Orchimate 1.3.2 /

FIX User Defined Fields1.0

Orchestra Hub

Account Acronym assigned by the dealer.

two int value options:

1 : Accept

2 : Reject

String representing the Bloomberg Ack Name

AccountNet ACODE. Present for AccountNet-enabled customers only.

Boolean: Determines whether the strategy reacts to published closing auction imbalances. Default = True

business center of the adjusted business Day convention used in Swap.

Termination(END) date business day adjustment convention. Possible values: MODFOLLOW

Calculation (Accrual) Period Business Day Adjustment Convention. Possible values Floating Leg: MODFOLLOW

Payment date business day adjustment convention.

Possible values Floating leg: MODFOLLOW

Required for Floating Rate Leg. Reset Date business day adjustment convention. Possible Values Floating leg: MODFOLLOW

adjusted mid price

accrual period start Day adjustment convention

Broker Fee-Adjusted Spread

adjusted target level

Fee-adjusted Yield

Int: Identifies units and direction of relative stop price offset.

The accountNet organization identifier of the customer. present for AccountNet-enabled customers only.

the accountNet organization identifier of the customer. Present for AccountNet enabled customers only

ATS Access

ATS Access Type

P = Passive

W = I Would (cross)

Indicates the auction date of the security when it’s initially issued.

Limit price in % value terms

Boolean value to indicate if option order should be hedged

Strategy used for hedging

The dollar amount that will be recovered from the dealer as a customer execution fee

Char: Specifies base working strategy.

this is an integer field.

String type

D – Drain

A – Abort

Range within which to maintain portfolio beta

This is the holding bind indicator for Corporate Bonds. The value options are “Y” – Yes, and “N” – No.

Int: Specifies whether the strategy should ignore block prints.

Qty: Allows user to specify block filter threshold in terms of a share quantity.

Method for booking out this order. Used when notifying a broker that an order to be settled by that broker is to be booked out as an OTC derivative (e.g. CFD) or similar.

Valid values:

0 = Regular booking (DVP)

1 = CFD

2 = Swap

3 = Give Up

4 = Combined communication

Breakdown active indicator used in allocation instruction message.

Broker Sequence Number

This field indicates the call date of Agency Callables in Fixed Income.

cash offset amount

Clean Price is Fee adjusted price

Composite pay rate for an USD Interest Rate Swap switch

Composite quote at the time of QUOTE REQUEST

composite receiving rate for an USD Insterest Rate Swap Switch

Indicates whether the floating leg of the trade is compounding or not. Considered NO if not present.

composite spread contributed by the dealers for an DSWP (USD Interest Rate Swap) benchmark trade

Composite Quote

Percentage: Specifies target participation rate when stock price is better than user-specified trigger price.

account of the step in counter party in Swap/swaption

account of the step out counter party in swap or swaption

This field indicates coupon frequency of Fixed Income securities.

Curve Name

e.g. LIBOR

Curve Point is the point on the benchmark curve

Yes Indicates whether this is a customer bid/ask trade. Value: NO

number of business days to settlement date

trade net money without brokerage fee

trade principal without brokerage fee

Maximum number of decimal places to be used for Rate

The quote in the QUOTE message must be divisible by the amount specified by this field.

“F” – Forward

“R” – Reverse Inquiry

Float: Identifies discretion threshold range in cents.

Percentage: Identifies discretion threshold range as a percentage of typical spread.

Qty: Identifies discretion threshold size in shares.

Percentage: Identifies discretion threshold size as a percentage of typical depth.

Dollar Price change per basis point in Yield

Day count basis. leg values: 30/360, 30E/360, ACT/360. Floating Leg values: ACT/360

Electronic confirmation vendor – values None, Parallel or Tradeweb

Buy side vendor to provide the EMS software version that the trader is using to send in orders. For example: “BloombergEMS 1.0”

Date Type. GMT format. this is the end payment date of interest rate in SWAP

Multiple Value String: Indicates which auctions should be excluded while working the order. The default is to give the strategy the discretion to participate in all auctions that are available. This field supports multiple exclusions by separating values with a space (e.g. a value of ‘1 4’ would exclude the morning and evening auctions).Valid Values:

1 = Morning/Opening

2 = Lunch/AM Close (Asia only)

3 = Afternoon

M Open (Asia only)

4 = Evening/Closing

1 – Lean Buy

2 – Lean Sell

Char: Identifies execution style in the market.Valid Values: 1 = Quiet 2 = Neutral 3 = Aggressive

String Type. Valid values: Client, Dealer

reserved

Fee adjustment to spread

first payment date of additional payments on IRS Swap

Fixed leg day-count basis. 30/360, ACT/360, ACT/ACTM or ACT/ACTD

Data Type: int

this is the payment frequency of Fixed interest rate payment in Interest Rate Swap

fixed rate in Swap

Floating leg day-count basis. ACT/360

data type: int.

this is the payment frequency of floating interest rates in interest rate swap.

Required for Floating Rate Leg. Reset Days for floating payments. Values: 2

Required for Floating Rate Leg. Floating rate reference. Values: LIBOR3M

Gross Cover

Gross Price is Trade price without brokerage fee

Indicate Side of the hedge

Increment for volume participation

“I” – Interest

“D” – Discount

end of month roll. possible value: YES or NO

Valid Values: BMK, IMM or OIM

Boolean: When IsBuyBack = True, Rule 10b-18 is enabled for the trade.

