Tag21017 in venue ExecutionReport message used as an indicator to show whether the SEF considers the executed trade to be cleared. This will be the value the client published in NewOrder message.

Valid values – Y or N. Applicable to SEF trades only.

Tag21002 in venue ExecutionReport message used to publish Date & Time (hh:mm:ss) – (max 25 chars). This will be the value the client published in NewOrder message.

Applicable to SEF trades only.

Tag21000 in venue ExecutionReport message used to publish LEI or name of venue (max 42 chars). This will be the value the client published in NewOrder message.

Applicable to SEF trades only.

Tag21024 in venue ExecutionReport message used as an indication of whether the trade will be allocated. Valid values – Y or N. This will be the value the client published in NewOrder message.

Applicable to SEF trades only.

Tag21021 in venue ExecutionReport message used to publish when prior USI is known for a trade, the SEF needs to provide the prefix (max 10 chars). This will be the value the client published in NewOrder message.

Applicable to SEF trades only.

Tag21022 in venue ExecutionReport message used to publish when prior USI is known for a trade, the SEF needs to provide the value (max 32 chars). This will be the value the client published in NewOrder message.

Applicable to SEF trades only.

Tag21020 in venue ExecutionReport message used as a Flag to indicate if the trade is a result of security conversion only where applicable Valid values – Y or N. This will be the value the client published in NewOrder message.

Applicable to SEF trades only.

Tag21003 in venue ExecutionReport message used to link the legs of a swap; track allocations; cancel/correct, etc. (max 42 chars). This will be the value the client published in NewOrder message.

Applicable to SEF trades only.

Tag21018 in venue ExecutionReport message used to publish Unique product Identifier as per the ISDA taxonomy (max 10 chars). This will be the value the client published in NewOrder message.

Applicable to SEF trades only.

Tag21019 in venue ExecutionReport message used to publish Unique product Identifier as per the ISDA taxonomy (max 42 chars). This will be the value the client published in NewOrder message.

Applicable to SEF trades only.

Where prior USI is known for a trade, the SEF needs to provide the prefix (max 10 chars)

Where prior USI is known for a trade, the SEF needs to provide the value (max 32 chars) 

Unique product Identifier as per the ISDA taxonomy (max 10 chars) 

Unique product Identifier as per the ISDA taxonomy (max 42 chars)

Used as an indicator to show whether the SEF considers the executed trade to be cleared. 

Valid values – Y or N.

Tag21017 in venue NewOrderSingle message used as an indicator to show whether the SEF considers the executed trade to be cleared. 

Valid values – Y or N. Applicable to SEF trades only.

Tag21002 in venue NewOrderSingle message used to publish Date & Time (hh:mm:ss) – (max 25 chars).

Applicable to SEF trades only.

Tag21000 in venue NewOrderSingle message used to publish LEI or name of venue (max 42 chars).

Applicable to SEF trades only.

Tag21024 in venue NewOrderSingle message used as an indication of whether the trade will be allocated. Valid values – Y or N

Applicable to SEF trades only.

Tag21021 in venue NewOrderSingle message used to publish when prior USI is known for a trade, the SEF needs to provide the prefix (max 10 chars)

Applicable to SEF trades only.

Used to publish when prior USI is known for a trade, the SEF needs to provide the value (max 32 chars) 

Tag21022 in venue NewOrderSingle message used to publish when prior USI is known for a trade, the SEF needs to provide the value (max 32 chars) 

Applicable to SEF trades only.

Tag21020 in venue NewOrderSingle message used as a Flag to indicate if the trade is a result of security conversion only where applicable Valid values – Y or N

Applicable to SEF trades only.

Tag21003 in venue NewOrderSingle message used to link the legs of a swap; track allocations; cancel/correct, etc. (max 42 chars)

Applicable to SEF trades only.

Unique product Identifier as per the ISDA taxonomy (max 10 chars) 

Tag21018 in venue NewOrderSingle message used to publish Unique product Identifier as per the ISDA taxonomy (max 10 chars) 

Applicable to SEF trades only.

Tag21019 in venue NewOrderSingle message used to publish Unique product Identifier as per the ISDA taxonomy (max 42 chars)

Applicable to SEF trades only.

