition ofNASD Rule 3110(c)(4)and is also not aproprietary account.
O Market MakingP Other ProprietaryR Not a Broker/DealerU Unknown – Beneficial
owner is not knownX Error Account – Error
account of the firm
Alphanumeric (1) M Represents the type ofbeneficial owner of the accountfor which an order was receivedor originated.
Note: ‘R’ is a temporaryallowable value representingeither an institutional orindividual customer if a firm isunable to determine theappropriate status. ‘R’ will beeliminated as an allowablevalue after firms have hadadequate time to make theprogramming changesnecessary to distinguishbetween individual andinstitutional accounts.
Action TypeCode
Indicates the purpose ofthe Order Report, whetherto report a new event toOATS, to correct apreviously reported event,to delete a previouslyreported event, or to
N New order event
C Corrected order event
D Deleted order event
R Delete for replacementorder event
Alphanumeric (1) M Must be allowable value. CaseSensitive.
1For additional information on OATS Reportable Order Events and Field Descriptions, please refer to Appendix C of the OATS Technical
Specifications.
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Field Name Definition Allowable Values Data Type Mandatory/Conditional
Instructions
delete a previouslyreported event with theintention of correcting it.
ArbitrageCode
Indicates if an order is partof an arbitrage tradingstrategy involving thepurchase or sale of a“basket” or group ofsecurities. This is inconjunction with thepurchase or sale (orintended purchase orsale) of one or more cash-settled options or futurescontracts on index stockgroups, or options on anysuch futures contracts inan attempt to profit by theprice difference.
Y Part of an arbitrage
strategy
N Not part of an arbitrage
strategy
X Not known (not anaccepted value for retail oremployee orders)
Alphanumeric (1) M ECNs must populate this fieldwith a value of ‘X’.
Non-ECNs with an AccountType Code of ‘P’ must notpopulate this field with ‘X’
Must be allowable value. CaseSensitive.
Branch/SequenceNumber
The Branch SequenceNumber assigned to anorder by the orderreceiving firm, as reportedto a FINRA TradeReporting Facility.
Alphanumeric (8) C Must be provided when a tradeis reported to a FINRA TradeReporting Facility. If two ordersin the same issue symbol areexecuted within the samesecond and reported to aFINRA Trade Reporting Facilityin two separate transactionreports, different branchsequence numbers must beused for each execution.
Buy/Sell Code Indicates if an order is aninstruction to buy or to sellshares of a security.
B BuySL Sell LongSS Short SaleSX Short Exempt
Alphanumeric (2) M Must be allowable value. CaseSensitive.
Cancel Leaves The number of shares Any integer greater than or Alphanumeric (4) M Required when the Cancel Type
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Field Name Definition Allowable Values Data Type Mandatory/Conditional
Instructions
Quantity remaining open when anorder is partially canceled.
equal to zero. Flag value is ‘P.’
CancelQuantity
The number of sharescanceled for a partialcancel.
Any integer greater than zero. Numeric (9) C Required when the Cancel TypeFlag value is ‘P.’
Cancel TypeFlag
Indicates if thecancellation was a full orpartial cancellation.
F Full—Cancel quantityequals total shares quantityof the order
P Partial—Cancel quantity isless than the total sharesquantity of the order
Alphanumeric (1) M – CLevents
C - otherevents
Must be allowable value. CaseSensitive.
Canceled byFlag
Indicates whether theorder was canceled by thecustomer or firm thatplaced the order, or thefirm that received theorder.
C Order canceled bycustomer or firm placingthe order
F Canceled by firm receivingthe order
Alphanumeric (1) M – CL, CRevents
C - otherevents
Must be allowable value. CaseSensitive.
Capacity Code The capacity in which thefirm acted for purposes ofthe transaction.
A Agency
P Principal
R Riskless Principal
Alphanumeric (1) M The capacity needs to be thesame capacity that is reportedto the applicable transactionreporting association for tradereporting purposes.
Must be allowable value. CaseSensitive.
Connection ID The unique identifierrepresenting the name ofthe connection used whenrouting to another firm ornational securitiesexchange. TheConnection ID is anoptional field that may be
Alphanumeric(12)
C Value: Any alphanumeric notcontaining a delimiter.
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Field Name Definition Allowable Values Data Type Mandatory/Conditional
Instructions
populated to guaranteeuniqueness for a RoutedOrder ID / Sent to RoutedOrder ID. If populated, theConnection ID will beincluded as match criteriain the Exchange RouteMatching process.
Correction/DeletionTimestamp
The date and time acorrection or a deletion toan order was effective.
Format:YYYYMMDDHHMMSSCCC
Numeric (17) C Required if the Action TypeCode is ‘C,’ ‘D,’ or ‘R.’
CustomerInstructionFlag
Indicates if a customerhas instructed that a limitorder should not bedisplayed or that a blocksize order be displayed.
Y Yes. Customer hasinstructed that a limit ordershould not be displayed orthat a block size order bedisplayed.
