where the price determination process is of a different nature than that applicable to the types of system covered by first five rows. five best bid and offer price levels and/or two-way quotes of each market maker in the instrument, if the characteristics of the price discovery mechanism so permit. MDOriginType(1024)=8 (Hybrid market) MDPriceLevel(1023)=1..5 Any other trading system Any other type of trading system, including a hybrid system falling into two or more of the types of trading systems referred to in this table. Adequate information as to the level of orders or quotes and of trading interest in respect of shares, depositary receipts, ETFs, certificates and other similar financial instruments traded on the trading system; in particular, the five best bid and offer price levels and/or two-way quotes of each market maker in that instrument, if the characteristics of the price discovery mechanism so permit. N/A MarketDataSnapshotFullRefresh(35=W) MarketDataIncrementalRefresh(35=X) MDOriginType(1024)=8 (Hybrid market) MDPriceLevel(1023)=1..5
2 = Per unit (share or contract) - For stocks, bonds, option contracts 3 = Fixed amount - For MAC Swaps the upfront amount 4 = Discount - Percentage points below par 5 = Premium - Percentage points over par 6 = Spread (basis points) 9 = - Expressed according to market convention where security was issued 12 = Par price spread 20 = Normal rate representation - For FX rates 21 = Inverse rate representation - For FX rates 23 = Up points - Used specifically for CDS pricing. 24 = Interest rate 100 = Discount margin →→ LegQtyType 1591 int N Type of quantity specified in LegOrderQty(685) * Standard FIX field added to component. Supported values: 0 = (shares, par, currency) 1 = Contracts → end <InstrmtLegGrp> component → MDEntryPx 270 Price N Price of the Market Data Entry. → PriceType 423 int N Indicates the price type of price fields in the message. Supported values: 1 = Percent of par - For cash bonds 2 = Per unit or contract) - For stocks, bonds, option contracts 3 = Fixed amount - For MAC Swaps the upfront amount 4 = Discount - Percentage points below par 5 = Premium - Percentage points over par 6 = Spread (basis points) 9 = - Expressed according to market convention where security was issued 12 = Par price spread 20 = Normal rate representation - For FX 21 = Inverse rate representation - For FX rates 23 = Up front points - Used specifically for CDS pricing. 24 = Interest rate 100 = Discount margin → Currency 15 Currency N Identifies currency used for price. Absence of this field is interpreted as the default for the security. Uses ISO 4127 3-character currency code. → MDEntrySize 271 Qty N Quantity or volume represented by the Market Data Entry. → MDEntryDate 272 N Date of the market data entry. If not specified, it is defaulted to current business date. → MDEntryTime 273 N Time of the market data entry.
Periodic auction trading system A system that matches orders on the basis of a periodic auction and a trading algorithm operated without human intervention. The price at which the auction trading system would best satisfy its trading algorithm in respect of shares, depositary receipts, ETFs, certificates and other similar financial instruments traded on the trading system and the volume that would potentially be executable at that price by participants in that system. For each financial instrument, the at which the auction trading system would best satisfy its trading algorithm and the volume that would potentially be executable at that price by participants in that system. TradeCaptureReport(35=AE) VenueType(1430)=A (Auction driven market) Request-for-quote trading system A trading system where a quote or quotes are provided in response to a request for a quote submitted by one or more other members or participants. The quote is executable exclusively by the requesting member or market participant. The requesting member or participant may conclude a transaction by accepting the quote or quotes provided to it on request. The quotes and the attached volumes from any member or participant which, if accepted, would lead to a transaction under the system’s rules. All submitted quotes in response to a request for quote may be published at the same time but not later than when they become executable. The quotes and the attaching volumes from any member or participant if accepted, would lead to a transaction under the system’s rules. All submitted quotes in response to a request for quote may be published at the same time but not later than when they become executable. TradeCaptureReport(35=AE) VenueType(1430)=N (Quote negotiation) Voice trading system A trading system transactions between members are arranged through voice negotiation. The bids and offers and the attaching volumes from any member or participant which, if accepted, would lead to a transaction under the system’s rules TradeCaptureReport(35=AE) VenueType(1430)=V negotiation) Trading system not covered by first 5 rows A hybrid system falling into two or more of the first five rows or a system where the price determination process is Adequate information as to the level of orders or quotes and of trading interest; in particular, the five best bid and offer price levels and/or two-way quotes of TradeCaptureReport(35=AE) VenueType(1430)=H (Hybrid market)
