Orchimate 1.4.0 /

FIX User Defined Fields1.0

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NYSE – Represents the additional (increased amount) order quantity

requested. Required on all Makes orders (Message Type G format).

Format in 4.1 = int, Format in 4.2 = Qty.

NYSE – Front End Systemic Capture (FESC) Field: A flag that is manually entered by a user to indicate that an order or order modification was represented at a point of sale on the NYSE trading floor before being entered into a system. Such orders and order modifications are referred to as “late entered orders.” The AsOfIndicator should only be used in situations where orders are entered into a system late due to system failure. The AsOfIndicator must be transmitted to the NYSE with all late entered orders and order modifications and Drop Copies of such. Value, when tag is present = A.

Execution Report Billing categories (valid on regular executions, AWOs, and ERCs)

Valid values: 1=Taker; 2=Provider; 3=Blended; 4=Opening

rovider; 5=Opening/Blended; 6=Closing

rovider; 7=CLosing/Blended; 8=Specialist; Data Type: Char

May contain the Away Market ID with or without the MMID, (formats A, A/EDGA, N/MP…) or the Billing Indicator with or without the new Billing Tier (formats 1, 2, 2/1…).

Away Market is any valid value of the NYSE’s internal Exchange indicator (non-Fix standard). Billing Indicator or Tier is any valid value 0-9. Tag is used in Message Type 8, Report messages.

Represents the Badge or Commission Billing Number.

Required on all CAP Orders.

Value = up to 4 alpha/numeric characters. Must be either ALL numeric or ALL

alpha. Format = Char

Represents the initiating Broker Badge Number. Required on all CAP Orders. Value is up to 4 numeric characters. Format = Char

NYSE – Indicates a conversion and parity order (CAP). Required on all CAP Orders, CAP Cancels and CAP Cancel Replace Requests. Valid Value = Y. Format = Char

This field specifies the highest (for a buy) or lowest (for a sell) price to which the e-Quote or d-Quote may peg. Price including decimal (must be multiple of MPV and valid Price Unit).

Same as Tag 151

FCS Cancel – Line 3E, Field 1 If present, set to the new quantity to take effect. Cannot be an Odd Lot. Corresponds to CMS LVS quantityFIX.4.1 Format: Float

FIX.4.2 Format: Qty

Provides further classification of the Execution Report FIX Message Type 8 for CMS’ use. Valid values: A = Admin Response, P = SPARS, R = Execution Report, S = Status Message (Status Messages include Rejects, Restarts and Drop Copy). Format FIX 4.1 Char, FIX 4.2 String.

FCS Report – Line 5,5A-D; ABCDnnnnn where ABCD is a 4-character mnemonic. Line 5 does not appear on Odd Lot orders Identifies the Contra side of the trade. Up to five Contra sets (Contra firm identification on an Execution Report). If NoContraBrokers [9423] is greater than 0, than ContraBroker [9421] is required. ContraBroker [9421] is for use in FIX 4.1 only and corresponds to tag ContraBroker[375] in FIX 4.2. FIX.4.1 Format: Char FIX.4.2 Format: See Tag #375

** ADDED TO FIX 4.2 AS TAG: 375 (ContraBroker) **

NYSE – Front End Systemic Capture Field (FESC): This is a required field when submitting a report drop copy.

Specifies the clearing firm mnemonic (as assigned by the NYSE) of the contra side of a trade.

FCS Report – Line 5, 5A-D, Field 2: 1-5 digit number; nnnnn of field ABCDnnnnn where: Identifies the number of units traded on an Execution Report. If NoContraBrokers [9423] is greater than 0, than ContraTradeQty [9434] is required. Amounts for PRL trades show only the Round Lot units – for example: 575 shares of a 100 share trader = 5. ContraTradeQty [9434] is for use in FIX 4.1 only and corresponds to tag ContraTradeQty[437] in FIX 4.2.FIX.4.1 Format: Float

FIX.4.2 Format: See Tag #437

** ADDED TO FIX 4.2 AS TAG: 437 (ContraTradeQty) **

FCS Report– – Line 5, 5A-D, Field 1: 1-4 digit (Badge) number

ContraTrader [9441] is for use in FIX 4.1 only and corresponds to tag ContraTrader[337] in FIX 4.2.FIX.4.1 Format: Char

