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

Valid values:

Y = Order initiator is aggressor

N = Order initiator is passive

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”

LastLiquidityInd

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

ManualOrderIndicator

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

PositionEffect

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

• 'O' = Open
• 'C' = Closed
• 'F' = FIFO
• 'D' = Default

SelfMatchPreventionID

TradeReportingIndicator

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.

TrdMatchID

TrdSubType

TrdType

VenueExecID

Allowed Values:

• 'W' : 'DeskElectronic'
• 'H' : 'AlgoEngine'
• 'C' : 'FCMProvidedScreen'
• 'Y' : 'ClientElectronic'
• 'D' : 'OtherProvidedScreen'

Defaulted to  'C' : 'FCMProvidedScreen' on the gateway.

Optionally provided for Eurex in which case, the value will override the default.

KRXFinalBeneficiary

Eurex requires KRX Final Beneficiary populated on products listed on Korean Exchange including KOSPI.

KRXMemberID

Eurex requires KRX Member ID populated on products listed on Korean Exchange including KOSPI.

MifidID is Profile ID from the ICE Identifier Admin (Integer). This is an optional field

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

Allowed Values:

• 'O' = Open
• 'C' = Closed
• 'F' = FIFO
• 'D' = Default

Required for Eurex, IDEM

Closing position is an instruction to close as much as the current position as possible, not that it is the last order of the session.

Optional Field

Indicates a cancel instruction when Self Match Prevention is triggered.

Allowed Values:

• 'P' : 'CancelPassiveOrder' 
• 'A' : 'CancelAggressiveOrder'
• 'B' : 'CancelBothOrders'

Session State Orders allowed on SGX

Allowed Values:

• "OPEN" 
• "PRE-CLOSE" 

CustOrderHandlingInst

Allowed Values:

• 'W' : 'DeskElectronic'
• 'H' : 'AlgoEngine'
• 'C' : 'FCMProvidedScreen'
• 'Y' : 'ClientElectronic'
• 'D' : 'OtherProvidedScreen'

Defaulted to  'C' : 'FCMProvidedScreen' on the gateway.

Optionally provided for Eurex in which case, the value will override the default.

KRXFinalBeneficiary

Eurex requires KRX Final Beneficiary populated on products listed on Korean Exchange including KOSPI.

KRXMemberID

Eurex requires KRX Member ID populated on products listed on Korean Exchange including KOSPI.

MiFIDID

PositionEffect

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

Allowed Values:

• 'O' = Open
• 'C' = Closed
• 'F' = FIFO
• 'D' = Default

Required for Eurex, IDEM

Closing position is an instruction to close as much as the current position as possible, not that it is the last order of the session.

SelfMatchPreventionID

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

SelfMatchPreventionInstruction

Optional Field

Indicates a cancel instruction when Self Match Prevention is triggered.

Allowed Values:

• 'P' : 'CancelPassiveOrder' 
• 'A' : 'CancelAggressiveOrder'
• 'B' : 'CancelBothOrders'

Session State Orders allowed on SGX

Allowed Values:

• "OPEN" 
• "PRE-CLOSE" 

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

Valid Values: 

"RestingAtMatch"
"MatchAggressor"

Used to identify account numbers or orders for grouping trades together for average price calculations.
If incoming value is greater than max length, iLink will return the right-most twenty bytes.

Indicates if the resulting trade is to be average priced.

Valid Values:

"NoAveragePricing"
"Trade"
"NotionalValueAveragePxGroupTrade"

Valid Values:

"TradeClearingAtExecutionPrice"
"TradeClearingAtAlternateClearingPrice"

Valid Values:

"Market"
"CancelOnDisconnect"
"CancelOldestDueToSelfMatchPrevention"
"CancelFromCMEGlobexCreditControlsViolation"
"CancelFromFirmSoft"
"CancelFromRiskManagementAPI"/>
"CancelNewestDueToSelfMatchPrevention"/>
"CancelDueToRestingOrderQuantityLessThanMinimumLotSize"/>
"SystemCancel"

Used as an identifier for each fill reason or allocation reported in single Execution Report

Required if NoFills > 0

Append tag 17-ExecID with FillExecID to derive the unique identifier for each fill reason

Price of this fill reason or allocation

Required if NoFills > 0

Same as LastPx

Quantity bought/sold for this fill reason or allocation

Required if NoFills > 0

Valid Values:

