Orchimate 1.4.0 /

FIX User Defined Fields1.0

Orchestra Hub

Number of days accrued

For instructing and reporting allocation clearing for non-US issues

4.2: Clearing member identifier in an allocation.

[4.2] In an Allocation instance, identifier of the Prime Broker serving as Give-Up Firm.

[4.2] In an Allocation instance, identifier of the Prime Broker providing General Trade Services.

[4.2] Valid values

0: Accepted, Processed – allocations were sent to the counterparty.

3: Received, not yet processed – allocations have been saved but not sent.

In 4.4 as tag AllocStatus 87

[4.2] In an Allocation instance, identifier of the Prime Broker serving as Step-Out Firm.

To turn ON/OFF restriction such as ERISA for an Order coming to TW. Boolean type (Y/N). If omitted in the message, default to ‘Y’.

The difference between the bond yield and the LIBOR curve, expressed in basis points.

Positive or negative average cost.

Tradeweb Base CPI @ Issuance – normally associated with TRSY TIPS.

Name of benchmark curve – FIX 4.2

Denote the long float rate period of IRS Dollar Swap Basis Trade.

[4.2] Specifies the price of the benchmark.

[4.2] Identifies the denomination of BenchmarkPrice(6645). Same values as PriceType(423).

Benchmark security description.

CUSIP or ISIN of the benchmark instrument

[4.2] Identifies the source of the Benchmark Security ID. Valid values are 1=CUSIP 2=SEDOL 4=ISIN

“WI” if When Issued.

Yield of the benchmark security.

Event reference for BookingReport

Event reference for BookingReport

Enumeration: 1-Affirmed, 2-Unknown account, 3-Missing settlement instructions, 4-Canceled

Enumeration: 0-New, 1-Cancel, 2-Correct

Identifier of Broker’s clearing instructions.

Encoded IRS calculation period frequency: 3M, 6M, 1Y, T [term] etc.

4.2: Clearing member identifier.

Boolean: IRS floating rate compounding – default ‘N’. Values:

Y – flat compounding

N – no compounding

Month that a TBA contract settles

Indicates if counter is allowed on hit/lift. When this tag is not present, counter is not allowed on hit/lift. Default value is N. (Tradeweb Retail)Valid values:

Y = Hit/lift can be countered

N = Hit/lift cannot be countered.

Counter party trader id

Same usage as 4.4 CPProgram (875)

[4.2] The date the security is dated if different from the first IssueDate, in YYYYMMDD format.

Number of days the position was held in the account.

Free-form text to be sent to the dealer(s) participating in the trade during negotiation.

Deposit CDs: Dealer’s reference to the trade being rolled or closed.

Option Delta Transfer1 = Delta Work

2 = Delta Exchange

3 = Risk

An optional routing identifier associated with the firm to which this message is directed.

Name of the FpML document type in the embedded XML Message.

Quote due-in time expressed in seconds.

[4.2] Boolean: Instrument is trading ex-dividend. Supported in [4.4] using SymbolSfx(65)=EX.

The difference between the original dealer price sent on the order and the filled price.

Fraction for deriving Current Value from Qty

Boolean: Fiduciary Money Deposit. Values:

‘Y’ = Yes Fiduciary Money

{omitted} NOS: apply user preferences. ER: Not Fiduciary Money

Firm trading account.

Boolean: Identifies a Floating Rate Note.

[4.2] Identifier of the Prime Broker serving as Give-Up Firm.

[4.2] Identifier of the Prime Broker providing General Trade Services.

The difference in basis points between a bond’s yield-to-maturity and the projected/interpolated swap rate on the bond’s maturity/workout date.

Date bond was issued

Full name of the issuer

Price expressed in percent-of-par when ParPx is in discount or spread

Allocation account for one leg of a multi-issue trade

Allocation clearing firm for one leg of a multi-issue trade

4.2: Clearing member identifier in an allocation of multileg trade.

Allocation quantity for one leg of a multi-issue trade

IRS calculation period frequency for the trade leg.

Clearing firm for one leg of a multi-issue trade

4.2: Clearing member identifier for a multi-leg trade.