FIX.4.2 Format: See Tag #337

FCS Report – Line 5, 5A-D, Field 4: format is hhmm(ss) Indicates the Execution time in hours, minutes, and – if the user wishes – seconds. ContraTradeTime [9422] is for use in FIX 4.1 only and corresponds to tag ContraTradeTime[438] in FIX 4.2. FIX.4.1 Format: Char FIX.4.2 Format: See Tag #438

** ADDED TO FIX 4.2 AS TAG: 438 (ContraTradeTime) **

FCS Cancel, Cancel/Repl– Line 2, Field 2

If CxlBal [9427] is present, set to Y . Cancels the remaining balance of an outstanding order without quantity specification.FIX.4.1 Format: Char

FIX.4.2 Format: String

Same as Tag 84 FCS Cancel – Line 3C, Field 1

If present, set to the quantity to be canceled. Cannot be an Odd Lot. Used in conjunction with Cancel with Leaves.FIX.4.1 Format: Float

FIX.4.2 Format: Qty

Ensures reports to underlying orders are linked back to the e-Quote execution report.

This field specifies the quantity the e-Quote is willing to use to trade with pricing discretion. When an e-Quote has a quantity designated to trade with pricing discretion, that quantity is referred to as a d-Quote. Must be Roundlot represented in shares.

The range within which a d-Quote can reach to trade with discretion, as initiating interest. The range is specified as the number of cents (or MPVs) of price discretion above (for a Buy) or below (for a Sell) the discretionary e-Quote’s currently filed price. Price including decimal (must be multiple of MPV and valid Price Unit)

Specifies if the Broker interest is part of the NYSE BBO and is visible to the specialist.

NYSE – A flag that indicates that a message is a Drop

Copy. This flag is required in all Drop Copy messages sent to FESC or from

CMS. Valid Values: C = CMS, D = FESC, 1 = Order Drop Copy, 2 = Execution

Report Drop Copy, 3 = Admin Inquiry Drop Copy, 4 = Admin Response Drop

Copy, 5 = Clearance Drop Copy. An alpha value must appear in combination

with a numeric value, separated by a space.

Represents an e-Quote Type.

NYSE – Front End Systemic Capture (FESC) Field: This is a required field when submitting a report drop copy.

Specifies the mnemonic (as assigned by the NYSE) of the member or member organization which recorded the order details (as required by Rule 123e).

Indicates what kind of information is embedded in a quote advisory message.(0)Updated fully accepted quote.(1)Updated partially accepted quote.(2)Accepted quote but not updated.(3)Partially accepted quote but not updated.(4)Rejected quote

Indicates origin of the quote:whether the quote was generated by NYSE Display Book or by a quote submitted from the firm.(‘E’)The quote was generated because of a quote submitted by the firm.(‘D’)The quote was generated by NYSE DBK(e.g. manual quote entered by specialist).

Indicates the level of acknowledgement expected for each quote that is submitted to NYSE as a Quote Advisory. Possible values:(0), or if the tag is not in the message, NYSE will not send any acknowledgement whatsoever for this message. (1), NYSE will send an acknowledgements only if this message fails one of NYSE validations.(2), NYSE will acknowledge this message in any case (rejection or acceptance).

Identifies the role of an entering party in a Quote Submission.

This field indicates that the e-Quote report was executed with Discretion, Pegging or Both. The following values represent:

“1” – Executed with Discretion

“2” – Executed with Pegging

“3” – Executed with Discretion and Pegging

Unique identifier of the eQuote – must be unique within broker badge – associates the eQuote with its underlying orders

1 alpha-numeric code that designates the type of activity against the order; i.e., original execution, correction, bust, etc.

FCS Report – Line 4C, Fields 2-4: 9 digit ascii numericThe Activity ID is assigned by SuperDot and made up of the:

1. The Group number is the first three digits where nnn is a 3 digit number

2. The Reference number is the second three digits where nnn is a 3 digit number

3. The Sequence number is the last three digits and will start at 001 for the first activity against an order and increase by 1 for each subsequent activity where nnn is a 3 digit number.

FIX.4.1 Format: Char

FIX.4.2 Format: String

FCS Report – Line 4B, Field 1.