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

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'

Defines source of original order

Optional Field

Defines source of original order

Allowed Values:

'DeskElectronic'

'AlgoEngine'

'VendorProvidedPlatform'

'SponsoredAccess'

'ClientElectronic' (Default)

'Other'

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

Defines source of original order

Optional Field

Allowed Values:

'DeskElectronic'

'AlgoEngine'

'VendorProvidedPlatform'

'SponsoredAccess'

'ClientElectronic' (Default)

'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'

DisplayFactor

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.

fee amount value

fee unit. Absolute/PerUnit/Percentage

Fee currency abbreviation

always ExchangeFees

will be present if QuoteViewOption BodyPassthru is populated with a mark option in MarketDataRequest

• User - Quote origin is the current user. If VWAP then the VWAP quote contains at least one quote from the current User.
• Firm - Quote origin is a distinctly different user but in the same Firm. If VWAP then the VWAP quote contains at least one quote from another member of the current user’s Firm
• Both - The VWAP quote contains quotes from both the current User and other members of its Firm.

unique entry id for new or change. can not be used to maintain book.

Indicative/Tradeable/RestrictedTradeable/Illiquid

specify liquidity pool

• Index - (default)
• Large - Fullamount only (FOK)
• P2P

This is used for self match prevention.

• AllQuotesNoMark - (DEFAULT) Show all quotes regardless of origin
• AllQuotesMark - Show all quotes regardless of origin but Mark
• FilterOwnFirmNoMark - Filter out quotes originating from own firm (including self)
• FilterOwnFirmMark - Filter out quotes originating from own firm (including self) and Mark.
• FilterSelfNoMark - Filter out only quotes originating from self
• FilterSelfMark - Filter out only quotes originating from self and Mark
• FilterOwnFirmNotSelfNoMark - Filter out quotes from own firm unless they belong to self
• FilterOwnFirmNotSelfMark - Filter out quotes from own firm unless they belong to self and Mark

Marked quotes will contain Isser Entrypassthruvalue in MarketDataIncrementalRefresh

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.

AggressorIndicator

Y = Taker is the aggressor (aggressor)

N = Taker is not the aggressor (aggressed)

Indicates whether the maker's price was resting in the book or came into the book at the time of the match.

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.

Aggressor flag:

• 1 = client is aggressor
• 2 = client is not aggressor

• Y = order initiator is aggressor (LC [and/or PB of LP])
• N = order initiator is passive (LP [and/or PB of LC])

• Y - Order matched as a Taker (aggressive fill)
• N - Order matched as a Maker (passive fill)

• FXQDM = FX Quote Driven Market (EBS Direct)
• FXODM = FX Order Driven Market (EBS Market - CLOB)

• QS = ‘Quotes’ Sweepable [EBS Direct - QDM]
• QF = ‘Quotes’ Full Amount [EBS Direct - QDM]
• QR = ‘Quotes’ RFQ Off MTF [EBS Direct - QDM]
• QRM = ‘Quotes’ RFQ On MTF [EBS Direct – QDM]
• OC = ‘Orders’ CLOB [Market - ODM]
• OH = ‘Orders’ HEDGE [Market - ODM]
• OE = ‘Orders’ eFIX [Market - ODM]

• D = ‘Quotes’ Sweepable [EBS Direct - QDM]
• DF = ‘Quotes’ Full Amount [EBS Direct - QDM]
• R = ‘Quotes’ RFQ [EBS Direct - QDM]
• M = ‘Orders’ CLOB [Market - ODM] 

Applicable to us:

• OC = ‘Orders’ CLOB [Market - ODM]
• OE = ‘Orders’ eFIX [Market - ODM]

• If the TCR is sent as a drop copy or in a streaming subscription will be N.
• If the TCR is sent as an action from support (eg client requested TCR to be sent again) then will be Y.

• 2 = Commodity (for Metals)
• 4 = Currency (for FX) 

• API
• Manual
• Unknown

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

• True : Aggressor
• False: Resting

CalculatedCcyLastQty

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
• LargeOrderSize

GrossTradeAmt

LargeOrderSizePriority
StandardOrderSizePriority

Indicates whether an incoming New Order/Cancel-Replace entered the book or subsequently rests on the book with Large Order Size or Standard Order Size priority.

