Orchimate 1.3.2 /

FIX User Defined Fields1.0

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Ending cash consideration of a financing deal on the EndDate(917) adjusted for coupon and interest payments to the collateral

holder.

Used to indicate whether client will locate stock in conjunction with Short Sell and/or Short Sell Exempt order. Valid values are Y and N.

This flag (Y/N) indicates whether it’s an all-in price.

Sub identifier for the Allocation Accounts. Will be part of the NoAllocs group.

Sub identifiers #2 for Allocation Accounts. Will be part of the NoAllocs group.

Sub identifier #3 for Allocation accounts. Will be part of the NoAllocs group.

Allocation account MCA Date

Allocation account MCA type

Indicates if allocations are to follow (Most likely a Allocation Instruction FIX Message) for the trade indicated by this Execution Report.

Possible Values:

1 – No Allocations. 2 or More – Allocations Will follow. (They could indicate the possible number of accounts the allocations will occur to.)

Allocation calculation agent location

Current Face allocated to this Allocation account. For MTGEs only. Part of “NoAllocs” repeating group.

Gross trade amount allocated to the Allocation account. Part of the “NoAllocs” repeating group.

Allocation account matrix agreement type

Allocation MCA annex date

Can be internet e-mail or Bloomberg UUID

1=email,2=uuid

1 = Sender, 2 = Receiver

1 = Sender, 2 = Receiver

Bloomberg allocation target

Values: Y/N.

Bloomberg application (yellow key)

The ask delta price – for FX SPOT

Net ask price for 2-way pricing

Mortgage/assest backed security assumed coupon

A Trading System Firm Auto-Execution Status Tag

Y – Firm will automatically accept

N – Firm will reject all

P – Firm will pend for manual accept/reject

Counterparty of Bloomberg bang execution

Y,N – Is execution an Bloomberg bang?

Number of market makers in bang

9909: Min fill qty per MMID in bang group

9909: Market maker in bang group

9909: Qty to a MMID in bang group

Please contact Benedict Zoe for an explanation of this tag’s purpose

Y,N – Identifies whether Bloomberg bang was performed via proprietary SDP

Tag 9786 allows clients to specify the style of bang applied to each order on an individual basis.S=Single and N=Normal

Designates the direction in which the Barrier needs to be crossed to activate the option. 1 — up, 2 — down.

The date the price monitoring ends.

Price of the underlying at which the option comes in existance or ceases to exist.

Level of the second barrier for double barrier options

Predefined rebate for Barrier option

Rebate for the second barrier for double barrier options

The date the price monitoring starts.

Style of a barrier for Barrier option. 1– knock-in, 2 — knock-out

The Bloomberg-specific ID associated with a particular dealer.

For adding, updating and deleting securities as part of trade capture message, AE.

Bloomberg Internally used.

Benchmark bid yield for quote messages that inclue the SpreadOrBenchmarkCurveData component block.

Benchmark offer price for quote messages that inclue the SpreadOrBenchmarkCurveData component block.

Benchmark offer spread for quote messages that inclue the SpreadOrBenchmarkCurveData component block.

Benchmark offer yield for quote messages that inclue the SpreadOrBenchmarkCurveData component block.

The bid delta price – for FX SPOT

This field will contain the bid dollar price for discount-quoted securities.

Bid Yield-to-maturity.

State of the order on the blot screens.

0 = Sent

1 = Sent Ack

2 = Priced

3 = Covered

4 = Accepted

5 – Rejected

6 = Canceled

7 = Passed

8 = Traded Away

9 = Tied Traded Away

Bloomberg blot sequence number

BLP Specific

UNique to BLP Trading system. Inside repeating group for allocations.

Inside the repeating group for allocations. This is unique to BLP Trading systems.

Security Program Type

1-Customer, 2-Sales

TradeBook Order instructions. Valid (space delimited) values are R (replenish reserve quantities if any), Q (allow to quote this order on NASDAQ if originating from a non-market maker), and X (in 35-F this simply cancels all orders for a firm or single user). Further information on the use of this field on request

Valid values are M (client “made” liquidity), and T (client “took” liquidity)

Bids Wanted Item ID.

Calcution Agent Location

Denotes whether a particular leg of an FX Option trade is a Call or a Put. Possible Values: 1=Call; 2=Put

Denotes what currency a given leg of an FX Option is operating on. Works in conjunction with CallOrPut tag.