If ExClearingHouse [9435] is present, set to Y . Optional Field: identifies a trade that will be settled outside the normal clearing processing.FIX.4.1 Format: Char

FIX.4.2 Format: String

Executed Away Market Indicator containing a value representing the exchange away from the NYSE where the order was executed. To be used in Fix MsgType 8 as an optional tag for reports and corrections, the values not being Fix Standard. Values are SIAC internal values, A = Amex;B = Boston;C = NSE;D = NASD;I = ISE;M = CSE;P = Pacific/Archipelago;T = NASDAQ;W = CBOE;X = Philadelphia;

FCS Report – Line 5, 5A-D, Field 1: 1-4 digit number Indicates Specialists number. For any firm that routes orders to BBSS, the firm’s internal information (for example, firm clearing number or Broker Badge number) will be reported, if it conforms to the format. Execution information is also repeated here at the firm’s request.FIX.4.1 Format: Char

FIX.4.2 Format: String

Execution type that, among other values, contains a value for odd-lot adjustments to be used by SPAR users

FIX 4.2 Format: String

10-byte Expanded Activity ID associated with an Execution Report. This tag is a concatenation of a 5-digit Reference number, followed by a 5-digit Sequence number. Both reference number and sequence number will start at 00001 (i.e. 0000100001). For each new activity, the Reference and Sequence number will increment by one. The Reference number will remain the same when a modification was performed on a specific activity.

FCS Order – Line 4B, Field 1: 1-4 alpha characters

FCS Report – Line 4B, Field 5 Optional field: names the clearing member designated by another clearing or a non-clearing member for settlement of its Exchange transactions.FIX.4.1 Format: Char

FIX.4.2 Format: String

Same as tag 21. Is added as a user-defined field for inclusion in Execution reports generated by FIX engine versions < 4.2 in support of the Drop Copy functionality.

NYSE – Institutional XPress – Indicates the trading denominator of the indication price.

This indicator identifies whether the customer has specified that the e-Quote may be shipped to better ITS quotes within its Discretionary Range, even when not required to facilitate a trade at the NYSE. Value = “Y” or “N”

Unique identifier – must be unique within broker badge – associates the layers of a layered eQuote

NYSE – Institutional XPress – Indicates the trading denominator of the indication price.

FCS Cancel – Line 3E, Field 2 Valid Values: 0 = DAY, 1 = GTC, 2 = OPG, 3 = OC, 4 = FOK, 5 = GTX, 6 = Reject Message, set Text[58] to Good till date not supported . Allows the user to change the Time In Force on a Cancel with Leaves. Absence of this field defaults to original order state. Note: Original Time In Force can be re-stated. FIX 4.1 Format: Char, FIX 4.2 Format: String

NYSE – Front End Systemic Capture (FESC) Field: This is a required field when submitting a report drop copy.

Specifies the badge number of the executing broker of its (the submitter’s) side of the trade

Same as tag 111. Is added as a user-defined field for inclusion in Execution reports generated by FIX engine versions < 4.2 in support of the Drop Copy functionality.

These fields indicate the largest size quote to which the e-Quote or d-Quote is willing to peg. Must be roundlot represented in shares.

Same as tag 210. Is added as a user-defined field for inclusion in Execution reports generated by FIX engine versions < 4.2 in support of the Drop Copy functionality.

NYSE – Institutional XPress – Indicates the NYSE trading denominator.

FCS Report – Line 4B, Field 56; 1-10 alphanumeric characters

4 characters for Memo A and 6 for Memo B; a period will be returned for any character not enteredFIX.4.1 Format: Char

FIX.4.2 Format: String

This field indicates the smallest size quote to which the e-Quote or d-Quote is willing to peg. Must be roundlot represented in shares.

Same as tag 110. Is added as a user-defined field for inclusion in Execution reports generated by FIX engine versions < 4.2 in support of the Drop Copy functionality.

FCS Order, Cancel, Cancel/Repl, Admin Req – Line 4, Field 1: 1-27 charactersFIX.4.1 Format: Char

FIX.4.2 Format: String

FCS Cancel and Cancel/Repl, Admin Req

– Line 4A, Field 5FIX.4.1 Format: Char

FIX.4.2 Format: String

FCS Report – Number of Line 5’s. Number of ContraBrokers repeating group instances. NoContraBrokers [9423] is required if the value is greater than 0 and if present, appears as the first tag in the repeating Contra group. NoContraBrokers [9423] is for use in FIX 4.1 only and corresponds to tag NoContraBrokers[382] in FIX 4.2. FIX.4.1 Format: Int FIX.4.2 Format: See Tag #382

** ADDED TO FIX 4.2 AS TAG: 382 (NoContraBrokers) **

A flag, when true (Y), indicating that this trade was not printed to tape. Default is ‘N’ if tag not present. Used in Exec Report, Fix Msg Type 8.