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)

New sub-tick, which is only available for order entry when certain conditions are met, tick value that corresponds to the Alt Min Quote Life.

MQL duration in number of microseconds applied to orders at AltMinPriceIncrement.

Minimum price offset better than the best Standard Globex Minimum Tick order for which Alternate Globex Minimum Tick order will be accepted.

Allowable high limit price for the trading day.

Allowable low limit price for the trading day.

SizePriority

For instruments eligible for Size Priority Matching, SecurityStatus will be published with MatchAlgorithm set to SizePriority.

Maximum bid/ask spread for which Alternate Globex Minimum Tick orders will be accepted (Sub tick orders will be rejected if bid/ask spread is greater than this value).

Max allowed discretionary offset from Limit order price. When the value in this field = 0, discretionary price cannot be submitted for the instrument. 

Minimum Quote Life in number of microseconds.

MinLotSize required for Size Priority Matching published for eligible instruments.

New sub-tick, which is only available for order entry when certain conditions are met, tick value that corresponds to the Alt Min Quote Life.

MQL duration in number of microseconds applied to orders at AltMinPriceIncrement.

Minimum price offset better than the best Standard Globex Minimum Tick order for which Alternate Globex Minimum Tick order will be accepted.

SizePriority

For instruments eligible for Size Priority Matching, SecurityStatus will be published with MatchAlgorithm set to SizePriority.

LP Reject count.

• 0=no match with makers  
• 1 (or higher) = number of LP’s that rejected the order

•  "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
• "ReservedForFurtherUse" = Reserved for further use
• "YourOwnQuoteOrder" = Your Own Quote/Order
• "AddLiquidityOnlyOrder" = Add Liquidity Only Order
• "ExtendedIOCOrFOKOrder" = “Extended” IOC or FOK 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:

•  "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

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

• 0 - Indicative
• 1 - Tradable

• 2 = Principal
• 4 = Agency

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

Used to indicate if the order owner is the aggressor for a fill

• Y = Order initiator is aggressor
• N = Order initiator is passive

Average commission fees on order.

Original OrderID of orders. This will remain constant after an order has been amended.

Commission (per Unit or spread).

Per Day level average commission for GTx orders.

Set when the ExecType is "Done for Day" on GTC orders. The average price of orders dealt during the day.

Set when the ExecType is "Done for Day" on GTC orders. This is the total amount filled of the original order during the day.

Set when the ExecType is "Done for Day" on GTC orders. This will contain remaining quantity of the order to fill, where: DayOrderQty = OrderQty - (CumQty - DayCumQty)

The Average all-in-rate of the total trade per day, inclusive of commission for GTx orders

Cumulative quantity of calculated currency executed per day for GTx Orders

Average execution price without commission/margin

Possible instructions are:

• NotHeld
• ReinstateOnConnectionLoss
• CancelOnConnectionLoss
• Suspend
• Release

Possible reasons are:

• GTRenewal - Some LPs allow GTC (Good Till Cancel) and GTD (Good To Date) orders to rest over a weekend. When this occurs they reinstate the orders at the start of the week with GT_Renewal (GT = Good To).
• BrokerOption - refers to the reason why the LP reinstated an unsolicited cancelled order.

Possible Values:

• AutomatedExecutionNoIntervention - Automated execution order, private, no Broker intervention
• AutomatedExecutionInterventionOK - Automated execution order, public, Broker intervention OK

Assigned by the bank who received the order.

Can be used to provide order id used by exchange or executing system.

Total amount due expressed in settlement currency (includes the effect of the forex transaction). Cumulative quantity of calculated currency executed across order.

The target algo strategy of the order.

Indicates if the order is currently being worked.

• N = Order has been accepted but is not yet in a working state
• Y = Order is currently being worked

Allowed Values:

• ReinstateOnConnectionLoss - Keep order open
• CancelOnConnectionLoss - Cancel on connection loss

Allowed Values:

• AutomatedExecutionNoIntervention - Automated execution order, private, no Broker intervention
• AutomatedExecutionInterventionOK - Automated execution order, public, Broker intervention OK

Allowed Values:

• ReinstateOnConnectionLoss - Keep order open
• CancelOnConnectionLoss - Cancel on connection loss

Allowed Values:

• AutomatedExecutionNoIntervention - Automated execution order, private, no Broker intervention
• AutomatedExecutionInterventionOK - Automated execution order, public, Broker intervention OK

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

• Y = This order was the aggressor
• N = This order was passive

1 = GT renewal
3 = Repricing of order
4 = Broker option
5 = Partial decline of OrderQty
99 = Other

The BIC code of the ExecutingFirm

Total amount of trade: GrossTradeAmt = CumQty * AvgPx

The price at which the order is currently pegged

The value of the reference price that the order is pegged to.
PeggedRefPrice + PegOffsetValue (211) (converted to Price) = PeggedPrice
(839) unless the limit price (44, Price) is breached.