Number of months in the tenor (0, 3, 6, 12, 24, etc)

Forward months for OIS forward runs and forward starting swaps

Last Trader

Last Yield

reserved

reserved

reserved

Lehman ATS Field 10

Lehman ATS Field 9

Char: Identifies anchor price when limit price is specified in relative terms.

Char: Identifies units and direction of relative limit price offset.

Float: Offset relative to selected anchor for relative limit price.

Int: Allows users to specify an average limit price. Valid Values: 1 = Absolute Price (default) 2 = Average Limit Price

the unique identifier of the multi-quote or Inquiry list

Client Long Name

Adjusted maturity (Termination) date

Max Floor Percent of Touch

Int: Identifies the minimum time between sweeps in seconds.

Minimum option volume traded before starting the hedge

Minimum option delta traded before starting the hedge

currency of payment

fee receiver

number of tickets/account trade requires

number of dealers

Number of SyntheticType, SyntheticQty, and SyntheticBroker entries

Number of items/quote on the list

Buy side vendor to provide the OMS software version that the trader is using to send in orders. For example: “EzeTraderConsole 4.7”

1 = Accept

2 = Reject

3 = Expire

4 = Cancel

6 = Counter

9 = Pass

out standing quantity in partial unwind or assignments

Volume restriction on entire order.

period multiplier of payment dates

The prime broker’s advice status. Values: PENDGIVEUP, ACCEPT

The prime broker’s dealer acronym

The prime broker service. Values: Give-UP, GTS

the location of PnL:

NY – New York

LD – London

TK – Tokyo

Dollar value of buys

This field indicates the portfolio ID

Dollar value of sells

premium fee for swaption

the payer of premium payer in swaption

fee-adjusted principal

Dealer that calculates the trade proceeds

Intended broker algo

roduct version with respect to the broker FIX specification version. For example: “Algo 1.0”

Quote Yield To

int0-yes

1-no

integer type:

0-yes

1-no

Timing of delta reduction

String: Identifies reference security.

String: Identifies the ID source of the reference security (tag 9633). Tag 9634 functions in the same manner as the standard FIX tag 22.

Float: Specifies spread threshold in “BPS return since open”.

This field indicates the reliability of a security.

account of the remaining counter party in swap or swaption

Valid Values:

Y – allow the other party to re-quoteN – re-quote is not allowed

The convention for determining the sequence of calculation period end dates. Valid Values: 1 to 31, EOM, or IMM

Enforce a sector-level constraint

2nd Part of unique Bloomberg serial number. (The 1st part of unique Bloomberg serial number is WorkStation)

Use to store Stot Options

Treasury Price

Treasury Yield

Spread discount in percentage

spread % premium

Spread premium in dollars.

allocation type. Valid Values:

101 – Block

102 – New Allocation

103 – Full Unwind

104 – Partial Unwind

105 – Step-in Assignment

106 – Full RP Assignment

107 – Partial RP Assignment

108 – Full Internal Assignment

109 – Partial Internal Assignment

110 – Full 4-way Assignment

111 – Partial 4-way Assignment

date format. This indicates the starting payment date of interest rate.

state of the trading flow

Int: Identifies anchor price when stop price is specified in relative terms.

Float: Offset relative to selected anchor for relative stop price.

Indicates if it’s straddle or not.

Y – Straddle

N – not

Char: Used in determining the optimal trading horizon. A higher urgency corresponds with a shorter duration.

This is the diference in the rates for each side of the switch. For benchmark trades it is the composite spread at the time of trade. Max precision 5 decimal places, rounded to .00125 for benchmark spreads, .0001 for switches.

Value representing the broker

A percentage or quantity of the order’s quantity, as defined by SyntheticQtyType, that represents the associated SyntheticType

0=Percentage

1=Quantity

0=CFD

1=Swap

2=Give Up

Represents the trader who too ownership of the ticket

TicketStatus represents the internal status of the ticket.Possible Status:

New – The client requested a quote

Quoted – The trader sent a quote

CustDone – The client accepted within the OTW time

CustDoneConfirmed – Bloomberg confirmed the client accepted within the OTW

CustEnd – The client passed

Subject – The client accepted outside the OTW time

DealerDone – The trader accepted

DealerEnd – The trader passed

CustTimeOut – The ticket timed out on the client

DealerTimeOut – The ticket timed out on the trader

represents a list of traders (comma delimited) who received the ticket

Int: Determines whether the strategy sticks more closely to trading schedule.Valid Values:

0 = No (default)

100 = Yes

This field would contain the time (in seconds) the trader has to submit his quote.

Maximum allowed delta

Unit of Tolerance Value (%, $)

Trade clip in dollars

Trade clip in percentage

Trade clip in shares

Price: Identifies trigger price in absolute terms.

Char: Identifies anchor price when trigger price is specified in relative terms.

Designates Cents or BPS Better or Worse than a Trigger Price.

Float: Offset relative to selected anchor for relative trigger price in “BPS better than.”

Strategy pounce trigger quantity (number of shares)

This tag inherits all properties of QuoteRespType in FIX, and has an additional value option “100 – DoingAway”

Buy side to provide the Network that the trader is using to send in orders. For example: “NYFIX”

Percentage: Volume target for the worked portion of the order.

Yield Adjustment