N No. No instruction hasbeen received from thecustomer that a limit ordershould not be displayed orthat a block size order bedisplayed.
Alphanumeric (1) C For Non-ECNs, must exist ifeither a Limit Price, or a LimitPrice and a Stop Price, isprovided. Not mandatory fororders received by an ECN.
Must be allowable value. CaseSensitive.
DeskReceivedTimestamp
The date and time theorder was received by adesk or department fromanother desk ordepartment.
Format:YYYYMMDDHHMMSSCCC
Numeric (17) M – DSevents
C – otherevents
Desk SpecialHandlingCodes
Refer to Special HandlingCodes.
Alphanumeric (3) C
Desk TypeCode
Indicates the type of Deskor Department at which
A Agency
AR ArbitrageAlphanumeric (2) M – DS
eventsMust be allowable value. CaseSensitive.
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Field Name Definition Allowable Values Data Type Mandatory/Conditional
Instructions
the order was received. B Block Trading
C Convertible Desk
CR Central Risk Books
D Derivatives
EC Equity Capital Markets
IN International
IS Institutional
O Other
PF Preferred Trading
PR Proprietary
PT Program Trading
S Sales
SW Swaps
T Trading
TR Treasury
C – otherevents
DestinationCode
Indicates whether theRoute Report orCombined Order/RouteReport was routed to aMember Firm, Non-Member Firm, ECN, orExchange.
A Affiliate, Not a FINRAMember
E ECNM FINRA MemberN Not a FINRA Member
Exchanges:XA NYSE AmexXB NASDAQ OMX BXXC National Stock ExchangeXF Non–US ExchangeXI International Securities
ExchangeXJ EDGA ExchangeXK EDGX ExchangeXM Chicago Stock ExchangeXN New York Stock
Exchange
Alphanumeric (2) M Must be allowable value. CaseSensitive.
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Field Name Definition Allowable Values Data Type Mandatory/Conditional
Instructions
XO Bourse de MontrealXP NYSE ArcaXQ The NASDAQ Stock
MarketXT Toronto Stock ExchangeXV TSX Venture ExchangeXW CBOE Stock ExchangeXX NASDAQ OMX PHLXXY BATS Y ExchangeXZ BATS Exchange
Options Exchanges:OA NYSE Amex OptionsOB Boston Options
Exchange, LLCOC Chicago Board Options
ExchangeOI International Securities
ExchangeOJ C2 Options ExchangeOP NYSE Arca OptionsOQ NASDAQ OMX OptionsOX NASDAQ OMX PHLX
OptionsOZ BATS Option Exchange
Do NotReduce/DoNot IncreaseCode
Indicates if the customerhas specified that theorder price or sharesquantity not be adjusted toreflect a cash or stockdividend.
<blank>Not Applicable
DNR Do Not Reduce
DNI Do Not Increase
DIR Do Not Reduce orIncrease
Alphanumeric (3) C Must be allowable value. CaseSensitive.
ECN Flag Indicates whether theorganization submittingthe report is an ECN.
<blank>The identified order isnot submitted by anECN
Y The identified order is
Alphanumeric (1) C Required if the submittingorganization is an ECN.
Must be allowable value. Case
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Field Name Definition Allowable Values Data Type Mandatory/Conditional
Instructions
submitted by an ECN Sensitive.
ExchangeParticipant ID
Firm identifier assigned bythe exchange. Requiredfor all orders routed to anexchange.For example: For ordersrouted to The NASDAQStock Market, NASDAQOMX BX and NASDAQOMX PHLX enter theMPID. For orders routedto the New York StockExchange and NYSEAmex enter the enteringfirm mnemonic. For ordersrouted to NYSE Arca,enter the Equity TradingPermit ID.
Alphanumeric (8) C Case sensitive.
Required for orders routed to anational securities exchange.
ExecutionPrice
The price at which theorder is ultimatelyexecuted.
Numeric (18,8) M Must be the same price that isreported to the applicabletransaction reportingassociation for trade reportingpurposes.
ExecutionQuantity
The number of sharesfilled in an execution.
Any integer greater than zero. Numeric (9) M
ExecutionTimestamp
The date and time of anexecution.
Format:YYYYMMDDHHMMSSCCC
Numeric (17) M
ExecutionType Indicator
Indicates if the executionwas a full or partialexecution.
F Full—Execution equalstotal shares quantity of theorder
P Partial—Execution is lessthan the total sharesquantity of the order
Alphanumeric (1) M Must be allowable value. CaseSensitive.
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Field Name Definition Allowable Values Data Type Mandatory/Conditional
Instructions
ExpirationDate
The date on which anorder with a Time in ForceCode value of Good TillDate expires at the closeof market.
Format: YYYYMMDD Date (8) C Required if the Time in Force is‘GTD.’ If the Time in ForceCode is ‘DAY,’ an ExpirationDate, if entered, must be equalto or one day greater than theOrder Received Date. If theTime in Force code is ‘GTM’ theexpiration date will be derivedby OATS as the last businessday of the month.