synchronization under article 50 of Directive 2014/65/EU]. For transactions not executed on a trading the date and time when the parties agree the content of the following fields: quantity, price, currencies in fields 31,34 and 44 as specified in Table 2 of Annex 1 of [Commission Regulation (EU) on reporting obligations under Article 26 of Regulation (EU) No 600/2014)], instrument identification code, instrument classification and underlying instrument code, where applicable. For transactions not executed on a trading venue the time reported shall be granular to at least the nearest second. Where the transaction results from an order transmitted by the executing firm on behalf of a client to a third party where the conditions for transmission set out in Article 4 of [draft RTS on reporting obligations under Article 26 of MiFIR] were not satisfied, this shall be the date and time of the transaction rather than the time of the order transmission. out in Article 3 of Commission Delegated Regulation (EU) xx/xxxx1. For transactions not executed on a trading venue, the date and time shall be when the parties agree the content of the following fields: quantity, price, currencies (in fields 31, 34 and 40 as specified in Table 2 of Annex I of Commission Delegated Regulation (EU) xx/xxxx2, instrument identification code, instrument classification and underlying instrument code, where applicable. For transactions not executed on a trading venue the time reported shall be granular to at least the nearest second. Where the transaction results from an order transmitted by the executing firm on behalf of a client to a third party where the conditions for transmission set out in Article 5 of Commission Delegated Regulation (EU) xx/xxxx2 were not satisfied, this shall be the date and time of the transaction rather than the time of the order transmission. 2 Instrument identification code type For all financial instruments Code type used to identify the financial instrument. 'ISIN' 'OTHR' SecurityIDSource(22)=4 (ISIN) 3 Instrument identification code Code used to identify the financial instrument {ISIN} For all financial instruments Code used to identify the financial instrument. {ISIN} SecurityID(48)
synchronization under article 50 of Directive 2014/65/EU]. For transactions not executed on a trading venue, the date and time shall be granular to at least the nearest second. out in Article 2 of Commission Delegated Regulation (EU) xx/xxxx1. For transactions not executed on a trading venue, the time reported shall be granular to at least the nearest second. 9 Transaction identification code Alphanumerical code assigned by trading venues (pursuant to Article 12 of Regulation (EU) on [the maintenance of relevant data relating to orders in financial instruments under Article 25 of MiFIR]] and APAs and used in any subsequent reference to the specific trade. The transaction identification code shall be unique, consistent and persistent per ISO10383 segment MIC and per trading day. Where the trading venue does not use segment MICs, the transaction identification code shall be unique, consistent and persistent per operating MIC per trading day. Where the APA does not use MICs, it should be unique, consistent and persistent per 4-character code used to identify the APA per trading day. The components of the transaction identification code not disclose the identity of the counterparties to the transaction for which the code is maintained. For all financial instruments Alphanumerical code assigned by trading venues (pursuant to Article 12 of Regulation (EU) on the maintenance of relevant data relating to orders in financial instruments under Article 25 of MiFIR) and APAs and used in any subsequent reference to the specific trade. The transaction identification code shall be unique, consistent and persistent per ISO10383 segment MIC and per trading day. Where the trading venue does not use segment MICs, the transaction identification code shall be unique, consistent and persistent per operating MIC per trading day. Where the APA does not use MICs, it should be unique, consistent and persistent per 4-character code used to identify the APA per trading day. The components of the transaction identification code not disclose the identity of the counterparties to the transaction for which the code is maintained TradeID(1003) also RegulatoryTradeIDGrp component 10 Price notation For all financial instruments Indication as to whether the price is expressed in monetary value, in percentage or in yield. ‘MONE’ – Monetary value PriceType(423)