Y – Indicates a full allocation

N – Indicates partial or Dummy account’s

Client Execution id – A coresponding execution report from another system to send the original execution id sent. Execution report id for an fx trade done for a previous execution report sent to BLP

Actual quote for a security or for first leg of a swaps trade

eg. MSFT, ‘Bloomberg Indicative’

Fwd/Swap points (Swaps/Outrights only)

Actual quote of second leg (Swaps only)

1 – Indicative

2 – Executable

Counter accrual unit for FX Option trade. Valid values: • 1 = ACT/ACT

• 2 = 20/360

• 3 = ACT/360

• 4 = ACT/365

Counter deposit rate in units and accrual convention specified in 9116 and 9117

Counter deposit unit for FX Option trade., Valid values:

• 1 = Ann

• 2 = Semi

• 3 = Cont

• 4 = M Mkt

Account identifier of a counterparty for Fixed Income orders & executions.

Coupon for fixed income

Denotes one of two currencies in an FX Option trade.

Denotes the second of two currencies in an FX Options trade.

Current face for Mortgages, ABS, CMO, CMBS etc. (Original face * Factor).

To specify the start date (YYYYMMDD-HH:MM:SS in GMT) for requesting the status of ALL orders for this client

To specify the end date (YYYYMMDD-HH:MM:SS in GMT) for requesting the status of ALL orders for this client. Omission means “to now”

Bank or the dealer that a trade was done with (This will be an optional field).

The time when Quote request will expire

A portion of an order may be matched simultaneously against several (smaller quantity) orders at the same price resulting in several distinct trades. Even though each one of the trades will have its own ExecID, they all belong to one deal. Deal numbers are used by Tradebook’s executing broker to “tie” these trades into a “deal.” Further information available on request

Type of delivery for an option trade. 1 — cash, 2 — delivery

Value/Spot date (settlement date) for the delta hedge of an FX Option

The per-leg Delta value for an FX Option trade.

Delta leg for ask quote in 2-way pricing

The net Delta value for an FX Option trade.

Delta Net value for ask quote in 2-way pricing

FX deposit, values: N = New, R = Rollover.

FX Deposit day count fraction, values: 0=ACT/360, 1=ACT/360(Comp), 3=30/360, 5=ACT/365, 6=ACT/365(Comp), B=BIZ/252, C=BIZ/252(Comp)

Accrual Unit for an FX Option trade. Possible values: 1=ACT/ACT; 2=20/360; 3=ACT/360; 4=ACT/365

Deposit rate in units and accrual convention specified in tags 9113 and 9114

Deposit Unit for an FX Option trade. Possible Values: 1=Ann; 2=Semi; 3=Cont; 4=MMkt

Discount rate for fixed income

To describe the DiscretionSpread off the displayed limit price. Contact Bloomberg for detailed information on how this field is used

To describe a minimum fill quantity in an order with Discretion component. Contact Bloomberg for detailed information on this tag.

To describe the DiscretionAmount in an order. Contact Bloomberg for detailed information on this tag.

Determines if order will be submitted to respective exchange or stay in Tradebook’s order management system. Used for non-US securities only. Valid values are:

Y=submit to exchange

N=do not submit to exchange

Values: R, A, or B. Determines whether the offering is exclusive to the Rep, ATS, or both.

Denotes whether a Delta Hedge trade should be booked to offset the risk of an option trade.

The end date of option exercise period.

The beginning date of option exercise period.

Time of FX Option expiry, expressed in GMT format. Example: 10:00:00

Time of expiration of FX Option, encoded into enumeration of three major cuts. Possible values: 1=NY: 10:00:00; 2=Tokyo: 15:00:00; 3=London: 15:00:00; 4=Mexico: 11:30:00; 5=Frankfurt: 14:30:00; 6=Taiwan: 11:00:00; 7=Seoul: 17:30:00; 8=Istanbul 14:00:00

Specifies trader’s mark up over the offering price.

Identifies transaction type

Valid Values: 20=4 – Distinguishes balances that will be reported to the FXBB system by a version of an ExecReport(35=8) message.

, 20=5 – Balance report ack message used to respond to balance report. 20=6 – Will be sent back if a balance is covered by the FX system.

Fill or Kill Quantity.

The quantity of an IOC order, in shares, that system sends to exchange (with discretion) when other parameters are met.Order will be rejected if the quantity is an invalid board lot.

Firm offering quantity for Municipal Commercial Paper.

Bloomberg Firm Number

Equity or fixed income?

Fixed income flavor/type

Fixing Date for the second leg of NDF swap. ( First leg is 6203 )

FOK Position in an account.

The value of the forward rate for an FX Option.