ExpirationTime
The time at which anorder with a Time in ForceCode value of Good TillTime expires.
Format: HHMMSS Numeric (6) C Required if the Time in Force is‘GTT.’
Must be greater than the time inthe Order Received Timestamp.
Firm Order ID The identifier assigned toan order by the orderreceiving firm to uniquelyidentify the order for thefirm within the orderreceived date.
Any alphanumeric notcontaining a delimiter.
Alphanumeric(20)
M Must be unique for the firmwithin the Order Received Date.
Firm ROE ID An optional identifierassigned to an ROE bythe reporting firm.
Alphanumeric(12)
C
Issue SymbolID
The unique symbol for anOATS reportable security.
Alphanumeric(14 )
M Must be a symbol for a validOATS reportable security,including convertible bonds, forthe Order Received Date.
Must be allowable value. CaseSensitive.
LeavesQuantity
The quantity of sharesremaining open in a
Numeric (9) C Must be provided when theExecution Type Indicator valueis ‘P.’
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Field Name Definition Allowable Values Data Type Mandatory/Conditional
Instructions
partially executed order.If the partial execution reportedresults in the sum of allexecutions equaling the orderquantity, the value should bezero.
Limit Price The per-share maximumbuy price or minimum sellprice for a limit order orstop limit order; this is theprice at which thecustomer is protected.
Numeric (18,8) C If entered, must be greater than0. If entered, a Time in ForceCode must be provided.
Market CenterID
The national securitiesexchange or tradereporting system operatedby registered securitiesassociation where thetrade was reported.
A NYSE AmexB NASDAQ OMX BXC National Stock ExchangeF Non–Us ExchangeI International Securities
ExchangeJ EDGA ExchangeK EDGX ExchangeM Chicago Stock ExchangeN New York Stock
ExchangeP NYSE ArcaQ The NASDAQ Stock
MarketW CBOE Stock ExchangeX NASDAQ OMX PHLXY BATS Y Exchange (BYX)Z BATS Exchange
FINRA transaction reportingsystems:DN FINRA/NYSE Trade
Reporting FacilityD ADFL FINRA/NASDAQ Trade
Alphanumeric (2) C Must be allowable value. CaseSensitive.
OATS Web Interface Data Dictionary 11
Field Name Definition Allowable Values Data Type Mandatory/Conditional
Instructions
Reporting FacilityO OTC Reporting Facility
Member TypeCode
Indicates whether theorder was received from aMember Firm, Non-Member Firm, ECN, orNon-Reporting MemberFirm.
A Affiliate, Not a FINRAMember
C ECNE FINRA Member Firm does
not meet the definition ofreporting member underFINRA Rule 7410
M FINRA MemberN Not a FINRA Member
Alphanumeric (1) M Must be allowable value. CaseSensitive.
NegotiatedTrade Flag
Identifies orders that arethe result of a negotiatedtrade between twomembers where bothmembers, for OATSpurposes, are consideredto have executed thetrade and must submit anExecution Report toOATS.
<blank> Not applicable
Y Indicates respondentportion of a negotiatedtrade
Alphanumeric (1) C Must be set to ‘Y’ when amember is required to report anew order and execution as theresult of an incomingnegotiation that results in atrade.
Must be allowable value. CaseSensitive.
Order CancelTimestamp
The date and time acancellation wasoriginated or received.
Format:YYYYMMDDHHMMSSCCC
Numeric (17) M – CLevents
C – otherevents
OrderOriginationCode
Identifies whether theorder was received from acustomer of the firm,originated by the firm, orwhether the order wasreceived from anotherBroker/Dealer.
F Order was received froma customer or originatedwith the Firm
W Received from anotherBroker/Dealer
Alphanumeric (1) M
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Field Name Definition Allowable Values Data Type Mandatory/Conditional
Instructions
OrderReceived Date
The date and time theorder was received by theorder receiving firm.
Format:YYYYMMDDHHMMSSCCC
Numeric (17) M
OrderReceivedTimestamp
The date and time theorder was received ororiginated.
Format:YYYYMMDDHHMMSSCCC
Numeric (17) M
OrderReceiving FirmMPID
The four-character MPIDof the member firm thatreceived the order.
Alphanumeric (4) M Must be allowable value. CaseSensitive.
Order SentTimestamp
The date and time theorder was sent outside thefirm.
Format:YYYYMMDDHHMMSSCCC
Numeric (17) M
OriginatingDepartment ID
The department or deskwithin a firm thatoriginates a proprietaryorder.
A Agency - A desk ordepartment where ordersmay be routed to othermarket centers, either by atrading system or with theassistance of traders. Thiswould include smart routersand algorithmic trading.
ATS ATS - A trading system thatmeets the definition of“Alternative TradingSystem” under RegulationATS.
MA Market Access - When amember permits anotherbroker-dealer to use amarket participant identifierassigned to the member toroute orders directly tomarket centers.