Boolean: IRS floating rate compounding – default ‘N’. Values:

Y – flat compounding

N – no compounding

Month that a TBA contract settles for one leg of a multi-issue trade

Coupon rate for one leg of a multi-issue trade

Currency for one leg of a multi-issue trade

[4.2] The date the leg security is dated if different from the first LegIssueDate, in YYYYMMDD format.

Leg absolute termination date, e.g. 20100118. Mutually exclusive with LegTerm.

Fraction for deriving current value from Qty for one leg of a multi-issue trade

String: IRS fixed stream – payment day-count fraction. FpML values.

IRS fixed rate stream payment frequency expressed as a period, e.g. 1Y, 3M or 1T.

IRS floating rate stream payment frequency expressed as a period, e.g. 1Y, 3M or 1T.

Future settlement date for one leg of a multi-issue trade

Gross principal amount of the trade leg.

Security ID source for one leg of a multi-issue trade – see values for IDSource

Issue date for one leg of a multi-issue trade

Issuer for one leg of a multi-issue trade

Last price for the leg expressed in percent-of-par. Conditionally required when LegLastPx is expressed in Yield, Spread, Discount or any other type and the product supports a percent-of-par price.

Maturity date for one leg of a multi-issue trade

Net money of the trade leg.

Number of allocations for one leg of a multi-issue trade

Number of stipulation entries for one leg of a multi-issue trade

Number of days accrued interest of the trade leg.

Order quantity of one leg of a multi-issue trade

Product for one leg of a multi-issue trade – see Product 6613

An optional unique reference assigned by the ordering customer to each leg of a swap or butterfly.

Leg effective date expressed as a period relative to trade date, e.g. 1Y or 3M. Mutually exclusive with LegStartDate.

IRS roll convention – default ‘STD’. Values:

STD – standard product-based roll

IMM – roll on IMM dates

ECB – roll on ECB dates

NONE – for bullet payments

Security description for one leg of a multi-issue trade

CUSIP or ISIN of one leg of a multi-issue trade

SecurityType for one leg of a multi-issue trade – see SecurityType 6609

Settlement type for one leg of a multi-issue trade

Buy or Sell leg of a multi-issue trade

IRS absolute effective date, e.g. 20080818. Mutually exclusive with LegRelativeStart.

Stipulation type for one leg of a multi-issue trade – see 4.3 spec

Structured stipulation value for one leg of a multi-issue trade – see 4.3 spec

Substitute for LegOrderQty (6667) for one leg of a multi-issue trade: ParForPar, Duration, Risk, Proceeds

Leg termination date expressed as a period relative to effective date, e.g. 1Y or 3M. Mutually exclusive with LegEndDate.

Accrued interest of the trade leg.

Customer-assigned identifier for List Orders. ListID(6630) is used in NewOrder and OrderReplace. Tag ListID(66) is used in ExecutionReport and AllocationReport.

Fill quantity increment above the initial fill size.

Boolean: Flags a managed trading account.

Boolean. Flags a managed account (DBAB).

Bond maturity date

In MD Trade entries. Values: 1 = Take 2 = Hit

In MD Trade entries available buy quantity (Qty)

In MD Trade entries available sell quantity (Qty)

In MD Trade entries cumulative quantity negotiated (Qty)

Hidden size (Qty) – shown only to the originating dealer

In MD Trade entries. Values: 0 = Private 1 = Public

Identifies the message version number, e.g. 1.0.

boolean. A value of Y indicates the trade is a component of a multi-part order – swap, switch, butterfly, cross etc.

Trade number within a swap or butterfly plus the number of trades separated by “/”. E.g. 9729=2/3 represents the body of a butterfly.

The optional unique reference assigned by the ordering customer to each leg of a swap or butterfly. Same as LegRefID but outside the NoLegs repeating group in ER, AR and Confirmation.

Boolean: Indicates whether investor is registered with NASD.

Block level net money

Net present value of derivative contract.

Number of Legs in a multi-issue trade

Number of stipulation entries

To describe notional amount of Option trade.

Number of entries in the TWRPositions repeating group.

[4.2] begins the Underlyings repeating group.

[4.2] Begins the UnderlyingStips repeating group.

Occupation of investor identified in Account (1). Required on new issue preferred.

Offer type.