BARX Operating MIC

Values: BPLC, BBIE

Execution Venue LEI Supported values:

• “549300ROEJDDAXM6LU05” = Bloomberg Trading Facility Limited (BMTF)
• “254900QBKK4WBSO3GE51” = Bloomberg Trading Facility Europe (BTFE)

Supported values:

• “NDF”
• “Forward”

The broad asset category for assessing risk exposure. Supported values:

• 2 = Currency
• 5 = Commodity (for Precious Metals)

Execution Venue LEI Supported values:

• “549300ROEJDDAXM6LU05” = Bloomberg Trading Facility Limited (BMTF)
• “254900QBKK4WBSO3GE51” = Bloomberg Trading Facility Europe (BTFE)

Supported values:

• 1 = Liquidity Maker
• 2 = Liquidity Taker (Requirement for SEF)

Supported values:

• “NDF”
• “Forward”

Indicates if the Order is aggressed. Supported values: 

• Y - Indicates aggressive trade
• N - Indicates passive trade
• HSFX - otherwise

Equivalent amount in USD

SettlCurrency

UTI

ConfirmDelay

SolicitedFlag

UTI

Indicates if the Order is aggressed. Supported values: 

• Y - Indicates aggressive trade
• N - Indicates passive trade
• HSFX - otherwise

Equivalent amount in USD

SettlCurrency

UTI

CumQty

LeavesQty

OrderQty2

UTI

MaxShow

MinQty

SettlCurrAmt

SettlCurrency

AvgPx

CumQty

LeavesQty

OrderQty

OrderQty2

MinPriceIncrement

Indicates if the Order is aggressed. Supported values: 

• Y - Indicates aggressive trade
• N - Indicates passive trade
• HSFX - otherwise

Equivalent amount in USD

SettlCurrency

UTI

Used to identify account numbers or orders for grouping trades together for average price calculations.

Indicates if the resulting trade is to be average priced.

This tag is also used to indicate type of average price grouping.

Optional Field

Allowed Values:

'NoAveragePricing': No Average Pricing (Default)

'Trade': Trade is part of an Average Price Group Identified by the AvgPxGroupID.

'NotionalValueAveragePxGroupTrade' : Notional Value Average Pricing with Average Price Group Identified by the AvgPxGroupID.

Indicates whether spread differential trade is clearing at execution price (tag 31-LastPx) or alternate clearing price (i.e. previous day’s settlement price).

Optional Field

Allowed Values:

'TradeClearingAtExecutionPrice' 

'TradeClearingAtAlternateClearingPrice'

'CTI1' : Applies to orders entered or trades executed by an individual member for their own account, for an account they controls, or for an account in which they have an ownership or financial interest. However, transactions initiated and executed by a member for the proprietary account of a member firm must be designated as CTI 2 transactions.
'CTI2' (default)  : Applies to orders entered or trades executed for the proprietary accounts of a member firm, including Rule 106.H., I., N., R. and S. firms.
'CTI3' : Applies to orders entered by a member or a nonmember terminal operator for the account of another individual member or an account controlled by such individual member.
'CTI4' : Applies to all orders and transactions not included in CTI categories 1, 2, or 3. These typically are orders entered by or on behalf of nonmember entities.

Optional Field

Allowed Values:

CTI1

CTI2 (default)

CTI3

CTI4

Optional Field

The type of business conducted.

Allowed Values:

'Customer' (Default)

'Firm'

Optional Field

Allowed Values:

Manual 
Automated (Default)

Indicates whether the cancel/replace supports IFM. 

Optional Field

Allowed Values:

'N' = Disabled (Default)
'Y' = Enabled

This tag is required when market participants elect to use the optional Self Match Prevention functionality.

Indicates a cancel instruction when Self Match Prevention is triggered.

Optional Field

Allowed Values:

'CancelOldest' 

'CancelNewest'

Used to identify account numbers or orders for grouping trades together for average price calculations.

Indicates if the resulting trade is to be average priced.

This tag is also used to indicate type of average price grouping.

Allowed Values:

'NoAveragePricing': No Average Pricing (Default)

'Trade': Trade is part of an Average Price Group Identified by the AvgPxGroupID.

'NotionalValueAveragePxGroupTrade' : Notional Value Average Pricing with Average Price Group Identified by the AvgPxGroupID.

Optional Field

Allowed Values:

'NoAveragePricing' (Default)

'Trade'

'NotionalValueAveragePxGroupTrade' 

Indicates whether spread differential trade is clearing at execution price (tag 31-LastPx) or alternate clearing price (i.e. previous day’s settlement price).