T Trading - A desk or
Alphanumeric(12)
C The member firm must maintaina list of the departmentidentifiers and provide them onrequest to FINRA.
Codes must be unique within afirm, regardless of the numberof locations in which it operates.
Must be provided when theAccount Type Code is ‘P’.
Not required for ECNs.
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Field Name Definition Allowable Values Data Type Mandatory/Conditional
Instructions
department where ordersare executed. This may beinterpreted as either atrading system or a deskor department where ordersare executed with theassistance of traders.
O Other – A department thatdoes not execute ordersor make routing decisions.
OriginatingBroker/Dealer
The MPID of the OrderReceiving Firm from theoriginally submitted orderthat, due to a merger,acquisition, or some otherreason, needs to link to asecondary event with adifferent Order ReceivingFirm MPID.
Alphanumeric (4) C Must be provided if this ROEneeds to link to a previouslysubmitted ROE with a differentOrder Receiving Firm MPID.Firms may include or excludethe field from the report.
Must be allowable value. CaseSensitive.
ProgramTrading Code
Indicates if an order is partof a program trade, astrategy involving therelated purchase or saleof a group of 15 or moresecurities having a totalmarket value of $1 millionor more, as furtherdefined in NYSE Rule80A.
Y Part of a program trade
N Not part of a program trade
X Not known—Not anaccepted value for retail oremployee orders
Alphanumeric (1) M ECNs must populate this fieldwith a value of ‘X’.
Non-ECNs with an AccountType Code of ‘P’ must notpopulate this field with ‘X’
Must be allowable value. CaseSensitive.
ReceivedMethod Code
Indicates whether theorder was receivedelectronically or manually.
E Electronic
N Manual
Alphanumeric (1) M Must be allowable value. CaseSensitive.
ReceivingDepartment ID
The department or deskwithin a firm that receives
A Agency - A desk ordepartment where orders
Alphanumeric(12)
C Either the Receiving TerminalID or the Receiving Department
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Field Name Definition Allowable Values Data Type Mandatory/Conditional
Instructions
an order. may be routed to othermarket centers, either by atrading system or with theassistance of traders. Thiswould include smart routersand algorithmic trading.
ATS ATS - A trading system thatmeets the definition of“Alternative TradingSystem” under RegulationATS.
MA Market Access - When amember permits anotherbroker-dealer to use amarket participant identifierassigned to the member toroute orders directly tomarket centers.
T Trading - A desk ordepartment where ordersare executed. This may beinterpreted as either atrading system or a deskor department where ordersare executed with theassistance of traders.
O Other – A department thatdoes not execute ordersor make routing decisions.
ID must be provided when anorder is received directly from acustomer.
The member firm must maintaina list of the departmentidentifiers and provide them onrequest to FINRA.
Codes must be unique within afirm, regardless of the numberof locations in which it operates.
Not required for ECNs.
ReceivingTerminal ID
The identifier of theterminal where the orderwas received from acustomer.
Any alphanumeric notcontaining a delimiter.
Alphanumeric(12)
C Either the Receiving TerminalID or the Receiving DepartmentID must be provided when anorder is received directly from acustomer.
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Field Name Definition Allowable Values Data Type Mandatory/Conditional
Instructions
Not required for ECNs.
Rejected ROEID
The unique identifierassigned by OATS to arejected ROE.
Numeric(15) C Required when the ROE hasbeen rejected by OATS and hasbeen corrected forresubmission.
Rejected ROEResubmit Flag
Indicates if the ROEsubmitted to OATS waspreviously rejected.
Y Resubmitted ROE
<blank> Not a resubmittedROE
Alphanumeric (1) C Required when the ROE hasbeen rejected by OATS and hasbeen corrected forresubmission.
Must be allowable value. CaseSensitive.
Replaced FirmOrder ID
The identifier assigned toan order that wasreplaced in aCancel/Replace Report.
Any alphanumeric notcontaining a delimiter.
Alphanumeric(20)
M
ReplacedOrderReceived Date
The date the order beingreplaced in aCancel/Replace Reportwas received.
Format:YYYYMMDDHHMMSSCCC
Numeric (17) M
ReportingExceptionCode
Indicates the reason that aBranch Sequence Numberwas not supplied to aTrade Reporting System.
P Intra-firm order filled fromfirm’s proprietary account
M Execution where entry ofbranch/sequence numberis not possible
R Riskless principaltransaction
A Agency Average PriceTransaction
T Agency Post TradeAllocation
Alphanumeric (1) C
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Field Name Definition Allowable Values Data Type Mandatory/Conditional
Instructions
Routed OrderID
The identifier assigned tothe order by the routingfirm and passed to thereceiving firm.
Any alphanumeric notcontaining a delimiter, spaces,blanks, or leading zeroes.
Alphanumeric(20)
C Orders Received:Routing identifier used by theorder sending member duringthe order routing process.Required for all orders receivedelectronically from anotherBroker/Dealer.
Orders Routed:Routing identifier used duringthe order routing process.Required for all electronicallyrouted orders.