‘PERC’ – Percentage ‘YIEL’ – Yield ‘BAPO’ – Basis points 11 Notation of the quantity in measurement unit For commodity derivatives, emission allowance derivatives and emission allowances except in the cases described under Article 11(1) letters (a) and (b) of this Regulation. Indication of measurement units in which the quantity in measurement unit is expressed. ’TOCD’ – tons of carbon dioxide equivalent UnitOfMeasure(996) UnitOfMeasureCurrency(1716) 12 Quantity in measurement unit For commodity derivatives, emission allowance derivatives and emission allowances except in the cases described under Article 11(1) letters (a) and (b) of this Regulation. The equivalent amount of commodity or emission allowance traded expressed in measurement unit UnitOfMeasureQty(1147) 14 Notional amount For all financial instruments except in the cases described under Article 11(1) letters (a) and (b) of this Regulation. Nominal amount or notional amount For spread bets, the notional amount shall be the monetary value wagered per point movement in the underlying financial instrument. For credit default swaps, it shall be the notional amount for which the protection is acquired or disposed of. The information reported in this field shall be consistent with the value provided in field Price StreamGrp component (within Instrument component): amount)
CANC Cancellation flag When a previously published transaction is cancelled. Cancellation flag When a previously published transaction is cancelled. TradeReportType(856)=6 (Trade report cancel) AMND Amendment flag When a previously published transaction is amended. Amendment flag When a previously published transaction is amended. TradeReportType(856)=5 (No/Was) TNCP Transactions not contributing to the price discovery process for the purposes of Article 23 of Regulation (EU) No 600/2014 flag Transaction not contributing to the price discovery process for the purposes of Article 23 of Regulation (EU) No 600/2014 and as set out in Article 2. TradePriceCondition(1839)=16 (Trade exempted from trading obligation) SDIV Special dividend transaction flag Transactions that are either: executed during the ex-dividend period where the dividend or other form of distribution accrues to the buyer instead of the seller; or executed during the cum-dividend period where the dividend or other form of distribution accrues to the seller instead of the buyer. TradePriceCondition(1839)=13 (Special dividend) RPRI Transactions have received price improvement flag Transactions executed on a systematic internaliser with a price improvement in accordance with Article 15(2) of Regulation (EU) No 600/2014. TradePriceCondition(1839)=14 (Price improvement) DUPL Duplicative trade reports flag When a transaction is reported to more than one APA in accordance with Article 17(1) of Commission Delegated Regulation (EU) on [DRSP RTS} PreviouslyReported(570)=Y
Supplemental deferral flags apply only to RTS 2 transaction reporting to NEX APA. Table 11: RTS 2 Supplemental Deferral Flags RTS 2 Article Reference Flag Name of Flag Description FIX Mapping Article 11(1)(a)(i). LMTF Limited details flag First report with publication of limited details in accordance with Article 11(1)(a)(i). RegulatoryReportType(1934)=11 (Limited Details FULF Full details flag Transaction for which limited details have been previously published in accordance with Article 11(1)(a)(i). RegulatoryReportType(1934)=17 (Full Details of "Limited Details Trade") Article 11(1)(a)(ii). DAFT Daily aggregated transaction flag Publication of daily aggregated transaction in accordance with Article 11(1)(a)(ii). RegulatoryReportType(1934)=12 (Daily Aggregated Trade) FULA Full details flag Individual transactions for which aggregated details have been previously published in accordance with Article 11(1)(a)(ii). RegulatoryReportType(1934)=18 (Full Details of “Daily Aggregated Trade”) Article 11(1)(b) VOLO Volume omission flag Transaction for which limited details are published in accordance with Article 11(1)(b). RegulatoryReportType(1934)=13 (Volume Omission Trade) FULV Full details flag Transaction for which limited details have been previously published in accordance with Article 11(1)(b) RegulatoryReportType(1934)=19 (Full Details of "Volume Omission Trade") Article 11(1)(c) FWAF Four weeks aggregation flag Publication of aggregated transactions in accordance with Article 11(1)(c). RegulatoryReportType(1934)=14 (Four Weeks Aggregation Trade) FULJ Full details flag Individual transactions which have previously benefited from aggregated publication in accordance with Article 11(1)(c). RegulatoryReportType(1934)=20 (Full Details of "Four Weeks Aggregation Trade")