Number of repeats in the repeating group

FCS Report – Line 4B, Field 2 Valid Value = NX

Routing Code returned on the Execution ReportFIX.4.1 Format: Char

FIX.4.2 Format: String

NYSE Liquidity Quote Bid Price.

NYSE Liquidity Quote bid size.

NYSE Liquidity Quote offer price.

NYSE Liquidity Quote offer size.

The number of errors in quote validation that are present in a Quote Advisory message (used for repeating group).

FCS Report– – Line 4B, Field 4; 1-10 alphanumeric characters

Identifies an Execution Report that has benefited from NYSE price improvement. Provides dollar and cents value saved from NYSE price improvement; the greater than sign is displayed only if the price improvement per share exceeds $3.00.FIX.4.1 Format: Char

FIX.4.2 Format: String

Indicates the quote validation error code in a partially accepted or rejected quote submission(e.g. NYSE Xpress order restriction,auto quote suspended on side,invalid price,discarded due to throttling,etc) .

Contains the indication of which quote element failed validation, and will be used in conjunction with the NYSEQuoteErrorCode tag to specify the complete error. Possible values:(0) Best Quote bid.(1) Best Quote offer.(2)Liquidity Quote bid.(3)Liquidity Quote offer.(4)Error not due to the quote data itself,but due to some generic reason(trading halt, stock frozen, etc).

Provides support for cross-referencing the quote in a Quote Advisory message to a quote submitted to NYSE. This tag contains the Quote ID of the quote sent by the firm that caused the Quote Advisory.It will be present only if the original quote submission EQIQuoteResponseLevel is 1 (if the submission failed some validation) or 2 (in all cases).

The turn around number of the Parent Order, required only for NYSE BBSS entered CAP orders. 6 characters – 2 alpha characters followed by 4 numeric characters OR 3 alpha characters followed by 3 numeric characters.

Format = string

NYSE – Front End Systemic Capture (FESC) Field: This is an optional field when submitting a report drop copy. Specifies the NYSE Online Comparison System (OCS) control number that is returned to the firm by OCS after submission of a side.

Price Format- tag had previously been named XpressTime datatype format UTCTimeOnly. 4th Qtr, 2011.

Retail Price Improvement Orders or CCG s-Quotes shall have a price improvement offset value in this tag which may have a value of zero to be filed better than the PBBO subject to limit price and cap rules.

This tag may also be used in Pegging d-quotes and s-quotes on same side or opposite side pegging to the PBBO, i.e. peg to PBO for buy pegging; PBB for sell pegging, offset by the price increments based on this tag’s absolute Offset value.

Odd-lot, round-lot, PRL indicator containing the values 1,2,or 3

1 byte numeric designating the omnibus account against which the execution was done

This field specifies the largest size the d-Quote is willing to initiate a trade against with discretion. This size may be applied to an incoming order or to aggregate interest at a price point, as specified in later requirements. Must be Roundlot represented in shares.

This field specifies the smallest size the d-Quote is willing to initiate a trade against with discretion. This size may be applied to an incoming order or to aggregate interest at a price point, as specified in later requirements. Must be Roundlot represented in shares.

Tag had previously been named XpressIndicator, datatype remains Char. 4th Qtr, 2011. Opposite Side Pegging. This indicator specifies whether the customer has specified Pegging functionality be applied to the Opposite Side PBBO for the d-Quote or s-Quote. Value = “Y” or “N”. Not Boolean so invalid value will be rejected by CCG/ME, not Fix Parser.

Tag 9561, PegInd, used for same side Pegging and ‘Y’ value mutually exclusive with ‘Y’ value for OppSidePeg.

NYSE – Additional value representing Account Type. Account Type Q indicates a trade to cover an error transaction. Format = char. Valid Value = Q

NYSE – Front End Systemic Capture (FESC) Field: This is a required field when submitting a report drop copy.

Specifies the date the order was entered into an Exchange system.

The TA number of the order assigned by SDOT

6-byte timestamp in HHMMSS format denoting the time the order arrived in the system

FCS Admin Request – Line 2, Field 1 Valid Values: 1 = Report Status 2 = Confirm Order Received 3 = Confirm Out 4 = B (Buy) 5 = BM (Buy Minus) 6 = S (Sell) 7 = SPL (Sell Plus) 8 = SS (Sell Short) 9 = SE (Sell Short exempt from rules) Contains Admin message type (i.e. Report Status) and must include the original order instruction. This field contains multiple values separated by a comma. FIX.4.1 Format: Char FIX.4.2 Format: String

Indicates the time of the transaction as indicated by the Originating system.