Must be unique for the MPID,Order Sent Date, ConnectionID, and Sent to MPID (if routedto another FINRA member) orDestination Code andExchange Participant ID (ifrouted to a national securitiesexchange), except for instanceswhen the route has a specialrouting condition.
Routing FirmMPID
The MPID of the firm,ECN or Exchange fromwhich the order wasreceived.
Alphanumeric (4) C The MPID of the firm fromwhich the order was received.Required and must be a validMPID for the Order ReceivedTimestamp if the order isreceived from another FINRAmember.
If received from a non–FINRAmember, must be blank orcontain a non–FINRA memberMPID. Must be blank if the
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Field Name Definition Allowable Values Data Type Mandatory/Conditional
Instructions
order originated with the firm.
RoutingMethod Code
Indicates whether theorder was sentelectronically, manually, orvia a Smart Router.
E Routed electronically
N Routed manually
S Smart Router
Alphanumeric (1) M Must be allowable value. CaseSensitive.
Sent to FirmMPID
The MPID of the firm,ECN or Exchange towhich the order wasrouted.
Alphanumeric (4) C Required if the order was routedto a member firm or ECN.Optional if the order was routedto the NASDAQ Exchange or toa non-member firm.
Must be a valid MPID for theOrder Sent Timestamp. Shouldnot be a valid MPID if the orderwas routed to a non-memberfirm.
Must be allowable value. CaseSensitive.
Sent to RoutedOrder ID
Alphanumeric(40)
C Routing identifier used duringthe order routing process.
Required for all electronicallyrouted orders.
Must be unique for the MPID,Order Sent Date, ConnectionID, and Sent to MPID (if routedto another FINRA member) orDestination Code andExchange Participant ID (ifrouted to a national securitiesexchange), except for instanceswhen the route has a SpecialRouting Condition.
OATS Web Interface Data Dictionary 18
Field Name Definition Allowable Values Data Type Mandatory/Conditional
Instructions
SharesQuantity
The number of sharesindicated in an order tobuy or sell.
Any integer greater than zero. Numeric (9) M For reserved size orders, mustbe the sum of displayed sizeand reserved size.
SpecialHandlingCodes
Additional orderinstructions that serve toqualify the pricing,quantity, execution timing,or execution method of anorder.
ADD Add–on Order– Reflectsthat the customer addedadditional shares to theorder after it was fullyexecuted; May only beused with Cancel/Replaceevents.
AON All or None – Requiresthat if an order cannot befilled in its entirety, theorder should not beexecuted.
CND Conditional Order – Anorder where the terms andconditions of the order arederived from a relatedtransaction in anothersecurity (other than anoption).
CNH Cash Not Held – Instructsthe trader to buy or sell asmuch stock as possible,over the course of atrading day, for a specifieddollar amount.
CSH Delivery Instructions:Cash–trade settles on thesame trade date
DIR Directed Orders – Ordersthat meet the definition of“Directed Order” underRule 600(b)(19) ofRegulation NMS (formerlydefined under SEC Rule
Alphanumeric (3) C Must be allowable value. CaseSensitive.
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Field Name Definition Allowable Values Data Type Mandatory/Conditional
Instructions
11Ac1–6). That definitionspecifies that the termdirected order shall meana customer order that thecustomer specificallyinstructed the broker ordealer to route to aparticular venue forexecution
DLO Discretionary Limit Order– Orders for which thecustomer defines anamount off the limit price(for example $.50) toincrease the price rangeover which the limit orderis eligible to execute
E.W Exchange for PhysicalTransaction – Equity tradecomponent of an“exchange for physical”transaction. An exchangefor physical transactioninvolves two partiessimultaneously executinga futures contract and anequity transaction (for thesecurities covered by thefutures contract), typicallyinvolving baskets thatreplicate common indices.
FOK Fill or Kill – Indicates theorder is intended forimmediate execution in itsentirety, and if notexecuted in its entirety,the order is cancelled.
G G Order – An order for an
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Field Name Definition Allowable Values Data Type Mandatory/Conditional
Instructions
account covered by 1934Exchange Act §11(a) thatrelies on §11(a)(1)(G) asan exemption to§11(a)(1).
IDX Intra–Day Cross –An order designated forparticipation in an Intra–Day cross.
IO Imbalance Only – Anorder to buy or sell at aspecified price or betterthat may be executed onlyduring the NasdaqOpening/ Closing Crossand only against animbalance.
IOC Immediate or Cancel –Requires all or part of theorder be executedimmediately, and anyremaining shares becancelled.
ISO Intermarket Sweep Order– An order that meets thedefinition of “IntermarketSweep Order” under Rule600(b)(30) of RegulationNMS.
LOO Limit on Open – Instructsthe trader to execute theorder at the opening priceprovided that the openingprice is at or within thelimit specified.
LOC Limit on Close – Instructsthe trader to execute theorder at the closing price
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Field Name Definition Allowable Values Data Type Mandatory/Conditional
Instructions
provided that the closingprice is at or within thelimit specified.