Populated if in the original order

Populated if in the original order

Populated if in the original order

The BIC code of the PrimeBroker

• 3 = Morning
• 4 = Afternoon

ParFX Trading Platform assigned unique execution ID.

• Y = This order was the aggressor
• N = This order was passive 

-

-

-

-

•  0 = Credit Limit
•  1= Gross Position Limit
•  2 - Net Position Limit
•  3 - Risk Exposure Limit
•  4 - Long Position Limit
•  5 - Short Position Limit

-

• 20 = Normal
• 21 = Inverse

-

-

• Y = Order entered by manual user
• N = Order entered by algorithm

Optional field and defaults to Automated.

Supported Values:

• "Manual"
• "Automated"

MatchStatus indicates the confirmation status of the trade. Trades consummated on Matching can be marked 
as confirmed or unconfirmed. An unconfirmed trade indicates that the matching service has booked the trade 
however the recipient’s counterparty may not have received their match notification and or trade capture 
report. The trade is still valid and is requires settlement with the counterparty.

Valid Values:

• Compared
• Uncompared

-

-

-

-

-

-

-

-

Price Convention.

• 1 = Normal
• 2 = Inverse

-

-

-

-

-

-

-

-

-

-

Indicates whether the Regular Amount has been exceeded.

Y - when exceeded, otherwise not populated.

-

Indicates if the market is eligible for CLS.

• Y = CLS
• N = Non-CLS

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

Symbol. The general syntax of the MAPI RFA symbol names is:
CCY1CCY2[RESTRICTION][TENOR]=[TCID for screened prices]
Where either the base or the terms is the USD, only the other currency is listed in the name:
CCY[RESTRICTION][TENOR]=[TCID for screened prices]

RESTRICTION:

• DOM - Domestic
• OFF - Offshore

TENOR:

• <none> - Normal Spot settlement
• T - Today (t)
• TOM - Tomorrow (t +1)

-

-

-

Optional Field

Italian Financial Transaction Tax (IFTT), if applicable.

Timestamp for the order execution. In the context of US futures markets (CFTC regulated) this is the non-qualified reporting time of order execution.

Optional Field

• C = CashSettlementRequired
• P = PhysicalSettlementRequired

Optional Field
MIFID II flag indicating OrderReceivedFromDirectAccessCustomer

Optional Field

• 3 = FixedAmount

Optional Field

• 0 = UNIT
• 1 = NOML
  
• 2 = MONE

Optional Field

User login / Id on the market side

Optional Field

(MIFID II) Should specify the strategy used to register the quote request (as being sent to the markets as a whole or to specific counterparties).

Optional Field
0=Full Book (the default) or 1=Top of book

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': Interest-only orders matchable immediately. Resting Orders
• 'Firm': Firm feeds matchable immediately
• 'LastLook': Feeds requiring validity check

• Interest': Interest-only orders matchable immediately. Resting Orders
• 'Firm': Firm feeds matchable 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'.

• 'BestOffer': default for Side=sell, sell-stop orders
  
• 'BestBid' : default for Side=buy, buy-stop orders

SpotRatePrecision

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

• NoPublicPriceDueToIlliquid - No public price quoted as instrument is
  illiquid’.
• NoPublicPriceDueToOrderSize - ’No public price quoted due to "Size".
• NoPublicPriceDueToLargeInScale - No public price and/or size quoted as transaction is "large in scale".

MidSpotRate

ExecutionVenue

Venues SpotDate for reference.

Optional field to be sent by client to override the default value.

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.

Type of Peg Limit

Valid Values: "PriceImprovementAllowed", "Strict" or "OrWorse"

If the calculated peg price is not a valid tick price, specifies whether to round the price to be more or less aggressive.

Valid Values: "MoreAggressive", "MorePassive"