Orchimate 1.3.2 /

FIX User Defined Fields1.0

Orchestra Hub

Contains Asset Swap spread which is the difference between the Corp Yield and the ASW Yield. Format -NNN.DDD

To be used with Tag 6693 (BenchmarkSecurityID). ID Source of the benchmark security – same values as Tag 22 (SecurityIDSource)

Identifier of the Bloomberg server that generated an order and allocation. Used for internal routing purposes. String – upto16 characters

Boolean field indicating if the price is inclusive of dealer commission.

Describes the summary price change(s) the transaction

caused for the issue traded.

DataType=char

Values: 0 = No Price/Yield Changed

1 = Last Price/Yield Changed

2 = Low Price-Yield Changed

3 = Last Price/Yield and Low Price/Yield Changed

4 = High Price/Yield Changed

5 = Last Price/Yield and High

rice/Yield Changed

6 = High Price/Yield and Low Price/Yield Changed

7 = All Prices/Yields Changed

Indicates in Quantity reported is actual or estimated.

DataType=Char

Values: A=Actual, E=Estimated

One character field to describe the side of trade being reported. Values: B=dealer bought securities from the customer, S= dealer sold securities to the customer, D= inter-dealer transaction (always from the sell side)

Sale condition code for trades as reported by FINRA

DataType=char

Values: @ = Regular Trade

C = Cash Trade

N = Next Day

R = Sellers Option

A = Trades outside market hours

W = Weighted Average Price

Z = Sold Late

S = No special condition applied

Indicates whether there is a second sale condition that is

applicable to the trade.

DataType=char

Values: A = Trades outside the market hours

Z =Sold Late (Out of Sequence)

S = No Second Modifier Applicable

Boolean field indicating whether the transaction is a ‘Special

Price Trade’ or not

Indicates the competitive status of each dealer quote (Done, Covered, Missed etc).

To be used with Repeating group 5114 – NoCreditRating. Data type is same as standard tag 255. Used to show ratings associated with RatingAgency (5113)

For fixed income cross/swap trades – ExecID of the Execution Report for the other side of a cross/swap trade

Identifier of system sending the market data.

DataType=String

Quoted FX rate for each Dealer. Float. Direction is determined by SettlCurrFxRateCalc (tag 156)

Quoted size for the Dealer. Always expressed in par

Quoted level for the Dealer. Can be expressed as basis points spread, percentage yield, or percentage of par price, as specified in DealerQuotedPriceType

Type of DealerQuotedPrice. Same values as PriceType. Supported values:

1 = percentage (of par)

6 = spread

9 = yield

Free text comment field

All-in USD dirty price for the local market trades with FX component.

A boolean flag to indicate exclusion within a repeating block. Example: Used in NoDealers custom block (9690) to indicate exclusion of a particular DealerID (9691) from an order.

Value: 1/0

Final order quantity. Used to support an inquiry model where the final inquiry size may be different than the original order size (OrderQty).

Index used for calculating the current coupon value of a floating rate note

Insurance Code Identifier

DataType: String

Contains the Interest Rate Swap spread which is the difference between the Corp Yield and the IRS Yield. Format -NNN.DDD

Contains the Legal entity long name or BIC code of dealer whose best quote on inquiry actually triggers the trade between MarketAxess and client trader.

DataType=String

Numeric field identifying each traded security in MarketAxess system. Unique per trade being reported in BTDS feed

The Market Segment allows the requester to set the Market Segment that will be sent in a Mass Quote Response

Trade Type reported in Market Data, used when MDEntryType = 2(Trade).

DataType=char

Values: 0=Done (New Trade), 1=Cancel, 2=Corrected

MarketAxess estimated market spread for the traded security. Datatype=float

Time of day indicating the time at which the client will see dealer responses

Optional flag indicating client’s desire to allow a partial-fill (not the same as MinQty).

Req’d field if 5661 exists.

Defines the value against which cost analysis is being reported.

DataType: String

Defined Values are:

Cover, Avg, BondTicker

Comma separated list of available actions, e.g.

“CANCEL”

“PASS,ACCEPT,COUNTER”

“NONE”

Difference between Traded Principle and calculated principle for the value of “MKTXAnalysisTo” (Cover, Avg, BondTicker)

DataType: Amt

Value: float field with 2 decimal point precision

Price for the value of “MKTXAnalysisTo” (Cover, Avg, BondTicker)

DataType: Price

Value: float field with 4 decimal point precision

Day over day change in price with respect to comparable size trade. If the bond did not trade during the prior day, no value is reported. Change computed against last trade from prior day.