MACMarket at Close –Instructs the trader toexecute the order at theclosing inside quote priceof regular market hours.
MAOMarket at Open –Instructs the trader toexecute the order at theopening inside quote priceof regular market hours.
MOC Market on Close –Instructs the trader toexecute the order at theclosing last sale price ofregular market hours.
MOO Market on Open –Instructs the trader toexecute the order at theopening print price ofregular market hours.
MTL Market to Limit – An orderthat is sent in as a marketorder to execute at thecurrent best price. If theentire order does notimmediately execute atthe market price, theremainder of the order isre–submitted as a limitorder with the limit priceset to the price at whichthe original orderexecuted.
MQTMinimum Quantity –Instruction to cancel the
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Field Name Definition Allowable Values Data Type Mandatory/Conditional
Instructions
order if a specifiedminimum quantity cannotbe executed.
MPT Merger Related TransferPosition
ND Delivery Instructions: NextDay – trade settles onnext trade date.
NH Not Held – Requires thatthe trader use bestjudgment as to the time ofexecution and the issueprice.
OPT Options RelatedTransaction – Representsan order where the termsand conditions of theorder are derived from arelated optionstransaction.
OVD Over the Day – Requiresthat a trader break up anorder into several partialexecutions. The customermay specify the number ofexecutions.
PEG Indicates that thecustomer’s limit price is tobe determined by aspecific market priceand/or volume factor orthat the limit price shouldbe determined pursuant toa specified formula.
RSV Reserve Size Order –Required for an order forwhich a customer hasauthorized the public
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Field Name Definition Allowable Values Data Type Mandatory/Conditional
Instructions
display of part of the fullsize of the order with theremainder held in reserveon an undisplayed basisto be displayed in wholeor in part as the displayedpart is executed.
S.W Stop Stock Transaction –Any transaction resultingfrom an order for which amember and anotherparty agree that the orderwill be executed at a StopStock Price or better.
SCL Scale – Requires partialexecutions that are notmore than a specifiedprice increment apart(e.g., 1/8 of a point).
SLR Delivery Instructions:Seller’s Option – tradesettles on a datedetermined by a seller.
TMOTime Order – Representsan order that becomes amarket or limit price orderat a specific time.
TS Trailing Stop – In the caseof a sell order, a TrailingStop Order allows thestop price to increase by apredetermined amount orformula (e.g. a specifieddollar amount, apercentage of the marketprice, or some otherpredetermined criteria), asthe market price of the
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Field Name Definition Allowable Values Data Type Mandatory/Conditional
Instructions
security advances. In thecase of a buy order, aTrailing Stop Order allowsthe stop price to decreaseby a predeterminedamount or formula (e.g. aspecified dollar amount, apercentage of the marketprice, or some otherpredetermined criteria), asthe market price of thesecurity declines. Oncethe Trailing Stop price istriggered, the buy or sellorder becomes either anexecutable market orderor a limit order (i.e. aTrailing Stop Limit Order).
WRK Work – Leaves thetime of execution to thetrader’s discretion; eithera full execution or partialexecutions are accepted.
F0 Stay on OffersideF3 Go AlongF6 Participate Don’t Initiate –
An order that mayparticipate in a transactioninitiated by another party,but may not initiate atransaction. For example,on US ECNs / Exchanges,this may represent anorder that will be quoted tothe marketplace and willtrade if another partyinitiates a trade (i.e. hitsthe posted quote), but
OATS Web Interface Data Dictionary 25
Field Name Definition Allowable Values Data Type Mandatory/Conditional
Instructions
cannot be routed toinitiate a trade withanother market or marketmaker.
F7 Strict ScaleF8 Try to ScaleF9 Stay on BidsideFA No Cross – The broker
executing this trade isforbidden from taking theother side of the trade.Opposite of OK to Cross.
FB OK to Cross – The brokerexecuting this trade isallowed to take the otherside of the trade.Opposite of No Cross.
FC Call First – Refer to clientbefore trading.
FD Percent of Volume – Thesender does not want tobe all of the volume.
FH Reinstate on SystemFailure – If a systemfailure interrupts trading ororder routing, attempt toreinstate this order,subject to time in forcelimitations. Note thatdepending on the typeand severity of the failure,this might not be possible.
FI Institutions Only – Brokeris restricted to dealingwith other buy side firms.
FJ Reinstate on Trading Halt– If trading in thisinstrument is halted,
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Field Name Definition Allowable Values Data Type Mandatory/Conditional
Instructions
reinstate this order when/iftrading resumes, subjectto time in force limitations.
FK Cancel on Trading Halt–Iftrading in this instrumentis halted, cancel this orderand do not reinstate itwhen/if trading resumes.
FL Last PegFM Mid–price PegFN Non–negotiableFO Opening PegFP Market PegFQ Cancel on System Failure
– If a system failureinterrupts trading or orderrouting, attempt to cancelthis order. Note thatdepending on the typeand severity of the failure,this might not be possible.