Valid NYSE Member Firm Mnemonic. Must be present on all NYSE BBSS CAP orders. 1 to 4 alpha characters.

Format = string.

Tag 9451 = Parent Order ID required for NYSE BBSS entered CAP orders. 1 to 4 alpha characters Branch Code, followed by a space followed by 1 to 5 characters numeric Branch Sequence followed

by a slash character (“/”) followed by the CMS Session date.

Format = string

Represents the Member Firm of the Parent Order plus the Parent Order Id currently sent to FESC. Required on all CAP Orders. Value must be a valid NYSE Member Firm Mnemonic Identifier followed by one space, followed by the Parent Order Id that is currently sent to FESC. Value = 4 character alpha for Member Firm of the Parent Order, one space, up to 22 characters using ASCII character set from Octal 40 (Hex 20) to Octal 176 (Hex 7E) for the Parent Order Id. Format = string.

This indicator specifies whether the customer has specified Pegging functionality for the e-Quote or d-Quote. Value = “Y”

2 numerics denoting the post at which the stock trades

Valid on FIX MsgType 8. FIX 4.2 Format: String. 10-byte Expanded Activity ID on an ERC. This tag is a concatenation of a 5-digit Reference number, followed by a 5-digit Sequence number.Both reference number and sequence number will start at 00001 (i.e. 0000100001). The PrevExpERCReferenceNumber is the activity ID associated with the previous Execution Report or ERC for the same order.

1 byte numeric that denotes that a previously-reported Prin execution has been changed to non-Prin

2-byte alpha code that the specialist inserts into the execution report

The indicator that denotes the specialist was involved in the trade. contains value 00 or 01.

Unique identifier issued for each Quote Update Request message in a connection(request to subscribe/unsubscribe for quotes).

FCS Admin Request – Line 2, Field 1Valid Values:

1 = Check^Price

2 = Confirm^Contra

3 = Confirm^Qty^Executed

Contains Admin message type and must include the original order instruction. Tags OrdStatReq [9424] and RepStatReq [9443] are mutually exclusive, either [9424] or [9425] must appear in Message Type H.

FIX.4.1 Format: Char, FIX.4.2 Format: String.

Required for Reserve e-Quote types. Represents the publish quantity.

Routing instruction

FCS Order, Cancel, Cancel/Repl, Report.

Indicates whether or not the order was solicited.

Valid Values:

Y = Was Solicited

N = Was Not Solicited

SolicitedFlag [9442] is for use in FIX 4.1 only and corresponds to tag SolicitedFlag [377] in FIX 4.2.FIX.4.1 Format: Char

FIX.4.2 Format: Boolean

1 byte numeric denoting the source of the order; i.e., from CMS, from BBSS, from DBK, etc.

1 byte numeric denoting whether the execution was done in DBK, BBSS, etc.

NYSE – Front End Systemic Capture (FESC) Field: This is an optional field when submitting a report drop copy. Specifies any special trade indication:

‘ ‘ = Not a special trade

‘X’ = Special trade

‘E’ = Ex-clearing trade

1-4 alphas representing the Specialist firm’s mnemonic

The Specialist Unit Number handling the stock. Contains a value from 1 to 100

Member firm sponsoring the institution submitting orders.

FCS Admin Response – Line 2, Fields 1, 2

Valid Values:

1 = Busted Trade

2 = Names Later

3 = Corrected Price

4 = Price is Correct

5 = Report CHG

6 = BOT

7 = BOT^MINUS

8 = SLD

9 = SLD^PLUS

A = SLD^SHRT

B=SLD^SHRT^EXEMPTIf more than one value is applicable, this field can contain multiple Admin responses separated by a comma.Admin responses generated as a result of the Execution Report Correction (ERC) information.

FIX.4.1 Format: Char

FIX.4.2 Format: String

1 alpha denoting the tee location at the post where the stock trades

1 byte numeric that specifies the tick at the time of execution

FCS Order, Cancel, Cancel/Repl – Line 3A, Field 5:

If TryToStop [9438] is present, set to T .FIX.4.1 Format: Char

FIX.4.2 Format: String

Indicates the disposition of the order ID; supports the ability to add or remove orders that underlie the eQuote.

Indicates whether the underlying order ID is the ID of a proprietary OMS

1 byte numeric denoting the unit of trade; i.e., whether the stocks trades in lots of 100, 10, etc.

Indicates the encoded reason why the subscription/unsubscription request failed.