DataType=float

Day over day change in spread to treasury with respect to comparable size trade. If the bond did not trade during the prior day, no value is reported. Change computed against last trade from prior day.

DataType=float

Day over day change in yield with respect to comparable size trade. If the bond did not trade during the prior day, no value is reported. Change computed against last trade from prior day.

DataType=float

Month-to-date change in price with respect to comparable size trade. If the bond did not trade during the prior month, no value is reported. Change computed against last trade from prior month.

DataType=float

Month-to-date change in spread to treasury with respect to comparable size trade. If the bond did not trade during the prior month, no value is reported. Change computed against last trade from prior month.

DataType=float

Month-to-date change in yield with respect to comparable size trade. If the bond did not trade during the prior month, no value is reported. Change computed against last trade from prior month.

DataType=float

Week over week change in price with respect to comparable size trade. If the bond did not trade during the prior week, no value is reported. Change computed against last trade from prior week.

DataType=float

Week over week change in spread to treasury with respect to comparable size trade. If the bond did not trade during the prior week, no value is reported. Change computed against last trade from prior week.

DataType=float

Week over week change in yield with respect to comparable size trade. If the bond did not trade during the prior week, no value is reported. Change computed against last trade from prior week.

DataType=float

Time of day indicating the time at which the client desires to see dealer responses

Reports the MarketAxess estimated quantity for a trade where tag 5640=E, i.e. the quantity falls beyond the range disseminated by FINRA for High Grade and High Yield bonds.

DataType=Qty

Enumeration indicating MarketAxess Inquiry States

Integer representing the number of minutes through which the specified MKTXInquiryTimerType will down-count to expiry.

Enumeration used to indicate MarkeAxess Quote Release model.

Supported Values: 1-ASAP, 2-Holding Bin

Identifies a leg-specific benchmark security in multi-legged fixed-income trading

Designates the source of the identifier of a leg-specific benchmark security in multi-legged fixed-income trading

Optionally specifies the desired target level sought by the client in multi-leg fixed-income trading.

Client-trader’s comment to dealers

Names an inquirty-list

Indicates whether MarketAxess should reject all list-items or only invalid list-items, if list contains invalid items.

Values:

1 = RejectInvalidItemsOnly

2 = RejectAllItems

The client OMS can use this field to control the action that MarketAxess will take, if MarketAxess validation finds that the list contains one or more invalid list-items.

Indicates the type of MarketAxess inquiry-list.

Valid values are:

1 = High Grade

2 = High Yield

3 = Euro (Spread)

4 = Euro (Price)

5 = Emerging Markets

Difference between Traded Price and calculated price for the value of “MKTXAnalysisTo” (Cover, Avg, BondTicker)

DataType: Price

Value: float field with 4 decimal point precision

Enumeration defining the types of benchmark-spotting workflows used to arrive at the final price of fixed-income trades.

Supported Values:1 = Manual,2 = Phone, 3 = Auto, 4 = OneStep, 5 = Standard

Text indicating rejection reason

e.g. “Action invalid in this state”

UTCTimestamp

Time of day indicating the time at which the client will see dealer responses

Optional flag indicating client’s desire to reveal to each dealer to which this inquiry is addressed the number of dealers to which the inquiry is addressed.

Enumeration defining the types of benchmark-spotting workflows used to arrive at the final price of fixed-income trades.

Optional indication of sought target-level.

Boolean flag indicating if a corporate or municipal bond is a new issue

Repeating Custom Block for showing MKTX cost analysis calcs to clients.

Exists if at least one type of cost analysis data is available.

DataType: NumInGroup

Value: 1..N, for number of cost analysis information provided

MarketAxess estimated option adjusted spread for the traded security. Datatype=float

This field is used to hold a list-level note on a list message.

Exists for a Cancel (5637=1) or Corrected (5637=2) trade report.

This field contains the BCastSeqNo (tag 6103) of the trade that is being cancelled or corrected.

DataType=SeqNum

Face value of the original issuance of a bond. DataType: Amt

MarketAxess estimated par spread for the traded security. Datatype=float

Date the quote was initiated by quote originator

Time quote was entered by orginator

Added to the custom repeating group “NoDealers” (9690) for dealer responses assigning a numeric rank to a dealer quote.

Boolean flag indicating if trade is a suspect trade.

The trading workflow used to negotiate the order.

Identifier of the Trading System that processed an order or allocation. Used for internal routing purposes. String – upto 16 characters