FR Primary PegFS SuspendFT Fixed Peg to Local Best
Bid or Offer at time oforder
FW Peg to VWAPFX Trade Along – Clients who
specify “Trade Along” givebrokers permission tohandle and place theirorder in the market even ifthe broker already has itsown proprietary orders forthe same security placedin the market.
FY Try to Stop – Used inspecialist–driven markets
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Field Name Definition Allowable Values Data Type Mandatory/Conditional
Instructions
to direct the specialist totry and stop the order.
FZ Cancel if Not Best –Indicates that an ordershould be cancelled if it isno longer the best bid ifbuying, or the best offer ifselling.
Fb Strict Limit – A limit orderthat must be traded at theexact limit price specifiedwithout any priceimprovement.
Fc Ignore Price ValidityChecks – Disables validitychecking of price fields foran order or changerequest.
Fd Peg to Limit PriceFe Work to Target Strategy
SpecialRoutingCondition
The Special RoutingCondition indicator is usedto identify instances wherethe Routed Order ID/Sent to Routed Order IDwill be duplicated.
X The identified orderhas an exchangerouting condition thatrequires a duplicatedRouted Order ID
Y The identified order ispart of a bunch
<blank> The identified orderdoes not have aspecial routingcondition
Indicates the Route orCombined Order/Route Reporthas a special routing conditionincluding: Route is part of a bunched
order. Route represents a
modification to an orderpreviously routed to anational securitiesexchange that includes aduplicated Routed OrderID/Sent to Routed Order ID.
Some order modification typesaccepted by a nationalsecurities exchange requirefirms to use the original order
OATS Web Interface Data Dictionary 28
Field Name Definition Allowable Values Data Type Mandatory/Conditional
Instructions
identifier when submitting anorder modification. Forexample, the Fast Cancelfunction offered by NYSE Arcarequires a firm to use the ClientOrder ID entered with theoriginal order for all subsequentmodifications. In these limitedsituations involving a nationalsecurities exchange, a duplicateRouted order ID/Sent ToRouted Order ID will be allowed.
The Special Routing Conditionof ‘X’ can only be used whenrouting to a national securitiesexchange.
Stop Price The per-share stop price;the order becomes eithera market order or a limitorder (i.e. if a Limit Priceis specified) once thesecurity has been quotedat or through the specifiedstop price.
Numeric (18,8) C If entered, a Time in ForceCode must be provided.
Time in ForceCode
The length of time whenan order is valid.
<blank> Market Order–Validfor execution at theprevailing marketprice
DAY Day Order–Valid untilexecuted or the nextmarket close
GTC Good Till Cancelled–Valid until executed orcancelled by thecustomer
Alphanumeric (3) C Blank is interpreted by OATS asa market order.
Must be allowable value. CaseSensitive.
OATS Web Interface Data Dictionary 29
Field Name Definition Allowable Values Data Type Mandatory/Conditional
Instructions
GTD Good Till Date–Validuntil the close ofmarket on a specifieddate
GTM Good Till Month –Valid until the lastbusiness day of themonth in which theorder was received
GTT Good Till Time–Validuntil the specified time
GTX Good ThroughExtended Hours–Validuntil executed or theclose of the extendedhours session
TMO TriggerTimestamp
The specific date and timethat an order becomes amarket or limit price order.
Format:YYYYMMDDHHMMSSCCC
Numeric (17) C Required for orders with anySpecial Handling Code of‘TMO’.
TraderTerminal ID
The identifier of theterminal where the orderwas executed or theidentifier of the executingtrader.
Any alphanumeric notcontaining a delimiter.
Alphanumeric(12)
M
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FORE Status Statistics
Statistic Description
Accepted Number of FOREs accepted by OATS for a given processing day.
Rejected Number of FOREs rejected by OATS for a given processing day.
Reporting Statistics
Statistic Description
Accepted Number of ROEs accepted by OATS for a given processing day.
Rejected Number of ROEs rejected by OATS for a given processing day.
Type Description Received Rejected
NW New Number of New Order Reports received where theCanceled Timestamp AND the Desk ReceivedTimestamp fields are blank.
Number of New Order Reports rejected where theCanceled Timestamp AND the Desk ReceivedTimestamp fields are blank.
New with Cancel Number of New Order Reports received where theCanceled Timestamp is populated AND the DeskReceived Timestamp is blank.
Number of New Order Reports rejected where theCanceled Timestamp is populated AND the DeskReceived Timestamp is blank.
New with Desk Number of New Order Reports received where theCanceled Timestamp is blank AND the DeskReceived Timestamp is populated.
Number of New Order Reports rejected where theCanceled Timestamp is blank AND the Desk ReceivedTimestamp is populated.
New with Cancel andDesk
Number of New Order Reports received where theCanceled Timestamp AND the Desk Received
Number of New Order Reports rejected where theCanceled Timestamp AND the Desk Received
OATS Web Interface Data Dictionary 31
Type Description Received Rejected
Timestamp are populated. Timestamp are populated.