TBOND = US Treasury Bond TCAL = Principal Strip Of A Callable Bond Or Note TD = Time Deposit TECP = Tax Exempt Commercial Paper TERM = Term Loan TINT = Interest Strip From Any Bond Or Note TIPS = Treasury Inflation Protected Securities TLQN = Term Liquidity Note TMCP = Taxable Municipal CP TNOTE = US Treasury Note TPRN = Principal From A Non-Callable Bond Or Note TRAN = Tax Revenue Anticipation Note TRS = Total return swap VARSWAP = Variance swap VRDN = Variable Rate Demand Note WAR = Warrant WITHDRN = Withdrawn XCN = Extended Comm Note XLINKD = Indexed Linked XMISSION = Transmission YANK = Yankee Corporate Bond YCD = Yankee Certificate Of Deposit LegMaturityDate 611 N Maturity date of the instrument. LegAssetClass 2067 int N asset category for assessing risk exposure. Supported values: 1 = Interest rate 2 = Currency 3 = Credit 4 = Equity 5 = Commodity 6 = Other 7 = Cash 8 = Debt 9 = Fund - Such as mutual fund, collective investment vehicle, investment program, specialized account program 10 = Loan facility LegAssetSubClass 2068 int N Subcategory description of the asset class. Supported values: 1 = Single currency - Used with LegAssetClass(2067)=1 (Interest rate) 2 = Cross currency - Used with LegAssetClass(2067)=1 (Interest rate) 3 = Basket [for multi-currency] - - Used with LegAssetClass(2067)=2 (Currency) 4 = Single name - Used with LegAssetClass(2067)=3 (Credit) 5 = Credit index - Used with LegAssetClass(2067)=3 (Credit) 6 = Index tranche - Used with LegAssetClass(2067)=3 (Credit)
Instrument identification code and type Instrument/ Symbol(55)=<ccy2>/<ccy1> SecurityType(167)=FXNDF (Non-deliverable forward) Normal rate representation is based on the order of currencies in Symbol(55), i.e. USD/KRW indicates "KRW in USD". SecurityID(48) and SecurityIDSource(22) are omitted Y Instrument attributes Instrument/ CFICode(461)=<cficode> AssetClass(1938)=2 (Currency) Y Price, Price Notation and Currency PriceType(423)= 20 = Normal rate representation [i.e. currency-1 in currency-2] 21 = Inverse rate representation [i.e. currency-2 in currency-1] LastPx(31)=<rate> Currency(15)=<dealt currency> SettlCurrency(120)=<settlement currency> Omit under these conditions: TradePriceCondition(1839)= 15 = Non-price forming trade - the "NPFT" flag 17 = Price is pending - the "PNDG" flag 18 = Price is not applicable - the "NOAP" flag Y Notional Amount QtyType(854)=0 (Units (shares, par, currency)) LastQty(32)=<amount of dealt currency> CalculatedCcyLastQty(1056)=<amount of calculated currency> Y SettlType(63)=<tenor> N Termination Date SettlDate(64)=<date> Y (NDF) ISIN A foreign exchange contract for a non-deliverable forward swap with an ISIN assigned for the contract will be mapped as below. The two sides of the swap contract are not detailed as they are defined as part of the reference data provided through the ISIN. Element FIX Mapping Rq'd Instrument identification code and type Instrument/ SecurityID(48)=<identifier> SecurityIDSource(22)=4 (ISIN) SecurityType(167)=FXSWAP (FX Swap) Y Instrument attributes Instrument/ Y
LegCalculatedCcyLastQty(1074)=<amount of calculated currency> → Leg Tenor InstrumentLeg[1]/ LegSettlType(587)=<tenor> N → Leg Termination Date InstrumentLeg[1]/ LegSettlDate(588)=<date> Y Far Leg NDF → Leg instrument identification code and type InstrumentLeg[2]/ LegSymbol(600)=<ccy2>/<ccy1> SecurityType(609)=NDF (Non-deliverable forward) SecurityID(48) and SecurityIDSource(22) are omitted Y → Leg Instrument attributes InstrumentLeg[2]/ LegCFICode(608)=<cficode> LegAssetClass(2067)=2 (Currency) Y → Leg Price, Price Notation and Currency InstrumentLeg[2]/ currency> LegSettlCurrency(675)=<settlement currency> Price of the far leg is not known at trade time but on the future LegMaturityDate(611). Y → Leg Notional Amount InstrumentLeg[2]/ LegQtyType(1591)=0 (Units (shares, par, currency)) LegLastQty(1418)=<amount of currency> Quantity of the dealt currency of the far leg is not known at trade time but on the future LegMaturityDate(611). Y → Leg Fixing Date InstrumentLeg[2]/ LegMaturityDate(611)=<fixing date> Y → Leg Tenor InstrumentLeg[2]/ LegSettlType(587)=<tenor> N → Leg Termination Date InstrumentLeg[2]/ LegSettlDate(588)=<date> Y ISIN A foreign exchange option contract with an ISIN will simply reference the ISIN for the contract, and will be mapped as shown below. The option's underlying foreign exchange contract is not detailed as it is defined as part of the reference data provided through the ISIN. Element FIX Mapping Rq'd Instrument identification code and type Instrument/ SecurityID(48)=<identifier> SecurityIDSource(22)=4 (ISIN) Y