Optional Field

Allowed Values:

'TradeClearingAtExecutionPrice' 

'TradeClearingAtAlternateClearingPrice'

'CTI1' : Applies to orders entered or trades executed by an individual member for their own account, for an account they controls, or for an account in which they have an ownership or financial interest. However, transactions initiated and executed by a member for the proprietary account of a member firm must be designated as CTI 2 transactions.
'CTI2' (default) : Applies to orders entered or trades executed for the proprietary accounts of a member firm, including Rule 106.H., I., N., R. and S. firms.
'CTI3' : Applies to orders entered by a member or a nonmember terminal operator for the account of another individual member or an account controlled by such individual member.
'CTI4' : Applies to all orders and transactions not included in CTI categories 1, 2, or 3. These typically are orders entered by or on behalf of nonmember entities.

Optional Field

Allowed Values:

'CTI1'
'CTI2' (default) 
'CTI3'
'CTI4'

Optional Field

The type of business conducted.

Allowed Values:

Customer (Default)

Firm

Optional Field

Defines source of original order

Allowed Values:

DeskElectronic
AlgoEngine (Default)
VendorProvidedPlatform
SponsoredAccess
ClientElectronic
Other

Defines source of original order

Optional Field

Allowed Values:

'DeskElectronic'

'AlgoEngine' (Default)

'VendorProvidedPlatform'

'SponsoredAccess'

'ClientElectronic'

'Other'

Optional Field

Allowed Values:

Manual 
Automated (Default)

Optional Field

This tag is required when market participants elect to use the optional Self Match Prevention functionality.

Optional Field

Indicates a cancel instruction when Self Match Prevention is triggered.

Allowed Values:

'CancelOldest' 

'CancelNewest'

SecurityID

HighLimitPrice

InstrumentActivationTime

InstrumentExpirationTime

LowLimitPrice

MaxPriceVariation

SecurityID

If a client choose to enable ExecutionMessage to send ExecAck in response to venue ExecReport, then TradeStatus is a required field to pass Rejected execution status.

Applicable field values are: '2: Client Declined', '3: Expired' and '4: Error'

Field mapped to TradeStatus/ Tag7226 in venue message.

Required Client identifier provided by CreditSuisse.

Optional field to specify number of price levels you want to receive in a MassQuote.

Echoed back from NewOrderMultileg

Accepts Strings. Provided by the client for their own tracking. will be returned in execution reports.

Accepts Strings. Provided by the client for their own tracking. will be returned in execution reports.

Where this is not available, Enterprise will publish "ANON".

When subscribing to price-depth books, the ordering of the NoEntryPassthruFields and NoOfSecSizes groups are identical, so the identity of the individual orders may be determined.

Indicates if order was incoming or resting for the match event.

True : Aggressor

False: Resting

Fill Reason -This identifies the type of match algorithm

FutureHedge
ProRata
LMM
TOP
FIFO
CrossBMG
Covering
CrossBPM
Leveling
Aggressor
Leg
Opening
ImpliedOpening
FIFOPercent
InstitutionalPrioritization
PriceDiscretion

Unique identifier linking spread summary fill notice with leg fill notice and trade cancel messages.

To uniquely identify each fill, Client System can concatenate: OrderID (37) + TradeDate (75) + SecExecID (527) 

Indicates if order was sent manually.

Allowed Values:

Manual

Automated (Default)

Flag indicating whether the cancel/replace supports iLink Order Cancel-Replace and In-Flight Mitigation to prevent overfilling. Once enabled in the order chain, IFMOverride cannot be disabled.

Y : Enabled

N : Disabled (Default)

Used to act upon the outcome when a self-match is detected and an order is prevented from trading against another order with the same tag 2362-SelfMatchPreventionID.

Allowed Values:

CancelNewest

CancelOldest (Default)

Indicates if order was sent manually.

Allowed Values:

Manual

Automated (Default)

Used to act upon the outcome when a self-match is detected and an order is prevented from trading against another order with the same tag 2362-SelfMatchPreventionID.

Allowed Values:

CancelNewest

CancelOldest (Default)

LP Reject count.

0=no match with makers  

1 (or higher) = number of LP’s that rejected the order

Optional Field:

This will be populated only on trades (Tag 269=2) where a Quote
is on one side of the trade. The tag will not be populated when the
trade is between orders

Values:

I = Traded with Last Look

Current volatility in basis points

Optional Field:

The expected maximum latency of response
 "0To1milliseconds" =  0 to 1 milliseconds :
"0To30Milliseconds" :  0 to 30 milliseconds: 
"0To100Milliseconds" = 0 to 100 milliseconds (default): 
"0To500Milliseconds"= 0 to 500 milliseconds: 
"0To3000Milliseconds" = from 0 to 3000 milliseconds

Maximum number of price levels accepted by fastmatch is 5.