Forward rate leg for ask quote in 2-way pricing

FX Non-deliverable forward indicator

R = regular

N = onshore

O = OffshoreDefault = R

The style of FX Option. Possible values: 1=American; 2=European

FX Split trade indicator – Split FX trade across multiple books – Y/N

The per-leg Gamma value for an FX Option trade.

Gamma leg for ask quote in 2-way pricing

The net Gamma value for an FX Option trade.

Net Gamma value for ask quote in 2-way pricing

This is the General Legder Account field.

This term describes the way brokers and clients protect themselves from market risk in doing repos.

Indicates a type of hedge trade to be executed for offset of option risk. Possible values: 1=Spot; 2=Forward

HighTenorQuoteId used for order message to indicate interpolated price calculation from FX streaming quote id

This field is the Index Ratio.

Date of the inventory position. LocalMmktDate. Part of group (5529-5531)

The available amount associated with the InvPositionDate, expressed as par value. A short position will be specified as a negative par value. Part of group (5529-5531)

Bloomberg recognized exchange code. This is a 2 character, alpha code.

Price of the option leg for ask quote in 2-way pricing.

BLP Specific

BLP Specific

BLP Specific

BLP Specific

Index of this leg for a multi-leg trade (trades reported individually).

Leg Last Forward Points – Same as Tag 195 “LastForwardPoints” but for the Far leg of a FX Swap Deal.

LegLastSpotRate – Similar to tag 194 “LastSpotRate” but

for the Far leg of a FX Swap deal.

Leg Market Type – Similar to tag 9102 “MarketType” but for

the far leg of a FX Swap leg.

The number of units of currency that are being traded in a given leg of an FX Option. The currency being traded is denoted by the LegNotionalCurrency field, tag 9017.

The currency which the LegNotionalAmount field refers to, for an FX Option.

Values similar to TriceType

Leg Split Trade Flag – Similar to tag 9101 “SplitTradeFlag”

but for the far leg of a FX Swap deal.

BLP Specific

BLP Specific

BLP Specific

Yield

Master account identifier

Yield corresponding to Maturity end date.

Part of NoDateRates (5538) repeating group.

Yield corresponding to Maturity start date.

Part of NoDateRates (5538) repeating group.

Matrix Agreement Type

Complete maturity date for Fixed Income trades. YYYYMMDD

Size available corresponding to Maturity range.

Part of NoDateRates (5538) repeating group.

For the flag leg of an FX swap, used to indicate if the settlement will be handled net or gross

1 = Net

2 = Gross

Number of Bloomberg Blots

eg. MSFT, ‘Bloomberg Indicative’

Repeating group count. No of Inventory positions advertised. Part of group (5529-5531)

Number of repeating notes fields

Defines the number of Orders rerouted to another broker.

Repeating field in the notes group

Repeating field in the notes group

Repeating field in the notes group

Number of BLP trade tickets created as a result of the incoming trade message

Repeating group under the trade capture suite of messages

Repeating group count. Number of coupon reinvestments. Part of group (6223-6226)

Defines who is getting an allocation report – may be multiple people

This field will contain the offer dollar price for discount-quoted securities.

Offer Yield-to-call.

Offer Yield-to-maturity.

Describes the standard optoin type: 1 — Vanilla, 2 — Knock-In, 3 — Knock-Out, 4 — One Touch, 5 — No Touch, 6 — Double Knock-In, 7 — Double Knock-Out

1 — single leg, 2 — straddle, 3 — strangle, 4 — risk reversal, 5 — participating forward, 6 — diagonal spread, 7 — call

ut spread, 8 — calendar spread, 9 — two leg

To specify the original destination of a Drop copy message. Can be a platform, exchange or anything – Mutually agreed upon.

Price difference to NBBO (BID,MID,ASK) in 64th of a NBBO dependent (pegged) limit order

** ADDED TO FIX 4.1 AS TAG: 211 **

Account / Fund / Book name of the position.

Mortgage prepayment speed

Bloomberg Price type

Bloomberg pricing number

Primary money market security identifier

Principal

Bloomberg MOP Level

Amount to quote on Nasdaq

Indicates whether a price is indicative or executable.

Valid Values:

1 = Indicative pricing

2 = Executable pricing

The date (last reset date) from which the coupon rate is effective for Variable Rate Demand Note and tender option bonds. Type= LocalMmktDate

FX trading creates multiple transactions. This will contain the ticket numbers returned.

Denotes the Broker Code of a Re-Routed Order.

Denotes the Order # of a Re-Routed Order.