[4.2] To describe TW derivative (option/future) settlement or delivery type:

P = Physical

C = Cash

TW Derivative Trade Type (Option/Future)

1 = Listed

2 = Flex

3 = Bilateral

UTC timestamp when the order was created.

Part number of the entry in QuoteRequest for list trading.

Optionally used in Logon message.

Boolean: Flags that the bond is pending factor reset.

Time the order was received at Pershing.

The person or entity placing the order.

Positive or negative position quantity.

In Position Exception Notice the cause of the exception. Valid values:

1 = Account exists but position exists elsewhere

2 = Account does not exist and position exists elsewhere

Boolean: Unlike TIPS, MBS or EUR-denominated Inflation Linked Bonds, GBP ILBs trade with the inflation ratio already factored into the price. PreFactored=Y clarifies that attribute.

Specifies the how the price field is expressed1-Percentage, 4-Discount, 9-Spread

Extends FIX field 460 for Fixed Income.

Positive or negative profit amount.

One or more comma-separated abbreviations of locales in which an investor is prohibited from owning the security. In the US it applies to some corporate bonds and CDs and ISO 3166-2 state abbreviations are used. AKA “Blue Sky Data”

Variance of a REPO trade, expressed as quantity of trade size.

Investor’s relationship to broker. Required on new issue preferred.

Effective date expressed as a period relative to trade date, e.g. 1Y or 3M. Mutually exclusive with StartDate.

BOolean: Replenish trade quantity from OrderQty after the first fill. Used together with MaxFloor (111) for hidden-quantity trading.

IRS roll convention for NewOrder – default ‘STD’. Values:

STD – standard product-based roll

IMM – roll on IMM dates

ECB – roll on ECB dates

NONE – for bullet payments

The unique trade reference assigned by the ATS. UDF 6617 is needed only in the DontKnowTrade message. In all others use tag 198.

Where to obtain securities for trade. Values: C = Customer will deliver security. L = Security is Long in account. R = Receive Security vs Payment. B = Receive Security from Broker Dealer.

Same usage as [4.4] SecuritySubType (762) for [4.2]

Extends FIX field 167 for Fixed Income

** 167 SecurityType was extended in FIX 4.3 **

Either swap spread or spread-to-benchmark

** ADDED TO FIX 4.3 AS TAG: 218 Spread **

Investor’s state of residence: 2-character ISO 3166-2 abbreviation.

[4.2] Identifier of the Prime Broker serving as Step-Out Firm.

Stipulation type – see 4.3 spec

Structured stipulation value – see 4.3 spec

Tax Status of the buy-side customer: 0 = Clean (the default if omitted) 1 = Dirty

Encoded term of a deposit or derivative trade: 1D, 3M, 10Y, etc.

[4.2] USRP Values

1=Overnight

2=Term

3=Flexible

4=Open

Replaced in 4.4 by tag 788.

Flags session as a Test rather than Production session

** ADDED TO FIX 4.3 AS TAG: 464 TestMessageIndicator **

Block level accrued interest

** 540 TotalAccruedInterestAmt was added to appropriate messages in FIX 4.3 **

Total number of parts or entries in QuoteRequest for list trading.

Supplemental information about a derivative trade.

Buyside trader initiating the order

** ADDED TO FIX 4.3 through &ltParties&gt component block **

The full ATS trade identifier.

[4.2] E.g. GENERAL

Values: TREASURY MORTGAGE AGENCY OTHER

[4.2] Stipulation type: Values include MATURITY TYPE SCHEDULE

[4.2] MATURITY Values:

0Y-1Y – Less than 1 year

1Y-5Y – Less than 5 years

5Y-10Y – Less than 10 years

10Y-30Y – Less than 30 years

TYPE Value: STRIPS

SCHEDULE Value: Schedule ID, usually a digit

Additional payment for an IRS My Coupon RFQ – positive if from the dealer to the customer, negative if from the customer to the dealer.

[4.2] Used in Logon. Replaced in 4.4 by Username(533).

Quote valid time expressed in seconds.

Boolean: Indicates that the instrument described by the CUSIP or ISIN on the order is being traded “when-issued”. This attribute is supported in [4.4] through SymbolSfx(65)=WI

Yield percentage

** ADDED TO FIX 4.3 AS TAG: 236 Yield **

Specifies how Yield is expressed