Makers can request to receive any value between 0 and 5.  

Indicates whether the trade provided or removed liquidity from the market. Only applicable to trade notifications. Supported values: 

• 1 Added Liquidity
• 2 Removed Liquidity
• 3 Liquidity Routed Out
• 4 Auction
• 5 Unknown

Echo back on the tag is used for clients to disclose if the request was instigated by a trader or an automated system:

• ‘Y’ = Request instigated by a trader
• ‘N’ = Request instigated by an automated system

Whether a trade would result in an opening or closing position. Supported values: 

• 'O' = Open
• 'C' = Closed

Used between parties to convey trade reporting status. Supported values: 

• 0 = Trade has not (yet) been reported. Depending on the regulatory regime the trade is reportable and the recipient may be responsible for reporting.
• 6 = Trade has been or will be reported. Depending on the regulatory regime the recipient is not responsible for reporting.

Whether a trade would result in an opening or closing position. Supported values: 

• 'O' = Open
• 'C' = Closed

Whether a trade would result in an opening or closing position. Supported values: 

• 'O' = Open
• 'C' = Closed

Indicates whether or not contra-currency amounts are truncated instead of rounded. Valid values:

• 'Y' - Truncated.
• 'N' - Rounded.

AllocContraAmount

AllInDPS

FXall all-in precision

PointDPS

FXall Forward points
precision

RoundDownCcy

Indicates whether currency is rounded down.

Valid Values:

• Y 
• N

SpotDPS

FXall Spot precision

Indicates whether or not contra-currency amounts are truncated instead of rounded. Valid values:

• 'Y' - Truncated.
• 'N' - Rounded.

FwdPts

MidRate

AllInDPS

FXall all-in precision

PointDPS

FXall Forward points
precision

RoundDownCcy

Indicates whether currency is rounded down.

Valid Values:

• Y 
• N

SpotDPS

FXall Spot precision

Indicates whether or not contra-currency amounts are truncated instead of rounded. Valid values:

• 'Y' - Truncated.
• 'N' - Rounded.

SpotDate

ESP only, valid values: Y or N, when Y then no quotes will be received from fxspotstream

on fxspotstream a live market data subscription is required for all order types, however if the client wants to send Limit or Market orders they might not be interested in actually receiving the market data, in which case this can be enabled

also see PriceStreamType

ESP only, valid values: LIMIT or DEFAULT

on fxspotstream a live market data subscription is required for all order types, if the client intends to use Limit or Market orders then this should be set to LIMIT, otherwise may be omitted or set to DEFAULT

also see NoMarketFeedback

The offset value added to or substracted from the mid price.

FSS MidMatch has a “tears” policy embedded within.

When there is a PnL balance (MTM = Mark to Market) incurred in the currency pair post execution due to market movement, the counterparties are required to pay back/receive back this MTM  in the form of an offset.

To determine the MTM on a trade, they measure the mid movement of 30 secs in liquid pairs and 120 secs in liquid emerging market pairs (non-liquid pairs), and compare to the mid-rate at execution.

If there is an outstanding offset, it is added to the execution mid-rate which is execution price.

The offset is a rate that is calculated:

• Liquid pairs = (Current MTM balance / 20 day notional amount traded)
• Non-liquid pairs = (Current MTM balance / 45 day notional amount traded)

The offset is reset daily during MidMatch maintenance at 5:00pm EDT and held static for the next trading session (until the next maintenance cycle).

Not every trade will have an offset applied.  It depends on the MTM balance.  If the MTM between two counterparties is below USD $500, there is no offset applied. 

Please contact FXSpotStream for any further clarification required.

Allowed Values:

• FullAmount
• Sweepable

ClRefRequestId

QuoteEntryID

SettlementInstruction

Optional field to indicate if the opposite side of the trade should be truncated. The supported values are:

Y

N

Optional field to indicate if the opposite side of the trade should be truncated. The supported values are:

Y

N

Optional field to indicate if the opposite side of the trade should be truncated. The supported values are:

Y

N

Optional field to request indicative prices only. The supported values are:

Y (Indicative)

N (Tradeable)

The default value is N (Tradeable)

Optional field to indicate support for dynamic price level changes by the Venue. The supported values are:

Y

N

The default value is Y

Optional Field

Italian Financial Transaction Tax (IFTT), if applicable.