OR Combined Order/Route Number of Combined Order/Route Reports receivedwhere the Canceled Timestamp AND the DeskReceived Timestamp fields are blank.
Number of Combined Order/Route Reports rejectedwhere the Canceled Timestamp AND the DeskReceived Timestamp fields are blank.
Combined Order/Routewith Cancel
Number of Combined Order/Route Reports receivedwhere the Canceled Timestamp is populated ANDthe Desk Received Timestamp is blank.
Number of Combined Order/Route Reports rejectedwhere the Canceled Timestamp is populated AND theDesk Received Timestamp is blank.
Combined Order/Routewith Desk
Number of Combined Order/Route Reports receivedwhere the Canceled Timestamp is blank AND theDesk Received Timestamp is populated.
Number of Combined Order/Route Reports rejectedwhere the Canceled Timestamp is blank AND the DeskReceived Timestamp is populated.
Combined Order/Routewith Cancel and Desk
Number of Combined Order/Route Reports receivedwhere the Canceled Timestamp AND the DeskReceived Timestamp is populated.
Number of Combined Order/Route Reports rejectedwhere the Canceled Timestamp AND the DeskReceived Timestamp is populated.
OE CombinedOrder/Execution
Number of Combined Order/Execution Reportsreceived where the Desk Received Timestamp isblank.
Number of Combined Order/Execution Reports rejectedwhere the Desk Received Timestamp is blank.
CombinedOrder/Execution withDesk
Number of Combined Order/Execution Reportsreceived where the Desk Received Timestamp ispopulated.
Number of Combined Order/Execution Reports rejectedwhere the Desk Received Timestamp is populated.
CR Cancel/Replace Report Number of Cancel/Replace Reports received. Number of Cancel/Replace Reports rejected.
RT Routing Report Number of Routing Reports received. Number of Routing Reports rejected.
DS Desk Report Number of Desk Reports received. Number of Desk Reports rejected.
EX Execution Report Number of Execution Reports received. Number of Execution Reports rejected.
CL Cancel Report Number of Cancel Reports received. Number of Cancel Reports rejected
Total Total number of ROEs received. Total number of ROEs rejected.
Late Number of ROEs that were received late.
Resubmit Number of ROEs that were resubmitted.
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Out of Sequence
Statistic Description
Cancel Number of ROEs where Cancel Timestamp is prior to Order Received Timestamp for a given processingday.
Cancel/Replace Number of ROEs where Order Received Timestamp of Cancel/Replace event is prior to Order ReceivedTimestamp of original event for a given processing day.
Desk Number of ROEs where Desk Received Timestamp is prior to Order Received Timestamp for a givenprocessing day.
Execution Number of ROEs where Execution Timestamp is prior to Order Received Timestamp for a givenprocessing day.
Route Number of ROEs where Order Sent Timestamp is prior to Order Received Timestamp for a givenprocessing day.
OATS Web Interface Data Dictionary 33
Match Statistics
Type Statistic
Attempted Unmatched Match Rate Unmatched Rate
Order Trade The number of Executions orCombined Order/Executionreports where OATSattempted an Order/Tradematch. OATS will attempt amatch when the Action TypeCode is equal to ‘N’ and theMarket Center ID is equal toa FINRA Trade ReportingFacility and a ReportingException Code is notpopulated.
Number of records wherean Order/Trade attempt tomatch was made, but nomatch was found.
The percentage ofOrder/Trade matchedrecords.
The percentageOrder/Trade of unmatchedrecords.
Exchange Route The number of Route orCombined Order/Routereports where OATSattempted anExchange/Route match.OATS will attempt a matchwhen the Action Type Codeis equal to ‘N’, theDestination Code representsa National Stock Exchangeand the Routing MethodCode is ‘E’ or ‘S’.
Number of records wherean Exchange/Routeattempt to match wasmade, but no match wasfound.
The percentage ofExchange/Route matchedrecords.
The percentage ofExchange/Routeunmatched records.
Interfirm Route The number of Route orCombined Order/Routereports where OATSattempted an Interfirmmatch. OATS will attempt amatch when the Action Type
Number of records wherean Interfirm attempt tomatch was made, but nomatch was found.
The percentage ofInterfirm matchedrecords.
The percentage ofInterfirm unmatchedrecords.
OATS Web Interface Data Dictionary 34
Code is equal to ‘N’, theDestination Code is equal to‘M’ or ‘E’, and the RoutingMethod Code is equal to ‘E’or ‘S’.
Interfirm Received The number of Route orCombined Order/Routereports where OATSattempted an Interfirmmatch. OATS will attempt amatch when the Action TypeCode is equal to ‘N’, theDestination Code is equal to‘M’ or ‘E’, and the RoutingMethod Code is equal to ‘E’or ‘S’.
Number of records wherean Interfirm attempt tomatch was made, but nomatch was found.
The percentage ofInterfirm matchedrecords.
The percentage ofInterfirm unmatchedrecords.