Denotes the Size of a Re-Routed Order.

Denotes the Execution Price of a Re-Routed Order.

Denotes the Settlement Date of a Re-Routed Order

FX Reserved

FX Reserved

FX Reserved

The per-leg Rho value for an FX Option trade.

Rho leg for ask quote in 2-way pricing

The net Rho value for an FX Option trade.

Net Rho value for ask quote in 2-way pricing

Used for fix-to-fix processing. No internal updates along the way. Strictly endpoint processing. Used to bypass local database updates.

Identify the book for the salesperson doing the trade.

Secondary Alloc ID per allocation account.

Bloomberg recognized exchange code. 2 character alpha code.

Series for fixed income

Series number for allocation

Accrued Interest in the Settlement currency.

Settlement Currency for the second leg of NDF swap

Net money in Settlment Currency.

Settlement Fixing Date

Identifies the system source. This tag will be a string i.e. “Tradebook”

Used for 2-way pricing – spot rate of the ask quote

The price of the instrument with which a given leg of an FX Option trade is being hedged.

Spot hedge leg for ask quote in 2-way pricing

The net price of the instruments with which an FX Option trade is being hedged.

Net Theta value for ask quote in 2-way pricing

The signed notional for a spot hedge trade for an FX Option. Always refers to the currency denoted as Currency1 (tag 9073).

SpotQuoteId used for order message to indicate price from FX streaming quote id

Denotes whether a staged order is an inquiry order.

Target Price at which an order will stage and monitor

This is the story field.

Denotes if the response is subject or not.

The time when the Quote request will become subject.

This is additional information about the 2 security type trade:

1 = TBA Outright (Cash)

2 = TBA Rolls

3 = TBA Swap/Switch

4 = TBA Hedged

Target price type valid values:

1 – Price

2 – Yield

3 – Spread

Tax rate.

The per-leg Theta value for an FX Option trade

Theta leg for ask quote in 2-way pricing

The net Theta value for an FX Option trade.

Net Theta value for ask quote in 2-way pricing

Whole numbers only. Multiply this value with appropriate Tick increment (based on current security price and GTEX Tick Rules) to calculate the Discretion Quantity.

Describes the type of exercising for touch options.

No touch — 1, Pay when hit — 2, Pat at expiry — 3

Indicates the type of correct sent in the Trade Capture or Execution Report. (Ex: Material change or not)

Trading strategy of a transaction (ex. hedge fund trading strategy)

Referernce number for Proprietary trading system ticket number

Propritary Trading system Ticket number

Repeating group under the transaction costs group

Repeating group under transaction costs

Repeating field under the transaction costs group

Repeating group under transaction costs.

Repeating group under transaction cost group

Repeating group under the transaction cost for Trade Capture reporting

Underlying accrued interest amount at termination

Coupon reinvestment amount. Part of group (6223-6226)

Coupon reinvestment date. Part of group (6223-6226)

Rate at which the coupon is reinvested. Part of group (6223-6226)

Underlying accrued interest amount at settlement

Bloomberg Unique User ID

The per-leg Vanna value for an FX Option trade.

Vanna leg for ask quote in 2-way pricing

The net Vanna value for an FX Option trade.

The per-leg Vega value for an FX Option trade.

Vega leg for ask quote in 2-way pricing

The net Vega value for an FX Option trade.

Net Vega value for ask quote in 2-way pricing

The per-leg volatility for an FX Option trade.

Volatility leg for ask quote in 2-way pricing

The per-leg Vomma value for an FX Option trade.

Vomma leg for ask quote in 2-way pricing

The net Vomma value for an FX Option trade.

Net Vomma value for ask quote in 2-way pricing

Net Vanna value for ask quote in 2-way pricing

This tag specifies that the counterparty initiating the order acknowledges and accepts that the total order quantity exceeds a certain percentage of the typical daily volume.Absence of this tag or a 0 value will result in a reject if 38>%TDV

9814=0

9814=1 (acknowledgement)

This tag specifies if the VWAP order will be eligible for matching (U.S orders only)

9813=0(not eligible)

9813=1(eligible)

This tag initiates a VWAP strategy for the order.Valid values:9810=0(off),1(on)

VWAP start time (GMT)

VWAP stop time (GMT)

Indicates type of VWAP execution client wishes Bloomberg Tradebook to deliver. Used for non-US securities only. Valid values:

V1=session 1

V2=session 2

V3=full day

V4=point of trade

The Wire Time in seconds for a Quote (price fill) received from the dealer.

Bloomberg WorkStation Number

Yield for fixed income