Optional trading reference returned if supplied on the NewOrderSingle (35=D).

MaturityTime

Optional fixing time on the fixing date for the NDF contract. This
is an optional field but must be expressed in local time with
offset to UTC specified. If supplied this will be validated; note
unsupported times will be rejected with a
MarketDataRequestReject.

If 'Y' then partial fills may occur at prices beyond the requested limit price, if earlier partial fills occurred at a better price, as long as the overall avgPx remains better than  the requested limit price.

'Y' or 'N' accepted

If 'Y' then no partial fills will occur.

'Y' or 'N' accepted

If 'Y',it gtx will match  any price, including LastLook feeds.

If 'N' gtx will only match with Interest and Firm. So No LastLook matches.

‘Marketable’ means the order was matched with an LP quote / order by the GTX matching engine. If the order is not marketable (for any reason such as the market moved and there is no quote / order which matches the Limit price) then this tag would provide that information to the client.  

This tag is useful for clients to understand if they got rejected by the LP or if their order was not presented to the LP in the first place due to no ‘match’.

'Y': the order was matched by GTX engine (i.e. the order was marketable and was presented to the LP).

'N': the order was not matched (i.e. the order was not markable and never presented to an LP).

Whether this entry can be transacted by the viewer.

• 'Active': Tradable,unless conditions change.
• 'Indicative': blocked by rick limit or otherwise not tradable.

GTX-defined Categroy if permissioned:

• 'Interest' only orders matchable immediately
• 'Firm' feeds matchable immediately
• 'LastLook' Feeds requiring validity check.

• 'Interest' only orders matchable immediately
• 'Firm' feeds matachable immediately
• 'LastLook' Feeds requiring validity check

Controls the post-trade multiple-ticket averaging mechanism(for trade types where this is possible):

'Aggregate' Automatically aggregate partial fills that occur at the same time or within a small window of time.

If 'Y' then partial fills may occur at prices beyond the requested limit price, if earlier partial fills occurred at a better price, as long as the overall avgPx remains better than  the requested limit price.

'Y' or 'N' accepted

If an IOC order does not match any Interest orders and is routed to an external liquidity venue which also does not match (reject), then GTX will check again for a Interest match or for another external liquidity venue until the IOCTimeToLive has elapsed. If omitted then FIX IOC orders are never routed to more than one external liquidity venue. Type: Integer(milliseconds)

If 'Y',it gtx will match  any price, including LastLook feeds.

If 'N' gtx will only match with Interest and Firm. So No LastLook matches.

PartialFill Restiction: only allow partial fills in multiples of this amount. Type: Qty

Identifies which side of the book will trigger a stop order. Valid Values are 'BestOffer' and 'BestBid'

Pre-trade allocation strategy; must be predefined possibly with coordination of prime broker.

Controls the post-trade multiple-ticket averaging mechanism(for trade types where this is possible):

'Aggregate' Automatically aggregate partial fills that occur at the same time or within a small window of time.

If 'Y' then partial fills may occur at prices beyond the requested limit price, if earlier partial fills occurred at a better price, as long as the overall avgPx remains better than  the requested limit price.

'Y' or 'N' accepted

If an IOC order does not match any Interest orders and is routed to an external liquidity venue which also does not match (reject), then GTX will check again for a Interest match or for another external liquidity venue until the IOCTimeToLive has elapsed. If ommited then FIX IOC orders are never routed to more than one external liquidity venue. Type: integer (milliseconds)

If 'Y',it gtx will match  any price, including LastLook feeds.

If 'N' gtx will only match with Interest and Firm. So No LastLook matches.

PartialFill Restiction: only allow partial fills in multiples of this amount. Type: Qty

Client-assigned identifier that will not be used by GTX but will be echoed back in any Execution Report

Identifies which side of the book will trigger a stop order. Valid Values are 'BestOffer' and 'BestBid'

SpotRatePrecision

360T defines the following values in their API which are NOT used, but captured here as a precaution:

• NoBookOrderDueToAverageSpreadPrice - No preceding order in book as transaction price set within average spread of a liquid instrument.
• NoBookOrderDueToRefPrice - No preceding order in book as transaction price depends on system-set reference price for an illiquid instrument.
• NoBookOrderDueToOtherConditions - No preceding order in book as transaction price is for transaction subject to conditions other than current market price.
• NoPublicPriceDueToRefPrice - No public price for preceding order as public reference price was used for matching orders.